US ETF Compass 30 November 2017 Synthetic Equity & … November 2017 US ETF Compass North America Synthetic Equity & Index Strategy US ETF Compass Date 30 November 2017 Deutsche Bank

30 November 2017

US ETF Compass

North America Synthetic Equity & Index Strategy

US ETF CompassDate30 November 2017

Deutsche BankMarkets Research

Inflows Picked Up in October Led byEquitiesGlobal equities rallied in October 2017 led by Emerging MarketsAsset returns were mostly positive for Equities and Commodities; however,almost flat for Fixed Income. Equities in general registered positive returns duringlast month, Global equities were up by 2.2%, mainly driven by EM (3.3% inreturns) and US Total Market (2.2%); while, Intl DM recorded returns by 1.7%.Fixed Income (0.10%) was almost flat during last month, only Convertible debtposted significant gains by 1.7%; meanwhile, EM Gov Debt in Local Currency(-2.8%), Intl Inflation (-1.8%), Intl DM debt (-0.8%) and US Treasury (-0.3%) werethe worst performers. Commodity products registered gains of 3.7%, driven byEnergy (6.9%) and Industrial Metals (4.8%).

Inflows to US-listed ETPs picked-up with $50bn in new cashUS-listed ETPs registered almost $50bn in new cash, helping assets rise by 3.1%from one month earlier, reaching a total of $3.25 trillion at the end of October.Inflows were led by Equity (+$40bn), followed by Fixed Income (+$10bn); while,Commodity ETPs saw small outflows (-$0.6bn). Within Equity ETPs, we sawinflows to US and DM ex-US of $25.4bn and $5.7bn, respectively. In Fixed Incomespace, Broad and Corporates exposure recorded +$4.5bn and +$3.6bn of inflows,respectively. US-Treasury ETFs posted outflows of -$1.4bn. Equity Beta, SmartBeta, and Active products experienced inflows of $39.5bn, $8.8bn, and $2.0bn,respectively.

Primary and secondary ETP activity evolves in low volatility, trending marketSecondary ETP trading averaging 26% of total cash volumes is down in 2017,declining from its peak above 30% in the volatile Q1 2016. This shift is likelydriven by the current low volatility environment, which has resulted in a longerAverage Holding Periods (AHP) for many ETFs. At the same time, primary ETFactivity averaged 2.7% of total cash ex-ETP volumes in 2017 YTD and has trendedupwards with ETF product growth. However, primary ETF activity has normalizedfrom its peak of 3.4% of cash ex-ETP volumes in the 60 days after Trump'selection.

EM Case Study: Management fees are only one component of costManagement fees have been a key focus for ETF investors and issuers in 2017.However, management fees are only one component of total cost. This month weuse our Efficient Investor framework to compare costs for the three largest broadEM equity ETFs. We find that while headline management fees are substantiallylower for IEMG or VWO relative to EEM, the total cost for a benchmarked investor

Hallie Martin

Strategist

+1-212-250-7994

Srineel Jalagani, CFA

Strategist

+1-212-250-4509

Deutsche Bank Securities Inc.

Note to U.S. investors: US regulators have not approved most foreign listed stock index futures and options for USinvestors. Eligible investors may be able to get exposure through over-the-counter products. Deutsche Bank does andseeks to do business with companies covered in its research reports. Thus, investors should be aware that the firm mayhave a conflict of interest that could affect the objectivity of this report. Investors should consider this report as onlya single factor in making their investment decision. DISCLOSURES AND ANALYST CERTIFICATIONS ARE LOCATED INAPPENDIX 1.MCI (P) 083/04/2017.

Distributed on: 01/12/2017 04:00:13 GMT

0bed7b6cf11c

mailto:[email protected]

mailto:[email protected]

30 November 2017

US ETF Compass

was lowest on EEM over the past 1Y. However, the total cost can change overtime driven primarily by NAV slippage relative to the benchmark.

'Tis the season of Tax-Loss-HarvestingETFs being tax efficient and transparent instruments are viewed favorably bytaxable accounts. For these investors, tax-loss-harvesting, or selling ETFs thathave negative YTD returns and replacing these positions with a similar andcorrelated ETFs, can be another source for tax efficiency. The capital loss fromliquidated positions reduces the net capital gains for the year, while accounts stillmaintain market segment exposure with the new long positions. For 2017, wehighlight candidates for tax-loss harvesting from Energy, Mining , Retail, Biotech,Latam and Long Volatility categories.

RisksETFs have similar directional risk to stocks. Past performance is not indicative offuture performance.

Page 2 Deutsche Bank Securities Inc.

30 November 2017

US ETF Compass

Table Of Contents

ETF Monthly Insights ....................................................... 4Global equities rallied in October 2017 led by Emerging Markets .................. 4Inflows to US-listed ETPs picked-up in October, with almost $50bn .............. 5ETP trading patterns evolve in low volatility, trending market ........................ 6EM Case Study: Management fees are only one component of cost ............. 8'Tis the season of Tax-Loss-Harvesting ........................................................ 10

Asset Allocation Heatmaps ............................................ 12Global Multi Asset Allocator heatmaps ........................................................ 12US Equity Allocator heatmaps ..................................................................... 14International Equity Allocator heatmaps ...................................................... 16Cross Asset Correlations .............................................................................. 1812-Month Relative Performance Monitor ..................................................... 19

Business Intelligence ...................................................... 20New Listings ................................................................................................. 20Delistings ...................................................................................................... 24Trends in products launched in the last 12 months ..................................... 25Popular Product Segments: Smart Beta & Currency Hedged ....................... 26Average Performance by Products Type and Size (Equity) ........................... 27Total Expense Ratio X-Ray ............................................................................ 29

ETF Statistics .................................................................. 30Global ETF Assets and Provider Ranking ..................................................... 30US Historical ETF Trends .............................................................................. 31ETF Issuer and Index Provider league tables ................................................ 32Monthly Snapshot ........................................................................................ 34Top 15 ETFs (includes ETNs) ........................................................................ 40

Appendix A: ETN Snapshot ............................................ 41

Appendix B: ETF List ...................................................... 42

Appendix ........................................................................ 45ETP Universe Definitions .............................................................................. 45Management Style or Product Strategy Definitions ..................................... 45Product Type Definitions .............................................................................. 46

Deutsche Bank Securities Inc. Page 3

30 November 2017

US ETF Compass

ETF Monthly InsightsGlobal equities rallied in October 2017 led by EmergingMarkets

Asset returns were mostly positive for Equities and Commodities; however,almost flat for Fixed Income. Equities in general registered positive returns duringlast month, Global equities were up by 2.15%, mainly driven by EM (3.28% inreturns) and US Total Market (2.17%); while, Intl DM recorded returns by 1.68%.Fixed Income (0.10%) was almost flat during last month, only Convertible debtposted significant gains by 1.69%; meanwhile, EM Gov Debt in Local Currency(-2.78%), Intl Inflation (-1.81%), Intl DM debt (-0.76%) and US Treasury (-0.26%)were worst performances. Commodity products registered gains of 3.69%, drivenby Energy (6.86%) and Industrial Metals (4.79%); conversely, Industrial Metalsposted losses by 0.63%. On the currency side, the USD gains force against mostmajor foreign currencies (UUP was up by 1.65%) during last month.

October showed mostly inconsistent matching flows with performances. In theequity space, US large- and mid-cap stocks recorded returns by 2.36% and 2.23%,with inflows by 1.7% and 1.0% of their assets, respectively. Additionally, Japanled the equity gains during last month with a performance of 5.28% and inflowsof 3.5% of their assets. On the other hand, the Eurozone and Europe receivedoutflows by 1.2% and 1.0% of their assets; but, registering positive returns of1.18% and 0.46%, respectively; while, Latin America posted losses by 3.28%and inflows by 3.9% of their assets. In the meantime, Very Short US TreasuryETFs recorded almost flat returns (+0.46%) and inflows by 6.3% of their assets;instead, Long-term US Treasuries registered outflows by 10.0% of their assets.Furthermore, Crude Oil and Palladium ETFs posted gains by over 4.5% withoutflows of 9.5% and 2.1% of the assets, respectively. Finally, Natural Gas led thecommodity losses with negative returns by 8.98%; however, received inflows by19.8% of their assets.

Within US sector equities, performance and flows were mixed across mostsectors and industries during last month. Technology was the top sector withgains of 7.40%, followed by Utilities and Materials which posted returns by 3.9%each one. In the flows space, Materials (+8.1% of their assets) and Industrials(+7.6% of their assets) led the inflows during October; while, Utilities (-5.7%) andConsumer Staples (-5.5%) registered the most significant outflows. Moreover,at the industry level, Household Durables and Semiconductors were the mostconsistent in terms of both strong inflows and performance.

In international equity markets, Peru and Chile ETF received the strongest inflows,12.4% and 7.8% of their assets, respectively; performance was also positive witha gains of 7.84% and 5.18%, respectively. South Africa was another highlightamong foreign countries with inflows (+6.3% of assets), and returns of 1.97%.Meanwhile, performance and flows were weak in developed Europe with France,Germany and Austria registering returns over 1.8% each one, and EM countriesposting mixed returns and mostly positive flows. South Korea, Egypt, and Vietnamposted gains by 8.25%, 7.86%, and 7.44%, respectively; meanwhile, Mexico(-7.84%) and Colombia (-7.54%) ETFs registered the worst performances.


30 November 2017

US ETF Compass

Inflows to US-listed ETPs picked-up in October, withalmost $50bn in new cash

October flows were led by Equity, followed by Fixed Income; while, CommodityETPs received outflows. ETPs registered almost $50bn in new cash, helping assetsrise by 3.1% from one month earlier, reaching a total of $3.25 trillion at the endof October. Equity and Fixed Income attracted inflows of $40.2bn and $10.1bn,respectively; while, Commodity registered outflows of $0.6bn.

Among the most relevant inflow trends, we saw US and DM ex-US equitieswith $25.4bn and $5.7bn, respectively. Furthermore, on the fixed income space,Broad and Corporates exposure recorded $4.5bn and $3.6bn in positive flows,respectively. On the outflows side, Spain in equities and US-Treasury ETFsposted negative flows of $0.6bn and $1.4bn, respectively. Furthermore, on thefixed income space, Broad, Corporates, and US Treasury exposures recorded$3.5bn, $3.3bn, and $1.1bn in positive flows, respectively. On the outflows side,the Eurozone and Germany-focused ETPs posted negative flows of $0.7bn and$0.3bn, respectively. Beta, Smart Beta, and Active products experienced inflowsof $39.5bn, $8.8bn, and $2.0bn, respectively; meanwhile, Beta+ (leveraged andinverse) posted outflow of $0.4bn.

Within Equity Smart Beta products, Style and Dividend ETFs were the mostpopular categories in October, attracting $3.5bn and $1.5bn in fresh new cash,respectively; while, in the negative side, ESG-focused ETFs posted outflows by$0.3bn. Currency Hedged ETFs registered inflows of $0.2bn, with JPY-hedgedETPs receiving inflows of $0.3bn, but dragged by EUR hedged ETPs whichposted outflows by $0.1bn. In terms of product types, Asset Allocation, CashManagement, and Pseudo Futures received inflows by $24.0bn, $17.0bn, and$9.2bn, respectively; meanwhile, Leveraged & Inverse posted outflows of $0.4bn.

Total ETP turnover was $1.30 trillion last month, up 3% from the previous month.


30 November 2017

US ETF Compass

ETP trading patterns evolve in low volatility, trendingmarket

Secondary ETP trading as a percentage of total cash volumes is down in 2017,likely driven by the low volatility environment. At the same time, primary ETFactivity represents an increasing percentage of total cash volumes but hasnormalized since the significant inflows after Trump's election last year.

Figure 1: Secondary ETP trading represents an average 26% of daily cash volumes YTD in 2017

$-

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$500

$600

Bill

ion

s

Cash Volumes ex-ETPs

ETP Volumes ex-Equity ETFs

US Equity ETF Volumes (Secondary)

Volume from ETF Creations/Redemptions

Source: Deutsche Bank, Bloomberg Finance LP, Axioma

Total US cash volumes YTD averaged $266bn daily, of which secondary ETPtrading represents 26% ($69bn). Secondary Equity ETF trading averaged $41bn,or about 60% of secondary ETP trading and 15% of total cash trading. Weestimate primary Equity ETF trading accounted for an average 2.7% of total cashex-ETP volumes YTD.

Secondary ETP trading as % of total cash volumes is down in 2017After increasing in 2014-2016, secondary ETP trading as a percentage of totalcash volumes decreased in 2017. This could be reflective of the low volatilityenvironment, which has resulted in increased Average Holding Periods (AHPs)for many ETFs.


30 November 2017

US ETF Compass

Figure 2: Secondary ETP volumes decreased as % of total cash volume in2017

10.0%

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Secondary ETP/Total Cash Volumes (lhs, rolling 60d)

Secondary US Equity ETFs/Total Cash Volumes (rhs, rolling 60d)


The 60d peak in secondary ETP volumes occurred in Q1 2016, when marketvolatility was elevated for an extended period. We’ve seen 20 trading days in2017 where secondary ETP volumes exceeding 30% of total cash volumes. ETPvolumes on August 17th-18th were just under 35% of the total cash volumes withUS Equity ETFs accounting for 22% of the total. The quietest day for secondaryETP trading relative to the market was June 23rd, when ETPs were 16% and USEquity ETFs were 10% of total cash volumes.

Primary ETF activity trends up but normalized after the post-election spikeMany investors have expressed concern in 2017 about the impact of ETFinflows on stock prices, particularly after the significant pick-up of inflows toUS equity ETFs following Trump’s election last year. In previous research, we’veacknowledged that market impact can potentially be significant on certain daysfor specific securities. 1 However in aggregate across the market, we continue tobelieve the impact of primary ETF activity is relatively small.

We estimate that primary ETF activity accounted for an average 2.7% of total cashex-ETP volumes in 2017. We consider net daily creation and redemption activityacross US-listed, globally-exposed, equity ETF products with total AUM of $3.1trillion and around 57% allocated to US stocks. We map the creation/redemptionactivity by ETF to the underlying stock portfolios then aggregate across ETFs tocalculate the total valued traded in each stock.2 Over the past 5 years, we identify44 trading dates with primary ETF activity greater than 5% of cash volumes ex-ETPs.

1 Special ETF Research: A Stock Picker's Guide to ETFs. 5-Jun-2015. ETF & Markets: ETF Liquidity &Stock Impact. 22-Jan-2013.

2 Note that we assume there is no crossing of single-stock flows, which means our estimate is likelyconservative. For example an Authorized Participant who creates SPY and redeems QQQ may actuallycross orders in AAPL instead of buying for the SPY creation and selling for the QQQ redemption.We could instead assume netting of all offsetting orders, however the reality is likely somewhere inbetween since primary ETF activity is dispersed across Authorized Participants.


30 November 2017

US ETF Compass

Figure 3: Primary Equity ETF activity spiked on post-election inflows

1.5%

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Volumes attributed to primary ETF activity increased over the past 5 years, as theproduct continues to grow. We look at the 60d rolling average of primary EquityETF volumes as a percentage of total cash volumes ex-ETPs. This percentagepeaked on February 8th, highlighting the impact of post-election ETF inflows onthe cash market. However, the percentage of volume attributed to primary ETFactivity had normalized by the end of Q1.

EM Case Study: Management fees are only onecomponent of cost

Management fees have been a key focus for ETF investors and issuers in 2017.In our September monthly, we looked at the $-weighted average TER of 2017inflows. The preference for lower cost products is particularly prominent for DMex-US and EM equity products. For example, inflows to EM equity ETFs total$37bn YTD, with 67% of those inflows to the lower management fee IEMG(iShares Core MSCI Emerging Markets, $57.47, -0.3%) and VWO (Vangaurd FTSEEmerging Markets ETF, $45.60, -0.4%) products and only 9% to the highly liquidbut higher management fee EEM (iShares MSCI Emerging Markets ETF, $47.71-0.2%).

However, management fees are only one component of total cost. This month weuse our Efficient Investor3 framework to compare costs for the three largest broadEM equity ETFs. We find that while headline management fees are substantiallylower for IEMG or VWO relative to EEM, the total cost for a benchmarked investorwas lowest on EEM over the past 1Y. However, the total cost can change overtime driven primarily by NAV slippage relative to the benchmark and creation/redemption costs associated with the position.

For benchmarked investors, EEM total costs were lower over past 1Y

3 DB SYNDEX - The Efficient Investor: A Delta-1 Decision Maker's Guide. Ari Rajendra, Anusha Pai. 16-Oct-2015.


30 November 2017

US ETF Compass

In our Efficient Investor analysis, we assume that investors are benchmarked tothe MSCI Emerging Markets Net TR index (NDUEEGF). We then calculate a 1Yrealized holding cost that includes:

1. Management fee

2. Slippage between ETF NAV and benchmark

3. Creation/redemption costs

We look at the current 1Y realized costs and how these costs evolved over time.In the below analysis, we see that the total costs for EEM are relatively stablecompared to the total costs for IEMG and VWO.

Figure 4: ETF Cost Comparison: Long $50mn benchmarked to MSCI EM Net TR

NameISHARES CORE MSCI

EMERGINGName

VANGUARD FTSE

EMERGING MARKEName

ISHARES MSCI EMERGING

MARKET

Ticker IEMG US Equity Ticker VWO US Equity Ticker EEM US Equity

Underlying index MIMUEMRN Underlying index FQEACR Underlying index NDUEEGF

AUM (millions) 41,584 AUM (millions) 66,329 AUM (millions) 38,523

Avg Daily Volume (20d, millions) 419 Avg Daily Volume (20d, millions) 475 Avg Daily Volume (20d, millions) 2,180

Replication style Optimized Replication style Full Replication style Optimized

Fund Securities Lending Y Fund Securities Lending Y Fund Securities Lending Y

Cost breakdown (bps) Cost breakdown (bps) Cost breakdown (bps)

Management Fee / TER 14.0 Management Fee / TER 14.0 Management Fee / TER 72.0

1y Performance Slippage,

Net of TER109.7


Net of TER756.7


Net of TER21.0

Creation/Redemption Costs 47.0 Creation/Redemption Costs 53.0 Creation/Redemption Costs 45.0

1Y Realized (in bps) 170.7 1Y Realized (in bps) 823.7 1Y Realized (in bps) 138.0

ETF ETF ETF

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-14

Ap

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4

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5

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6

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Current Realized Cost

1Y Realized Cost-500

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1Y Realized Cost

Source: Deutsche Bank, Bloomberg Finance L.P.

Benchmarked investors need to consider tracking risk, not just feesOur Efficient Investor analysis assume the investor is benchmarked, and thereforeslippage can be a significant component of total cost. We see 7.5% slippage overthe past 1Y for VWO, as its FTSE benchmark includes a slightly different groupof countries versus the MSCI benchmark. And despite 99.5% daily correlationbetween EEM and IEMG, the use of slightly different MSCI benchmarks resultin slippage over time. Over some time periods, for example in 2015, ETFoutperformance versus the benchmark actually results in lower total costs.

Offsetting flows can mitigate creation/redemption costsIn our Efficient Investor analysis, we assume that the investor will access $50mnexposure through the primary ETF market incurring creation and redemption fees.Or, the investor may be able to source sufficient liquidity in the secondary market


30 November 2017

US ETF Compass

to avoid these fees. In practice, broker-dealers source offsetting flows from oneanother to avoid high-cost transactions in the underlying stocks so may only passthrough some of the creation fee. This is particularly true for a product like EEMwhere there is often two-way flows. Whereas, investors in IEMG will likely paythe actual creation costs because flows are very one-sided with no redemptionsin the history of the product.

'Tis the season of Tax-Loss-Harvesting

ETFs being tax efficient and transparent instruments are viewed favorably bytaxable accounts. For these investors, tax-loss-harvesting, or selling ETFs thathave negative YTD returns and replacing these positions with a similar andcorrelated ETFs, can be another source for tax efficiency. The capital loss fromliquidated positions reduces the net capital gains for the year, while accounts stillmaintain market segment exposure with the new long positions.

After strong US equity performance with record low volatility and low sectorreturn correlations, we highlight candidates for tax-loss harvesting from Energy,Mining , Retail, Biotech, Latam and Long Volatility categories. We pick liquidETFs within each of these segments that have negative YTD returns (< -5%),or negative drawdown (<-5%) from the highest price over the past year. Thiscaptures situations when investors held the ETFs from the start of the year, andalso cases when investors entered a long position when the ETF was near its peak(as part of long momentum leg). A correlation matrix of ETFs within each segmentis also included to choose likely replacement candidates for ETFs to be sold.

Finally, we like to reiterate that data provided in these tables is for informationalpurposes only and not intended to provide specific tax advice. Tax advisors in yourjurisdiction should be consulted for appropriate and specific tax implications.


30 November 2017

US ETF Compass

Figure 5: Candidates for Tax-Loss Harvesting in Long Vol, Energy, Mining, Biotech, LatAm

Ticker Long Vol

AUM

($mn)

Return

from

52W High

Return

YTD VIXY VXX

VIXY PROSHARES VIX SHORT-TERM FUT 157$ -73% -69% 1.00 1.00

VXX IPATH S&P 500 VIX S/T FU ETN 1,192$ -73% -69% 1.00 1.00

Ticker Energy - E&Ps and Services

AUM

($mn)

Return

from

52W High

Return

YTD XOP IEO XES OIH IEZ

XOP SPDR S&P OIL & GAS EXP & PR 2,158$ -21% -14% 1.00 0.98 0.85 0.84 0.86 1

IEO ISHARES U.S. OIL & GAS EXPLO 387$ -13% -7% 0.98 1.00 0.84 0.84 0.86 1

XES SPDR OIL & GAS EQUIP & SERV 298$ -35% -29% 0.85 0.84 1.00 0.98 0.98 1

OIH VANECK VECTORS OIL SERVICES 1,275$ -32% -26% 0.84 0.84 0.98 1.00 1.00 1

IEZ ISHARES U.S. OIL EQUIPMENT & 203$ -32% -27% 0.86 0.86 0.98 1.00 1.00 1

Ticker Energy MLPs

AUM

($mn)

Return

from

52W High

Return

YTD AMZA MLPA AMLP MLPX MLPI AMU AMJ ATMP

AMZA INFRACAP MLP ETF 498$ -31% -30% 1.00 0.96 0.97 0.92 0.95 0.95 0.95 0.96

MLPA GLOBAL X MLP ETF 654$ -24% -21% 0.96 1.00 0.99 0.90 0.99 0.99 0.99 0.96

AMLP ALERIAN MLP ETF 8,956$ -24% -20% 0.97 0.99 1.00 0.91 0.99 0.99 0.99 0.97

MLPX GLOBAL X MLP & ENERGY INFRAS 296$ -19% -15% 0.92 0.90 0.91 1.00 0.90 0.90 0.90 0.93

MLPI ETRACS ALERIAN INFRASTRUCTUR 1,818$ -27% -20% 0.95 0.99 0.99 0.90 1.00 0.99 0.99 0.97

AMU ETRACS ALERIAN MLP ETN 321$ -26% -19% 0.95 0.99 0.99 0.90 0.99 1.00 1.00 0.96

AMJ JPMORGAN ALERIAN MLP INDEX 3,001$ -25% -19% 0.95 0.99 0.99 0.90 0.99 1.00 1.00 0.97

ATMP BARCLAYS ETN+ SELECT MLP ETN 420$ -26% -19% 0.96 0.96 0.97 0.93 0.97 0.96 0.97 1.00

Ticker Energy - Broad

AUM

($mn)

Return

from

52W High

Return

YTD RYE FXN FENY VDE IYE XLE IXC

RYE GUGG S&P 500 EQ WGT ENERGY 242$ -19% -14% 1.00 0.97 0.94 0.95 0.93 0.94 0.92

FXN FIRST TRUST ENERGY ALPHADEX 225$ -18% -11% 0.97 1.00 0.92 0.93 0.91 0.92 0.90

FENY FIDELITY MSCI ENERGY ETF 460$ -14% -10% 0.94 0.92 1.00 1.00 1.00 1.00 0.97

VDE VANGUARD ENERGY ETF 3,905$ -14% -10% 0.95 0.93 1.00 1.00 1.00 0.99 0.97

IYE ISHARES U.S. ENERGY ETF 1,073$ -13% -9% 0.93 0.91 1.00 1.00 1.00 1.00 0.97

XLE ENERGY SELECT SECTOR SPDR 16,354$ -12% -8% 0.94 0.92 1.00 0.99 1.00 1.00 0.97

IXC ISHARES GLOBAL ENERGY ETF 933$ -4% -1% 0.92 0.90 0.97 0.97 0.97 0.97 1.00

Ticker Mining

AUM

($mn)

Return

from

52W High

Return

YTD SIL GDXJ SGDJ RING SGDM GDX XME PICK

SIL GLOBAL X SILVER MINERS ETF 369$ -26% -4% 1.00 0.93 0.92 0.91 0.94 0.92 0.58 0.34

GDXJ VANECK VECTORS JUNIOR GOLD M 4,251$ -26% 1% 0.93 1.00 0.98 0.95 0.95 0.95 0.46 0.21

SGDJ SPROTT JR. GOLD MINERS ETF 150$ -24% -1% 0.92 0.98 1.00 0.96 0.96 0.96 0.45 0.18

RING ISHARES MSCI GLOBAL GOLD MIN 342$ -16% 5% 0.91 0.95 0.96 1.00 0.98 0.99 0.44 0.15

SGDM SPROTT GOLD MINERS ETF 165$ -16% 5% 0.94 0.95 0.96 0.98 1.00 0.99 0.47 0.18

GDX VANECK VECTORS GOLD MINERS E 7,917$ -13% 7% 0.92 0.95 0.96 0.99 0.99 1.00 0.45 0.16

XME SPDR S&P METALS & MINING ETF 675$ -10% 4% 0.58 0.46 0.45 0.44 0.47 0.45 1.00 0.81

PICK ISHARES MSCI GLOBAL METALS & 333$ -4% 23% 0.34 0.21 0.18 0.15 0.18 0.16 0.81 1.00

Ticker Biotech

AUM

($mn)

Return

from

52W High

Return

YTD PBE BBH IBB XBI

PBE werShares Dynamic Biotechnology & Genome Po 262$ -11% 17% 1.00 0.95 0.97 0.97

BBH VanEck Vectors Biotech ETF 633$ -8% 17% 0.95 1.00 0.98 0.94

IBB iShares Nasdaq Biotechnology ETF 9,693$ -8% 18% 0.97 0.98 1.00 0.97

XBI SPDR S&P Biotech ETF 3,863$ -8% 38% 0.97 0.94 0.97 1.00

Ticker Latam

AUM

($mn)

Return

from

52W High

Return

YTD EWW ECH EWZ BRF ILF

EWW ISHARES MSCI MEXICO CAPPED 1,103$ -12% 16% 1.00 0.67 0.58 0.58 0.77

ECH ISHARES MSCI CHILE CAPPED ET 507$ -13% 20% 0.67 1.00 0.53 0.49 0.69

EWZ ISHARES MSCI BRAZIL CAPPED E 7,075$ -11% 18% 0.58 0.53 1.00 0.94 0.95

BRF VANECK VECTORS BRAZIL SMALL- 110$ -11% 47% 0.58 0.49 0.94 1.00 0.89

ILF ISHARES LATIN AMERICA 40 ETF 1,504$ -9% 20% 0.77 0.69 0.95 0.89 1.00

Source: Deutsche Bank, Bloomberg Finance LP, Factset


30 November 2017

US ETF Compass

Asset Allocation HeatmapsGlobal Multi Asset Allocator heatmaps

Figure 6: Global Multi Asset Performance and Net Cash flow Trends

1M Chg 3M Chg 6M Chg 1Y Chg 3Y Ann 5Y Ann 1M 3M 6M 1Y 3Y Ann 5Y Ann

ACWI Global Equities 2.15% 4.49% 10.59% 23.77% 8.02% 11.08% 1.6% 3.0% 6.4% 20.5% 13.6% 16.9%

VTI US Total Market 2.17% 4.82% 8.89% 23.93% 10.49% 15.09% 1.5% 2.3% 3.6% 17.0% 11.7% 16.1%

SPY S&P 500 (Large Cap) 2.36% 4.72% 9.07% 23.43% 10.69% 15.05% 1.7% 1.9% 3.5% 17.7% 10.1% 13.9%

MDY S&P 400 (Mid Cap) 2.23% 4.57% 6.62% 22.96% 10.39% 14.82% 1.0% 1.3% 0.9% 13.8% 13.3% 17.5%

IWM Russell 2000 (SM Cap) 0.73% 5.73% 8.06% 27.71% 10.17% 14.53% 2.9% 5.9% 3.9% 27.6% 16.8% 19.0%

EFA Intl DM 1.68% 4.03% 10.92% 23.66% 5.72% 8.49% 1.6% 3.6% 15.0% 32.6% 22.1% 28.5%

VGK Europe 0.46% 3.76% 11.36% 28.22% 5.95% 8.59% -1.0% 0.7% 24.6% 41.9% 15.9% 35.4%

EZU Eurozone 1.18% 5.28% 13.46% 31.26% 8.04% 9.98% -1.2% -4.2% 7.7% 22.5% 17.6% 38.8%

EWJ Japan 5.28% 7.10% 13.82% 18.21% 8.31% 11.74% 3.5% -2.3% -2.4% 5.4% 2.2% 36.3%

EPP Pacific ex JP 0.99% 0.56% 5.98% 18.42% 2.98% 4.73% 0.9% 0.8% 0.8% -1.3% -5.2% -5.2%

EEM EM 3.28% 5.66% 16.07% 26.63% 5.27% 4.37% 2.3% 5.6% 13.1% 25.1% 10.7% 7.2%

ILF Latin America -3.28% 2.91% 9.30% 11.57% -0.44% -1.97% 3.9% 10.7% 8.7% 27.6% 2.4% -1.1%

EEMA EM Asia 4.76% 6.84% 19.42% 32.39% 8.82% 8.31% 0.6% 1.1% 7.1% 3.8% 2.3% 7.5%

AFK Africa 0.90% 1.74% 10.78% 17.25% -5.00% -3.19% 5.3% -2.3% -4.5% 1.7% 0.5% 0.7%

FM Frontier Market 1.12% 8.20% 11.36% 29.25% 0.65% 7.53% 3.5% 3.8% 7.6% 19.0% 1.6% 28.8%

BKF BRIC 2.63% 8.50% 19.96% 31.11% 7.36% 5.21% 6.5% 10.3% -13.1% 20.2% -15.2% -21.1%

AGG Fixed Income (Broad) 0.10% 0.46% 1.47% 0.83% 2.31% 2.00% 1.8% 5.7% 13.5% 27.3% 23.9% 18.6%

GOVT US Treasury -0.26% -0.11% 0.57% -1.01% 1.48% 1.13% -2.4% 7.0% 15.8% 27.7% 17.7% 19.2%

SHV Very Short 0.04% 0.19% 0.42% 0.54% 0.31% 0.20% 6.3% 11.0% 28.5% 63.9% 12.5% 17.5%

SHY Short -0.09% -0.08% 0.10% 0.10% 0.52% 0.50% 2.3% 6.8% 13.9% 25.9% 8.7% 13.0%

IEI Intermediate -0.19% -0.23% 0.27% -0.60% 1.59% 1.17% -5.1% 3.7% 7.2% 10.5% 18.0% 20.1%

TLT Long -0.04% 0.97% 3.01% -2.74% 3.99% 2.89% -10.0% 8.7% 17.9% 21.4% 22.1% 20.5%

TIP US Inflation 0.24% 0.57% 0.11% -0.27% 1.26% -0.19% 1.2% 2.9% 6.5% 28.3% 23.9% 7.5%

MUB Municipal 0.09% 0.46% 2.46% 1.61% 2.60% 2.31% 1.9% 5.3% 10.0% 20.5% 26.9% 19.1%

MBB Securitized 0.01% 0.41% 1.14% 0.32% 1.86% 1.74% 5.1% 10.3% 12.9% 31.0% 32.7% 20.6%

LQD IG Corporates 0.19% 0.82% 3.44% 3.40% 3.87% 3.17% 2.1% 5.6% 18.0% 32.8% 25.3% 18.2%

HYG HY Corporates 0.09% 0.75% 2.96% 8.17% 3.93% 4.78% 1.7% 5.7% 9.3% 25.5% 13.3% 10.7%

FLOT Corp. Floater 0.15% 0.41% 0.93% 1.76% 1.05% 0.87% 1.3% 5.6% 19.5% 103.1% 20.6%

BKLN Senior Loans 0.13% 0.26% 1.04% 3.32% 2.28% 2.73% 3.7% 2.1% 3.3% 56.3% 22.1%

PFF Preferred -0.37% -0.59% 1.42% 4.66% 4.85% 5.31% 2.1% 3.8% 12.4% 15.0% 28.0% 16.9%

CWB Convertible 1.69% 2.45% 7.90% 18.23% 8.13% 11.32% -1.3% -0.4% 13.6% 35.6% 14.7% 36.6%

BWX Intl DM Debt -0.76% -1.89% 3.27% 0.99% -0.52% -1.00% -0.1% -0.5% 8.3% -2.3% 0.3% 6.3%

WIP Intl Inflation -1.81% -1.04% 1.86% 3.31% -0.44% -0.16% -1.1% -1.1% -9.5% -32.3% -19.9% -15.7%

EMB EM Gov Debt USD 0.24% 2.05% 3.29% 6.07% 5.32% 3.75% 0.8% 1.2% 10.3% 21.7% 31.4% 15.3%

EMLC EM Gov Debt Local -2.78% -2.06% 2.26% 4.44% -1.60% -2.04% 4.3% 11.5% 27.1% 54.2% 27.4% 13.8%

EMCB EM Corp USD -0.34% 1.86% 3.01% 6.47% 2.78% 2.67% 2.0% 5.5% 0.6% 9.5% -2.6%

HYEM EM HY Corp USD 0.72% 2.68% 2.93% 8.14% 6.06% 5.32%

DBC Commodities 3.96% 6.45% 8.18% 7.02% -10.48% -10.29% -0.7% 5.2% 1.0% -7.2% 7.3% -3.3%

DBE Energy Cmdty 6.86% 11.64% 12.56% 12.10% -17.44% -12.90% -4.7% -10.4% -15.2% -22.9% 41.2% 9.3%

USO Crude Oil WTI 4.79% 6.32% 6.74% 3.80% -29.07% -19.22% -9.5% -19.1% -24.6% -29.3% 60.2% 14.7%

UNG Natural Gas -8.98% -5.38% -21.00% -25.99% -33.44% -22.75% 19.8% 43.6% 49.6% 16.3% 17.0% -3.5%

DBA Agriculture 2.42% -2.46% -1.52% -5.26% -8.84% -7.64% 0.2% 4.4% 5.6% -0.9% -3.4% -4.9%

DBB Industrial Metals 4.03% 12.28% 18.42% 30.83% 3.02% 1.04%

DBP Precious Metals -0.63% -0.26% -1.02% -3.31% 1.05% -8.63% -0.9% 6.4% 2.3% -6.4% 6.5% -4.2%

GLD Gold Physical -0.75% -0.07% -0.08% -1.04% 2.32% -6.27% -0.8% 8.3% 2.9% -6.1% 7.9% -5.0%

SLV Silver Physical 0.32% -0.69% -3.13% -6.95% 0.62% -12.77% -2.1% -6.3% -3.1% -10.5% -1.5% 0.8%

PPLT Platinum Physical 0.54% -2.53% -3.31% -6.75% -9.95% -10.70% 7.7% 4.8% 7.4% 14.1% 3.0% 3.3%

PALL Palladium Physical 4.64% 10.65% 18.49% 57.85% 6.76% 9.45% -2.1% 0.0% -7.0% -21.8% -20.7% -26.4%

UUP Bull USD 1.65% 2.12% -3.87% -3.30% 2.11% 2.35% -2.4% 11.9% -9.2% -25.1% -14.4% -4.7%

FXY JPYUSD -1.04% -3.16% -2.21% -8.20% -0.84% -7.23%

FXE EURUSD -1.51% -1.81% 6.50% 5.27% -3.09% -2.68%

Ticker Asset ClassTotal Return ETF Net Cash Flows as % of Initial AUM

Source: Deutsche Bank, FactSet, Bloomberg Finance LP. Note: Data as of the end of last month; performance is Total Returns; Cash flows are based on US-listed ETFs and ETVs excluding leveraged, inverse products,and ETNs. Asset Classes that had less than $500 million in AUM at the beginning of all periods are excluded from the Net Cash flow calculations. Green cells correspond to largest values, while red cells correspond tolowest values. Figures over 1Y are annualized. The ETFs mentioned in this figure are provided as reference and have been selected as investable and representative vehicle for each asset class considering the product'sasset class representation, liquidity, size, cost, and ease to borrow for tactical or risk hedging purposes; however, they should not be seen as the only or best alternative for each asset class as finding the right productwill depend on the specific investor's objective and intended usage. Please refer to "Product Type Definitions" on Appendix C for further details on products selection criteria depending on product usage.


30 November 2017

US ETF Compass

Figure 7: Global Multi Asset Risk and Risk-adjusted Performance Measures

1M 3M 6M 1Y 3Y 5Y 1Y 3Y 5Y 1Y 3Y 5Y

ACWI Global Equities 4.5% 6.6% 6.7% 7.3% 13.3% 12.6% -2.1% -19.4% -19.4% 3.3 0.6 0.9

VTI US Total Market 5.2% 7.1% 7.1% 7.6% 12.6% 12.2% -2.7% -15.1% -15.1% 3.1 0.8 1.2

SPY S&P 500 (Large Cap) 5.0% 6.9% 6.9% 7.3% 12.5% 12.0% -2.6% -13.0% -13.0% 3.2 0.9 1.2

MDY S&P 400 (Mid Cap) 6.5% 8.7% 9.3% 10.4% 14.0% 13.8% -5.5% -19.3% -19.3% 2.2 0.7 1.1

IWM Russell 2000 (SM Cap) 8.2% 10.5% 11.0% 13.0% 16.0% 15.7% -6.4% -25.7% -25.7% 2.1 0.6 0.9

EFA Intl DM 4.9% 6.9% 7.5% 8.3% 15.2% 14.4% -2.8% -23.0% -23.1% 2.8 0.4 0.6

VGK Europe 6.0% 7.9% 9.0% 9.9% 17.0% 15.9% -3.4% -23.2% -24.9% 2.8 0.4 0.5

EZU Eurozone 6.2% 8.7% 10.2% 11.8% 18.6% 17.7% -5.1% -23.0% -27.1% 2.6 0.4 0.6

EWJ Japan 7.1% 6.6% 7.0% 8.6% 16.0% 16.7% -3.7% -21.6% -21.6% 2.1 0.5 0.7

EPP Pacific ex JP 7.5% 9.1% 9.8% 10.5% 17.3% 16.2% -3.9% -28.0% -30.4% 1.8 0.2 0.3

EEM EM 11.3% 11.9% 12.2% 14.0% 19.2% 18.4% -8.5% -34.4% -36.1% 1.9 0.3 0.2

ILF Latin America 17.5% 15.4% 23.0% 24.6% 27.9% 25.3% -15.4% -49.2% -56.8% 0.5 (0.0) (0.1)

EEMA EM Asia 9.6% 14.4% 13.2% 13.1% 18.5% 17.4% -7.4% -31.5% -31.5% 2.5 0.5 0.5

AFK Africa 9.7% 10.6% 12.7% 16.2% 20.3% 18.1% -8.9% -46.8% -54.0% 1.1 (0.2) (0.2)

FM Frontier Market 7.0% 8.5% 8.7% 10.3% 13.8% 13.2% -4.5% -31.7% -36.6% 2.8 0.0 0.6

BKF BRIC 14.1% 14.0% 14.0% 14.7% 20.9% 19.8% -8.1% -39.4% -39.4% 2.1 0.4 0.3

AGG Fixed Income (Broad) 2.3% 2.4% 2.5% 3.1% 3.3% 3.2% -3.5% -4.5% -5.1% 0.3 0.7 0.6

GOVT US Treasury 2.3% 2.6% 2.7% 3.4% 3.8% 3.5% -4.0% -5.9% -5.9% (0.3) 0.4 0.3

SHV Very Short 0.2% 0.3% 0.2% 0.3% 0.2% 0.2% -0.1% -0.1% -0.1% 2.1 1.4 1.0

SHY Short 1.2% 1.0% 0.8% 0.9% 0.9% 0.8% -0.8% -1.0% -1.0% 0.1 0.5 0.6

IEI Intermediate 1.8% 2.3% 2.2% 2.8% 3.1% 3.0% -3.5% -4.3% -4.3% (0.2) 0.5 0.4

TLT Long 7.6% 9.0% 8.8% 10.8% 13.1% 12.6% -11.1% -17.9% -17.9% (0.3) 0.3 0.2

TIP US Inflation 2.5% 3.3% 3.5% 3.8% 4.7% 4.9% -4.0% -5.3% -11.1% (0.1) 0.3 (0.0)

MUB Municipal 1.4% 1.6% 1.7% 2.8% 2.7% 3.8% -4.3% -6.7% -9.7% 0.6 0.9 0.6

MBB Securitized 1.9% 1.9% 2.3% 3.0% 2.5% 2.8% -3.1% -3.4% -4.8% 0.1 0.7 0.6

LQD IG Corporates 3.0% 3.6% 3.7% 4.6% 5.2% 5.2% -4.1% -6.0% -8.6% 0.7 0.7 0.6

HYG HY Corporates 2.0% 3.2% 3.4% 4.9% 6.8% 6.3% -3.1% -13.4% -13.4% 1.7 0.6 0.8

FLOT Floater 0.7% 0.6% 0.5% 0.6% 0.9% 0.8% -0.2% -0.6% -0.6% 2.7 1.2 1.0

BKLN Senior Loans 1.7% 1.9% 1.8% 2.0% 3.2% 2.9% -0.9% -7.1% -7.1% 1.7 0.7 1.0

PFF Preferred 3.2% 3.5% 3.2% 5.4% 5.5% 5.3% -5.1% -7.5% -8.7% 0.9 0.9 1.0

CWB Convertible 5.4% 6.8% 7.4% 7.3% 9.3% 9.1% -3.2% -15.9% -15.9% 2.5 0.9 1.2

BWX Intl DM Debt 5.3% 6.3% 6.3% 7.4% 7.7% 7.3% -8.6% -12.7% -15.4% 0.1 (0.1) (0.1)

WIP Intl Inflation 6.1% 6.6% 6.6% 7.6% 8.1% 7.5% -7.1% -14.8% -19.1% 0.4 (0.1) (0.0)

EMB EM Gov Debt USD 3.2% 3.5% 3.9% 6.4% 6.6% 7.0% -6.1% -7.6% -14.5% 1.0 0.8 0.5

EMLC EM Gov Debt Local 6.8% 6.3% 7.6% 10.0% 10.6% 10.0% -8.6% -23.4% -32.0% 0.4 (0.2) (0.2)

EMCB EM Corp USD 10.0% 7.7% 6.5% 7.8% 7.9% 7.6% -4.2% -11.9% -13.3% 0.8 0.4 0.4

HYEM EM HY Corp USD 3.3% 3.3% 2.9% 4.8% 6.6% 6.7% -4.3% -11.6% -14.0% 1.7 0.9 0.8

DBC Commodities 10.0% 11.9% 13.4% 13.3% 16.7% 14.4% -14.4% -46.8% -58.4% 0.5 (0.6) (0.7)

DBE Energy Cmdty 17.1% 18.0% 20.4% 20.5% 28.7% 23.9% -21.9% -63.5% -71.4% 0.6 (0.6) (0.5)

USO Crude Oil WTI 21.6% 23.3% 27.1% 27.8% 38.3% 31.7% -25.9% -74.0% -79.8% 0.1 (0.8) (0.6)

UNG Natural Gas 23.2% 25.0% 27.8% 36.1% 40.1% 37.4% -37.9% -75.4% -79.1% (0.7) (0.8) (0.6)

DBA Agriculture 7.3% 10.9% 11.9% 10.7% 11.4% 10.9% -11.5% -28.6% -37.1% (0.5) (0.8) (0.7)

DBB Industrial Metals 12.6% 16.9% 15.0% 17.3% 17.5% 16.6% -8.4% -36.7% -44.5% 1.8 0.2 0.1

DBP Precious Metals 8.3% 11.4% 11.1% 11.9% 15.8% 17.4% -14.0% -22.0% -47.3% (0.3) 0.1 (0.5)

GLD Gold Physical 8.2% 10.3% 10.0% 10.8% 14.5% 15.8% -13.7% -19.7% -40.7% (0.1) 0.2 (0.4)

SLV Silver Physical 11.9% 16.7% 16.4% 18.3% 22.9% 24.6% -16.1% -25.8% -60.6% (0.4) 0.0 (0.5)

PPLT Platinum Physical 10.7% 12.9% 14.5% 17.0% 19.8% 18.8% -12.3% -36.5% -53.6% (0.4) (0.5) (0.6)

PALL Palladium Physical 23.2% 23.0% 22.1% 24.1% 27.2% 25.2% -14.8% -43.6% -48.4% 2.4 0.2 0.4

UUP Bull USD 6.1% 6.3% 6.2% 6.8% 8.1% 7.2% -11.2% -11.2% -11.2% (0.5) 0.3 0.3

FXY JPYUSD 5.3% 7.8% 7.9% 9.4% 10.2% 10.2% -12.9% -15.5% -37.5% (0.9) (0.1) (0.7)

FXE EURUSD 7.3% 7.4% 7.5% 8.0% 9.6% 8.6% -6.8% -18.3% -26.7% 0.7 (0.3) (0.3)

Sharpe (TR / Vol)Ticker Asset Class

Annualized Volatility Max Drawdown

Source: Deutsche Bank FactSet. Note: Data as of the end of last month; Calculations based on total returns; Volatility based on daily total returns annualized using a 252 day factor; Sharpe ratio calculation assumes Riskfree equal to zero. For Max DD and Sharpe calculation, green cells correspond to largest value, while red cells correspond to lowest values. For Volatility calculations, green cells are the least volatile (lowest values),while red cells are the most volatile (highest values). The ETFs mentioned in this figure are provided as reference and have been selected as investable and representative vehicle for each asset class considering theproduct's asset class representation, liquidity, size, cost, and ease to borrow for tactical or risk hedging purpose; however, they should not be seen as the only or best alternative for each asset class as finding the rightproduct will depend on the specific investor's objective and intended usage. Please refer to "Product Type Definitions" on Appendix C for further details on product selection criteria depending on product usage.


30 November 2017

US ETF Compass

US Equity Allocator heatmaps

Figure 8: US Equity Performance and Net Cash Flow Trends


VTI US Total Market 2.17% 4.82% 8.89% 23.93% 10.49% 15.09% 1.5% 2.3% 3.6% 17.0% 11.7% 16.1%

SPY S&P 500 (Large Cap) 2.36% 4.72% 9.07% 23.43% 10.69% 15.05% 1.7% 1.9% 3.5% 17.7% 10.1% 13.9%

DIA DJI 4.46% 7.39% 12.99% 31.91% 13.06% 14.96% 1.7% 1.9% 3.5% 17.7% 10.1% 13.9%

QQQ NASDAQ-100 4.61% 6.46% 12.44% 31.36% 15.71% 20.01% 1.7% 1.9% 3.5% 17.7% 10.1% 13.9%

IWF Russell 1000 Growth 3.92% 7.10% 12.45% 29.47% 12.98% 16.63% 0.7% 1.5% 2.9% 12.1% 9.8% 12.9%

IWD Russell 1000 Value 0.74% 2.44% 5.31% 17.51% 7.84% 13.26% 1.6% 2.9% 2.5% 19.1% 15.6% 21.2%

MDY S&P 400 (Mid Cap) 2.23% 4.57% 6.62% 22.96% 10.39% 14.82% 1.0% 1.3% 0.9% 13.8% 13.3% 17.5%

IWM Russell 2000 (SM Cap) 0.73% 5.73% 8.06% 27.71% 10.17% 14.53% 2.9% 5.9% 3.9% 27.6% 16.8% 19.0%

VIG Div. Growth 2.10% 4.15% 6.86% 20.14% 9.37% 12.85% 0.5% 0.0% 1.8% 7.9% 10.9% 15.1%

DVY Div. Yield 1.17% 2.93% 5.18% 16.29% 10.13% 14.04% 0.5% 0.0% 1.8% 7.9% 10.9% 15.1%

VYM Div. Yield 1.74% 4.63% 7.91% 19.44% 9.99% 14.03% 0.5% 0.0% 1.8% 7.9% 10.9% 15.1%

SDY Div. Yield & Growth 1.26% 3.46% 5.50% 17.28% 10.70% 14.51% 0.5% 0.0% 1.8% 7.9% 10.9% 15.1%

XLY Cons. Discretionary 2.12% 1.05% 2.82% 19.62% 12.24% 16.56% 0.6% -6.4% -4.5% -5.0% 3.3% 4.9%

PEJ Hotels, Rest & Leisure 1.12% 2.62% 0.13% 15.66% 7.65% 14.11%

XHB Home Builders 3.87% 8.04% 9.80% 31.81% 10.61% 10.33% 12.3% 11.5% 11.3% 23.5% -4.2% -9.3%

ITB Household Durables 8.81% 17.50% 23.21% 54.84% 18.67% 14.58% 12.3% 11.5% 11.3% 23.5% -4.2% -9.3%

PBS Media -2.48% -6.22% -2.75% 10.58% 3.45% 11.37%

XRT Retail -5.46% -3.63% -7.10% -5.06% -2.44% 6.15% -14.3% -15.9% 12.0% -33.3% -21.6% -29.7%

XLP Cons. Staples -1.65% -3.43% -2.43% 3.26% 7.09% 11.35% -6.9% -11.5% -6.7% -14.0% -7.1% 2.3%

PBJ Food Products -0.65% -0.10% -3.87% 0.17% 4.14% 11.76%

XLE Energy -0.83% 3.28% 2.11% 2.09% -5.37% 1.36% 1.0% 3.1% 3.6% 15.1% 19.7% 21.1%

OIH Energy Eq. & Serv. -7.02% -2.38% -13.02% -12.45% -17.08% -7.32% 0.5% 9.8% 18.2% 59.4% 9.5% 4.6%

XES Energy Eq. & Serv. -6.82% 2.13% -11.73% -11.08% -23.04% -12.82% 0.5% 9.8% 18.2% 59.4% 9.5% 4.6%

IEZ Energy Eq. & Serv. -6.79% 0.03% -10.98% -9.84% -16.54% -6.39% 0.5% 9.8% 18.2% 59.4% 9.5% 4.6%

XOP Energy E&P 0.56% 5.65% -1.47% -2.21% -16.40% -7.54% -1.5% -8.9% 1.4% 21.0% 21.9% 23.4%

IEO Energy E&P 0.94% 5.57% 2.24% 3.01% -8.69% 0.23% -1.5% -8.9% 1.4% 21.0% 21.9% 23.4%

AMLP MLPs -4.46% -8.96% -11.78% -5.70% -9.80% -1.46% 1.3% 6.8% 8.9% 32.7% 18.0% 28.9%

XLF Financials 2.86% 6.46% 13.95% 36.94% 13.28% 17.66% 2.3% 4.1% 7.8% 60.0% 15.0% 22.4%

KBWB Large Banks 2.29% 6.14% 12.15% 38.41% 14.02% 17.29% 2.2% 0.4% 1.6% 59.4% 14.1% 17.5%

KRE Regional Banks 0.62% 5.24% 6.46% 32.31% 14.48% 17.39% 2.2% 0.4% 1.6% 59.4% 14.1% 17.5%

KCE Capital Markets 1.87% 5.18% 14.96% 39.13% 5.34% 12.91% 4.8% 2.1% -0.6% 29.9% -15.8% 24.3%

KIE Insurance 2.33% 1.05% 7.32% 25.92% 13.93% 18.13% -5.5% -12.2% -23.6% 2.0% 19.3% 25.9%

XLV Healthcare -0.76% 1.90% 8.25% 22.31% 8.04% 16.99% -0.9% -1.7% 4.0% 15.7% 7.0% 19.4%

IBB Biotech & Pharma -5.82% -1.50% 5.66% 22.68% 2.07% 19.13% -0.8% 2.8% 10.2% 16.0% 12.9% 27.0%

BBH Large Biotech -5.67% -2.56% 3.71% 23.43% 3.20% 20.04% -0.8% 2.8% 10.2% 16.0% 12.9% 27.0%

IHI HC Eq. & Supplies 3.29% 5.02% 9.53% 28.56% 18.03% 21.90% 2.4% -12.6% 7.8% -7.3% 11.0% 24.5%

IHF HC Providers & Serv 1.08% 2.68% 8.77% 27.67% 9.76% 17.55% -13.5% -18.4% -16.5% -32.7% -12.8% -0.3%

PPH Large Pharma -4.00% -4.38% 0.97% 8.80% -2.48% 9.08% -3.7% -8.8% -14.7% -14.6% -13.8% -5.0%

XLI Industrials 0.75% 5.19% 8.82% 27.54% 11.32% 16.78% 7.6% 11.7% 10.1% 67.2% 11.0% 29.3%

ITA Aerospace & Def 1.36% 9.88% 18.13% 40.23% 18.80% 24.04% 3.0% 21.1% 38.7% 261.6% 105.4% 101.2%

IYT Transportation -1.57% 6.54% 7.76% 22.50% 5.00% 15.48% -7.9% -6.7% -19.1% -3.4% -20.2% -2.9%

XLB Materials 3.87% 8.56% 12.29% 28.72% 9.02% 12.74% 8.1% 14.0% 0.5% 30.7% 4.6% 6.3%

XME Metals & Mining -1.58% 0.92% 6.67% 25.25% -1.93% -5.13% -5.3% -4.9% -11.5% -6.1% 14.8% -6.4%

VNQ Real Estate -1.07% -1.43% 1.27% 5.47% 5.76% 9.45% -0.7% -0.5% -0.3% 2.1% 9.2% 11.7%

VGT Technology 7.40% 11.61% 18.26% 37.96% 18.81% 20.58% 1.5% 2.5% 2.7% 16.1% 5.9% 12.2%

IGN Comm. Equipment 0.65% 0.31% 3.53% 16.17% 10.32% 14.17%

FDN Int. Software & Serv. 4.95% 8.66% 16.47% 32.06% 20.74% 24.23% 1.9% 3.6% 5.6% 6.5% 19.0% 41.1%

SMH Semiconductors 8.88% 18.37% 27.49% 50.02% 27.19% 28.71% 6.7% 6.7% 14.8% 77.9% 25.1% 21.4%

IGV Software 6.99% 10.10% 19.85% 39.36% 20.79% 21.45% -3.3% -4.0% 6.2% 5.8% -13.9% -9.0%

VOX Telecom -3.07% -3.76% -6.17% 1.64% 4.08% 8.53% 0.1% -1.6% -5.6% -6.3% 7.9% 7.1%

XLU Utilities 3.90% 4.36% 8.29% 15.22% 10.33% 12.29% -5.7% -1.4% -3.5% -4.9% 3.5% 3.2%




30 November 2017

US ETF Compass

Figure 9: US Equity Risk and Risk-adjusted Performance Measure

1M 3M 6M 1Y 3Y 5Y 1Y 3Y 5Y 1Y 3Y 5Y

VTI US Total Market 5.2% 7.1% 7.1% 7.6% 12.6% 12.2% -2.7% -15.1% -15.1% 3.1 0.8 1.2

SPY S&P 500 (Large Cap) 5.0% 6.9% 6.9% 7.3% 12.5% 12.0% -2.6% -13.0% -13.0% 3.2 0.9 1.2

DIA DJI 5.3% 6.2% 6.0% 6.9% 12.2% 11.6% -3.2% -13.9% -13.9% 4.6 1.1 1.3

QQQ NASDAQ-100 11.0% 11.6% 12.2% 11.0% 15.2% 14.5% -4.9% -16.1% -16.1% 2.9 1.0 1.4

IWF Russell 1000 Growth 6.3% 8.1% 8.3% 8.0% 12.7% 12.4% -2.4% -13.8% -13.8% 3.7 1.0 1.3

IWD Russell 1000 Value 5.2% 6.6% 6.8% 7.8% 12.9% 12.3% -4.2% -16.2% -16.2% 2.2 0.6 1.1

MDY S&P 400 (Mid Cap) 6.5% 8.7% 9.3% 10.4% 14.0% 13.8% -5.5% -19.3% -19.3% 2.2 0.7 1.1

IWM Russell 2000 (SM Cap) 8.2% 10.5% 11.0% 13.0% 16.0% 15.7% -6.4% -25.7% -25.7% 2.1 0.6 0.9

VIG Div. Growth 5.2% 6.6% 6.8% 6.9% 11.5% 11.1% -2.6% -12.1% -12.1% 2.9 0.8 1.2

DVY Div. Yield 4.6% 5.6% 6.4% 7.6% 11.4% 11.1% -3.1% -12.0% -12.0% 2.1 0.9 1.3

VYM Div. Yield 5.0% 6.1% 6.1% 6.8% 11.9% 11.3% -3.1% -13.0% -13.0% 2.8 0.8 1.2

SDY Div. Yield & Growth 4.9% 6.4% 6.8% 7.4% 11.5% 11.2% -2.9% -10.8% -10.8% 2.3 0.9 1.3

XLY Cons. Discretionary 7.9% 8.7% 8.8% 8.9% 13.6% 13.4% -4.2% -15.8% -15.8% 2.2 0.9 1.2

PEJ Hotels, Rest & Leisure 8.6% 9.9% 10.7% 11.4% 16.2% 15.9% -6.9% -21.7% -21.7% 1.4 0.5 0.9

XHB Home Builders 8.9% 11.2% 11.2% 12.7% 17.4% 18.4% -4.8% -28.2% -28.2% 2.5 0.6 0.6

ITB Household Durables 9.8% 12.4% 13.4% 14.8% 19.6% 21.6% -5.4% -26.4% -26.4% 3.7 1.0 0.7

PBS Media 9.5% 10.4% 11.5% 11.1% 14.9% 15.3% -7.3% -23.2% -23.2% 1.0 0.2 0.7

XRT Retail 14.0% 15.8% 17.3% 17.9% 18.1% 16.9% -20.4% -24.2% -24.2% (0.3) (0.1) 0.4

XLP Cons. Staples 7.9% 7.5% 7.4% 8.4% 11.4% 11.1% -6.9% -10.1% -10.1% 0.4 0.6 1.0

PBJ Food Products 6.2% 7.8% 8.8% 9.9% 12.8% 12.7% -8.5% -11.0% -11.0% 0.0 0.3 0.9

XLE Energy 6.1% 9.7% 12.8% 14.6% 22.5% 19.8% -18.9% -39.4% -46.7% 0.1 (0.2) 0.1

OIH Energy Eq. & Serv. 15.8% 18.9% 24.2% 25.7% 32.3% 27.7% -37.8% -50.5% -61.3% (0.5) (0.5) (0.3)

XES Energy Eq. & Serv. 21.0% 25.6% 32.4% 33.0% 40.1% 33.5% -45.2% -62.4% -72.8% (0.3) (0.6) (0.4)

IEZ Energy Eq. & Serv. 15.7% 19.6% 25.2% 25.8% 32.5% 27.9% -37.5% -51.3% -61.8% (0.4) (0.5) (0.2)

XOP Energy E&P 18.3% 20.9% 25.6% 27.5% 38.0% 33.0% -32.6% -61.1% -71.0% (0.1) (0.4) (0.2)

IEO Energy E&P 11.7% 16.3% 19.6% 21.7% 29.5% 25.7% -25.6% -48.5% -56.8% 0.1 (0.3) 0.0

AMLP MLPs 16.6% 16.3% 15.8% 14.4% 28.0% 22.7% -18.3% -52.7% -53.1% (0.4) (0.4) (0.1)

XLF Financials 8.8% 11.8% 11.9% 14.6% 16.6% 15.6% -8.9% -22.3% -22.3% 2.5 0.8 1.1

KBWB Large Banks 11.1% 14.5% 14.8% 17.8% 21.1% 19.2% -11.2% -29.1% -29.1% 2.2 0.7 0.9

KRE Regional Banks 14.0% 18.4% 18.1% 20.8% 22.3% 20.3% -15.9% -28.0% -28.0% 1.6 0.6 0.9

KCE Capital Markets 9.8% 12.3% 12.2% 13.9% 20.3% 19.4% -6.7% -36.4% -36.4% 2.8 0.3 0.7

KIE Insurance 5.9% 12.8% 11.3% 10.8% 13.8% 13.3% -8.9% -15.2% -15.2% 2.4 1.0 1.4

XLV Healthcare 9.1% 9.1% 8.9% 10.1% 14.9% 14.2% -5.1% -17.1% -17.1% 2.2 0.5 1.2

IBB Biotech & Pharma 12.7% 15.1% 16.7% 19.9% 26.2% 25.0% -9.4% -39.2% -39.2% 1.1 0.1 0.8

BBH Large Biotech 11.6% 14.5% 15.5% 18.1% 24.0% 23.8% -7.9% -33.8% -33.8% 1.3 0.1 0.8

IHI HC Eq. & Supplies 9.4% 9.8% 9.8% 11.0% 14.8% 14.0% -5.7% -14.2% -14.2% 2.6 1.2 1.6

IHF HC Providers & Serv 15.7% 12.9% 12.2% 12.6% 17.0% 15.7% -5.7% -26.3% -26.3% 2.2 0.6 1.1

PPH Large Pharma 11.5% 12.1% 11.7% 13.2% 16.1% 14.7% -9.8% -29.9% -29.9% 0.7 (0.2) 0.6

XLI Industrials 7.6% 8.4% 8.5% 9.8% 13.8% 13.7% -4.0% -15.7% -15.7% 2.8 0.8 1.2

ITA Aerospace & Def 8.4% 9.6% 9.8% 11.2% 14.2% 14.4% -4.3% -17.2% -17.2% 3.6 1.3 1.7

IYT Transportation 11.3% 13.1% 13.4% 14.0% 17.0% 16.7% -8.3% -27.3% -27.3% 1.6 0.3 0.9

XLB Materials 8.0% 9.1% 10.1% 10.7% 16.3% 15.5% -4.2% -26.9% -26.9% 2.7 0.6 0.8

XME Metals & Mining 14.7% 16.3% 19.5% 24.8% 33.5% 29.9% -19.3% -65.9% -72.9% 1.0 (0.1) (0.2)

VNQ Real Estate 6.4% 9.1% 9.8% 11.9% 15.1% 14.4% -6.3% -17.2% -18.0% 0.5 0.4 0.7

VGT Technology 9.4% 11.4% 12.4% 11.5% 15.5% 14.7% -5.2% -16.4% -16.4% 3.3 1.2 1.4

IGN Comm. Equipment 8.7% 12.2% 14.5% 13.7% 17.1% 17.2% -8.3% -24.9% -24.9% 1.2 0.6 0.8

FDN Int. Software & Serv. 10.4% 12.9% 14.2% 13.0% 17.6% 17.9% -5.0% -25.8% -25.8% 2.5 1.2 1.4

SMH Semiconductors 9.4% 14.9% 16.7% 16.7% 20.0% 19.0% -9.1% -23.7% -23.7% 3.0 1.4 1.5

IGV Software 8.8% 12.2% 14.1% 13.4% 17.0% 16.5% -5.4% -21.5% -21.5% 2.9 1.2 1.3

VOX Telecom 12.2% 13.1% 13.5% 13.8% 14.8% 13.8% -13.2% -13.3% -13.3% 0.1 0.3 0.6

XLU Utilities 7.3% 8.8% 8.5% 11.8% 14.8% 14.0% -6.9% -15.7% -15.7% 1.3 0.7 0.9

Ticker Asset ClassMax DrawdownAnnualized Volatility Sharpe (TR / Vol)

Source: Deutsche Bank, FactSet. Note: Data as of the end of last month; Calculations based on total returns; Volatility based on daily total returns annualized using a 252 day factor; Sharpe ratio calculation assumesRisk free equal to zero. For Max DD and Sharpe calculation, green cells correspond to largest value, while red cells correspond to lowest values. For Volatility calculations, green cells are the least volatile (lowest values),while red cells are the most volatile (highest values). The ETFs mentioned in this figure are provided as reference and have been selected as investable and representative vehicle for each asset class considering theproduct's asset class representation, liquidity, size, cost, and ease to borrow for tactical or risk hedging purpose; however, they should not be seen as the only or best alternative for each asset class as finding the rightproduct will depend on the specific investor's objective and intended usage. Please refer to "Product Type Definitions" on Appendix C for further details on product selection criteria depending on product usage.


30 November 2017

US ETF Compass

International Equity Allocator heatmaps

Figure 10: International Equity Performance and Net ETF Cash Flow Trends


EFA Intl DM 1.68% 4.03% 10.92% 23.66% 5.72% 8.49% 1.6% 3.6% 15.0% 32.6% 22.1% 28.5%

EWC Canada -0.52% 3.19% 10.54% 15.65% 0.75% 2.37% 1.1% -5.5% -8.7% -10.4% -0.7% -7.4%

EIS Israel -1.05% -7.50% -3.82% 8.23% 2.36% 5.66%

VGK Europe 0.46% 3.76% 11.36% 28.22% 5.95% 8.59% -1.0% 0.7% 24.6% 41.9% 15.9% 35.4%

EDEN Denmark 0.75% 3.90% 16.48% 31.15% 13.03% 19.12%

NORW Norway -0.29% 5.63% 20.52% 25.77% 1.17% 1.50%

EWD Sweden -0.84% 4.19% 9.90% 32.15% 6.25% 8.84%

EWL Switzerland -1.43% 0.17% 6.10% 21.65% 4.65% 9.00% 2.2% 0.8% 10.1% 10.6% 3.8% 13.9%

EWU UK 0.60% 2.75% 8.30% 21.14% 1.23% 4.27% -0.7% -7.9% -10.5% 10.1% -2.7% 16.8%

EZU Eurozone 1.18% 5.28% 13.46% 31.26% 8.04% 9.98% -1.2% -4.2% 7.7% 22.5% 17.6% 38.8%

EWO Austria 1.84% 4.38% 23.59% 47.77% 16.16% 10.40%

EWK Belgium 0.85% 2.74% 11.82% 22.55% 12.17% 13.79%

EFNL Finland -2.80% -0.59% 7.99% 25.95% 8.81% 13.71%

EWQ France 1.59% 6.62% 13.96% 33.25% 9.83% 10.60%

EWG Germany 1.97% 7.68% 13.59% 30.16% 8.88% 9.72% -0.3% -13.6% -8.4% 7.5% 3.5% 6.2%

EIRL Ireland 0.52% 5.90% 11.24% 30.15% 13.67% 17.66%

EWI Italy -1.28% 4.03% 19.18% 41.02% 4.11% 7.13% -11.9% 4.1% 14.2% 31.3% -7.7% 30.8%

EWN Netherlands 0.99% 3.12% 14.28% 32.77% 12.33% 12.87%

PGAL Portugal -0.40% 6.12% 20.12% 32.20% 3.16%

EWP Spain 0.30% -0.85% 7.03% 27.66% 0.27% 7.62% -36.7% -35.4% -29.4% 26.7% -12.0% 44.3%

EWJ Japan 5.28% 7.10% 13.82% 18.21% 8.31% 11.74% 3.5% -2.3% -2.4% 5.4% 2.2% 36.3%

EPP Pacific ex JP 0.99% 0.56% 5.98% 18.42% 2.98% 4.73% 0.9% 0.8% 0.8% -1.3% -5.2% -5.2%

EWA Australia 1.16% 0.00% 3.29% 17.45% 1.08% 3.36% 2.3% 1.3% -6.9% -7.9% 0.3% -4.0%

EWH Hong Kong -0.04% 1.65% 9.60% 17.61% 7.37% 9.05% 0.0% -0.2% 1.9% -19.5% -16.1% -8.2%

ENZL New Zealand -3.29% -4.35% 9.02% 11.97% 9.53% 10.71%

EWS Singapore 4.50% 2.74% 12.32% 28.76% 2.29% 2.84% 0.0% -3.2% 4.2% -12.0% -9.2% -14.3%

EEM EM 3.28% 5.66% 16.07% 26.63% 5.27% 4.37% 2.3% 5.6% 13.1% 25.1% 10.7% 7.2%

ILF Latin America -3.28% 2.91% 9.30% 11.57% -0.44% -1.97% 3.9% 10.7% 8.7% 27.6% 2.4% -1.1%

EWZ Brazil -3.65% 6.27% 8.98% 8.63% -0.12% -3.00% 0.9% 7.4% 12.5% 38.8% 7.4% -3.0%

ECH Chile 5.18% 12.49% 21.06% 30.11% 8.21% -2.03% 7.8% 6.8% 2.7% 18.5% 8.8% 4.0%

GXG Colombia -7.54% -4.02% 1.92% 5.58% -16.64% -13.33%

EWW Mexico -7.84% -10.60% -1.69% 0.57% -7.98% -3.54% -2.9% -8.3% -9.5% -6.2% -16.6% 4.6%

EPU Peru 7.84% 17.67% 27.68% 30.11% 9.81% 0.70% 12.4% 11.1% -15.7% -15.1% -12.1% -5.8%

EEMA EM Asia 4.76% 6.84% 19.42% 32.39% 8.82% 8.31% 0.6% 1.1% 7.1% 3.8% 2.3% 7.5%

FXI China H 4.29% 7.97% 19.74% 27.69% 7.28% 7.04% 0.8% 4.7% 10.0% -4.9% -1.2% 0.6%

ASHR China A 4.90% 8.54% 23.37% 25.16% 14.73% 0.6% 8.0% 55.9% 44.6% 14.4% 126.0%

INDA India 7.29% 2.58% 10.29% 22.18% 4.36% 8.17% 0.2% -1.8% 2.9% 10.0% 15.9% 32.7%

EIDO Indonesia 0.04% -0.63% 2.65% 3.07% 0.33% -1.22% -3.3% -7.8% -13.9% -27.8% -9.1% -0.8%

EWM Malaysia -0.71% 1.48% 2.60% 6.43% -7.57% -3.01% 1.7% 1.7% 17.2% 41.1% -1.9% -6.8%

EPHE Philippines 0.11% 1.62% 3.59% 5.33% -0.40% 3.89%

EWY South Korea 8.25% 7.26% 20.39% 36.70% 10.17% 6.79% 0.0% -2.1% 7.2% -11.7% -9.1% 3.9%

EWT Taiwan 5.54% 4.10% 12.86% 23.74% 9.26% 11.06% 0.7% 1.1% 3.0% 13.9% 2.6% 4.5%

THD Thailand 2.44% 11.96% 16.25% 26.48% 4.94% 6.19% 2.2% -2.6% -15.9% -4.6% -9.3% -10.7%

EM Europe & MEA

GREK Greece -2.01% -8.94% 8.17% 29.85% -14.88% -9.70%

EPOL Poland 2.04% 4.76% 14.27% 48.90% 1.86% 3.59%

RSX Russia -2.24% 8.90% 4.36% 19.20% 2.84% -2.03% -0.3% 4.6% -11.0% 10.2% 4.6% 10.4%

TUR Turkey 0.02% -5.66% 7.81% 14.95% -5.95% -5.14% 3.8% -0.7% -8.1% -2.3% 3.5% -0.8%

QAT Qatar -3.69% -14.08% -17.63% -17.13% -13.16%

UAE UAE 2.10% 0.06% 7.33% 12.92% -3.77%

EGPT Egypt 7.86% 16.75% 13.79% -15.78% -21.13% -8.60%

EZA South Africa 1.97% -0.40% 3.30% 10.42% -1.47% 0.97% 6.3% -2.9% -6.9% -7.2% 0.3% -1.4%

FM Frontier Market 1.12% 8.20% 11.36% 29.25% 0.65% 7.53% 3.5% 3.8% 7.6% 19.0% 1.6% 28.8%

ARGT Argentina 0.63% 7.74% 11.58% 34.95% 15.51% 14.63%

NGE Nigeria -0.09% 2.42% 31.32% 17.93% -24.21%

PAK Pakistan -6.89% -16.02% -24.04% -9.05%

VNM Vietnam 7.44% 8.39% 14.10% 14.55% -6.42% 3.21% 0.3% -4.1% -4.9% -9.7% -4.5% 8.3%

BKF BRIC 2.63% 8.50% 19.96% 31.11% 7.36% 5.21% 6.5% 10.3% -13.1% 20.2% -15.2% -21.1%




30 November 2017

US ETF Compass

Figure 11: International Equity Risk and Risk-adjusted Performance Measure

1M 3M 6M 1Y 3Y 5Y 1Y 3Y 5Y 1Y 3Y 5Y

EFA Intl DM 4.9% 6.9% 7.5% 8.3% 15.2% 14.4% -2.8% -23.0% -23.1% 2.8 0.4 0.6

EWC Canada 7.0% 7.7% 9.9% 11.0% 17.3% 15.4% -7.3% -37.7% -41.4% 1.4 0.0 0.2

EIS Israel 10.8% 16.8% 14.2% 12.9% 14.1% 14.1% -15.5% -20.9% -20.9% 0.6 0.2 0.4

VGK Europe 6.0% 7.9% 9.0% 9.9% 17.0% 15.9% -3.4% -23.2% -24.9% 2.8 0.4 0.5

EDEN Denmark 9.8% 11.7% 12.1% 12.4% 16.5% 16.3% -8.9% -18.3% -18.3% 2.5 0.8 1.2

NORW Norway 11.0% 10.9% 13.2% 14.0% 23.6% 21.4% -8.2% -40.2% -50.9% 1.8 0.0 0.1

EWD Sweden 9.1% 9.7% 11.1% 12.2% 18.8% 18.3% -5.0% -23.4% -25.6% 2.6 0.3 0.5

EWL Switzerland 6.7% 7.4% 8.9% 9.4% 13.9% 13.3% -4.9% -21.4% -21.4% 2.3 0.3 0.7

EWU UK 6.7% 7.9% 8.4% 9.0% 18.0% 16.0% -3.6% -25.9% -29.3% 2.3 0.1 0.3

EZU Eurozone 6.2% 8.7% 10.2% 11.8% 18.6% 17.7% -5.1% -23.0% -27.1% 2.6 0.4 0.6

EWO Austria 8.5% 10.4% 12.2% 13.4% 18.7% 17.9% -4.1% -23.8% -32.6% 3.6 0.9 0.6

EWK Belgium 6.6% 8.0% 10.4% 11.2% 15.4% 15.2% -5.8% -13.5% -15.0% 2.0 0.8 0.9

EFNL Finland 16.2% 12.9% 13.2% 13.4% 18.2% 18.4% -5.2% -16.7% -19.2% 1.9 0.5 0.7

EWQ France 5.1% 8.0% 10.3% 12.4% 18.6% 17.8% -3.9% -20.7% -25.8% 2.7 0.5 0.6

EWG Germany 5.4% 9.5% 10.5% 11.5% 18.3% 17.4% -4.7% -24.0% -26.6% 2.6 0.5 0.6

EIRL Ireland 7.2% 8.5% 9.8% 10.9% 17.2% 17.0% -4.2% -19.5% -22.7% 2.8 0.8 1.0

EWI Italy 11.4% 10.8% 12.9% 16.8% 24.3% 23.7% -7.6% -34.7% -41.5% 2.4 0.2 0.3

EWN Netherlands 5.9% 7.8% 8.9% 10.4% 16.9% 16.0% -5.4% -19.6% -19.6% 3.1 0.7 0.8

PGAL Portugal 11.7% 9.8% 12.9% 13.7% 22.1% -7.8% -29.3% 2.4 0.1

EWP Spain 21.3% 16.6% 15.6% 16.2% 22.6% 22.1% -9.1% -35.2% -42.5% 1.7 0.0 0.3

EWJ Japan 7.1% 6.6% 7.0% 8.6% 16.0% 16.7% -3.7% -21.6% -21.6% 2.1 0.5 0.7

EPP Pacific ex JP 7.5% 9.1% 9.8% 10.5% 17.3% 16.2% -3.9% -28.0% -30.4% 1.8 0.2 0.3

EWA Australia 9.1% 10.6% 12.6% 12.9% 20.3% 18.8% -5.8% -30.5% -35.4% 1.4 0.1 0.2

EWH Hong Kong 9.3% 10.5% 9.5% 10.4% 17.0% 16.3% -9.9% -29.5% -29.5% 1.7 0.4 0.6

ENZL New Zealand 11.8% 11.1% 11.1% 12.7% 15.7% 15.5% -8.2% -22.9% -23.2% 0.9 0.6 0.7

EWS Singapore 6.9% 7.6% 9.0% 10.5% 15.8% 14.9% -6.5% -32.1% -32.5% 2.7 0.1 0.2

EEM EM 11.3% 11.9% 12.2% 14.0% 19.2% 18.4% -8.5% -34.4% -36.1% 1.9 0.3 0.2

ILF Latin America 17.5% 15.4% 23.0% 24.6% 27.9% 25.3% -15.4% -49.2% -56.8% 0.5 (0.0) (0.1)

EWZ Brazil 25.9% 20.9% 32.8% 32.5% 35.9% 32.0% -19.0% -58.9% -67.0% 0.3 (0.0) (0.1)

ECH Chile 10.8% 11.0% 12.0% 15.1% 18.2% 18.5% -10.1% -31.8% -54.3% 2.0 0.5 (0.1)

GXG Colombia 10.5% 11.9% 13.8% 16.6% 25.9% 22.1% -11.5% -60.9% -68.3% 0.3 (0.6) (0.6)

EWW Mexico 16.1% 13.9% 15.6% 21.9% 22.1% 20.7% -20.6% -36.1% -41.6% 0.0 (0.4) (0.2)

EPU Peru 12.8% 11.1% 11.4% 13.0% 20.7% 19.1% -10.9% -46.3% -60.6% 2.3 0.5 0.0

EEMA EM Asia 9.6% 14.4% 13.2% 13.1% 18.5% 17.4% -7.4% -31.5% -31.5% 2.5 0.5 0.5

FXI China H 18.4% 16.7% 15.0% 14.6% 23.9% 22.5% -8.1% -44.6% -44.6% 1.9 0.3 0.3

ASHR China A 12.9% 12.9% 12.8% 13.4% 36.5% -9.8% -50.2% 1.9 0.4

INDA India 10.1% 14.4% 13.3% 14.9% 19.3% 21.1% -11.0% -28.7% -29.6% 1.5 0.2 0.4

EIDO Indonesia 9.8% 12.1% 14.7% 17.0% 24.2% 26.4% -15.0% -40.6% -52.1% 0.2 0.0 (0.0)

EWM Malaysia 7.4% 8.4% 8.6% 12.3% 19.6% 17.8% -11.2% -36.5% -40.2% 0.5 (0.4) (0.2)

EPHE Philippines 13.7% 12.8% 14.1% 16.6% 19.6% 21.2% -14.5% -31.1% -31.8% 0.3 (0.0) 0.2

EWY South Korea 12.2% 15.7% 15.4% 16.0% 19.0% 18.2% -8.2% -29.0% -32.8% 2.3 0.5 0.4

EWT Taiwan 7.8% 11.7% 11.6% 13.5% 18.8% 17.6% -7.2% -31.3% -31.3% 1.8 0.5 0.6

THD Thailand 11.1% 10.3% 9.2% 11.3% 18.6% 21.1% -6.3% -32.7% -38.0% 2.4 0.3 0.3

EM Europe & MEA

GREK Greece 20.8% 24.0% 24.1% 25.4% 45.3% 42.6% -15.9% -66.7% -77.4% 1.2 (0.3) (0.2)

EPOL Poland 17.8% 18.0% 18.1% 19.5% 23.0% 22.9% -11.1% -40.2% -47.0% 2.5 0.1 0.2

RSX Russia 12.0% 12.6% 16.7% 19.6% 34.4% 31.0% -17.7% -40.1% -56.5% 1.0 0.1 (0.1)

TUR Turkey 27.0% 25.5% 22.9% 26.4% 30.2% 30.2% -19.7% -46.8% -57.9% 0.6 (0.2) (0.2)

QAT Qatar 11.9% 12.1% 20.2% 19.4% 21.2% -23.6% -38.0% (0.9) (0.6)

UAE UAE 7.7% 7.9% 12.6% 14.8% 23.7% -5.8% -39.1% 0.9 (0.2)

EGPT Egypt 17.2% 15.6% 16.7% 30.2% 29.2% 27.9% -35.4% -62.2% -65.3% (0.5) (0.7) (0.3)

EZA South Africa 17.8% 16.6% 20.2% 25.6% 31.0% 28.3% -15.0% -45.0% -45.0% 0.4 (0.0) 0.0

FM Frontier Market 7.0% 8.5% 8.7% 10.3% 13.8% 13.2% -4.5% -31.7% -36.6% 2.8 0.0 0.6

ARGT Argentina 12.4% 16.1% 17.4% 16.8% 21.5% 22.2% -10.9% -31.1% -34.0% 2.1 0.7 0.7

NGE Nigeria 18.7% 22.9% 30.6% 25.2% 31.7% -18.5% -69.8% 0.7 (0.8)

PAK Pakistan 22.1% 19.3% 22.9% 19.6% -29.0% (0.5)

VNM Vietnam 10.2% 11.3% 12.0% 13.4% 20.3% 22.2% -10.2% -37.3% -42.9% 1.1 (0.3) 0.1

BKF BRIC 14.1% 14.0% 14.0% 14.7% 20.9% 19.8% -8.1% -39.4% -39.4% 2.1 0.4 0.3

Ticker Asset ClassAnnualized Volatility Max Drawdown Sharpe (TR / Vol)

Source: Deutsche Bank FactSet. Note: Data as of the end of last month; Calculations based on total returns; Volatility based on daily total returns annualized using a 252 dayfactor; Sharpe ratio calculation assumes Risk free equal to zero. For Max DD and Sharpe calculation, green cells correspond to largest value, while red cells correspond to lowestvalues. For Volatility calculations, green cells are the least volatile (lowest values), while red cells are the most volatile (highest values). The ETFs mentioned in this figure areprovided as reference and have been selected as investable and representative vehicle for each asset class considering the product's asset class representation, liquidity, size,cost, and ease to borrow for tactical or risk hedging purpose; however, they should not be seen as the only or best alternative for each asset class as finding the right productwill depend on the specific investor's objective and intended usage. Please refer to "Product Type Definitions" on Appendix C for further details on product selection criteriadepending on product usage.


Pag

e 18

Deu

tsche B

ank S

ecurities In

c.

Cross Asset Correlations

Figure 12: 3-Year Cross Asset Class Correlations of Weekly Total Returns3Y - Cross Asset Class Correlation of Weekly Total Returns

Category Ticker ACWI VTI EFA EEM AGG GOVT TIP MUB MBB LQD HYG FLOT BKLN PFF CWB BWX WIP EMB EMLC EMCB DBC DBE DBA DBB DBP UUP FXY FXE

Global Equities ACWI 0.95 0.95 0.86 -0.17 -0.29 0.02 -0.17 -0.15 0.04 0.68 0.10 0.58 0.46 0.87 -0.04 0.22 0.56 0.54 0.45 0.40 0.38 0.32 0.40 -0.10 0.07 -0.34 -0.09

US Total Market VTI 0.95 0.82 0.74 -0.24 -0.36 -0.04 -0.25 -0.22 -0.02 0.66 0.10 0.56 0.41 0.88 -0.17 0.06 0.45 0.38 0.38 0.31 0.30 0.27 0.35 -0.20 0.19 -0.41 -0.20

Intl DM EFA 0.95 0.82 0.82 -0.12 -0.23 0.05 -0.11 -0.12 0.06 0.61 0.10 0.54 0.47 0.77 0.06 0.30 0.54 0.55 0.42 0.39 0.37 0.31 0.38 -0.06 -0.05 -0.28 0.03

EM EEM 0.86 0.74 0.82 0.01 -0.10 0.19 -0.03 0.06 0.18 0.65 0.11 0.52 0.42 0.75 0.14 0.39 0.69 0.74 0.54 0.46 0.38 0.33 0.43 0.11 -0.04 -0.13 -0.01

US Agg Bond IG AGG -0.17 -0.24 -0.12 0.01 0.96 0.84 0.79 0.89 0.90 -0.01 -0.07 -0.08 0.21 -0.14 0.67 0.57 0.37 0.32 0.15 -0.13 -0.18 -0.14 -0.10 0.52 -0.32 0.58 0.24

US Treasury GOVT -0.29 -0.36 -0.23 -0.10 0.96 0.80 0.79 0.86 0.82 -0.17 -0.11 -0.23 0.12 -0.27 0.66 0.53 0.28 0.24 0.08 -0.22 -0.27 -0.18 -0.16 0.54 -0.33 0.60 0.26

US Inflation TIP 0.02 -0.04 0.05 0.19 0.84 0.80 0.65 0.79 0.80 0.13 -0.04 0.04 0.22 0.02 0.64 0.62 0.44 0.44 0.25 0.07 0.02 -0.06 0.10 0.50 -0.32 0.47 0.25

Municipal MUB -0.17 -0.25 -0.11 -0.03 0.79 0.79 0.65 0.73 0.68 -0.10 -0.14 -0.19 0.16 -0.15 0.54 0.50 0.29 0.28 0.02 -0.18 -0.23 -0.12 -0.13 0.46 -0.25 0.53 0.19

MBS MBB -0.15 -0.22 -0.12 0.06 0.89 0.86 0.79 0.73 0.75 -0.04 -0.13 -0.13 0.19 -0.13 0.62 0.55 0.32 0.32 0.14 -0.11 -0.15 -0.18 -0.09 0.50 -0.30 0.55 0.22

IG Corporates LQD 0.04 -0.02 0.06 0.18 0.90 0.82 0.80 0.68 0.75 0.26 -0.05 0.17 0.37 0.10 0.57 0.55 0.52 0.41 0.28 -0.01 -0.04 -0.05 -0.06 0.42 -0.23 0.46 0.16

HY Corporates HYG 0.68 0.66 0.61 0.65 -0.01 -0.17 0.13 -0.10 -0.04 0.26 0.12 0.77 0.53 0.72 0.00 0.21 0.71 0.57 0.57 0.51 0.51 0.25 0.32 0.04 0.09 -0.17 -0.11

Floater FLOT 0.10 0.10 0.10 0.11 -0.07 -0.11 -0.04 -0.14 -0.13 -0.05 0.12 0.17 -0.08 0.04 0.06 0.06 0.03 0.10 0.18 0.15 0.12 0.16 0.08 0.05 -0.10 0.03 0.07

Senior Loans BKLN 0.58 0.56 0.54 0.52 -0.08 -0.23 0.04 -0.19 -0.13 0.17 0.77 0.17 0.43 0.60 -0.06 0.12 0.49 0.41 0.47 0.44 0.43 0.24 0.28 -0.02 0.11 -0.21 -0.13

Preferred PFF 0.46 0.41 0.47 0.42 0.21 0.12 0.22 0.16 0.19 0.37 0.53 -0.08 0.43 0.53 0.09 0.26 0.53 0.38 0.37 0.20 0.19 0.20 0.18 0.02 0.05 -0.06 -0.09

Convertible CWB 0.87 0.88 0.77 0.75 -0.14 -0.27 0.02 -0.15 -0.13 0.10 0.72 0.04 0.60 0.53 -0.12 0.12 0.56 0.44 0.43 0.31 0.30 0.23 0.33 -0.16 0.17 -0.32 -0.18

Intl DM Debt BWX -0.04 -0.17 0.06 0.14 0.67 0.66 0.64 0.54 0.62 0.57 0.00 0.06 -0.06 0.09 -0.12 0.85 0.33 0.53 0.18 0.13 0.04 0.11 0.13 0.64 -0.86 0.74 0.78

Intl Inflation WIP 0.22 0.06 0.30 0.39 0.57 0.53 0.62 0.50 0.55 0.55 0.21 0.06 0.12 0.26 0.12 0.85 0.51 0.72 0.33 0.26 0.19 0.14 0.20 0.58 -0.73 0.52 0.65

EM Gov Debt USD EMB 0.56 0.45 0.54 0.69 0.37 0.28 0.44 0.29 0.32 0.52 0.71 0.03 0.49 0.53 0.56 0.33 0.51 0.76 0.69 0.34 0.32 0.18 0.15 0.28 -0.09 0.13 0.03

EM Gov Debt Local EMLC 0.54 0.38 0.55 0.74 0.32 0.24 0.44 0.28 0.32 0.41 0.57 0.10 0.41 0.38 0.44 0.53 0.72 0.76 0.57 0.42 0.33 0.30 0.29 0.42 -0.38 0.24 0.33

EM Corp USD EMCB 0.45 0.38 0.42 0.54 0.15 0.08 0.25 0.02 0.14 0.28 0.57 0.18 0.47 0.37 0.43 0.18 0.33 0.69 0.57 0.35 0.36 0.18 0.11 0.05 -0.02 0.03 -0.03

Commodities DBC 0.40 0.31 0.39 0.46 -0.13 -0.22 0.07 -0.18 -0.11 -0.01 0.51 0.15 0.44 0.20 0.31 0.13 0.26 0.34 0.42 0.35 0.95 0.49 0.48 0.14 -0.19 -0.04 0.14

Energy Cmdty DBE 0.38 0.30 0.37 0.38 -0.18 -0.27 0.02 -0.23 -0.15 -0.04 0.51 0.12 0.43 0.19 0.30 0.04 0.19 0.32 0.33 0.36 0.95 0.30 0.34 -0.01 -0.10 -0.10 0.06

Agriculture DBA 0.32 0.27 0.31 0.33 -0.14 -0.18 -0.06 -0.12 -0.18 -0.05 0.25 0.16 0.24 0.20 0.23 0.11 0.14 0.18 0.30 0.18 0.49 0.30 0.25 0.07 -0.24 -0.03 0.23

Industrial Metals DBB 0.40 0.35 0.38 0.43 -0.10 -0.16 0.10 -0.13 -0.09 -0.06 0.32 0.08 0.28 0.18 0.33 0.13 0.20 0.15 0.29 0.11 0.48 0.34 0.25 0.12 -0.18 -0.09 0.18

Precious Metals DBP -0.10 -0.20 -0.06 0.11 0.52 0.54 0.50 0.46 0.50 0.42 0.04 0.05 -0.02 0.02 -0.16 0.64 0.58 0.28 0.42 0.05 0.14 -0.01 0.07 0.12 -0.49 0.60 0.38

Bull USD UUP 0.07 0.19 -0.05 -0.04 -0.32 -0.33 -0.32 -0.25 -0.30 -0.23 0.09 -0.10 0.11 0.05 0.17 -0.86 -0.73 -0.09 -0.38 -0.02 -0.19 -0.10 -0.24 -0.18 -0.49 -0.57 -0.97

JPYUSD FXY -0.34 -0.41 -0.28 -0.13 0.58 0.60 0.47 0.53 0.55 0.46 -0.17 0.03 -0.21 -0.06 -0.32 0.74 0.52 0.13 0.24 0.03 -0.04 -0.10 -0.03 -0.09 0.60 -0.57 0.45

EURUSD FXE -0.09 -0.20 0.03 -0.01 0.24 0.26 0.25 0.19 0.22 0.16 -0.11 0.07 -0.13 -0.09 -0.18 0.78 0.65 0.03 0.33 -0.03 0.14 0.06 0.23 0.18 0.38 -0.97 0.45

Source: Deutsche Bank, FactSet. Data as of the end of last month. Green cells denote highest correlations, while red cells denote lowest correlations.

Figure 13: 26W Rolling Correlation for selected asset class pairs (5Y)

-1

-0.8

-0.6

-0.4

-0.2

0

0.2

0.4

0.6

0.8

1

Apr-11 Apr-12 Apr-13 Apr-14 Apr-15 Apr-16 Apr-17

Global Equities - 26W Rolling Correlation

US Agg Bond IG Commodities Real Estate Bull USD Gold

0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

0.9

1


US Equities - 26W Rolling Correlation

DM Intl EM Japan Pacific ex JP Europe

-1

-0.8

-0.6

-0.4

-0.2

0

0.2

0.4

0.6

0.8

1


US Fixed Income - 26W Rolling Correlation

US Treasury IG Corp HY Corp Sr Loans

Source: Deutsche Bank, FactSet. Correlations based on weekly total returns of US-listed ETFs: Global Equities (ACWI), US Agg Bond IG (AGG), Commodities (DBC), Real Estate (VNQ) and Gold (GLD). US Equity (VTI), DM Intl (EFA), EM (EEM), Japan (EWJ), Pacific ex JP(EPP), and Europe (VGK). US Fixed Income (AGG), US Treasury (GOVT), IG Corp (LQD), HY Corp (HYG), and Sr Loans (BKLN).

30

Novem

ber 2

01

7

US

ETF C

om

pass

30 November 2017

US ETF Compass

12-Month Relative Performance Monitor4

Figure 14: Selected relative performance pairs

0.60

0.80

1.00

1.20

1.40

1.60

1.80

2.00

Oct-

16

No

v-1

6

Dec-1

6

Jan

-17

Feb

-17

Mar-

17

Ap

r-1

7

May-1

7

Ju

n-1

7

Ju

l-17

Au

g-1

7

Sep

-17

Oct-

17

US Equity Sectors

Healthcare/Energy

Technology/Industrials

Financials/Real Estate

Financials/Utilities

0.90

0.95

1.00

1.05

1.10

1.15

1.20

Oct-

16

No

v-1

6

Dec-1

6

Jan

-17

Feb

-17

Mar-

17

Ap

r-1

7

May-1

7

Ju

n-1

7

Ju

l-17

Au

g-1

7

Sep

-17

Oct-

17

Global Equities

US Total Market/Intl DM

US Total Market/EM

0.80

0.85

0.90

0.95

1.00

1.05

Oct-

16

No

v-1

6

Dec-1

6

Jan

-17

Feb

-17

Mar-

17

Ap

r-1

7

May-1

7

Ju

n-1

7

Ju

l-17

Au

g-1

7

Sep

-17

Oct-

17

Intl DM Equities

Eurozone/Europe

Japan/Pacific ex JP

0.80

0.85

0.90

0.95

1.00

1.05

1.10

1.15

Oct-

16

No

v-1

6

Dec-1

6

Jan

-17

Feb

-17

Mar-

17

Ap

r-1

7

May-1

7

Ju

n-1

7

Ju

l-17

Au

g-1

7

Sep

-17

Oct-

17

US Equity Size and Style

S&P 500/Russell 2000 (SM Cap)

Russell 1000 Growth/Russell 1000 Value

0.60

0.70

0.80

0.90

1.00

1.10

1.20

1.30

Oct-

16

No

v-1

6

Dec-1

6

Jan

-17

Feb

-17

Mar-

17

Ap

r-1

7

May-1

7

Ju

n-1

7

Ju

l-17

Au

g-1

7

Sep

-17

Oct-

17

EM Equities

EM Asia/Latin America

China H/China A

0.70

0.80

0.90

1.00

1.10

1.20

1.30

Oct-

16

No

v-1

6

Dec-1

6

Jan

-17

Feb

-17

Mar-

17

Ap

r-1

7

May-1

7

Ju

n-1

7

Ju

l-17

Au

g-1

7

Sep

-17

Oct-

17

Cross Asset Class

Global Equities/Fixed Income (Broad)

Global Equities/Commodities

0.90

0.95

1.00

1.05

1.10

1.15

Oct-

16

No

v-1

6

Dec-1

6

Jan

-17

Feb

-17

Mar-

17

Ap

r-1

7

May-1

7

Ju

n-1

7

Ju

l-17

Au

g-1

7

Sep

-17

Oct-

17

Fixed Income Credit

HY Corporates/US Treasury

HY Corporates/IG Corporates

0.50

0.60

0.70

0.80

0.90

1.00

1.10

1.20

Oct-

16

No

v-1

6

Dec-1

6

Jan

-17

Feb

-17

Mar-

17

Ap

r-1

7

May-1

7

Ju

n-1

7

Ju

l-17

Au

g-1

7

Sep

-17

Oct-

17

Precious Metals

Gold/Silver

Gold/Platinum

Gold/Palladium0.90

0.95

1.00

1.05

1.10

1.15

1.20

1.25

1.30

Oct-

16

No

v-1

6

Dec-1

6

Jan

-17

Feb

-17

Mar-

17

Ap

r-1

7

May-1

7

Ju

n-1

7

Ju

l-17

Au

g-1

7

Sep

-17

Oct-

17

Fixed Income duration and EM debt

UST Short/UST Long

EM Gov Debt USD/EM Gov Debt Local

Source: Deutsche Bank, FactSet

4 Performance for each asset class is based on the ETFs mentioned in the heatmaps presented earlierin this section. Total return data is as of the end of last month


30 November 2017

US ETF Compass

Business IntelligenceNew Listings

There were thirty new ETFs during the previous month; eighteen were listedin the NYSE Arca, eight in the BAST; while, the remaining funds were listedin the NASDAQ. The new funds offer low volatility exposure to broad US,small-cap US, Intl ex-US, EM, EM HY equities; thematic exposure to US iconicbrands, US large-cap align to biblical values, US companies that benefit fromDemocratic policies, Republican policies, and Tax Reform, respectively; exposureto US mega-cap, US large-cap focused on Value and Momentum, respectively;exposure to Global large-cap, US large-cap, EM technology sector, Chineseenvironment-friendly companies, US large-cap that may hold positions on T-bills,US large-cap stocks focused on ESG, Global IG and HY bonds with a varietymaturities, US HY corporate bonds with broad maturities, and US investment-grade debt with medium maturities, to US IG ESG-focused bonds with broadmaturities; actively managed exposure to Global stocks, US equity securitiesusing artificial intelligence, US Municipal IG bonds with broad- and medium-maturity, respectively; US IG debt with short- and intermediate-term, respectively.

Figure 15: Products listed during last month

Ticker NameAsset Class &

StructureListing Date TER

AUM

$MM

NUBD NuShares ESG US Aggregate Bond ETF Fixed Income ETF 2-Oct-17 0.20% 40

LFEQ VanEck Vectors NDR CMG Long/Flat Allocation ETF Equity ETF 5-Oct-17 0.59% 5

CHGX Change Finance Diversified Impact US Large Cap Fossil Fuel Free ETF Equity ETF 10-Oct-17 0.75% 3

SCHK Schwab 1000 Index ETF Equity ETF 11-Oct-17 0.05% 104

USMC Principal US Mega-Cap Multi-Factor Index ETF Equity ETF 12-Oct-17 0.12% 252

KEMQ KraneShares Emerging Markets Consumer Technology Index ETF Equity ETF 12-Oct-17 0.79% 2

VGFO Virtus WMC Global Factor Opportunities ETF Equity ETF 12-Oct-17 0.49% 5

DIAL Columbia Diversified Fixed Income Allocation ETF Fixed Income ETF 12-Oct-17 0.28% 30

KGRN KraneShares MSCI China Environment Index ETF Equity ETF 13-Oct-17 0.79% 4

DEMS Democratic Policies Fund Equity ETF 17-Oct-17 0.75% 2

GOP Republican Policies Fund Equity ETF 17-Oct-17 0.75% 2

TAXR US Tax Reform Fund Equity ETF 17-Oct-17 0.85% 2

BRGL Bernstein Global Research Fund Equity ETF 17-Oct-17 0.65% 3

BERN Bernstein US Research Fund Equity ETF 17-Oct-17 0.50% 3

LOGO Global X Iconic US Brands ETF Equity ETF 18-Oct-17 0.48% 2

AIEQ AI Powered Equity ETF Equity ETF 18-Oct-17 0.75% 73

MMIN IQ Mackay Shields Municipal Insured ETF Fixed Income ETF 18-Oct-17 0.30% 15

MMIT IQ Mackay Shields Municipal Intermediate ETF Fixed Income ETF 18-Oct-17 0.30% 30

PVAL Principal Contrarian Value Index ETF Equity ETF 19-Oct-17 0.29% 4

PMOM Principal Sustainable Momentum Index ETF Equity ETF 19-Oct-17 0.29% 4

CEY VictoryShares Emerging Market High Dividend Volatility WTD Index ETF Equity ETF 26-Oct-17 0.50% 2

USHY iShares Broad USD High Yield Corporate Bond ETF Fixed Income ETF 26-Oct-17 0.22% 50

USVM USAA MSCI USA Small Cap Value Momentum Blend Index ETF Equity ETF 26-Oct-17 0.25% 5

USTB USAA Core Short-Term Bond ETF Fixed Income ETF 26-Oct-17 0.35% 25

ULVM USAA MSCI USA Value Momentum Blend Index ETF Equity ETF 26-Oct-17 0.20% 33

UIVM USAA MSCI International Value Momentum Blend Index ETF Equity ETF 26-Oct-17 0.35% 10

UITB USAA Core Intermediate-Term Bond ETF Fixed Income ETF 26-Oct-17 0.40% 25

UEVM USAA MSCI Emerging Markets Value Momentum Blend Index ETF Equity ETF 26-Oct-17 0.45% 10

GUDB Sage ESG Intermediate Credit ETF Fixed Income ETF 31-Oct-17 0.35% 10

BIBL Inspire 100 ETF Equity ETF 31-Oct-17 0.35% 4

Source: Deutsche Bank, Bloomberg Finance LP.


30 November 2017

US ETF Compass

Equity■ USAA made its debut in the ETF Market listing six new funds during

October. Four of them are designed to provide exposure to broadUS (ULVM), small-cap US (USVM), international markets excludingUS (UIVM), and emerging markets (UEVM); focusing on value andmomentum selected-factors and finally weighted by volatility. ULVMtracks the MSCI USA Select Value Momentum Blend Index and comeswith an annual expense ratio of 0.20%; USVM tracks the MSCI USASmall Cap Select Value Momentum Blend Index with an expense ratioof 0.25%; while, UIVM tracks the MSCI World ex USA Select ValueMomentum Blend Index and comes with a total expense ratio of0.35%. Finally, UEVM tracks the MSCI Emerging Markets Select ValueMomentum Blend Index with a TER of 0.45%.

■ Active Weighting Advisors debuts in the ETF Market launching threenew Political-related ETFs. The first two funds are designed to provideactively managed exposure to a portfolio of US companies that expectedto benefit from policies support by Democratic Party (DEMS) andRepublican Party (GOP), respectively. Meanwhile, the third fund (TAXR)offers exposure to US companies that are positively impacted by thereform of the U.S. Tax Code system. DEMS and GOP come with anannual expense ratio of 0.75%; while, TAXR comes with an expense ratioof 0.85%.

■ Nothern Lights debuts listing one new thematic ETF (BIBL) offeringmarket-cap weighted exposure to 100 US large-cap stocks that alignwith the index provider’s definition of biblical values and positive impacton the world. BIBL tracks the Inspire 100 Index and comes with an annualexpense ratio of 0.35%.

■ Change Finance debuts during October listing one new equity ETF(CHGX). The fund offers exposure to 100 US large-cap stocks that meetenvironmental, social, and governance standards. The ESG-focused ETFtracks the Change Finance Diversified Impact U.S. Large Cap Fossil FuelFree Index and comes with an annual expense ratio of 0.75%.

■ Principal Financial Group listed three new ETFs during October. The firstfund (USMC) offers exposure to the largest US large-cap companies. Thetiered-weighted ETF tracks the Nasdaq U.S. Mega Cap Select LeadersIndex and comes with an annual expense ratio of 0.12%. The remainingtwo funds offer exposure to US equity securities focused on sustainableprice momentum (PMOM) and value (PVAL) factors, respectively. PMOMtracks the Nasdaq US Sustainable Momentum Index and PVAL tracksthe Nasdaq US Contrarian Value Index; both ETFs come with an annualexpense ratio 0.29%.

■ KraneShares launched two new ETFs last month. The first one (KEMQ)offers exposure to emerging-market technology sector. The maintechnology-businesses included are: internet retail, internet software/services, purchase, payment processing, or software for internet and E-Commerce transactions. KEMQ tracks the Solactive Emerging MarketsConsumer Technology Index. Meanwhile, the second fund (KGRN)offers exposure to Chinese companies that derive at least 50% oftheir revenues from environmentally beneficial products and services,including: alternative energy, sustainable water, green building, pollutionprevention and energy efficiency sectors, respectively. KGRN tracks the


30 November 2017

US ETF Compass

MSCI China IMI Environment 10/40 Index. Both ETFs come with anannual expense ratio of 0.79%.

■ Exchange Traded Concepts listed two new ETFs during October. Thefunds offer exposure to global (BRGL) and US (BERN) large-cap equities,respectively. The securities are selected and ranked by a varietyof fundamental and technical factors, including: valuation, earnings,quality, profitability, and growth dynamics. BRGL tracks the BernsteinGlobal Research Index and comes with an annual expense ratio of 0.65%;while, BERN tracks the Bernstein U.S. Research Index and comes withan expense ratio of 0.50%.

■ VanEck Vectors listed one new smart beta ETF (LFEQ) during lastmonth. LFEQ offers exposure to a strategy that use technical signals todetermine the allocation between the S&P 500 and Treasury bills. Thefunds tracks the Ned Davis Research CMG US Large Cap Long/Flat Indexwhich may hold one of four equity positions: 100%, 80%, 40%, and 0%.LFEQ comes with an annual expense ratio of 0.59%.

■ Charles Schwab listed one new ETF (SCHK), which offers exposure to1000 of the largest US large-cap equity stocks; tracking the Schwab1000 Index, comes with an annual expense ratio of 0.05%.

■ Virtus Investment listed one new actively managed ETF (VGFO) whichoffers exposure to a portfolio of global equity securities. VGFO seeksto outperform the global equity market; while, applies active riskmanagement. It comes with an annual expense ratio of 0.49%.

■ Global X Funds listed one new ETF (LOGO) offering thematic exposureto 100 US companies with significant brand loyalty and consumerrecognition. LOGO tracks the Accuvest Iconic U.S. Brands Index andcomes with an annual expense ratio of 0.48%.

■ ETFMG listed one new ETF (AIEQ) during October. AIEQ offers activelymanaged exposure to a portfolio of 30 to 70 US equity stocks selectedby a quantitative model that incorporates artificial intelligence (“AI”). TheAI-ETF comes with an annual expense ratio of 0.75%.

■ Victory Capital Management listed one new ETF (CEY) which offers low-volatility exposure to 100 emerging market equity securities focusedon high dividend yield. CEY tracks the CEMP Emerging Market HighDividend 100 Volatility Weighted Index and comes with an annualexpense ratio of 0.50%.

Fixed Income■ IndexIQ Advisors listed two new fixed income ETFs during last month.

The funds offers actively managed exposure to US municipal investmentgrade bonds with broad-maturities (MMIN) and intermediate maturity(MMIT), respectively. Both funds come with an annual expense ratio of0.30%.

■ USAA listed two new fixed income ETFs during October. The newproducts offer actively managed exposure to a portfolio of USinvestment-grade debt with short-term (USTB) and intermediate-term(UITB), respectively. USTB comes with an annual expense ratio of 0.35%;while, UITB with an expense ratio of 0.40%, respectively.


30 November 2017

US ETF Compass

■ Nuveen listed one new ETF (NUBD) offering exposure to US investment-grade bonds with broad maturities. NUBD holds debt that satisfyenvironmental, social, and governance (“ESG”) criteria. The ESG-focusedETF tracks the Bloomberg Barclays MSCI US Aggregate ESG SelectIndex and comes with an annual expense ratio of 0.20%.

■ Columbia Management listed one new ETF (DIAL) which offersexposure to global investment-grade and high-yield bonds with a varietymaturities. DIAL tracks the Beta Advantage Multi-Sector Bond Index,which allocates fixed weights to each of the six sectors: 30% to US high-yield corporate bonds, 20% to emerging-markets sovereign debt, 15%to US investment-grade corporate bonds, 15% to US mortgage-backedsecurities, 10% to US Treasuries, and 10% to global sovereign bonds ex-US. The fund comes with an annual expense ratio of 0.28%.

■ BlackRock listed one new ETF (USHY) which offers exposure to US high-yield corporate bonds with broad maturities. The USD-denominatedETF tracks the market-cap weighted BofA Merrill Lynch U.S. High YieldConstrained Index and comes with an annual expense ratio of 0.22%.

■ Sage listed one new ETF (GUDB) offering exposure to US investment-grade debt with intermediate maturities. GUDB tracks the SageESG Intermediate Credit Index composed by bonds that satisfyenvironmental, social, and governance (“ESG”) criteria. The new ESG-focused fund comes with an annual expense ratio of 0.35%.


30 November 2017

US ETF Compass

Delistings

Figure 16: Delisted products during last month

Ticker NameAsset Class &

Structure

Delisting

dateTER

AUM at

Delisting $MM

KWT VanEck Vectors Solar Energy ETF Equity ETF 2-Oct-17 0.65% 15

BRAZ Global X Brazil Mid Cap ETF Equity ETF 9-Oct-17 0.69% 5

BRAQ Global X Brazil Consumer ETF Equity ETF 9-Oct-17 0.77% 7

AND Global X FTSE Andean 40 ETF Equity ETF 9-Oct-17 0.72% 6

PERM Global X Permanent ETF Multi Asset ETF 9-Oct-17 0.49% 8

MLPJ Global X Junior MLP ETF Equity ETF 9-Oct-17 0.88% 8

THHY VanEck Vectors Treasury-Hedged High Yield Bond ETF Fixed Income ETF 2-Oct-17 0.50% 5

GYEN AdvisorShares Gartman Gold/Yen ETF Commodity ETF 16-Oct-17 0.65% 14

GEUR AdvisorShares Gartman Gold/Euro ETF Commodity ETF 16-Oct-17 0.65% 13

GURI Global X Guru International Index ETF Equity ETF 9-Oct-17 0.75% 2

TOFR Stock Split Index Fund Equity ETF 13-Oct-17 0.55% 3

ACTX Global X Guru Activist Index ETF Equity ETF 9-Oct-17 0.75% 2

BMLA BullMark LatAm Select Leaders ETF Equity ETF 16-Oct-17 0.70% 3

ITML VanEck Vectors AMT-Free 12-17 Year Intermediate Municipal Index ETFFixed Income ETF 2-Oct-17 0.24% 5

ITMS VanEck Vectors AMT-Free 6-8 Year Municipal Index ETF Fixed Income ETF 2-Oct-17 0.24% 4

MENU USCF Restaurant Leaders Fund Equity ETF 13-Oct-17 0.65% 2



30 November 2017

US ETF Compass

Trends in products launched in the last 12 months

Figure 17: Main trends among those products launched in the last 12 months

Net Cash

Flows

12M $MM

AUM

Oct '17 $MM

New Funds

last 12MAsset Class Focus

Net Cash

Flows

12M $MM

AUM

Oct '17

$MM

New

Funds

last 12M

Total (All) 8,214 8,508 228 Top 5 by Geographic Focus (Equities)

By Asset Class US - US 2,620 2,756 94

Equity 5,310 5,575 150 DM - Global ex US (reg) 1,046 1,072 11

Fixed Income 2,431 2,444 52 DM - Global (reg) 472 505 3

Commodities 156 160 12 Global - Global (reg) 453 491 12

Currency - - - EM - China 85 90 2

Multi Asset 266 274 12 Top 5 by Category (Fixed Income)

Alternative 51 55 2 Corporates 869 877 16

By Management Strategy Broad 723 726 13

Beta 2,045 2,068 40 US Treasury 452 454 1

Beta+ 163 176 15 Preferred 74 74 3

Smart Beta 3,627 3,775 115 Municipal 67 67 5

Active 2,380 2,489 58

Source: Deutsche Bank, Bloomberg Finance LP

Figure 18: Top 20 products by net cash flow raised in thelast 12 months

Figure 19: Top 20 Issuers by inflows to productslaunched in the last 12 months

Ticker Name TER

Net CF

12M

$MM

IDEV iShares Core MSCI International Developed Markets ETF 0.07% 705

CLTL PowerShares Treasury Collateral Portfolio ETF 0.08% 452 GDVD Principal Active Global Dividend Income ETF 0.58% 425

DMRL Deltashares S&P 500 Managed Risk ETF 0.35% 388

HYLB Xtrackers USD High Yield Corporate Bond ETF 0.20% 279

USMC Principal US Mega-Cap Multi-Factor Index ETF 0.12% 252

CSML IQ Chaikin US Small Cap ETF 0.35% 244 DMRI Deltashares S&P International Managed Risk ETF 0.50% 230 SECT Main Sector Rotation ETF 0.88% 196

UWT VelocityShares 3x Long Crude Oil ETN 1.50% 186

GIGB Goldman Sachs Access Investment Grade Corporate Bond 0.14% 175 DWT VelocityShares 3x Inverse Crude Oil ETN 1.50% 173

FLEU Barclays ETN+ FI Enhanced Europe 50 ETN Series B 0.76% 159

VNLA Janus Henderson Short Duration Income ETF 0.35% 156 FFTI FormulaFolios Tactica Income ETF 1.00% 135 DMRM Deltashares S&P 400 Managed Risk ETF 0.45% 121 RBIN Nationwide Risk-Based International Equity ETF 0.42% 119

CCOR Cambria Core Equity ETF 1.05% 118 JPGB JPMorgan Global Bond Opportunities ETF 0.55% 111 RBUS Nationwide Risk-Based US Equity ETF 0.30% 111

Top 20 IssuersNet Cash Flows

12M $MM

AUM

Oct '17 $MM

New Funds

last 12M

BlackRock 944 953 16

Transamerica 793 829 4

Principal Financial 714 743 5

PowerShares 573 579 16

IndexIQ Advisors 395 416 4

Goldman Sachs 304 316 5

Deutsche AM 279 282 1

JPMorgan 244 251 3

Davis Advisors 243 269 3

Nuveen 221 229 10

Blue Sky Asset Management 204 214 5

First Trust 204 209 13

Janus Henderson 199 204 2

FormulaFolio Inv. 175 178 2

Virtus Investment 149 151 5

DirexionShares 146 159 9

Cambria Funds 134 134 2

Franklin Templeton 130 138 6

Charles Schwab 103 104 1

ClearBrook Global Advisors 101 105 1

Source: Deutsche Bank, Bloomberg Finance LP. Includes ETNs Source: Deutsche Bank, Bloomberg Finance LP


30 November 2017

US ETF Compass

Popular Product Segments: Smart Beta & CurrencyHedged

Figure 20: Summary statistics for Smart Beta Equity ETFs

Smart Beta

(Equities)

Oct '17

$MM

YTD

$MM

Oct '17

$MM

MoM

Chg %

Mkt

Shr

Oct '17

$MM

MoM

Chg %

Mkt

Shr

Oct '17

All

Mkt

Shr

YTD

New

Dividend 1,539 8,107 14,982 18% 16% 167,605 2% 25% 125 18% 6

Equal 978 5,338 33,907 1% 36% 50,472 3% 7% 83 12% 10

ESG (319) 164 305 20% 0% 4,277 5% 1% 34 5% 7

Fundamental 572 5,949 3,146 15% 3% 31,824 4% 5% 61 9% 9

Low Risk 69 4,265 5,573 26% 6% 49,331 2% 7% 68 10% 16

Multi-factor 1,183 4,808 4,287 30% 5% 41,141 5% 6% 178 26% 22

Single-factor 724 2,059 2,569 26% 3% 18,349 7% 3% 50 7% 3

Style 3,452 21,234 28,650 14% 31% 316,664 3% 47% 67 10% -

Other 24 400 90 -19% 0% 1,222 3% 0% 15 2% 2

Total 8,221 52,325 93,510 11% 100% 680,898 3% 100% 682 100% 75

Net Cash Flows Turnover AUM # of Funds


Figure 21: Summary statistics for Currency-Hedged Equity ETFs

Currency Hedged

(Equities)

Oct '17

$MM

YTD

$MM

Oct '17

$MM

MoM

Chg %

Mkt

Shr

Oct '17

$MM

MoM

Chg %

Mkt

Shr

Oct '17

All

Mkt

Shr

YTD

New

Multiple 5 457 2,453 -4% 26% 19,102 3% 46% 43 52% -

AUD - (6) 0 -16% 0% 1 4% 0% 1 1% -

BRL - - 1 244% 0% 5 0% 0% 1 1% -

CAD - 1 0 -77% 0% 4 3% 0% 1 1% -

CHF (1) 1 0 34% 0% 6 -19% 0% 1 1% -

CNY - 1 0 87% 0% 5 4% 0% 2 2% -

EUR (130) (1,410) 2,375 44% 25% 10,309 1% 25% 13 16% -

GBP (4) (63) 6 36% 0% 33 -8% 0% 3 4% -

JPY 335 (649) 4,595 7% 49% 12,226 8% 29% 14 17% -

KRW - (32) 3 -59% 0% 24 6% 0% 2 2% -

MXN - (1) 0 -13% 0% 5 -3% 0% 2 2% -

Total 204 (1,701) 9,435 11% 100% 41,720 4% 100% 83 100% -

Net Cash Flows Turnover AUM # of Funds


Figure 22: Top 10 Issuers in Equity Smart Beta Figure 23: Top 10 Issuers in Equity Currency hedged

Top 10 Issuers

(Equity Smart Beta)

AUM

Oct '17

$MM

Net Cash

Flows

12M $MM

# of Funds

Oct '17

BlackRock 266,903 21,980 81

Vanguard 155,863 19,376 22

State Street 47,995 5,706 53

WisdomTree 44,408 567 58

PowerShares 38,904 246 89

First Trust 34,488 1,901 84

Charles Schwab 27,422 8,204 9

Guggenheim Inv. 23,204 2,532 31

FlexShares 6,442 1,242 16

Goldman Sachs 5,050 1,910 8

Top 10 Issuers

(Equity Currency Hedged)

AUM

Oct '17

$MM

Net Cash

Flows

12M $MM

# of Funds

Oct '17

WisdomTree 19,802 (1,601) 20

Deutsche AM 11,613 (2,419) 20

BlackRock 8,918 1,896 25

First Trust 674 533 4

IndexIQ Advisors 533 252 3

JPMorgan 79 17 2

FlexShares 60 14 2

O'Shares Investments 21 (1) 2

Franklin Templeton 10 (15) 1

PowerShares 9 (157) 3

Source: Deutsche Bank, Bloomberg Finance LP Source: Deutsche Bank, Bloomberg Finance LP


30 November 2017

US ETF Compass

Average Performance by Products Type and Size (Equity)

1 Month Comparisons

Figure 24: US Equity ETFs - 1 Month Total Returns Figure 25: US Equity ETFs - # of Funds in 1M sample

BetaSmart

BetaActive All

Large Cap 2.6% 1.9% 2.0% 2.0%

Mid Cap 1.9% 1.9% 1.9%

Small Cap 1.1% 0.9% -0.2% 0.9%

Broad 2.3% 1.9% 2.4% 2.0%

All 2.1% 1.7% 2.1% 1.8%

US Equity, Broad sector,

non levered, 1M Total

Return by

Product Type

Siz

e

BetaSmart

BetaActive All

Large Cap 19 102 10 131

Mid Cap 7 33 - 40

Small Cap 12 53 2 67

Broad 12 77 15 104

All 50 265 27 342


non levered, # of funds by

Product Type

Siz

e

Source: Deutsche Bank, FactSet. Total Return corresponds to last month. Source: Deutsche Bank.

Figure 26: DM Equity ETFs - 1 Month Total Returns Figure 27: DM Equity ETFs - # of Funds in 1M sample

BetaSmart

BetaActive All

Large Cap 1.0% 1.2% 1.2%

Mid Cap 1.8% 1.8%

Small Cap 1.9% 1.6% 1.7%

Broad 1.8% 1.3% 2.1% 1.5%

All 1.7% 1.4% 2.1% 1.5%

DM Equity, Broad sector,

regional, non levered, 1M

Total Return by

Product Type

Siz

e

BetaSmart

BetaActive All

Large Cap 5 9 - 14

Mid Cap - 2 - 2

Small Cap 8 7 - 15

Broad 26 78 6 110

All 39 96 6 141


regional, non levered, # of

funds by

Product Type

Siz

e


Figure 28: EM Equity ETFs - 1 Month Total Returns Figure 29: EM Equity ETFs - # of Funds in 1M sample

BetaSmart

BetaActive All

Large Cap 1.7% 1.5% 1.6%

Mid Cap

Small Cap 3.0% 1.3% 2.2%

Broad 1.9% 1.0% 2.8% 1.4%

All 2.0% 1.1% 2.8% 1.4%

EM Equity, Broad sector,

regional, non levered, 1M

Total Return by

Product Type

Siz

e

BetaSmart

BetaActive All

Large Cap 2 3 - 5

Mid Cap - - - -

Small Cap 2 2 - 4

Broad 20 38 1 59

All 24 43 1 68



funds by

Product Type

Siz

e



30 November 2017

US ETF Compass

1 Year Comparisons

Figure 30: US Equity ETFs - 1 Year Total Returns Figure 31: US Equity ETFs - # of Funds in 1Y sample

BetaSmart

BetaActive All

Large Cap 24.3% 22.2% 20.2% 22.4%

Mid Cap 22.2% 22.3% 22.3%

Small Cap 27.4% 26.3% 23.3% 26.4%

Broad 24.8% 21.5% 26.0% 22.5%

All 24.8% 22.7% 23.9% 23.2%

Product Type

Siz

e


non levered, 1Y Total

Return byBeta

Smart

BetaActive All

Large Cap 19 87 7 113

Mid Cap 7 30 - 37

Small Cap 11 42 2 55

Broad 10 69 13 92

All 47 228 22 297


non levered, # of funds by

Product Type

Siz

e


Figure 32: DM Equity ETFs - 1 Year Total Returns Figure 33: DM Equity ETFs - # of Funds in 1Y sample

BetaSmart

BetaActive All

Large Cap 25.8% 22.7% 23.9%

Mid Cap 25.7% 25.7%

Small Cap 28.3% 29.3% 28.8%

Broad 24.3% 22.0% 23.7% 22.6%

All 25.3% 22.7% 23.5%


regional, non levered, 1Y

Total Return by

Product Type

Siz

e

BetaSmart

BetaActive All

Large Cap 5 8 - 13

Mid Cap - 2 - 2

Small Cap 8 7 - 15

Broad 25 70 5 100

All 38 87 5 130



funds by

Product Type

Siz

e


Figure 34: EM Equity ETFs - 1 Year Total Returns Figure 35: EM Equity ETFs - # of Funds in 1Y sample

BetaSmart

BetaActive All

Large Cap 22.2% 16.3% 18.6%

Mid Cap

Small Cap 20.5% 28.9% 24.7%

Broad 23.8% 19.0% 26.4% 20.8%

All 23.4% 19.3% 26.4% 20.9%


regional, non levered, 1Y

Total Return by

Product Type

Siz

e

BetaSmart

BetaActive All

Large Cap 2 3 - 5

Mid Cap - - - -

Small Cap 2 2 - 4

Broad 19 35 1 55

All 23 40 1 64



funds by

Product Type

Siz

e



30 November 2017

US ETF Compass

Total Expense Ratio X-Ray

Figure 36: Average TER analysis by asset class and management style

TER By Beta Beta+ Smart Beta Active All Beta Beta+ Smart Beta Active All

Equity 0.44% 1.01% 0.46% 0.86% 0.53% 0.19% 1.01% 0.26% 0.90% 0.22%

Fixed Income 0.26% 0.90% 0.28% 0.55% 0.36% 0.19% 0.93% 0.28% 0.53% 0.22%

Commodity 0.89% 1.77% 0.82% 0.55% 1.00% 0.43% 1.89% 0.88% 0.60% 0.49%

Currency 0.47% 1.01% 0.80% 0.49% 0.64% 0.54% 1.01% 0.80% 0.50% 0.62%

Multi Asset 0.80% 1.24% 0.92% 0.96% 0.64% 0.98% 0.86% 0.71%

Alternative 2.62% 1.88% 1.11% 0.98% 1.46% 3.63% 1.26% 0.68% 0.89% 1.27%

All 0.45% 1.06% 0.47% 0.72% 0.55% 0.20% 1.04% 0.27% 0.60% 0.23%

Simple Average AUM-Weighted Average

Source: Source: Deutsche Bank, Bloomberg Finance LP.

Figure 37: Selected TER averages for the top 15 Issuers by AUM

BetaSmart

BetaBeta Active Beta

Smart

BetaBeta Active

BlackRock 1,296,925 0.46% 0.29% 0.23% 0.30% 0.35% 0.26% 0.23% 0.20% 0.25% 0.24%

Vanguard 813,727 0.10% 0.14% 0.09% 0.11% 0.08% 0.07% 0.07% 0.08%

State Street 576,698 0.26% 0.28% 0.25% 0.51% 0.30% 0.13% 0.32% 0.29% 0.61% 0.18%

PowerShares 136,749 0.37% 0.51% 0.35% 0.30% 0.51% 0.22% 0.43% 0.52% 0.38%

Charles Schwab 91,482 0.07% 0.21% 0.05% 0.12% 0.05% 0.16% 0.05% 0.00% 0.09%

First Trust 54,038 0.60% 0.67% 0.82% 0.73% 0.55% 0.66% 0.78% 0.68%

WisdomTree 46,087 0.42% 0.46% 0.15% 0.57% 0.44% 0.35% 0.50% 0.15% 0.50%

Guggenheim Inv. 38,269 0.62% 0.43% 0.39% 0.44% 0.56% 0.28% 0.28% 0.32%

VanEck Vectors 33,547 0.60% 0.54% 0.42% 0.70% 0.52% 0.50% 0.37% 0.00% 0.52%

ProShares 29,132 0.31% 0.45% 0.40% 0.96% 0.42% 0.36% 0.43% 0.88%

FlexShares 15,285 0.47% 0.43% 0.19% 0.30% 0.38% 0.46% 0.39% 0.18% 0.38%

PIMCO 14,645 0.39% 0.24% 0.45% 0.34% 0.35% 0.41% 0.39%

ALPS 13,825 0.82% 0.59% 0.41% 0.59% 1.40% 0.45% 0.22% 1.13%

Deutsche AM 12,894 0.49% 0.39% 0.26% 0.43% 0.26% 0.40%

DirexionShares 12,014 0.99% 1.02% 0.00% 0.76% 0.00% 0.00% 1.08%

AllEquity Fixed IncomeAUM Oct

'17 $MMTop 15 Issuers

Equity Fixed IncomeAll

Simple Average AUM-Weighted Average



30 November 2017

US ETF Compass

ETF StatisticsGlobal ETF Assets and Provider Ranking

Figure 38: Historical Growth of Global ETP Asset*

2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017**

Asia Pacific ($) 62 53 67 84 91 136 170 207 284 314 418

Europe ($) 132 145 244 309 297 368 416 459 506 570 759

US ($) 612 537 783 997 1,046 1,333 1,678 1,979 2,113 2,533 3,248

US, Europe & Asia Pacific ($) 805 734 1,094 1,390 1,435 1,838 2,263 2,645 2,904 3,417 4,424

Europe (€) 90 103 170 231 229 279 302 379 466 541 651

Number of ETPs* 1,213 1,666 2,040 2,580 3,123 3,491 3,709 4,021 4,454 4,737 5,069

0

1,000

2,000

3,000

4,000

5,000

6,000

0

500

1,000

1,500

2,000

2,500

3,000

3,500

4,000

4,500

Nu

mb

er

of

ET

Ps

AU

M $

billio

n

Source: Deutsche Bank, Bloomberg Finance LP. *These figures don't include the ETF markets in the Americas ex US and in the Middle East and Africa regions. data as of the end of last month.

Figure 39: Top 10 Global ETP Provider Ranking and Summary Statics

IssuerCurrent

AUM

Mkt.

Share2016 AUM

2016 Mkt.

Share

Current

Month CF

Current

Month TOYTD CF

BlackRock 1,656,901 37.5% 1,262,390 36.9% 701 22,024 450,320 213,528

Vanguard 852,380 19.3% 639,873 18.7% 114 13,701 79,858 122,936

State Street 622,980 14.1% 538,567 15.8% 249 5,653 545,037 15,866

PowerShares 166,317 3.8% 133,811 3.9% 255 3,046 94,149 11,423

Nomura Asset Management 115,431 2.6% 79,904 2.3% 51 -1,196 26,102 19,369

Deutsche AM 92,524 2.1% 72,155 2.1% 233 1,979 8,825 7,376

Charles Schwab 91,482 2.1% 59,750 1.7% 22 2,100 6,895 22,141

Lyxor 74,413 1.7% 53,664 1.6% 228 795 9,866 10,671

First Trust 54,567 1.2% 41,230 1.2% 141 1,046 6,391 7,373

Nikko Asset Management 52,075 1.2% 35,341 1.0% 29 -3,343 563 9,248

Total Top 10 3,779,070 85.4% 2,916,686 85.3% 2,023 45,806 1,228,007 439,930

Others 644,887 14.6% 500,638 14.7% 3,046 9,226 314,252 74,356

Global Total 4,423,957 100.0% 3,417,324 100.0% 5,069 55,033 1,542,259 514,286

Source: Deutsche Bank, Bloomberg Finance LP, FactSet. data as of the end of last month.


30 November 2017

US ETF Compass

US Historical ETF Trends

Figure 40: Annual ETP historical growth in AUM and # offunds

Figure 41: Monthly ETF Volume $ growth vs. VIX andETF Volume

-

200

400

600

800

1,000

1,200

1,400

1,600

1,800

2,000

- 200 400 600 800

1,000 1,200 1,400 1,600 1,800 2,000 2,200 2,400 2,600 2,800 3,000 3,200 3,400

2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017*

Nu

mb

er

of

ET

Ps

AU

M $

billio

n

Others

Fixed Income

Equity

# Funds

0%

10%

20%

30%

40%

50%

60%

70%

-

500

1,000

1,500

2,000

2,500

3,000

3,500

Jan

-05

Au

g-0

5

Mar-

06

Oct-

06

May-0

7

Dec-0

7

Ju

l-08

Feb

-09

Sep

-09

Ap

r-1

0

No

v-1

0

Ju

n-1

1

Jan

-12

Au

g-1

2

Mar-

13

Oct-

13

May-1

4

Dec-1

4

Ju

l-15

Feb

-16

Sep

-16

Ap

r-1

7

ET

F t

rad

ing

as %

of

all U

S C

ash

E

qu

ity t

rad

ing

an

d V

IX L

evel (

en

d o

f m

on

th)

Mo

nth

ly E

TF T

urn

over

$b

illio

n

ETF Turnover ETF % Cash Eqty VIX

Source: Deutsche Bank, Bloomberg Finance LP. ETPs include ETFs and ETVs; ETVs represent about 2%of ETP assets and track mostly non-Equity and non-Fixed Income exposures. *YTD data as of the end oflast month.

Source: Deutsche Bank, Bloomberg Finance LP. ETF Turnover excludes ETVs and ETNs. Data as of theend of last month.

Figure 42: Net Cash Flows and AUM historicalcomparison between Mutual Funds and ETFs*

Figure 43: Net Cash Flows and AUM historicalcomparison between Active and Passive mgmt style*

0%

5%

10%

15%

20%

25%

-300,000

-200,000

-100,000

0

100,000

200,000

300,000

400,000

500,000

ET

F A

UM

as %

of

Mu

tual Fu

nd

AU

M

Net

Cash

Flo

ws $

millio

n

MF CF ETF CF ETF/MF % AUM

0%

10%

20%

30%

40%

50%

60%

-500,000

-400,000

-300,000

-200,000

-100,000

0

100,000

200,000

300,000

400,000

500,000

600,000

Passiv

e A

UM

as %

of

Acti

ve A

UM

Net

Cash

Flo

ws $

millio

n

Active MF+ETF Passive MF+ETF

Passive / Active %

Source: Deutsche Bank, ICI, Bloomberg Finance LP. *Data as of the end of Jul 2017. Mutual Funds onlyinclude Long Term Mutual Funds.

Source: Deutsche Bank, ICI, Bloomberg Finance LP. *Data as of the end of Jul 2017. Mutual Funds onlyinclude Long Term Mutual Funds.


30 November 2017

US ETF Compass

ETF Issuer and Index Provider league tables

Figure 44: ETP Issuer league table (excludes ETN assets)

Top 50 Issuers TotalMkt

Shr EquityFixed

IncomeCmdty Other

Oct '17

$MM

YTD

$MMOct '17

$MM

Mkt

Shr Oct '17YTD

New

BlackRock 1,296,925 39.9% 991,967 284,969 16,471 3,518 19,187 177,918 418,914 32.1% 347 14

Vanguard 813,727 25.1% 670,333 143,394 - - 13,246 117,760 76,837 5.9% 70 0

State Street 576,698 17.8% 491,260 50,254 34,750 434 5,508 12,118 539,896 41.3% 131 1

PowerShares 136,749 4.2% 101,674 28,616 4,589 1,870 3,043 8,333 91,961 7.0% 158 15

Charles Schwab 91,482 2.8% 81,168 10,314 - - 2,100 22,141 6,895 0.5% 22 1

First Trust 54,038 1.7% 44,281 8,070 182 1,506 1,033 7,132 6,322 0.5% 126 13

WisdomTree 46,087 1.4% 44,563 608 160 755 639 509 8,622 0.7% 87 3

Guggenheim Inv. 38,269 1.2% 26,327 10,385 - 1,557 533 3,367 5,425 0.4% 79 3

VanEck Vectors 33,547 1.0% 21,919 11,311 134 182 1,336 2,296 40,010 3.1% 57 2

ProShares 29,132 0.9% 21,247 3,741 1,289 2,856 (727) 2,104 55,262 4.2% 132 3

FlexShares 15,285 0.5% 12,078 3,207 - - 179 2,377 636 0.0% 25 0

PIMCO 14,645 0.5% 74 14,571 - - 242 1,869 2,458 0.2% 15 3

ALPS 13,825 0.4% 13,434 390 - - 109 2,168 2,860 0.2% 20 1

Deutsche AM 12,894 0.4% 12,515 379 - - (48) (2,063) 2,214 0.2% 35 0

DirexionShares 12,014 0.4% 11,487 515 12 - 436 587 33,868 2.6% 75 10

Fidelity Investments 8,009 0.2% 7,501 508 - - 261 1,987 1,264 0.1% 21 0

Global X Funds 7,404 0.2% 7,139 243 - 22 715 3,213 2,650 0.2% 52 4

Goldman Sachs 6,049 0.2% 5,050 999 - - 12 2,638 412 0.0% 11 4

ETC 4,427 0.1% 3,530 568 - 329 181 1,692 751 0.1% 21 4

US Commodity Funds 3,589 0.1% - - 3,589 - (80) (704) 4,810 0.4% 13 2

IndexIQ Advisors 3,191 0.1% 1,143 542 - 1,506 182 796 325 0.0% 23 4

ETF Securities 2,603 0.1% - - 2,603 - 48 242 302 0.0% 8 3

JPMorgan 2,457 0.1% 2,061 242 - 154 154 1,074 289 0.0% 13 2

OppenheimerFunds 2,268 0.1% 2,268 - - - (16) 583 230 0.0% 10 3

Victory Capital Mgt. 2,002 0.1% 2,002 - - - 97 925 224 0.0% 14 3

ETFMG 1,620 0.0% 1,591 29 - - 109 559 434 0.0% 11 1

Principal Financial 1,472 0.0% 1,151 30 - 291 375 858 121 0.0% 11 5

KraneShares 1,413 0.0% 1,401 12 - - 25 932 702 0.1% 8 3

Pacer Advisors 1,397 0.0% 1,397 - - - 168 516 164 0.0% 8 2

Columbia Mgmt 1,289 0.0% 1,259 30 - - 19 130 120 0.0% 11 1

AdvisorShares Trust 1,117 0.0% 562 541 - 14 (8) 10 154 0.0% 16 1

Millington Securities 998 0.0% 544 - - 454 (10) (97) 53 0.0% 12 0

John Hancock Inv. 986 0.0% 986 - - - 67 218 109 0.0% 12 0

Virtus Investment 921 0.0% 609 313 - - 25 423 351 0.0% 11 4

Transamerica 829 0.0% 829 - - - - 793 1 0.0% 4 4

Franklin Templeton 784 0.0% 594 189 - - 3 175 37 0.0% 13 6

Cambria Funds 645 0.0% 502 12 - 131 12 259 54 0.0% 10 2

Highland Capital 629 0.0% - 629 - - 40 160 63 0.0% 1 0

O'Shares Investments 593 0.0% 593 - - - (5) 125 62 0.0% 7 1

Legg Mason 561 0.0% 561 - - - 51 409 60 0.0% 10 4

ARK Inv. Mgmt 512 0.0% 512 - - - 79 362 210 0.0% 5 0

Nationwide 342 0.0% 342 - - - 1 339 1 0.0% 3 3

Janus Henderson 328 0.0% 172 156 - - 16 171 49 0.0% 9 0

Hartford Funds 321 0.0% 266 56 - - 14 190 26 0.0% 10 5

Nuveen 290 0.0% 159 131 - - 110 195 130 0.0% 11 4

Empowered Funds 283 0.0% 238 - - 44 10 112 18 0.0% 5 1

Davis Advisors 269 0.0% 269 - - - 41 243 44 0.0% 3 3

Horizons Management 238 0.0% 238 - - - 6 78 24 0.0% 3 0

Blue Sky Asset Management 214 0.0% 122 - - 92 15 204 5 0.0% 5 5

Main Management 206 0.0% 206 - - - 22 196 35 0.0% 1 1Other 2,095 0.1% 1,322 297 181 295 298 1,156 581 0.0% 79 36

Total 3,247,669 100% 2,591,448 576,252 63,959 16,010 49,851 379,774 1,307,045 100% 1,844 190

Assets Under Management Oct '17 $MM Net Cash Flows Turnover # of Funds

Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month.


30 November 2017

US ETF Compass

Figure 45: Index Provider league table (excludes ETN assets)Turnover

Top 20 Index Providers TotalMkt

Shr EquityFixed

IncomeCmdty Other

Oct '17

$MM

YTD

$MMOct '17

$MM

Mkt

Shr Oct '17YTD

New

S&P Dow Jones 1,106,308 34.1% 1,055,405 43,560 2,140 5,203 14,461 82,471 635,392 48.6% 341 18

MSCI 494,358 15.2% 494,358 - - - 7,720 77,655 176,353 13.5% 258 17

FTSE Russell 490,814 15.1% 489,542 1,253 - 20 9,432 56,913 139,484 10.7% 137 7

Barclays 334,384 10.3% - 334,384 - - 7,443 65,062 41,955 3.2% 100 -

CRSP 241,332 7.4% 241,332 - - - 2,241 21,617 16,300 1.2% 13 -

Nasdaq OMX 123,986 3.8% 122,920 222 - 845 2,627 9,391 108,572 8.3% 106 16

Markit iBoxx 66,391 2.0% - 66,391 - - 1,101 13,660 31,234 2.4% 15 2

Commodity - Physical 55,738 1.7% - - 55,738 - (465) 2,211 26,985 2.1% 23 3

WisdomTree 44,676 1.4% 44,563 20 - 92 637 442 8,419 0.6% 70 2

Active 42,822 1.3% 6,996 32,449 1,177 2,201 1,978 12,690 6,988 0.5% 192 56

ICE 41,932 1.3% - 41,932 - - (1,513) 7,618 30,327 2.3% 7 1

Morningstar 26,294 0.8% 25,288 652 - 354 358 3,393 1,818 0.1% 26 -

NYSE Euronext 23,718 0.7% 23,212 506 - - 779 (4,535) 28,646 2.2% 39 -

JPMorgan 16,608 0.5% - 16,598 - 10 243 5,292 5,374 0.4% 8 1

BofA Merrill Lynch 14,722 0.5% 161 14,523 - 37 323 2,011 2,188 0.2% 27 5

Market Vectors 13,388 0.4% 12,956 250 - 182 461 1,753 25,927 2.0% 29 -

Deutsche Bank 9,958 0.3% - 5,255 3,978 726 (15) 354 2,787 0.2% 15 -

Alerian 9,781 0.3% 9,781 - - - 115 1,559 2,519 0.2% 2 -

Accretive AM 9,182 0.3% - 9,182 - - 104 1,970 816 0.1% 18 -

Other 81,275 2.5% 64,935 9,075 925 6,341 1,822 18,247 14,961 44.4% 418 62

Total 3,247,669 100% 2,591,448 576,252 63,959 16,010 49,851 379,774 1,307,045 100% 1,844 190

Assets Under Management Oct '17 $MM Net Cash Flows # of Funds



30 November 2017

US ETF Compass

Monthly Snapshot

Figure 46: ETP Summary Statistics by Asset Class

Asset ClassOct '17

$MM

YTD

$MMOct '17

$MM

MoM

Chg %

Mkt

ShrOct '17 $MM

MoM

Chg %

Mkt

ShrOct '17

All

Mkt

Shr

YTD

New

Equity 40,171 262,313 1,123,651 3% 86% 2,591,448 4% 80% 1,344 73% 117

Fixed Income 10,144 114,211 126,167 5% 10% 576,252 2% 18% 331 18% 47

Commodities (553) 1,650 31,166 -15% 2% 63,959 -1% 2% 62 3% 12

Currency 57 (502) 2,609 -9% 0% 2,615 2% 0% 22 1% -

Multi Asset 106 577 628 14% 0% 8,114 2% 0% 46 2% 12

Alternative (74) 1,526 22,830 -2% 2% 5,280 -2% 0% 39 2% 2

Total 49,851 379,774 1,307,051 3% 100% 3,247,669 3.1% 100% 1,844 100% 190

# of FundsAUMTurnover Net Cash Flows


Figure 47: ETP Summary Statistics by Management Style (Active-Passive)

Passive-->ActiveOct '17

$MM

YTD

$MMOct '17

$MM

MoM

Chg %

Mkt

ShrOct '17 $MM

MoM

Chg %

Mkt

ShrOct '17

All

Mkt

Shr

YTD

New

Beta 39,483 308,879 1,115,551 2% 85% 2,463,359 3% 76% 663 36% 28

Beta+ (374) 1,766 87,897 -2% 7% 35,072 0% 1% 182 10% 14

Smart Beta 8,773 56,648 96,666 11% 7% 706,757 3% 22% 811 44% 94

Active 1,969 12,481 6,937 21% 1% 42,481 5% 1% 188 10% 54

Total 49,851 379,774 1,307,051 3% 100% 3,247,669 3.1% 100% 1,844 100% 190

# of FundsTurnover AUMNet Cash Flows


Figure 48: ETP Summary Statistics by Product Type

Product TypeOct '17

$MM

YTD

$MMOct '17

$MM

MoM

Chg %

Mkt

ShrOct '17 $MM

MoM

Chg %

Mkt

ShrOct '17

All

Mkt

Shr

YTD

New

Asset Allocation 24,044 196,185 156,915 14% 12% 1,172,810 4% 36% 1,558 84% 176

Cash Management 17,022 171,724 210,433 10% 16% 1,282,480 3% 39% 64 3% -

Pseudo Futures 9,158 10,100 851,809 0% 65% 757,312 3% 23% 41 2% -

Leveraged & Inverse (374) 1,765 87,894 -2% 7% 35,068 0% 1% 181 10% 14

Total 49,851 379,774 1,307,051 3% 100% 3,247,669 3.1% 100% 1,844 100% 190

# of FundsTurnover AUMNet Cash Flows



30 November 2017

US ETF Compass

Equity Breakdowns

Figure 49: ETP Summary Statistics by Geographic Focus – Global and Developed Market Equities

Geographic Focus

(Equities)

Oct '17

$MM

YTD

$MMOct '17

$MM

MoM

Chg %

Mkt

ShrOct '17 $MM

MoM

Chg %

Mkt

ShrOct '17

All

Mkt

Shr

YTD

New

Global Markets Equities

Global (reg) 1,541 6,461 47,568 -15% 4% 59,311 3% 2% 128 10% 10

Global ex US (reg) 1,682 12,744 4,835 10% 0% 56,519 5% 2% 29 2% 2

Asia Pacific (reg) 2 (0) 1 -67% 0% 24 12% 0% 1 0% -

Asia Pacific ex JP (reg) 103 1,012 1,997 54% 0% 5,130 7% 0% 7 1% -

Total GME 3,328 20,218 54,400 -12% 5% 120,984 4% 5% 165 12% 12

Developed Market Equities

Global (reg) 782 4,323 2,520 21% 0% 18,229 6% 1% 40 3% 2

Global ex US (reg) 5,654 58,986 39,206 -1% 3% 272,240 4% 11% 90 7% 8

Global ex JP (reg) (10) (26) 11 -50% 0% 165 -4% 0% 1 0% -

Europe & Middle East

Europe (reg) (405) 8,682 6,088 15% 1% 31,800 -1% 1% 31 2% -

Denmark 7 1 25 5% 0% 75 11% 0% 1 0% -

Norway 24 22 101 273% 0% 198 13% 0% 2 0% -

Sweden - 126 191 42% 0% 478 0% 0% 1 0% -

Switzerland 32 155 532 10% 0% 1,472 1% 0% 3 0% -

UK (19) 304 1,216 -14% 0% 2,758 0% 0% 7 1% -

Eurozone (Reg) 171 5,442 10,043 16% 1% 30,362 2% 1% 15 1% 1

Austria 19 133 64 36% 0% 265 10% 0% 1 0% -

Belgium 5 (27) 16 38% 0% 73 8% 0% 1 0% -

Finland - 3 10 160% 0% 45 -2% 0% 1 0% -

France 31 270 440 34% 0% 677 6% 0% 1 0% -

Germany (15) 15 1,995 -14% 0% 5,942 2% 0% 8 1% -

Ireland - (4) 17 117% 0% 72 1% 0% 1 0% -

Israel 3 11 23 -2% 0% 162 2% 0% 3 0% -

Italy (107) 53 868 107% 0% 779 -13% 0% 3 0% -

Netherlands - (12) 122 26% 0% 205 1% 0% 1 0% -

Portugal 3 33 12 14% 0% 64 5% 0% 1 0% -

Spain (576) 123 2,883 383% 0% 979 -38% 0% 2 0% -

North America

North America (reg) 114 643 290 28% 0% 3,050 3% 0% 4 0% -

Canada 36 (674) 1,160 -27% 0% 3,194 1% 0% 6 0% -

US 25,379 125,275 857,930 3% 76% 1,834,463 3% 71% 715 53% 69

Asia Pacific

Pacific (reg) (211) 1,012 987 80% 0% 6,023 1% 0% 6 0% -

Japan 1,007 (1,172) 14,221 31% 1% 30,795 8% 1% 27 2% -

Pacific ex JP (reg) 28 568 462 4% 0% 3,167 2% 0% 2 0% -

Australia 40 (130) 938 8% 0% 1,846 4% 0% 5 0% -

Hong Kong - (190) 1,866 20% 0% 1,863 0% 0% 2 0% -

New Zealand (2) 33 28 4% 0% 164 -5% 0% 1 0% -

Singapore - (42) 326 64% 0% 603 5% 0% 1 0% -

Total DME 31,988 203,938 944,590 4% 84% 2,252,211 3% 87% 983 73% 80

Total Equities 40,171 262,313 1,123,651 3% 100% 2,591,448 4% 100% 1,344 100% 117

# of FundsNet Cash Flows Turnover AUM



30 November 2017

US ETF Compass

Figure 50: ETP Summary Statistics by Geographic Focus – Emerging Market Equities

Geographic Focus

(Equities)

Oct '17

$MM

YTD

$MMOct '17

$MM

MoM

Chg %

Mkt

ShrOct '17 $MM

MoM

Chg %

Mkt

ShrOct '17

All

Mkt

Shr

YTD

New

Emerging Market Equities

Global (reg) 4,050 33,960 68,689 2% 6% 168,537 5% 7% 67 5% 4

BRIC (reg) 24 81 52 31% 0% 395 9% 0% 2 0% -

Asia

Asia (reg) 37 479 108 -7% 0% 1,364 7% 0% 4 0% -

China 81 516 16,127 16% 1% 9,963 4% 0% 28 2% 1

China A 37 403 650 3% 0% 1,285 7% 0% 12 1% -

India 1 823 3,963 16% 0% 9,498 7% 0% 10 1% -

Indonesia (18) (87) 306 25% 0% 539 -3% 0% 2 0% -

Malaysia 7 160 274 -1% 0% 446 1% 0% 1 0% -

Philippines - 12 164 35% 0% 176 0% 0% 1 0% -

South Korea 0 53 3,735 2% 0% 4,093 8% 0% 6 0% -

Taiwan 26 343 2,136 -11% 0% 3,887 6% 0% 2 0% -

Thailand 9 (34) 333 25% 0% 411 6% 0% 1 0% -

Europe

Europe (reg) - (40) - 0% 0% - 0% 0% - 0% -

Poland (12) 55 135 -2% 0% 374 -1% 0% 2 0% -

Russia (16) (464) 2,807 -15% 0% 2,938 -2% 0% 5 0% -

Turkey 14 (34) 405 67% 0% 390 4% 0% 1 0% -

Greece - 31 78 -43% 0% 350 -1% 0% 1 0% -

Middle East & Africa

ME & Africa (reg) - (32) - 0% 0% - 0% 0% - 0% -

Middle East (reg) - (4) 1 1% 0% 16 -1% 0% 1 0% -

Africa (reg) - (3) 4 -3% 0% 74 0% 0% 1 0% -

Egypt 3 15 13 130% 0% 66 13% 0% 1 0% -

South Africa 24 (35) 611 50% 0% 409 8% 0% 1 0% -

Qatar 9 17 12 106% 0% 55 16% 0% 1 0% -

UAE (5) (2) 3 -56% 0% 45 -9% 0% 1 0% -

Latin America

Latin America (reg) 327 410 1,430 80% 0% 1,689 19% 0% 4 0% -

Brazil 100 1,632 17,766 12% 2% 7,225 -3% 0% 8 1% -

Chile 41 55 317 1% 0% 585 13% 0% 1 0% -

Colombia 2 7 30 -10% 0% 114 -6% 0% 2 0% -

Mexico (35) (875) 4,089 69% 0% 1,152 -11% 0% 4 0% 1

Peru 23 (36) 72 161% 0% 217 19% 0% 1 0% -

Frontier Markets

Frontier (reg) 2 45 99 17% 0% 738 1% 0% 3 0% -

Argentina 39 88 70 98% 0% 213 24% 0% 2 0% 1

Nigeria - 21 6 12% 0% 65 2% 0% 1 0% -

Pakistan 4 52 19 2% 0% 54 1% 0% 1 0% -

Saudi Arabia - 12 6 78% 0% 18 -4% 0% 1 0% -

Vietnam 1 (3) 47 65% 0% 314 7% 0% 1 0% -

Total EME 4,773 37,620 124,558 7% 11% 217,694 5% 8% 180 13% 7

Total Equities 40,171 262,313 1,123,651 3% 100% 2,591,448 4% 100% 1,344 100% 117




30 November 2017

US ETF Compass

Figure 51: ETP Summary Statistics by Size and Market – Equities

Market Cap Segment

(Equities)

Oct '17

$MM

YTD

$MM

Oct '17

$MM

MoM

Chg %

Mkt

ShrOct '17 $MM

MoM

Chg %

Mkt

Shr

Oct '17

All

Mkt

Shr

YTD

New

US Equities

Large Cap 14,416 60,252 636,567 2% 57% 946,035 4% 37% 204 15% 30

Mid Cap 1,530 9,164 16,057 12% 1% 160,574 3% 6% 49 4% 3

Small Cap 4,902 14,814 93,699 7% 8% 173,242 4% 7% 91 7% 10

Broad 4,531 41,045 111,607 5% 10% 554,611 2% 21% 371 28% 26

Total US Equities 25,379 125,275 857,930 3% 76% 1,834,463 3% 71% 715 53% 69

DM Intl Equities

Large Cap (78) 2,856 2,034 -12% 0% 10,804 1% 0% 25 2% 3

Mid Cap 13 68 38 25% 0% 459 5% 0% 2 0% -

Small Cap 468 3,806 1,887 21% 0% 18,423 4% 1% 22 2% -

Broad 6,228 72,145 82,711 12% 7% 388,282 3% 15% 225 17% 14

Total DM Intl Equities 6,631 78,875 86,670 11% 8% 417,968 3% 16% 274 20% 17

EM Equities

Large Cap 108 881 13,478 23% 1% 7,218 6% 0% 15 1% -

Mid Cap (5) (5) 0 -83% 0% - -100% 0% - 0% -

Small Cap 131 690 649 -10% 0% 3,549 7% 0% 13 1% -

Broad 4,555 36,094 110,470 6% 10% 206,966 5% 8% 157 12% 12

Total EM Equities 4,788 37,660 124,597 7% 11% 217,734 5% 8% 185 14% 12

Total Equities 40,171 262,313 1,123,651 3% 100% 2,591,448 4% 100% 1,344 100% 117



Figure 52: ETP Summary Statistics by Style and Market – Equities

Style

(Equities)

Oct '17

$MM

YTD

$MMOct '17

$MM

MoM

Chg %

Mkt

ShrOct '17 $MM

MoM

Chg %

Mkt

ShrOct '17

All

Mkt

Shr

YTD

New

US Equities

Growth 1,082 8,490 13,557 18% 1% 155,260 4% 6% 42 3% 2

Value 2,374 11,764 14,947 11% 1% 157,150 3% 6% 47 3% 3

Dividend 649 4,901 7,656 13% 1% 129,257 2% 5% 59 4% 6

Blend 21,274 100,120 821,770 3% 73% 1,392,797 4% 54% 567 42% 58


DM Intl Equities

Growth 63 302 195 31% 0% 3,315 4% 0% 1 0% -

Value 44 902 373 -6% 0% 5,970 1% 0% 1 0% -

Dividend 613 1,973 6,767 27% 1% 34,745 4% 1% 49 4% 2

Blend 5,918 75,768 79,341 10% 7% 374,013 3% 14% 224 17% 18

Total DM Intl Equities 6,637 78,945 86,677 11% 8% 418,043 3% 16% 275 20% 20

EM Equities

Dividend 169 810 532 -9% 0% 4,559 5% 0% 15 1% 1

Blend 4,619 36,851 124,066 7% 11% 213,175 5% 8% 170 13% 11

Total EM Equities 4,788 37,660 124,597 7% 11% 217,734 5% 8% 185 14% 12

Total Equities 40,171 262,313 1,123,651 3% 100% 2,591,448 4% 100% 1,344 100% 117




30 November 2017

US ETF Compass

Figure 53: ETP Summary Statistics by Sectors – US Equities

Sector

(US Equities)

Oct '17

$MM

YTD

$MMOct '17

$MM

MoM

Chg %

Mkt

ShrOct '17 $MM

MoM

Chg %

Mkt

ShrOct '17

All

Mkt

Shr

YTD

New

Consumer Discretionary 140 (929) 15,417 7% 2% 19,760 3% 1% 22 3% -

Consumer Staples (1,000) (846) 14,148 7% 2% 13,405 -8% 1% 16 2% -

Energy 317 2,634 31,441 -13% 4% 39,297 -1% 2% 33 5% 1

Financials 1,208 6,509 43,134 -1% 5% 58,930 5% 3% 36 5% -

Healthcare (389) 3,060 30,644 14% 4% 50,369 -3% 3% 34 5% -

Industrials 1,915 3,472 17,172 21% 2% 27,146 9% 1% 21 3% 3

Materials 680 225 7,811 9% 1% 9,410 11% 1% 14 2% -

Real Estate (346) 1,542 17,538 -6% 2% 52,009 -1% 3% 22 3% -

Technology 857 4,285 22,724 1% 3% 60,190 9% 3% 35 5% -

Telecom 1 (132) 511 -11% 0% 1,879 -2% 0% 5 1% -

Utilities (762) (209) 14,972 6% 2% 12,983 -2% 1% 12 2% 1

Theme (188) 323 886 -3% 0% 10,253 4% 1% 68 10% 15

Overall 22,948 105,330 641,525 4% 75% 1,478,808 4% 81% 396 55% 49




Commodity Breakdowns

Figure 54: ETP Summary Statistics by Sectors and Sub Sectors– Commodity

Sector

(Commodities)

Oct '17

$MM

YTD

$MMOct '17

$MM

MoM

Chg %

Mkt

ShrOct '17 $MM

MoM

Chg %

Mkt

ShrOct '17

Mkt

Shr

YTD

New

Diversified Broad 164 (202) 703 -6% 2% 5,176 7% 8% 15 24% 5

Agriculture 2 47 393 4% 1% 893 2% 1% 7 11% -

Energy (248) (829) 7,719 -2% 25% 4,527 -3% 7% 20 32% 5

Crude Oil (360) (1,069) 6,324 -7% 20% 3,666 -5% 6% 12 19% 4

Natural Gas 109 269 1,326 39% 4% 627 8% 1% 4 6% -

Industrial Metals 0 (45) 49 -32% 0% 309 4% 0% 2 3% -

Precious Metals (470) 2,679 22,303 -19% 72% 53,054 -2% 83% 18 29% 2

Gold (382) 2,956 19,598 -21% 63% 45,770 -2% 72% 9 15% 2

Silver (125) (403) 2,472 -2% 8% 5,999 -2% 9% 5 8% -

Platinum 39 72 113 -3% 0% 546 7% 1% 1 2% -

Palladium (5) (18) 54 18% 0% 233 2% 0% 1 2% -

Total Commodities (553) 1,650 31,166 -15% 100% 63,959 -1% 100% 62 100% 12




30 November 2017

US ETF Compass

Fixed Income Breakdowns

Figure 55: ETP Summary Statistics by Category – Fixed Income

Categories

(Fixed Income)

Oct '17

$MM

YTD

$MMOct '17

$MM

MoM

Chg %

Mkt

ShrOct '17 $MM

MoM

Chg %

Mkt

ShrOct '17

All

Mkt

Shr

YTD

New

Broad 4,456 31,888 18,044 14% 14% 171,636 3% 30% 61 19% 10

Convertible (59) 933 982 -10% 1% 4,582 0% 1% 3 1% -

Corporates 3,551 38,678 48,615 4% 39% 179,189 2% 31% 107 34% 14

EM debt 432 7,080 7,109 18% 6% 24,318 1% 4% 24 8% 1

Inflation 413 5,174 3,612 23% 3% 37,372 1% 6% 13 4% -

International (2) (10) 538 0% 0% 3,102 -1% 1% 10 3% -

Municipal 562 3,989 3,639 32% 3% 29,392 2% 5% 36 11% 5

Preferred 665 4,922 3,654 44% 3% 32,072 1% 6% 13 4% 3

Securitized 892 4,244 2,306 45% 2% 18,201 5% 3% 8 3% -

Senior Loans 469 2,838 2,165 12% 2% 13,051 4% 2% 5 2% 1

US Treasury (1,410) 14,235 35,399 -7% 28% 63,095 -2% 11% 39 12% 1

Total Fixed Income 9,969 113,970 126,062 5% 100% 576,010 2% 100% 319 100% 35



Figure 56: ETP Summary Statistics by Credit Quality – Fixed Income

Credit Quality

(Fixed Income)

Oct '17

$MM

YTD

$MMOct '17

$MM

MoM

Chg %

Mkt

ShrOct '17 $MM

MoM

Chg %

Mkt

ShrOct '17

All

Mkt

Shr

YTD

New

Investment Grade 7,071 91,020 87,807 3% 70% 440,787 2% 76% 217 66% 30

High Yield 1,447 9,288 26,605 8% 21% 68,882 2% 12% 56 17% 6

Mixed 1,625 13,901 11,755 21% 9% 66,581 2% 12% 57 17% 10




Figure 57: ETP Summary Statistics by Duration – Fixed Income

Duration

(Fixed Income)

Oct '17

$MM

YTD

$MMOct '17

$MM

MoM

Chg %

Mkt

ShrOct '17 $MM

MoM

Chg %

Mkt

ShrOct '17

All

Mkt

Shr

YTD

New

Short 4,172 33,223 20,466 16% 16% 148,708 3% 26% 83 25% 9

Intermediate 951 18,346 32,531 1% 26% 111,769 1% 19% 44 13% 6

Long (951) 4,941 24,595 -13% 19% 23,605 -4% 4% 29 9% 1

Broad 5,637 54,110 47,321 16% 38% 278,597 2% 48% 131 40% 26

Set Maturity 335 3,589 1,253 17% 1% 13,570 2% 2% 43 13% 4





30 November 2017

US ETF Compass

Top 15 ETFs (includes ETNs)

Figure 58: Top 15 by 1M Total Return Gain (non-levered) Figure 59: Top 15 by 1M Total Return Loss (non-levered)

Ticker Name TERTotal

Return

JJN iPath Dow Jones-UBS Nickel Subindex Total Return 0.75% 20.9%

LD iPath Dow Jones-UBS Lead Subindex Total Return 0.70% 17.7%

NINI iPath Pure Beta Nickel ETN 0.85% 15.5%

JEM iPath GEMS Index ETN 0.89% 15.3%

UBN ETRACS CMCI Energy Total Return 0.65% 14.6%

SCIN Columbia India Small Cap ETF 0.86% 11.7%

COW iPath Dow Jones-UBS Livestock Subindex Total 0.75% 11.7%

UBC ETRACS CMCI Livestock Total Return 0.65% 11.0%

TAN Guggenheim Solar ETF 0.71% 10.8%

SCIF VanEck Vectors India Small-Cap Index ETF 0.78% 10.7%

FTXL First Trust Nasdaq Semiconductor ETF 0.60% 10.6%

UGA United States Gasoline Fund 0.75% 10.6%

INXX Columbia India Infrastructure ETF 0.86% 10.4%

LSTK iPath Pure Beta Livestock ETN 0.85% 9.5%

PSI PowerShares Dynamic Semiconductors Portfolio 0.63% 9.5%

Ticker Name TERTotal

Return

GAZ iPath Bloomberg Natural Gas Subindex Total Return 0.75% -17.6%

EVIX VelocityShares 1x Long VSTOXX Futures ETN 1.35% -17.4%

VMAX REX VolMAXX Long VIX Weekly Futures Strategy ETF 2.90% -13.6%

VXX iPath S&P 500 VIX Short-Term Futures ETN 0.89% -13.5%

VIXY ProShares VIX Short-Term Futures ETF 0.87% -13.4%

VIIX VelocityShares Daily Long VIX Short-Term ETN 0.89% -13.3%

ICI iPath Optimized Currency Carry ETN 0.65% -10.9%

URA Global X Uranium ETF 0.70% -10.2%

UNG United States Natural Gas Fund LP 1.09% -9.0%

AMLX Amplify Yieldshares Oil Hedged MLP Income ETF 0.85% -8.8%

GAZB iPath Series B Bloomberg Natural Gas Subindex Total 0.45% -8.5%

VIIZ VelocityShares Daily Long VIX Medium-Term ETN 0.89% -8.4%

VXZ iPath S&P 500 VIX Mid-Term Futures ETN 0.89% -8.4%

VIXM ProShares VIX Mid-Term Futures ETF 0.87% -8.1%

EWW iShares MSCI Mexico Capped ETF 0.48% -7.8%

Source: Deutsche Bank, FactSet. Total Return corresponds to last month. Source: Deutsche Bank, FactSet. Total Return corresponds to last month.

Figure 60: Top 15 by 1M Inflows Figure 61: Top 15 by 1M Outflows

Ticker Name TERInflows

$MM

IVV iShares Core S&P 500 ETF 0.04% 3,490

SPY SPDR S&P 500 ETF 0.09% 2,894

QQQ PowerShares QQQ 0.20% 2,473

IEFA iShares Core MSCI EAFE ETF 0.08% 2,154

IWM iShares Russell 2000 ETF 0.20% 2,143

VOO Vanguard S&P 500 ETF 0.04% 2,072

IEMG iShares Core MSCI Emerging Markets ETF 0.14% 1,667

VEA Vanguard FTSE Developed Markets ETF 0.07% 1,655

XLI Industrial Select Sector SPDR Fund 0.14% 1,437

AGG iShares Core U.S. Aggregate Bond ETF 0.05% 1,138

VWO Vanguard FTSE Emerging Markets ETF 0.14% 1,083

XLF Financial Select Sector SPDR Fund 0.14% 952

LQD iShares iBoxx $ Investment Grade Corporate Bond 0.15% 824

EEM iShares MSCI Emerging Markets ETF 0.70% 769

VEU Vanguard FTSE All-World ex-US ETF 0.11% 670

Ticker Name TEROutflows

$MM

TLT iShares 20+ Year Treasury Bond ETF 0.15% (1,169)

XLP Consumer Staples Select Sector SPDR Fund 0.14% (919)

IEI iShares 3-7 Year Treasury Bond ETF 0.15% (715)

IEUR iShares Core MSCI Europe ETF 0.10% (574)

IYR iShares U.S. Real Estate ETF 0.44% (567)

GLD SPDR Gold Shares 0.40% (561)

EWP iShares MSCI Spain Capped ETF 0.48% (548)

XLU Utilities Select Sector SPDR Fund 0.14% (459)

IWB iShares Russell 1000 ETF 0.15% (446)

PBW PowerShares WilderHill Clean Energy Portfolio 0.70% (432)

IEF iShares 7-10 Year Treasury Bond ETF 0.15% (394)

IVW iShares S&P 500 Growth ETF 0.18% (366) XLV Health Care Select Sector SPDR Fund 0.14% (343)

QLD ProShares Ultra QQQ 0.95% (276)

ACWV iShares Edge MSCI Min Vol Global ETF 0.20% (262)

Source: Deutsche Bank, Bloomberg Finance LP. Inflows correspond to last month. Source: Deutsche Bank, Bloomberg Finance LP. Outflows correspond to last month.

Figure 62: Top 15 by AUM Figure 63: Top 15 by $ Volume traded last month

Ticker Name TERAUM

$MM

SPY SPDR S&P 500 ETF 0.09% 251,857


VTI Vanguard Total Stock Market ETF 0.04% 86,918

EFA iShares MSCI EAFE ETF 0.33% 81,805

VOO Vanguard S&P 500 ETF 0.04% 77,968

VEA Vanguard FTSE Developed Markets ETF 0.07% 65,693

VWO Vanguard FTSE Emerging Markets ETF 0.14% 64,970


AGG iShares Core U.S. Aggregate Bond ETF 0.05% 51,416


IJH iShares Core S&P Mid-Cap ETF 0.07% 41,742

IEMG iShares Core MSCI Emerging Markets ETF 0.14% 40,389

IEFA iShares Core MSCI EAFE ETF 0.08% 39,615

IWF iShares Russell 1000 Growth ETF 0.20% 38,773

LQD iShares iBoxx $ Investment Grade Corporate Bond 0.15% 38,701

Ticker Name TERVolume

$MM

SPY SPDR S&P 500 ETF 0.09% 337,208



EEM iShares MSCI Emerging Markets ETF 0.70% 47,354

XLF Financial Select Sector SPDR Fund 0.14% 28,382

VXX iPath S&P 500 VIX Short-Term Futures ETN 0.89% 24,092

TLT iShares 20+ Year Treasury Bond ETF 0.15% 20,294

EFA iShares MSCI EAFE ETF 0.33% 19,653


GDX VanEck Vectors Gold Miners ETF 0.51% 18,726

EWZ iShares MSCI Brazil Capped ETF 0.63% 17,174

XIV VelocityShares Daily Inverse VIX Short-Term ETN 1.35% 16,997

GLD SPDR Gold Shares 0.40% 16,767

LQD iShares iBoxx $ Investment Grade Corporate Bond 0.15% 15,280

HYG iShares iBoxx $ High Yield Corporate Bond ETF 0.49% 15,156

Source: Deutsche Bank, Bloomberg Finance LP. AUM as of the end of last month. Source: Deutsche Bank, Bloomberg Finance LP. Volume $ corresponds to total traded last month.


30 November 2017

US ETF Compass

Appendix A: ETN Snapshot

Figure 64: ETN Summary by Asset Class

Asset Class Oct-17End of

%Chg Oct-17 Sep-17 YTDYTD Chg %

AUMOct-17 Sep-17 %Chg Oct-17

End of %Chg AUM Turnover

# of

ETNsEquity 14,887 13,649 9.1% 97 2 384 2.8% 2,371 1,490 59.2% 52 55 -5.5% 62.1% 4.0% 26.5%Fixed income 135 131 3.1% (0) (0) 16 12.1% 8 14 -43.9% 13 11 18.2% 0.6% 0.0% 6.6%Commodity 5,259 4,673 12.5% 335 (4) 959 20.5% 12,617 10,768 17.2% 95 90 5.6% 21.9% 21.2% 48.5%Currency 44 64 -31.2% (1) 0 (16) -24.3% 4 6 -39.4% 11 11 0.0% 0.2% 0.0% 5.6%Multi Asset 338 455 -25.9% (1) (4) (153) -33.6% 70 54 29.4% 5 5 0.0% 1.4% 0.1% 2.6%Alternative 3,302 2,687 22.9% 182 (244) 1,578 58.7% 44,446 43,194 2.9% 20 19 5.3% 13.8% 74.7% 10.2%Total 23,964 21,660 10.6% 611 (249) 2,768 12.8% 59,515 55,526 7.2% 196 191 2.6% 100.0% 100.0% 100.0%

AUM ($ MM) Cash Flow ($ MM) Turnover ($ MM) # of ETNs Market Share %


Figure 65: ETN Summary by Issuer

Issuer Sep-17End of

%Chg Oct-17 Sep-17 YTDYTD Chg %

AUMOct-17 Sep-17 %Chg Oct-17

End of %Chg AUM Turnover

# of

ETNs

Barclays Bank 6,851 6,833 0.3% 216 35 797 11.7% 24,917 25,603 -2.7% 82 82 0.0% 28.6% 41.9% 41.8%UBS 7,146 6,528 9.5% 24 38 335 5.1% 890 523 70.3% 46 42 9.5% 29.8% 1.5% 23.5%Credit Suisse 5,159 3,105 66.2% 457 (163) 1,585 51.1% 28,511 24,835 14.8% 24 24 0.0% 21.5% 47.9% 12.2%JPMorgan 3,231 3,758 -14.0% 0 1 6 0.2% 1,501 988 51.9% 2 1 100.0% 13.5% 2.5% 1.0%Citigroup 703 409 71.8% (82) (151) 183 44.8% 3,607 3,477 3.7% 7 5 40.0% 2.9% 6.1% 3.6%Deutsche Bank 288 315 -8.6% (2) (5) (55) -17.6% 44 80 -45.3% 20 20 0.0% 1.2% 0.1% 10.2%Swedish Export CC 343 396 -13.4% (1) (5) (48) -12.1% 41 15 174.0% 7 7 0.0% 1.4% 0.1% 3.6%Goldman Sachs 118 122 -3.0% - - - 0.0% 0 0 -65.9% 1 1 0.0% 0.5% 0.0% 0.5%Morgan Stanley 41 64 -36.7% - - - 0.0% 0 0 24.9% 1 1 0.0% 0.2% 0.0% 0.5%BMO Capital Markets 46 52 -11.6% - - - 0.0% 0 0 22.5% 1 1 0.0% 0.2% 0.0% 0.5%VanEck Vectors 30 50 -39.2% (1) - (14) -28.9% 3 4 -30.1% 4 4 0.0% 0.1% 0.0% 2.0%Guggenheim 8 8 5.7% - - - 0.0% 0 0 -31.7% 1 1 0.0% 0.0% 0.0% 0.5%RBC GAM - 20 -100.0% - - (20) -102.2% - 0 -100.0% 0 2 -100.0% 0.0% 0.0% 0.0%Total 23,964 21,660 10.6% 611 (249) 2,768 12.8% 59,515 55,526 7.2% 196 191 2.6% 100.0% 100.0% 100.0%

AUM ($ MM) Cash Flow ($ MM) Turnover ($ MM) # of ETNs Market Share %



30 November 2017

US ETF Compass

Appendix B: ETF ListFigure 66: Global and US Equities Reference list

5-Day $ 5-Day bps

Global Equities ACWI iShares MSCI ACWI ETF CM 28-Mar-08 0.33% 7,973 71 65 136 0.01 1.5

US Total Market VTI Vanguard Total Stock Market ETF CM 31-May-01 0.04% 88,036 357 4,324 4,681 0.01 0.8

S&P 500 (Large Cap) SPY SPDR S&P 500 ETF PF 29-Jan-93 0.09% 247,537 16,822 8,257 25,079 0.01 0.4

DJI DIA SPDR Dow Jones Industrial Average ETF PF 14-Jan-98 0.17% 19,675 636 1,450 2,087 0.01 0.5

NASDAQ-100 QQQ PowerShares QQQ PF 10-Mar-99 0.20% 58,639 4,291 5,025 9,316 0.01 0.7

Russell 1000 Growth IWF iShares Russell 1000 Growth ETF PF 22-May-00 0.20% 39,166 175 973 1,148 0.01 0.8

Russell 1000 Value IWD iShares Russell 1000 Value ETF PF 22-May-00 0.20% 38,292 190 4,519 4,708 0.01 0.9

S&P 400 (Mid Cap) MDY SPDR S&P MidCap 400 ETF PF 4-May-95 0.25% 19,271 280 1,158 1,438 0.04 1.3

Russell 2000 (SM Cap) IWM iShares Russell 2000 ETF PF 22-May-00 0.20% 43,460 3,655 274 3,929 0.01 0.7

Div. Growth VIG Vanguard Dividend Appreciation ETF CM 27-Apr-06 0.08% 26,058 44 413 457 0.01 1.5

Div. Yield DVY iShares Select Dividend ETF CM 7-Nov-03 0.39% 17,127 44 1,025 1,068 0.01 1.2

Div. Yield VYM Vanguard High Dividend Yield ETF CM 16-Nov-06 0.08% 20,219 60 3,197 3,257 0.01 1.5

Div. Yield & Growth SDY SPDR S&P Dividend ETF CM 15-Nov-05 0.35% 16,060 38 340 378 0.03 3.7

Cons. Discretionary XLY Consumer Discretionary Select Sector SPDR Fund PF 22-Dec-98 0.14% 12,165 357 2,292 2,649 0.01 1.1

Hotels, Rest & Leisure PEJ PowerShares Dynamic Leisure and Entertainment Por AA 23-Jun-05 0.61% 106 0 39 39 0.07 17.5

Home Builders XHB SPDR S&P Homebuilders ETF PF 2-Feb-06 0.35% 1,150 70 357 427 0.01 2.5

Household Durables ITB iShares U.S. Home Construction ETF CM 5-May-06 0.44% 2,307 105 93 198 0.01 2.5

Media PBS PowerShares Dynamic Media Portfolio AA 23-Jun-05 0.61% 54 2 13 15 0.06 22.6

Retail XRT SPDR S&P Retail ETF PF 22-Jun-06 0.35% 575 211 156 367 0.01 2.5

Cons. Staples XLP Consumer Staples Select Sector SPDR Fund PF 22-Dec-98 0.14% 8,128 527 1,019 1,546 0.01 1.8

Food Products PBJ PowerShares Dynamic Food & Beverage Portfolio AA 23-Jun-05 0.58% 92 0 13 13 0.09 28.7

Energy XLE Energy Select Sector SPDR Fund PF 22-Dec-98 0.14% 16,280 859 748 1,607 0.01 1.5

Energy Eq. & Serv. OIH Market Vectors Oil Services ETF PF 7-Feb-01 0.35% 1,327 178 171 350 0.01 4.2

Energy Eq. & Serv. XES SPDR S&P Oil & Gas Equipment & Services ETF AA 22-Jun-06 0.35% 307 11 88 99 0.01 9.0

Energy Eq. & Serv. IEZ iShares U.S. Oil Equipment & Services ETF AA 5-May-06 0.44% 193 3 69 72 0.04 11.8

Energy E&P XOP SPDR S&P Oil & Gas Exploration & Production ETF PF 22-Jun-06 0.35% 2,090 583 345 928 0.01 2.9

Energy E&P IEO iShares U.S. Oil & Gas Exploration & Production ETF AA 5-May-06 0.44% 389 6 588 593 0.04 7.1

MLPs AMLP Alerian MLP ETF CM 25-Aug-10 1.42% 9,353 169 88 257 0.01 9.8

Financials XLF Financial Select Sector SPDR Fund PF 22-Dec-98 0.14% 29,875 1,400 1,190 2,590 0.01 3.8

Large Banks KBWB PowerShares KBW Bank Portfolio AA 1-Nov-11 0.35% 963 15 341 356 0.02 4.4

Regional Banks KRE SPDR S&P Regional Banking ETF PF 22-Jun-06 0.35% 3,660 322 294 617 0.01 1.9

Capital Markets KCE SPDR S&P Capital Markets ETF AA 15-Nov-05 0.35% 125 0 93 94 0.12 23.1

Insurance KIE SPDR S&P Insurance ETF AA 15-Nov-05 0.35% 777 12 186 198 0.04 4.9

Healthcare XLV Health Care Select Sector SPDR Fund PF 22-Dec-98 0.14% 17,150 533 1,555 2,088 0.01 1.2

Biotech & Pharma IBB iShares Nasdaq Biotechnology ETF PF 5-Feb-01 0.47% 9,741 353 151 503 0.17 5.7

Large Biotech BBH Market Vectors Biotech ETF AA 23-Nov-99 0.35% 633 5 108 113 0.12 10.0

HC Eq. & Supplies IHI iShares U.S. Medical Devices ETF AA 5-May-06 0.44% 1,492 12 201 213 0.12 7.0

HC Providers & Serv IHF iShares U.S. Healthcare Providers ETF AA 5-May-06 0.44% 462 7 63 70 0.14 9.7

Large Pharma PPH Market Vectors Pharmaceutical ETF AA 1-Feb-00 0.35% 264 2 304 306 0.04 6.4

Industrials XLI Industrial Select Sector SPDR Fund PF 22-Dec-98 0.14% 12,325 546 1,793 2,339 0.01 1.4

Aerospace & Def ITA iShares U.S. Aerospace & Defense ETF AA 5-May-06 0.44% 4,710 53 108 161 0.13 7.0

Transportation IYT iShares Transportation Average ETF AA 10-Oct-03 0.44% 772 34 90 125 0.07 4.1

Materials XLB Materials Select Sector SPDR Fund PF 22-Dec-98 0.14% 4,337 274 539 813 0.01 1.7

Metals & Mining XME SPDR S&P Metals and Mining ETF PF 22-Jun-06 0.35% 665 90 99 188 0.01 3.3

Real Estate VNQ Vanguard REIT ETF CM 29-Sep-04 0.12% 35,085 303 499 803 0.01 1.2

Technology VGT Vanguard Information Technology ETF AA 30-Jan-04 0.10% 16,640 93 3,213 3,305 0.05 3.2

Comm. Equipment IGN iShares North American Tech-Multimedia Networking AA 10-Jul-01 0.48% 50 1 68 68 0.04 8.2

Int. Software & Serv. FDN First Trust Dow Jones Internet Index Fund AA 23-Jun-06 0.54% 5,314 48 175 223 0.04 4.2

Semiconductors SMH Market Vectors Semiconductor ETF PF 5-May-00 0.36% 1,480 349 467 816 0.01 1.1

Software IGV iShares North American Tech-Software ETF AA 10-Jul-01 0.48% 1,151 13 312 325 0.07 4.2

Telecom VOX Vanguard Telecommunication Services ETF AA 29-Sep-04 0.10% 1,246 15 7 22 0.08 9.6

Utilities XLU Utilities Select Sector SPDR Fund PF 22-Dec-98 0.14% 8,307 666 565 1,232 0.01 1.8

AUM $M20D ADV

$M

Implied

Liq. $M

Total

Liq. $M

Avg. Bid/Ask SpreadsListing Date TER

Product

TypeAsset Class Ticker ETF Name

Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of 21-Nov-17. Bid/Ask Spreads are provided only as reference, actual spreads are trade-specific. Product Type: Asset Allocation (AA), Cash Management(CM), Pseudo Futures (PF).


30 November 2017

US ETF Compass

Figure 67: International Equities Reference list

5-Day $ 5-Day bps

Intl DM EFA iShares MSCI EAFE ETF CM 14-Aug-01 0.33% 81,310 1,156 2,865 4,021 0.01 1.5

Canada EWC iShares MSCI Canada ETF CM 12-Mar-96 0.48% 3,100 57 327 384 0.01 3.5

Israel EIS iShares MSCI Israel Capped ETF AA 28-Mar-08 0.64% 89 0 13 14 0.19 39.8

Europe VGK Vanguard FTSE Europe ETF CM 3-Mar-05 0.10% 17,834 151 362 513 0.01 1.7

Denmark EDEN iShares MSCI Denmark Capped ETF AA 26-Jan-12 0.53% 66 1 18 19 0.14 20.7

Norway NORW Global X FTSE Norway 30 ETF AA 10-Nov-10 0.50% 155 2 17 19 0.03 21.4

Sweden EWD iShares MSCI Sweden ETF AA 12-Mar-96 0.48% 475 8 230 239 0.02 4.6

Switzerland EWL iShares MSCI Switzerland Capped ETF AA 12-Mar-96 0.48% 1,290 28 220 248 0.01 2.9

UK EWU iShares MSCI United Kingdom ETF CM 12-Mar-96 0.48% 2,536 58 1,102 1,160 0.01 2.9

Eurozone EZU iShares MSCI Eurozone ETF CM 25-Jul-00 0.48% 14,949 275 1,092 1,367 0.01 2.3

Austria EWO iShares MSCI Austria Capped ETF AA 12-Mar-96 0.48% 244 4 7 11 0.02 10.5

Belgium EWK iShares MSCI Belgium Capped ETF AA 12-Mar-96 0.48% 72 1 12 12 0.02 10.4

Finland EFNL iShares MSCI Finland Capped ETF AA 26-Jan-12 0.53% 51 1 15 16 0.10 24.9

France EWQ iShares MSCI France ETF AA 12-Mar-96 0.48% 664 17 909 926 0.01 3.3

Germany EWG iShares MSCI Germany ETF CM 12-Mar-96 0.48% 4,751 77 465 543 0.01 3.1

Ireland EIRL iShares MSCI Ireland Capped ETF AA 7-May-10 0.48% 72 1 11 12 0.25 53.6

Italy EWI iShares MSCI Italy Capped ETF CM 12-Mar-96 0.48% 736 25 326 351 0.01 3.3

Netherlands EWN iShares MSCI Netherlands ETF AA 12-Mar-96 0.48% 178 4 107 111 0.01 4.3

Portugal PGAL Global X FTSE Portugal 20 ETF AA 13-Nov-13 0.61% 57 1 2 2 0.03 28.7

Spain EWP iShares MSCI Spain Capped ETF CM 12-Mar-96 0.48% 984 48 331 379 0.01 3.1

Japan EWJ iShares MSCI Japan ETF CM 12-Mar-96 0.48% 18,084 551 1,324 1,875 0.01 1.7

Pacific ex JP EPP iShares MSCI Pacific ex Japan ETF AA 25-Oct-01 0.49% 3,246 21 357 378 0.01 2.5

Australia EWA iShares MSCI Australia ETF CM 12-Mar-96 0.48% 1,780 39 373 412 0.01 4.4

Hong Kong EWH iShares MSCI Hong Kong ETF CM 12-Mar-96 0.48% 1,983 112 113 226 0.01 3.9

New Zealand ENZL iShares MSCI New Zealand Capped ETF AA 2-Sep-10 0.48% 151 3 8 11 0.12 25.9

Singapore EWS iShares MSCI Singapore ETF CM 12-Mar-96 0.48% 618 14 67 80 0.01 4.1

EM EEM iShares MSCI Emerging Markets ETF PF 7-Apr-03 0.70% 38,339 2,132 345 2,477 0.01 2.2

Latin America ILF iShares Latin America 40 ETF AA 26-Oct-01 0.49% 1,489 55 83 138 0.01 3.2

Brazil EWZ iShares MSCI Brazil Capped ETF PF 10-Jul-00 0.63% 6,868 859 198 1,057 0.01 2.6

Chile ECH iShares MSCI Chile Capped ETF AA 16-Nov-07 0.64% 501 22 11 33 0.03 5.4

Colombia GXG Global X FTSE Colombia 20 ETF AA 9-Feb-09 0.61% 95 1 1 3 0.03 26.0

Mexico EWW iShares MSCI Mexico Capped ETF PF 12-Mar-96 0.48% 1,091 168 14 182 0.01 2.1

Peru EPU iShares MSCI Peru Capped ETF AA 22-Jun-09 0.63% 229 4 1 5 0.08 20.8

EM Asia EEMA iShares MSCI Emerging Markets Asia ETF AA 9-Feb-12 0.49% 581 2 260 262 0.17 23.7

China H FXI iShares China Large-Cap ETF PF 8-Oct-04 0.74% 3,666 538 205 743 0.01 2.2

China A ASHR Deutsche X-trackers Harvest CSI 300 China A-Shares ETAA 6-Nov-13 0.65% 675 19 195 214 0.01 3.3

India INDA iShares MSCI India ETF AA 2-Feb-12 0.71% 5,249 111 188 298 0.01 3.0

Indonesia EIDO iShares MSCI Indonesia ETF AA 7-May-10 0.62% 480 14 0 14 0.01 4.1

Malaysia EWM iShares MSCI Malaysia ETF CM 12-Mar-96 0.48% 446 15 14 29 0.01 3.5

Philippines EPHE iShares MSCI Philippines ETF AA 29-Sep-10 0.62% 177 9 6 15 0.03 7.5

South Korea EWY iShares MSCI South Korea Capped ETF CM 9-May-00 0.64% 4,115 167 298 464 0.01 1.3

Taiwan EWT iShares MSCI Taiwan ETF PF 20-Jun-00 0.64% 3,827 120 44 165 0.01 2.7

Thailand THD iShares MSCI Thailand Capped ETF AA 28-Mar-08 0.63% 410 17 5 22 0.07 8.4

EM Europe

Greece GREK Global X FTSE Greece 20 ETF AA 8-Dec-11 0.62% 320 6 0 6 0.01 11.8

Poland EPOL iShares MSCI Poland Capped ETF AA 26-May-10 0.63% 344 7 9 16 0.01 5.1

Russia RSX Market Vectors Russia ETF PF 26-Apr-07 0.65% 1,941 137 0 137 0.01 4.6

Turkey TUR iShares MSCI Turkey ETF AA 28-Mar-08 0.64% 342 16 7 23 0.04 10.3

Middle East

Qatar QAT iShares MSCI Qatar Capped ETF AA 1-May-14 0.64% 46 1 0 1 0.08 59.3

UAE UAE iShares MSCI UAE Capped ETF AA 1-May-14 0.64% 42 0 2 3 0.08 46.4

Africa AFK Market Vectors Africa Index ETF AA 14-Jul-08 0.79% 75 0 3 3 0.23 96.9

Egypt EGPT Market Vectors Egypt Index ETF AA 18-Feb-10 1.01% 66 1 1 1 0.42 134.3

South Africa EZA iShares MSCI South Africa ETF AA 7-Feb-03 0.64% 468 32 94 125 0.07 11.8

Frontier Market FM iShares MSCI Frontier 100 ETF AA 13-Sep-12 0.79% 652 4 13 17 0.06 18.6

Argentina ARGT Global X MSCI Argentina ETF AA 3-Mar-11 0.59% 188 3 7 10 0.09 27.5

Nigeria NGE Global X MSCI Nigeria ETF AA 3-Apr-13 1.10% 63 0 0 0 0.28 132.2

Pakistan PAK Global X MSCI Pakistan ETF AA 23-Apr-15 0.91% 55 0 1 1 0.10 69.4

Vietnam VNM Market Vectors Vietnam ETF AA 14-Aug-09 0.66% 329 4 2 6 0.03 15.8

BRIC BKF iShares MSCI BRIC ETF AA 16-Nov-07 0.72% 312 1 552 554 0.11 24.7

Total

Liq. $MAsset Class Ticker ETF Name

Product

TypeListing Date

Avg. Bid/Ask SpreadsTER AUM $M

20D ADV

$M

Implied

Liq. $M



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Figure 68: Non-Equity Reference list

5-Day $ 5-Day bps

Fixed Income (Broad) AGG iShares Core U.S. Aggregate Bond ETF CM 26-Sep-03 0.05% 52,055 259 n.a. n.a. 0.01 0.9

US Treasury GOVT iShares Core U.S. Treasury Bond ETF AA 16-Feb-12 0.15% 5,274 18 n.a. n.a. 0.01 4.1

Very Short SHV iShares Short Treasury Bond ETF CM 12-Jan-07 0.15% 6,617 50 n.a. n.a. 0.01 0.9

Short SHY iShares 1-3 Year Treasury Bond ETF CM 26-Jul-02 0.15% 11,338 112 n.a. n.a. 0.01 1.2

Intermediate IEI iShares 3-7 Year Treasury Bond ETF CM 12-Jan-07 0.15% 7,066 73 n.a. n.a. 0.01 1.1

Long TLT iShares 20+ Year Treasury Bond ETF PF 26-Jul-02 0.15% 7,085 930 n.a. n.a. 0.01 0.8

US Inflation TIP iShares TIPS Bond ETF CM 12-Apr-03 0.20% 23,991 111 n.a. n.a. 0.01 0.9

Municipal MUB iShares National AMT-Free Muni Bond ETF AA 9-Sep-07 0.25% 9,024 52 n.a. n.a. 0.02 1.4

Securitized MBB iShares MBS ETF AA 15-Mar-07 0.09% 11,793 57 n.a. n.a. 0.01 1.0

IG Corporates LQD iShares iBoxx $ Investment Grade Corporate Bond ETF CM 26-Jul-02 0.15% 39,305 807 n.a. n.a. 0.01 0.8

HY Corporates HYG iShares iBoxx $ High Yield Corporate Bond ETF PF 10-Apr-07 0.49% 18,914 1,310 n.a. n.a. 0.01 1.2

Floater FLOT iShares Floating Rate Bond ETF AA 17-Jun-11 0.20% 6,534 50 n.a. n.a. 0.01 2.1

Senior Loans BKLN PowerShares Senior Loan Portfolio CM 3-Mar-11 0.65% 8,259 101 n.a. n.a. 0.01 4.4

Preferred PFF iShares U.S. Preferred Stock ETF CM 30-Mar-07 0.47% 17,993 82 n.a. n.a. 0.01 2.6

Convertible CWB SPDR Barclays Convertible Securities ETF AA 16-Apr-09 0.40% 4,165 28 n.a. n.a. 0.01 2.4

Intl DM Debt BWX SPDR Barclays International Treasury Bond ETF AA 5-Oct-07 0.50% 1,396 11 n.a. n.a. 0.01 5.2

Intl Inflation WIP SPDR DB International Government Inflation-Protected AA 19-Mar-08 0.50% 483 2 n.a. n.a. 0.11 18.9

EM Gov Debt USD EMB iShares J.P. Morgan USD Emerging Markets Bond ETF CM 12-Dec-07 0.39% 11,793 254 n.a. n.a. 0.01 1.0

EM Gov Debt Local EMLC Market Vectors Emerging Markets Local Currency Bon AA 23-Jul-10 0.44% 4,229 31 n.a. n.a. 0.01 5.5

EM Corp USD EMCB WisdomTree Emerging Markets Corporate Bond Fund AA 8-Mar-12 0.60% 51 0 n.a. n.a. 0.90 123.1

EM HY Corp USD HYEM Market Vectors Emerging Markets High Yield Bond ET AA 9-May-12 0.40% 374 3 n.a. n.a. 0.03 13.0

Commodities DBC PowerShares DB Commodity Index Tracking Fund CM 3-Feb-06 0.89% 2,319 45 n.a. n.a. 0.01 6.2

Energy Cmdty DBE PowerShares DB Energy Fund AA 5-Jan-07 0.78% 169 1 n.a. n.a. 0.02 13.8

Crude Oil WTI USO United States Oil Fund LP PF 3-Apr-06 0.76% 2,229 199 n.a. n.a. 0.01 9.0

Natural Gas UNG United States Natural Gas Fund LP PF 18-Apr-07 1.09% 523 57 n.a. n.a. 0.01 15.8

Agriculture DBA PowerShares DB Agriculture Fund CM 5-Jan-07 0.89% 672 13 n.a. n.a. 0.01 5.3

Industrial Metals DBB PowerShares DB Base Metals Fund AA 5-Jan-07 0.82% 290 3 n.a. n.a. 0.01 6.7

Precious Metals DBP PowerShares DB Precious Metals Fund AA 5-Jan-07 0.78% 152 1 n.a. n.a. 0.04 11.1

Gold Physical GLD SPDR Gold Shares PF 18-Nov-04 0.40% 34,869 710 n.a. n.a. 0.01 0.8

Silver Physical SLV iShares Silver Trust PF 27-Apr-06 0.50% 5,452 114 n.a. n.a. 0.01 6.2

Platinum Physical PPLT ETFS Physical Platinum Shares AA 8-Jan-10 0.60% 553 3 n.a. n.a. 0.11 12.1

Palladium Physical PALL ETFS Physical Palladium Shares AA 8-Jan-10 0.60% 234 3 n.a. n.a. 0.23 23.9

Bull USD UUP PowerShares DB US Dollar Index Bullish Fund CM 20-Feb-07 0.80% 626 26 n.a. n.a. 0.01 4.1

JPYUSD FXY CurrencyShares Japanese Yen Trust PF 13-Feb-07 0.40% 111 6 n.a. n.a. 0.01 1.6

EURUSD FXE CurrencyShares Euro Currency Trust PF 12-Dec-05 0.40% 311 49 n.a. n.a. 0.01 1.1

Asset Class Ticker ETF NameProduct

TypeListing Date TER AUM $M

20D ADV

$M

Implied

Liq. $M

Total

Liq. $M

Avg. Bid/Ask Spreads



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Appendix C: DefinitionsETP Universe Definitions

Exchange-Traded Products (ETPs)We define an exchange-traded product (ETP) as a secure (funded or collateralized)open-ended exchange-traded equity with no embedded optionality and market-wide appeal to investors. This includes exchange traded funds (ETF), andexchange-traded vehicles (ETV). The vast majority of instruments are ETFs (~98%in AUM).

Exchange-Traded Funds (ETFs)ETFs are open-ended funds which are listed on an exchange and offer intra-daydual liquidity to access diversified investments in a transparent, cheap, and taxefficient way. ETFs indexed to equity and fixed income benchmarks are registeredunder the investment company act of 1940. Only physical index replicationtechniques are permissible by this legislation while synthetic replication is notallowed.

Exchange-traded vehicles (ETVs)This terminology typically refers to grantor trusts that exist in the US market.These instruments track primarily commodity benchmarks. They differ fromETFs in that they are registered under the Securities Act of 1933 and not theInvestment Company Act of 1940, hence they are not classed as funds. Vehiclesthat replicate commodity benchmarks, more often known as pools, and fundstargeting alternative index returns are formed under the Commodities ExchangeAct and are listed under the 33 Securities Act, and report under 34 Corporate Act.

Management Style or Product Strategy Definitions

BetaThis is the main group with the largest number of products and assets.Within this category we account for all those ETFs that track an index whichemploys a market capitalization weighting methodology, and a simple selectionmethodology usually involving screenings such as minimum market cap andliquidity levels, or profitability levels. ETFs in this group are also referred to as“plain-vanilla” ETFs. Some examples of indices falling within this category are:S&P 500, S&P 400, S&P 600, MSCI EAFE, MSCI EM, Russell 2000, and Russell1000, to name a few.

Beta+In this group we include every product that offers any level of leverage or inverseimplementation. For example, an ETF offering access to twice the daily returnsof the S&P 500 on either direction (long or short) would be classified under thiscategory.

ActiveClassifying products in this group is still easy; basically if the ETF doesn’t trackany index then we classify the fund as active.

Enhanced Beta (aka Smart Beta)This category is reserved for those ETFs that also track an index, but whichfollow more elaborated strategies. After defining an index universe, there aretwo main levers that determine most of the risk/return profile of the index: (1)


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the selection criteria, and (2) the weighting criteria. In their selection process,enhanced beta ETFs usually employ additional screening processes and scoringsystems involving multiple factors beyond just minimum market cap and liquiditylevels. For example, they could include growth or value scores, dividends paidor dividend yield, earnings, volatility, or momentum screens, to name a few. Theweighting methodology of enhanced beta ETFs is usually anything but marketcap weighted, it can include simple equal weighting or variations of it, optimizedweights, and other metric-specific weights such as those based on dividendspaid, inverse volatility, dividend yield, fundamental multi factor scores, earnings,and revenues, to name a few. An enhanced beta ETF will either have a non-traditional selection methodology, a non-traditional weighting methodology, or acombination of both.

Product Type Definitions

Asset Allocation ETFsThis group covers all ETFs with exception of levered and inverse products. Theseare usually good products for market access strategies, portfolio completion, andcore positions. They are also efficient building blocks for multi asset strategies.When selecting these products, major emphasis should be set on the desiredexposure, tracking efficiency, primary liquidity (i.e. the liquidity of the underlyingbasket), and cost.

Cash Management ETFsThis group covers a more selected group of ETFs which in addition to beinggood asset allocation tools, also serves a series of cash management portfolioneeds. For example, these products are very good for equitizing cash betweentransitions, around reporting periods (window dressing), and during tax lossharvesting. These ETFs usually have good liquidity, large fund size, and lowcost, all of which makes it easier to execute sizeable short-term transactions,therefore secondary market liquidity and fund size tend to be a more relevantfactor compared to asset allocation ETFs. The most popular asset allocation usageof these funds is as core building blocks.

Pseudo Futures ETFsThis group covers an even more selected sample of ETFs which in additionto being good asset allocation and cash management tools can also be usedfor fulfilling risk management functions such as risk hedging, portable alphastrategies, or tactical shorts. Many times they also trade at a cheaper level thantheir underlying basket, and offer large amounts of liquidity which can make themattractive for market making activities as well. Secondary and short liquidity (easeto borrow), and fund size tend to be more relevant characteristics at the momentof selecting this type of ETFs. There is usually no more than one pseudo futuresETF per asset class. The most popular asset allocation usage of these fundsis among portfolios that require more liquidity given their size or more tacticalnature.


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Figure 69: Selection Criteria depending on intended ETF usageCriteria Measured by Source Pseudo Futures Cash Mgmt Asset Allocation

Secondary Liquidity (quantity) Avg. Daily Value traded in $ FactSet More Relevant More Relevant Less Relevant

Secondary Liquidity (cost) Avg. Bid/Ask Spreads Bloomberg Finance LP More Relevant More Relevant Less Relevant

Primary Liquidity Implied liquidity of basket Bloomberg Finance LP Less Relevant Less Relevant More Relevant

Short Liquidity (quantity) Short Interest/ Shrs. Out. % Bloomberg Finance LP More Relevant Less Relevant Less Relevant

Short Liquidity (cost) Avg. Borrow Rate Deutsche Bank More Relevant Less Relevant Less Relevant

Size AUM $ Bloomberg Finance LP More Relevant More Relevant Less Relevant

Ownership:

Brokers+Hedge Funds Ownership % FactSet More Relevant Relevant Less Relevant

Mutual Funds+Pension Funds Ownership % FactSet Relevant More Relevant Relevant

Invest. Adviser+Private Bank/WM+Retail Ownership % FactSet Less Relevant Less Relevant More Relevant

Flow Activity Abs(Daily Flows Median) $ Bloomberg Finance LP More Relevant Less Relevant Less Relevant

Cost Total Expense Ratio ETF Issuer Less Relevant Relevant More Relevant

Exposure/Benchmark Investor's objective Investor Relevant Relevant More Relevant

Tracking efficiency to Index NAV-Index Performance dif. Bloomberg Finance LP Less Relevant Relevant More Relevant

Tracking efficiency to NAV Price-NAV premium/discounts Bloomberg Finance LP Less Relevant Relevant More Relevant

Product Provider Assets, products, years Combination of above Less Relevant Less Relevant Relevant

Source: Deutsche Bank.


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The authors of this report wish to acknowledge the contribution made by AlfonsoDelgado Valdivia, employee of Evalueserve, a third-party provider of offshoreresearch support services to Deutsche Bank.


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Appendix 1

Important Disclosures

*Other information available upon request

*Prices are current as of the end of the previous trading session unless otherwise indicated and are sourced fromlocal exchanges via Reuters, Bloomberg, and other vendors. Other information is sourced from Deutsche Bank, subjectcompanies, and other sources. For disclosures pertaining to recommendations or estimates made on securities other thanthe primary subject of this research, please see the most recently published company report or visit our global disclosurelook-up page on our website at http://gm.db.com/ger/disclosure/DisclosureDirectory.eqsr. Aside from within this report,important conflict disclosures can also be found at https://gm/db.com/equities under the "Disclosures Lookup" and "Legal"tabs. Investors are strongly encouraged to review this information before investing.

Analyst Certification

The views expressed in this report accurately reflect the personal views of the undersigned lead analyst(s). In addition,the undersigned lead analyst(s) has not and will not receive any compensation for providing a specific recommendationor view in this report. Hallie Martin, Srineel Jalagani

Hypothetical Disclaimer

Backtested, hypothetical or simulated performance results have inherent limitations. Unlike an actual performancerecord based on trading actual client portfolios, simulated results are achieved by means of the retroactive applicationof a backtested model itself designed with the benefit of hindsight. Taking into account historical events the backtestingof performance also differs from actual account performance because an actual investment strategy may be adjustedany time, for any reason, including a response to material, economic or market factors. The backtested performanceincludes hypothetical results that do not reflect the reinvestment of dividends and other earnings or the deduction ofadvisory fees, brokerage or other commissions, and any other expenses that a client would have paid or actually paid.No representation is made that any trading strategy or account will or is likely to achieve profits or losses similar tothose shown. Alternative modeling techniques or assumptions might produce significantly different results and prove tobe more appropriate. Past hypothetical backtest results are neither an indicator nor guarantee of future returns. Actualresults will vary, perhaps materially, from the analysis.

Equity Rating Key Equity rating dispersion and banking relationships

Buy: Based on a current 12- month view of total share-holderreturn (TSR = percentage change in share price from currentprice to projected target price plus pro-jected dividend yield ) ,we recommend that investors buy the stock.Sell: Based on a current 12-month view of total share-holderreturn, we recommend that investors sell the stock.Hold: We take a neutral view on the stock 12-months out and,based on this time horizon, do not recommend either a Buyor Sell.

Newly issued research recommendations and target pricessupersede previously published research.


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Additional Information?The information and opinions in this report were prepared by Deutsche Bank AG or one of its affiliates (collectively"Deutsche Bank"). Though the information herein is believed to be reliable and has been obtained from public sourcesbelieved to be reliable, Deutsche Bank makes no representation as to its accuracy or completeness. Hyperlinks to third-party websites in this report are provided for reader convenience only. Deutsche Bank neither endorses the content noris responsible for the accuracy or security controls of those websites.??If you use the services of Deutsche Bank in connection with a purchase or sale of a security that is discussed in this report,or is included or discussed in another communication (oral or written) from a Deutsche Bank analyst, Deutsche Bank mayact as principal for its own account or as agent for another person.??Deutsche Bank may consider this report in deciding to trade as principal. It may also engage in transactions, for itsown account or with customers, in a manner inconsistent with the views taken in this research report. Others withinDeutsche Bank, including strategists, sales staff and other analysts, may take views that are inconsistent with those takenin this research report. Deutsche Bank issues a variety of research products, including fundamental analysis, equity-linkedanalysis, quantitative analysis and trade ideas. Recommendations contained in one type of communication may differfrom recommendations contained in others, whether as a result of differing time horizons, methodologies, perspectivesor otherwise. Deutsche Bank and/or its affiliates may also be holding debt or equity securities of the issuers it writeson. Analysts are paid in part based on the profitability of Deutsche Bank AG and its affiliates, which includes investmentbanking, trading and principal trading revenues.??Opinions, estimates and projections constitute the current judgment of the author as of the date of this report. They donot necessarily reflect the opinions of Deutsche Bank and are subject to change without notice. Deutsche Bank providesliquidity for buyers and sellers of securities issued by the companies it covers. Deutsche Bank research analysts sometimeshave shorter-term trade ideas that may be inconsistent with Deutsche Bank's existing longer-term ratings. Trade ideasfor equities can be found at the SOLAR link at http://gm.db.com. A SOLAR idea represents a high-conviction belief by ananalyst that a stock will outperform or underperform the market and/or a specified sector over a time frame of no less thantwo weeks and no more than six months. In addition to SOLAR ideas, analysts may occasionally discuss with our clients,and with Deutsche Bank salespersons and traders, trading strategies or ideas that reference catalysts or events that mayhave a near-term or medium-term impact on the market price of the securities discussed in this report, which impactmay be directionally counter to the analysts' current 12-month view of total return or investment return as describedherein. Deutsche Bank has no obligation to update, modify or amend this report or to otherwise notify a recipient thereofif an opinion, forecast or estimate changes or becomes inaccurate. Coverage and the frequency of changes in marketconditions and in both general and company-specific economic prospects make it difficult to update research at definedintervals. Updates are at the sole discretion of the coverage analyst or of the Research Department Management, and themajority of reports are published at irregular intervals. This report is provided for informational purposes only and doesnot take into account the particular investment objectives, financial situations, or needs of individual clients. It is not anoffer or a solicitation of an offer to buy or sell any financial instruments or to participate in any particular trading strategy.Target prices are inherently imprecise and a product of the analyst ’ s judgment. The financial instruments discussedin this report may not be suitable for all investors, and investors must make their own informed investment decisions.Prices and availability of financial instruments are subject to change without notice, and investment transactions can leadto losses as a result of price fluctuations and other factors. If a financial instrument is denominated in a currency otherthan an investor's currency, a change in exchange rates may adversely affect the investment. Past performance is notnecessarily indicative of future results. Performance calculations exclude transaction costs, unless otherwise indicated.Unless otherwise indicated, prices are current as of the end of the previous trading session and are sourced from localexchanges via Reuters, Bloomberg and other vendors. Data is also sourced from Deutsche Bank, subject companies, andother parties.??The Deutsche Bank Research Department is independent of other business divisions of the Bank. Details regardingorganizational arrangements and information barriers we have established to prevent and avoid conflicts of interest withrespect to our research are available on our website under Disclaimer, found on the Legal tab.??


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Macroeconomic fluctuations often account for most of the risks associated with exposures to instruments that promiseto pay fixed or variable interest rates. For an investor who is long fixed-rate instruments (thus receiving these cashflows), increases in interest rates naturally lift the discount factors applied to the expected cash flows and thuscause a loss. The longer the maturity of a certain cash flow and the higher the move in the discount factor, thehigher will be the loss. Upside surprises in inflation, fiscal funding needs, and FX depreciation rates are among themost common adverse macroeconomic shocks to receivers. But counterparty exposure, issuer creditworthiness, clientsegmentation, regulation (including changes in assets holding limits for different types of investors), changes in taxpolicies, currency convertibility (which may constrain currency conversion, repatriation of profits and/or liquidation ofpositions), and settlement issues related to local clearing houses are also important risk factors. The sensitivity of fixed-income instruments to macroeconomic shocks may be mitigated by indexing the contracted cash flows to inflation, toFX depreciation, or to specified interest rates – these are common in emerging markets. The index fixings may – byconstruction – lag or mis-measure the actual move in the underlying variables they are intended to track. The choice ofthe proper fixing (or metric) is particularly important in swaps markets, where floating coupon rates (i.e., coupons indexedto a typically short-dated interest rate reference index) are exchanged for fixed coupons. Funding in a currency that differsfrom the currency in which coupons are denominated carries FX risk. Options on swaps (swaptions) the risks typical tooptions in addition to the risks related to rates movements.??Derivative transactions involve numerous risks including market, counterparty default and illiquidity risk. Theappropriateness of these products for use by investors depends on the investors' own circumstances, including theirtax position, their regulatory environment and the nature of their other assets and liabilities; as such, investors shouldtake expert legal and financial advice before entering into any transaction similar to or inspired by the contents of thispublication. The risk of loss in futures trading and options, foreign or domestic, can be substantial. As a result of thehigh degree of leverage obtainable in futures and options trading, losses may be incurred that are greater than theamount of funds initially deposited – up to theoretically unlimited losses. Trading in options involves risk and is notsuitable for all investors. Prior to buying or selling an option, investors must review the "Characteristics and Risks ofStandardized Options”, at http://www.optionsclearing.com/about/publications/character-risks.jsp. If you are unable toaccess the website, please contact your Deutsche Bank representative for a copy of this important document.??Participants in foreign exchange transactions may incur risks arising from several factors, including: (i) exchange rates canbe volatile and are subject to large fluctuations; (ii) the value of currencies may be affected by numerous market factors,including world and national economic, political and regulatory events, events in equity and debt markets and changes ininterest rates; and (iii) currencies may be subject to devaluation or government-imposed exchange controls, which couldaffect the value of the currency. Investors in securities such as ADRs, whose values are affected by the currency of anunderlying security, effectively assume currency risk.??Deutsche Bank is not acting as a financial adviser, consultant or fiduciary to you or any of your agents with respect toany information provided in this report. Deutsche Bank does not provide investment, legal, tax or accounting advice, andis not acting as an impartial adviser. Information contained herein is being provided on the basis that the recipient willmake an independent assessment of the merits of any investment decision, and is not meant for retirement accounts orfor any specific person or account type. The information we provide is directed only to persons we believe to be financiallysophisticated, who are capable of evaluating investment risks independently, both in general and with regard to particulartransactions and investment strategies, and who understand that Deutsche Bank has financial interests in the offering ofits products and services. If this is not the case, or if you or your agent are an IRA or other retail investor receiving thisdirectly from us, we ask that you inform us immediately.

Unless governing law provides otherwise, all transactions should be executed through the Deutsche Bank entity in theinvestor's home jurisdiction. Aside from within this report, important risk and conflict disclosures can also be found athttps://gm.db.com on each company ’ s research page and under the "Disclosures Lookup" and "Legal" tabs. Investorsare strongly encouraged to review this information before investing.

United States: Approved and/or distributed by Deutsche Bank Securities Incorporated, a member of FINRA, NFA and SIPC.Analysts located outside of the United States are employed by non-US affiliates that are not subject to FINRA regulations,including those regarding contacts with issuer companies.??


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30 November 2017

US ETF Compass

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30 November 2017

US ETF Compass

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David Folkerts-LandauGroup Chief Economist and Global Head of Research

Raj HindochaGlobal Chief Operating Officer

Research

Michael SpencerHead of APAC Research

Global Head of Economics

Steve PollardHead of Americas Research

Global Head of Equity Research

Anthony KlarmanGlobal Head ofDebt Research

Paul ReynoldsHead of EMEA

Equity Research

Dave ClarkHead of APAC

Equity Research

Pam FinelliGlobal Head of

Equity Derivatives Research

Andreas NeubauerHead of Research - Germany

Spyros MesomerisGlobal Head of Quantitative

and QIS Research

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Documents

US ETF Compass 30 November 2017 Synthetic Equity & … November 2017 US ETF Compass North America Synthetic Equity & Index Strategy US ETF Compass Date 30 November 2017 Deutsche Bank