US ETF Compass...AUM) while the largest ETF in the segment (USO) recorded some of the lowest level of short interest in the last 12 months. Therefore with such inconsistency and the

Deutsche Bank Markets Research

North America

United States

Synthetic Equity & Index Strategy

US ETF Compass

Date

9 December 2015

YTD Flows ahead of last year driven by strong $26bn inflows on November

ETF Monthly 2.0: Evolving content for an evolving industry

________________________________________________________________________________________________________________

Deutsche Bank Securities Inc.

Deutsche Bank does and seeks to do business with companies covered in its research reports. Thus, investors should be aware that the firm may have a conflict of interest that could affect the objectivity of this report. Investors should consider this report as only a single factor in making their investment decision. DISCLOSURES AND ANALYST CERTIFICATIONS ARE LOCATED IN APPENDIX 1.MCI (P) 124/04/2015.

Author

Sebastian Mercado, CFA

Strategist

(+1) 212 250-8690

[email protected]

Team Contacts

Hallie Martin

Strategist

(+1) 212 250-7994

[email protected]

Srineel Jalagani

Strategist

(+1) 212 250-2060

[email protected]

Recent research Date

TAARSS says prefer US Equities into year-end

07 Dec 2015

Financials and The Fed through the ETF lens

13 Nov 2015

Position for USD Strength with Delta-1 Products

05 Nov 2015

Source: Deutsche Bank

Find out the latest ETF developments in our monthly insights, navigate the markets with our asset allocation dashboards, get ideas for your product strategy from our business intelligence analysis, and get a clean industry picture from our ETF statistics.

November saw very strong equity flows (+$25bn), despite weak performance across asset classes Although November was a weak month for most asset classes across equities, rates, credit, and commodities, ETPs still registered $26bn in inflows. At a broad asset class level, the dollar was the main winner with the bullish USD ETF (UUP) up 3.3% for the month. Small Caps (+3.3%) and Banks (4.6%-6.6%) in the US were also strong. Global equity markets were 0.5% down in the same period; however Equity ETFs received very strong inflows (+$25bn), mostly driven by ETFs with US (+$19.6bn) and Global ex-US regional (+$4.2bn) focus. As of Nov 30th, the industry reached $2.13 trillion in assets for an YTD growth of 7.6%.

Smart Beta and Currency Hedge products continue to dominate new listings Last month launches were dominated by low risk, multi-factor, and currency hedged equity ETFs. Actually since the beginning of the year, Smart Beta and Currency Hedged Equity ETFs have raised $63bn and $46bn in cash, respectively.

Low Risk ETFs organic growth has been six times faster than the rest of Equity ETFs in the last 12M During the last 12 months we have seen resurgence in the Low Risk theme with this group of ETFs recording a relative organic growth 6 times larger than the rest of Equity ETFs excluding Low Risk products. Moreover, on an absolute basis, Low Risk ETFs gathered $9.6bn of inflows in the same period, reaching a level of assets of $23.8bn as of the end of November.

Expect big inflows from December’s ETF Seasonal effect ETFs have exhibited clear seasonality patterns in the last 15 years, particularly in the case of SPY. Based on seasonal patterns and recent flow trends, we could easily see about $10bn-$15bn of inflows going into SPY, and another strong month of $20bn-$25bn inflows for ETFs in December

The time of the “Tax-Loss-Harvests” has arrived Using capital losses to offset capital gains within the fund has been a common method used by investors to improve the tax-efficiency of a fund. We provide two lists of ETFs which can provide suitable implementation for stock-ETF and ETF-ETF replacement strategies, respectively.

Systemic risk from Leveraged & Inverse ETFs is misunderstood and overstated Even under the worst (and very unlikely) scenario in which Leveraged and Inverse ETFs would have to redeem their assets all at once, we believe that the impact would not pose a systemic risk for the following reasons: (1) Actual assets and levered notional are relatively small compared to the rest of the markets, (2) many exposures offset each other, reducing the actual market activity required to liquidate positions, and (3) assets are highly diversified across hundreds of securities which in most cases are highly liquid.

9 December 2015

US ETF Market Monthly Review

Page 2 Deutsche Bank Securities Inc.

Table Of Contents

ETF Monthly Insights ........................................................... 3 Monthly global market trends through the ETF lens ........................................... 3 The ETF barometer: strong inflows to Equity ETFs (+$25bn) .............................. 3 Low Risk ETFs growing faster than the rest of Equity ETFs ................................ 4 Expect big inflows from December’s ETF Seasonal effect .................................. 6 The time of the “Tax-Loss-Harvest” has arrived .................................................. 7 Is the systemic risk threat from Leveraged & Inverse ETFs real? Not so much .. 8

Asset Allocation dashboard ............................................... 11 Global Multi Asset Allocator heatmaps .............................................................. 11 US Equity Allocator heatmaps ........................................................................... 13 International Equity Allocator heatmaps ............................................................ 15 Cross Asset Correlations (3Y) ............................................................................. 17 12-Month Relative Performance Monitor .......................................................... 18 House View Portfolio: Monthly Brief .................................................................. 19

Business Intelligence ......................................................... 20 New Listings ....................................................................................................... 20 Delistings ............................................................................................................ 22 Trends in products launched in the last 12 months ........................................... 23 Popular Product Segments: Smart Beta & Currency Hedged ........................... 24 Average Performance by Product Type and Size (Equity) ................................. 25 Total Expense Ratio X-ray .................................................................................. 27

ETF Statistics ..................................................................... 28 Global ETF Assets and Provider Ranking ........................................................... 28 US Historical ETF trends ..................................................................................... 29 ETF Issuer and Index Provider league tables ..................................................... 30 Monthly Snapshot .............................................................................................. 32 Top 15 ETFs (includes ETNs) .............................................................................. 38

Appendix A: ETN Snapshot ............................................... 39

Appendix B: ETF List ......................................................... 40

Appendix C: Definitions ..................................................... 43 ETP Universe Definitions .................................................................................... 43 Management Style or Product Strategy Definitions .......................................... 43 Product Type Definitions .................................................................................... 44

9 December 2015


Deutsche Bank Securities Inc. Page 3

ETF Monthly Insights

Monthly global market trends through the ETF lens

With Central Bank talk and expectations coming from both sides of the

Atlantic, the US dollar took center stage during last month. November was a

weak month for most asset classes across equities, rates, credit, and

commodities. The dollar was the main winner with the bullish USD ETF (UUP)

up 3.3% for the month. Within equities US small caps were particularly strong

(+3.3%) reversing their previous month underperformance; while Japan was

also on the positive side (+0.5%). However, other asset classes such as EM

equities (-2.5%), US Treasuries (-0.4%), Corporate credit (-0.15% for IG and

-2.5% for HY), and Commodities (-6.6%) were all on the weak side.

Activity in the commodity space caught our attention. Energy, particularly

Crude Oil (-12.7%), recorded a weak performance with strong inflows (>20% of

AUM) while the largest ETF in the segment (USO) recorded some of the lowest

level of short interest in the last 12 months. Therefore with such inconsistency

and the price of oil near lows not seen since 2004 we can only infer that the

picture for oil remains both challenging and speculative. Also within

commodities, we saw significant divergence within the precious metals space

with Gold outperforming Platinum and Palladium by more than 15%.

Within US equity sectors and industries, Financial industries were particularly

strong with Regional Banks (+6.6%), Large Banks (+4.6%), and Capital

Markets (+4.9%) recording some of the strongest readings for November. In

the meantime, commodity related segments such as MLPs (-7.7%) and Metals

and Mining (-6.6%) were the weakest ones. Furthermore, healthy inflows

continue to be seen across most of the sectors and industries with the

exception of Utilities, and Healthcare which has recently began to turn

negative. While in terms of volatility, Energy and Metals and Mining continue

to be the most volatile segments.

In international equity markets, developed markets continue to fare better

compared to emerging markets recording better performance, healthier flows,

and lower volatility.

In terms of correlation trends, we observed that the correlation between US

equities and other equities have been on the rise and stood in the 0.8-0.9

positive range at the end of last month.

For full details please refer to the information contained in Figure 12 through

Figure 30 within the Asset Allocation dashboard section.

The ETF barometer: strong inflows to Equity ETFs (+$25bn)

November recorded a very strong month in terms of inflows for ETFs, which

gathered $26bn of inflows driven by $25bn of inflows into Equity products.

Within Equity, funds with US, and global ex-US regional focus received

$19.6bn and $4.2bn of inflows, respectively. The strong flows pushed industry

assets to $2.13 trillion or 7.6% growth YTD at the end of November.

9 December 2015



Smart Beta products continue to gain traction among ETF investors. Last

month they gathered $7.9bn in inflows, helping to take YTD inflows to $63bn

or over 30% of the total inflows received by the industry in the period. In

addition, Smart Beta ETFs represent about 50% of the 263 products and

$7.8bn in assets raised in new products launched in the last 12 months.

Another product trend which has seen significant interest from investors is

currency hedged equity ETFs. As of the end of November, they had gathered

$46bn in new money on an YTD basis with $1bn coming in during last month.

Overall, assets in currency hedged products reached almost $70bn on last Nov

30th. Furthermore, new product activity has been very strong in the last 12

months with 53 products out of the total 82 ETFs launched during this period1.

Total ETP turnover was $1.32 trillion last month down 21% from the previous

month as Volatility stabilized at lower levels relative to recent August highs.

Furthermore, ETF turnover represented 24% of all cash equity traded in the US

during November, slightly below its 12-month average of 26%.

ETF organic growth continues to eclipse that of Mutual Funds. As of the end of

October 2015, ETFs had gathered $170bn in inflows while Mutual Funds had

experienced outflows of $16bn. Moreover, when we looked at the passive

versus active breakdown by striping index mutual funds away from the mutual

fund numbers the picture is even more decisive with passive ETFs and Mutual

Funds receiving $309bn of inflows compared to outflows of $156bn for active

ETFs and Mutual Funds.

Additional details can be found in the Business Intelligence and ETF Statistics

sections.

Low Risk ETFs growing faster than the rest of Equity ETFs

Low Risk ETFs aim to offer downside protection, while

trying to capture as much of the upside in stock prices

moves they can. They come in many different flavors.

The most prominent ones are the ones following the

MSCI Minimum Volatility (offered by iShares), and the

S&P Low Volatility (offered by PowerShares) index

families. Nevertheless, investors can find several

variations adding currency hedging, high dividend, low

beta, downside risk hedging using VIX futures, dynamic

allocation using trend following systems, and defensive

equities, just to name a few.

Since the concept of low risk ETFs took shape back in

2011, this group of ETFs has been receiving significant

attention. Particularly, during the last 12 months we have

seen resurgence in the Low Risk theme with this group

of ETFs recording a relative organic growth 6 times larger

than the rest of Equity ETFs excluding Low Risk products (Figure 1). Moreover,

on an absolute basis, Low Risk ETFs have gathered $742m, $2.0bn, and

$9.6bn of inflows in the last 1-month, 3-month, and 12-month periods,

respectively. Overall, we were tracking 43 Low Risk ETFs with assets of

1 See Martin, Hallie. “Position for USD Strength with Delta-1 Products” for more on FX hedged ETFs

Figure 1: Equity Low Risk vs Equity ex Low Risk ETFs

organic growth during the last 12 months

(10)

0

10

20

30

40

50

60

70

80

No

rmalize

d D

aily C

um

. N

et

Cash

Flo

ws a

s %

AU

M

Eq - Low Risk Equity ex Low Risk

Source: Deutsche Bank, Bloomberg Finance LP

http://pull.db-gmresearch.com/cgi-bin/pull/DocPull/720-F48B/78446870/0900b8c08a630cc8.pdf

9 December 2015



$23.8bn as of the end of last month. Figure 2 presents a list of the top 15 Low

Risk ETFs by assets.

Figure 2: Top 15 Low Risk ETFs by AUM

5-Day $ 5-Day bps

US Min Vol USMV iShares MSCI USA Minimum Volatility ETF 20-Oct-11 0.15% 6,854 64 844 908 0.01 2.7

US Low Vol SPLV PowerShares S&P 500 Low Volatility Portfolio 5-May-11 0.25% 5,171 52 877 929 0.01 2.7

DM Intl Min Vol EFAV iShares MSCI EAFE Minimum Volatility ETF 20-Oct-11 0.20% 3,809 47 246 293 0.06 8.6

EM Min Vol EEMV iShares MSCI Emerging Markets Minimum Volatility ETF 20-Oct-11 0.25% 2,704 30 67 97 0.05 10.8

Global Min Vol ACWV iShares MSCI All Country World Minimum Volatility ETF 20-Oct-11 0.20% 2,275 12 516 528 0.10 13.6

US High Div Low Vol SPHD PowerShares S&P 500 High Dividend Low Volatility Portfolio18-Oct-12 0.30% 553 3 300 303 0.03 8.9

US Downside Hedge PHDG PowerShares S&P 500 Downside Hedged Portfolio 6-Dec-12 0.39% 378 3 523 525 0.03 11.3

US Equity/Cash Trend-based PTLC Pacer Trendpilot 750 ETF 12-Jun-15 0.60% 300 3 4,943 4,946 0.04 15.8

DM Intl Low Vol IDLV PowerShares S&P International Developed Low Volatility Portfolio13-Jan-12 0.25% 222 7 73 79 0.10 33.0

US Defensive DEF Guggenheim Defensive Equity ETF 15-Dec-06 0.65% 175 1 79 80 0.02 6.8

EU Fx hedged Low Vol FXEU PowerShares Europe Currency Hedged Low Volatility Portfolio7-May-15 0.25% 171 0 62 62 0.06 24.3

EM Low Vol EELV PowerShares S&P Emerging Markets Low Volatility Portfolio13-Jan-12 0.29% 144 4 56 59 0.05 23.0

US Small Cap Low Vol XSLV PowerShares S&P SmallCap Low Volatility Portfolio 15-Feb-13 0.25% 138 1 23 24 0.09 26.8

US Mid Cap Low Vol XMLV PowerShares S&P MidCap Low Volatility Portfolio 15-Feb-13 0.25% 117 1 143 144 0.05 15.7

DM Intl Low Beta Equal Wgt IDLB PowerShares FTSE International Low Beta Equal Weight Portfolio5-Nov-15 0.45% 115 6 27 33 0.16 62.3

TERAUM

$M

20D ADV

$M

Implied

Liq. $M

Total

Liq. $M

Avg. Bid/Ask SpreadsInvestment Focus Ticker ETF Name Listing Date

Source: Deutsche Bank, Bloomberg Finance LP. Data as of Dec 7, 2015.

Although they share a common objective (i.e. reduce risk), their different

methodologies give origin to significant differences among them. Some of the

most notorious differences are their sector or country allocation, while others

relate to the level of cash the fund may hold. For example, MSCI’s Minimum

Volatility strategy employs the Barra factor model to optimize a portfolio for the

minimum total volatility subject to sector/country, style, and single-stock

concentration constraints relative to the standard market-cap weighted parent

index; while S&P’s Low Volatility strategy selects a sample of the stocks with

the lowest realized volatility during the last 252 trading days, and then weights

its constituents according to the inverse of their volatility giving the largest

weight to the least volatile components. Figure 3 presents a comparison of

these two popular strategies in their US-focused ETF versions (USMV-MSCI,

SPLV-S&P).

Figure 3: Low Volatility vs. Minimum Volatility Sector comparison – US-

focused ETFs

0% 5% 10% 15% 20% 25% 30%

Cons. Disc

Cons. Stap.

Energy

Financials

Healthcare

Industrials

Materials

Technology

Telecom

UtilitiesSPLV

USMV

Source: Deutsche Bank, Bloomberg Finance LP.

For a more in depth discussion about Low Risk ETF/index methodologies, refer

to our colleague Hallie Martin’s work published previously. Her most recent

paper on the subject discuses the significant risk/return profile differences

exhibited by EEMV (MSCI EM Min Vol) compared to EEM (MSCI EM)

http://pull.db-gmresearch.com/cgi-bin/pull/DocPull/1062-09DD/24099603/0900b8c08a51de50.pdf

http://pull.db-gmresearch.com/cgi-bin/pull/DocPull/1062-09DD/24099603/0900b8c08a51de50.pdf

9 December 2015



Expect big inflows from December’s ETF Seasonal effect

ETP flows have presented a clear seasonality pattern over the last 15 years.

Average monthly flows usually begin on the low end of their range in January

and then tend to follow an uptrend towards the end of the year. Between

January and December there is clearly a slowdown period during the summer,

particularly in the month of August, however this has often been quickly

leveled out in the month of September. In addition, we noticed that on average

no month has experienced negative flows consistently which is partly due to

ETFs being still a product on growth phase (Figure 4).

The flow dynamics of the month of December are of particular interest to us.

Actually, when we analyzed the average flows for all products, December

registered the highest magnitude in all of the periods analyzed (5, 10, and 15

years). However, the real force driving these flows is far from being consensus

and is more related to the way market participants use some ETFs around the

year end. More specifically, the way investors use pseudo futures ETFs, like

SPY, for non-asset allocation purposes such as tax loss harvesting, cash

equitization, window dressing, etc. creates a clear disparity between pseudo

futures ETF flows and the ETF flows of other products which are more asset

allocation driven such as Asset Allocation and Cash Management ETFs.

In the last 15 years, SPY, in average, has received its largest monthly flows

during the month of December, after which those flows tend to leave the fund

during the months of January and February. This dynamic determines the

unique uptrend linear pattern from January to December for SPY. We should

also note that SPY flows also exhibit a slowdown during the month of August

(Figure 5).

Figure 6 presents the average monthly flow trends for all ETPs excluding

Pseudo Futures products such as SPY. The idea of this sample of products

which includes Asset Allocation, Cash Management, and Leveraged and

Inverse ETPs is to provide a sample of flows that better represents the behavior

of asset allocators using ETFs for investment purposes rather than for other

operational or short term purposes. The flow seasonality pattern is significantly

different than that of SPY in this case. In fact, flows tend to start strong in the

first months of the year as investors position their portfolios for the year and

then trend lower towards the end of the year. Average flows have been

positive for every month, and have clearly increased over the years.

Nevertheless, this group of ETPs also exhibits signs of a summer slowdown.

Figure 4: Avg. Monthly Net Cash

Flows - ETPs


Flows - SPY


Flows – ETPs ex Pseudo Futures

-

5,000

10,000

15,000

20,000

25,000

30,000

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec

Avg

. M

on

thly

Net

Cash

Flo

ws f

or

ET

Ps

($M

M)

5Y Avg

10Y Avg

15Y Avg

(15,000)

(10,000)

(5,000)

-

5,000

10,000

15,000


Avg

. M

on

thly

Net

Cash

Flo

ws f

or

SP

Y

($M

M)

5Y Avg

10Y Avg

15Y Avg

-

5,000

10,000

15,000

20,000

25,000


Avg

. M

on

thly

Net

Cash

Flo

ws f

or

ET

Ps

ex P

seu

do

Fu

ture

s E

TP

s ($

MM

)

5Y Avg

10Y Avg

15Y Avg

Source: Deutsche Bank, Bloomberg Finance LP. Only completed periods are considered in the Monthly Averages

9 December 2015



Based on seasonal patterns and recent flow trends, we could easily see about

$10bn-$15bn of inflows going into SPY, and another strong month of $20bn-

$25bn inflows for ETPs in December. A favorable market reading of the Fed’s

decision on the 16th, could boost inflows even further, while a less favorable

reading could put some pressure on our estimate for flows.

The time of the “Tax-Loss-Harvest” has arrived

Using capital losses to offset capital gains within the fund (aka tax-loss

harvesting) has been a common method used by investors to improve the tax-

efficiency of a fund. When engaging in tax-loss harvesting, investors look to

replace their losing stock or security with a substantially different one which

allows them to maintain the exposure to their objective or benchmark in the

best possible way; while realizing the losses on the liquidated positions.

Based on YTD total returns, most of the candidates for tax-loss harvesting

within equities are related to either sectors or countries exhibiting commodity-

dependency. In Figure 7, we present a list of specific equity segment

candidates given their YTD total return. Each of the ETFs mentioned represents

a liquid and investable instrument for each respective asset class. This list can

provide accessible and liquid tools for stock portfolio managers looking to

replace some stocks while trying to maintain exposure to their sector or

benchmark.

Figure 7: Equity ETF segments with significant YTD losses

5-Day $ 5-Day bps

Metals & Minig XME -50% SPDR S&P Metals and Mining ETF 22-Jun-06 0.35% 239 34 38 72 0.01 6.5

Greece GREK -38% Global X FTSE Greece 20 ETF 8-Dec-11 0.65% 255 6 0 6 0.03 29.8

MLPs AMLP -36% Alerian MLP ETF 25-Aug-10 0.85% 6,092 169 65 234 0.01 9.2

Brazil EWZ -35% iShares MSCI Brazil Capped ETF 10-Jul-00 0.62% 1,949 475 112 586 0.01 4.3

Peru EPU -34% iShares MSCI Peru Capped ETF 22-Jun-09 0.62% 112 3 0 3 0.05 25.3

Turkey TUR -29% iShares MSCI Turkey ETF 28-Mar-08 0.62% 320 12 7 19 0.08 20.6

Latin America ILF -29% iShares Latin America 40 ETF 26-Oct-01 0.49% 591 10 62 71 0.03 11.0

Indonesia EIDO -25% iShares MSCI Indonesia ETF 7-May-10 0.62% 266 14 1 15 0.02 9.1

Global Natural Resources GNR -25% SPDR S&P Global Natural Resources ETF 13-Sep-10 0.40% 502 7 197 203 0.07 21.6

Global Natural Resources GUNR -24% FlexShares Mstar Global Upstream Natural Resources Index Fund22-Sep-11 0.48% 1,779 15 88 102 0.04 14.5

Gold Miners GDX -23% Market Vectors Gold Miners ETF 22-May-06 0.52% 4,410 715 15 730 0.01 7.1

Canada EWC -23% iShares MSCI Canada ETF 12-Mar-96 0.47% 1,830 44 356 399 0.01 4.4

Malaysia EWM -21% iShares MSCI Malaysia ETF 12-Mar-96 0.47% 272 16 20 37 0.01 9.8

Energy XLE -21% Energy Select Sector SPDR Fund 22-Dec-98 0.14% 11,018 1,219 1,449 2,668 0.01 1.6

Chile ECH -20% iShares MSCI Chile Capped ETF 16-Nov-07 0.62% 199 11 6 17 0.04 12.4

Vietnam VNM -20% Market Vectors Vietnam ETF 14-Aug-09 0.76% 408 6 1 7 0.04 25.2

Thailand THD -19% iShares MSCI Thailand Capped ETF 28-Mar-08 0.62% 221 10 12 23 0.13 20.4

Singapore EWS -18% iShares MSCI Singapore ETF 12-Mar-96 0.47% 585 13 74 88 0.01 9.7

EM EEM -16% iShares MSCI Emerging Markets ETF 7-Apr-03 0.67% 21,796 2,048 438 2,486 0.01 3.0

EM VWO -15% Vanguard FTSE Emerging Markets ETF 3-Mar-05 0.15% 35,037 627 0 627 0.01 3.0

Australia EWA -14% iShares MSCI Australia ETF 12-Mar-96 0.47% 1,347 40 413 453 0.01 5.2

Mexico EWW -14% iShares MSCI Mexico Capped ETF 12-Mar-96 0.47% 1,193 126 18 145 0.01 2.1

India EPI -13% WisdomTree India Earnings Fund 22-Feb-08 0.83% 1,598 77 43 120 0.01 5.2

China FXI -12% iShares China Large-Cap ETF 8-Oct-04 0.74% 5,602 835 296 1,131 0.01 2.7

Spain EWP -12% iShares MSCI Spain Capped ETF 12-Mar-96 0.48% 1,448 34 117 151 0.01 3.3

International Dividends IDV -12% iShares International Select Dividend ETF 15-Jun-07 0.50% 2,892 22 47 69 0.01 4.4

India INDA -11% iShares MSCI India ETF 2-Feb-12 0.67% 3,470 57 100 156 0.01 3.8

Taiwan EWT -11% iShares MSCI Taiwan ETF 20-Jun-00 0.62% 2,876 114 119 233 0.01 7.4

Pacific ex Japan EPP -11% iShares MSCI Pacific ex Japan ETF 25-Oct-01 0.49% 1,950 13 242 256 0.02 5.9

Philippines EPHE -11% iShares MSCI Philippines ETF 29-Sep-10 0.62% 244 9 2 11 0.07 19.4

Materials XLB -8% Materials Select Sector SPDR Fund 22-Dec-98 0.14% 2,177 283 614 897 0.01 2.2

TER AUM $M20D ADV

$M

Implied

Liq. $M

Total

Liq. $M

Avg. Bid/Ask SpreadsInvestment Focus Ticker ETF Name Listing Date

YTD

Return

Source: Deutsche Bank, Bloomberg Finance LP., FactSet

9 December 2015



Figure 8 presents different alternatives for product replacement for asset

managers running ETF portfolios. We provide multiple investable alternatives

for tax-loss harvesting across 7 different equity segments. Along with the

ticker of the ETF we provide the YTD total return, total expense ratio, and the

YTD correlation of the daily total returns to other ETF candidates. Equity

segments were selected based on their YTD total returns and the availability of

enough (4 or more) investable ETFs within each segment. ETFs were selected

based on their asset size and liquidity characteristics; in addition to the

correlation of their returns within each segment.

Figure 8: Possible tax-loss harvesting equity segments and ETF candidates for replacement

XME PICK SIL SGDM GDX HAP GDXJ MXI IYM VAW FXZ XLB

Metals & Mining XME -50.3% 0.35% 0.75 0.63 0.59 0.60 0.80 0.56 0.91 0.92 0.88 0.92 0.47% -16.9% MXI Materials

Metals & Mining PICK -43.2% 0.39% 0.75 0.46 0.37 0.39 0.84 0.37 0.91 0.99 0.94 0.99 0.43% -12.4% IYM Materials

Metals & Mining SIL -32.1% 0.65% 0.63 0.46 0.95 0.94 0.54 0.93 0.92 0.99 0.96 0.99 0.14% -9.3% VAW Materials

Metals & Mining SGDM -24.1% 0.57% 0.59 0.37 0.95 0.99 0.47 0.94 0.88 0.94 0.96 0.94 0.70% -8.8% FXZ Materials

Metals & Mining GDX -23.4% 0.52% 0.60 0.39 0.94 0.99 0.48 0.95 0.92 0.99 0.99 0.94 0.14% -7.8% XLB Materials

Metals & Mining HAP -20.1% 0.49% 0.80 0.84 0.54 0.47 0.48 0.44

Metals & Mining GDXJ -19.3% 0.54% 0.56 0.37 0.93 0.94 0.95 0.44

Category TickerYTD

ReturnTER XOP FXN VDE IXC OIH IYE XLE YMLP ZMLP MLPA AMLP EMLP TER

YTD

ReturnTicker Category

Energy XOP -31.8% 0.35% 0.96 0.92 0.87 0.88 0.92 0.91 0.90 0.77 0.71 0.75 0.82% -53.8% YMLP MLPs

Energy FXN -30.8% 0.70% 0.96 0.96 0.92 0.95 0.95 0.95 0.90 0.88 0.81 0.84 0.65% -43.9% ZMLP MLPs

Energy VDE -22.3% 0.14% 0.92 0.96 0.97 0.91 1.00 1.00 0.77 0.88 0.92 0.84 0.45% -39.1% MLPA MLPs

Energy IXC -22.0% 0.47% 0.87 0.92 0.97 0.89 0.97 0.97 0.71 0.81 0.92 0.78 0.85% -35.5% AMLP MLPs

Energy OIH -21.7% 0.35% 0.88 0.95 0.91 0.89 0.91 0.90 0.75 0.84 0.84 0.78 0.95% -29.0% EMLP MLPs

Energy IYE -21.5% 0.43% 0.92 0.95 1.00 0.97 0.91 1.00

Energy XLE -20.5% 0.14% 0.91 0.95 1.00 0.97 0.90 1.00

Category TickerYTD

ReturnTER PID DWX IDV FGD SDIV EPI INDY INDA PIN TER

YTD


Intl Dividends PID -18.6% 0.56% 0.91 0.87 0.90 0.89 0.95 0.94 0.94 0.83% -12.9% EPI India

Intl Dividends DWX -16.9% 0.45% 0.91 0.94 0.94 0.93 0.95 0.97 0.97 0.93% -12.0% INDY India

Intl Dividends IDV -12.0% 0.50% 0.87 0.94 0.97 0.94 0.94 0.97 0.97 0.67% -11.4% INDA India

Intl Dividends FGD -10.6% 0.60% 0.90 0.94 0.97 0.95 0.94 0.97 0.97 0.81% -11.0% PIN India

Intl Dividends SDIV -9.5% 0.58% 0.89 0.93 0.94 0.95

Category TickerYTD

ReturnTER PXH DEM FNDE SCHE EEM VWO DGS IEMG FEM EWX ECON EEMV

EM PXH -21.3% 0.49% 0.97 0.97 0.96 0.96 0.96 0.92 0.96 0.95 0.88 0.89 0.93

EM DEM -19.8% 0.63% 0.97 0.97 0.95 0.95 0.95 0.93 0.95 0.94 0.87 0.88 0.93

EM FNDE -18.9% 0.46% 0.97 0.97 0.95 0.96 0.95 0.92 0.96 0.94 0.87 0.89 0.93

EM SCHE -15.5% 0.15% 0.96 0.95 0.95 0.99 0.99 0.96 0.99 0.96 0.93 0.92 0.97

EM EEM -15.5% 0.67% 0.96 0.95 0.96 0.99 0.99 0.96 0.99 0.95 0.92 0.92 0.97

EM VWO -15.3% 0.15% 0.96 0.95 0.95 0.99 0.99 0.96 0.99 0.96 0.93 0.93 0.96

EM DGS -15.1% 0.63% 0.92 0.93 0.92 0.96 0.96 0.96 0.97 0.93 0.94 0.90 0.96

EM IEMG -13.8% 0.18% 0.96 0.95 0.96 0.99 0.99 0.99 0.97 0.96 0.94 0.92 0.97

EM FEM -13.3% 0.80% 0.95 0.94 0.94 0.96 0.95 0.96 0.93 0.96 0.92 0.90 0.93

EM EWX -13.2% 0.65% 0.88 0.87 0.87 0.93 0.92 0.93 0.94 0.94 0.92 0.85 0.92

EM ECON -12.4% 0.85% 0.89 0.88 0.89 0.92 0.92 0.93 0.90 0.92 0.90 0.85 0.91

EM EEMV -12.4% 0.25% 0.93 0.93 0.93 0.97 0.97 0.96 0.96 0.97 0.93 0.92 0.91

TERYTD


YTD Daily Correlation of Total ReturnsCategory Ticker

YTD

ReturnTER

Source: Deutsche Bank, FactSet. YTD data as of Dec 8, 2015 for both daily total returns utilized in correlation calculation and YTD return calculation.

The information provided in this sub-section is provided for informational

purposes and is not intended to provide specific tax advice. Specific tax

implications should be consulted with a tax advisor.

Is the systemic risk threat from Leveraged & Inverse ETFs real? Not so much

Over the years, several segments of the ETF market have come under scrutiny

following reports or speculation that ETF activity can pose systemic risks to the

underlying markets, and therefore hurt investors. This has been the case with

Small Cap, EM, High Yield, and Leveraged and Inverse ETFs (to name a few).

However, no conclusive evidence of such claims has been found.

9 December 2015



The main flaw when trying to assess the impact of ETFs in its underlying

market is to understand what type of ETF activity actually impacts the

underlying market (aka primary market) and which one doesn’t. The two

fundamental principles governing the impact on ETFs’ underlying securities

are:

Secondary ETF volume involving the exchange of ETF shares among

investors does not impact the underlying ETF securities.

Primary market activity (aka net cash flows or net creation/redemptions),

however, happens at the underlying ETF securities level, and therefore this

type of activity could potentially have an impact.

Understanding the link between Leveraged and Inverse ETFs and their

underlying primary markets

Most Leveraged and Inverse ETFs deliver their stated return objective by

holding a combination of securities (e.g. equities), cash equivalents, swaps

with multiple counterparties, and futures contracts. In practice, we can assume

that both equity and swap positions ultimately translate into primary market

positions/activity, while the other two have no impact on the primary market.

The assets of the fund usually correspond to the value of the securities and

cash held in the portfolio, while the notional of the fund also includes the value

of the derivatives positions and it is usually as many times larger than the

assets of the fund as the leverage factor sought by the fund. For example, If a

fund has $1bn in assets and a leverage factor of 2, then the notional value is

$2bn. Because securities and swaps tend to be the main holdings on most

ETFs we can say that the primary market exposure of a Leveraged or Inverse

fund is very close to its notional amount.

What is the potential primary market impact from Leveraged & Inverse ETFs?

Let’s assume a worst case scenario in which all investors decide to redeem the

assets in Leveraged and Inverse ETFs.

First, we need to look at the level of ETF assets and its notional. Assets in

Leveraged and Inverse ETFs as of the end of November 2015 were $32.9bn,

while notional assets were $72bn (Figure 9). Both of these numbers are fairly

small compared to the sizes of the ETF industry (under 5%), the mutual fund

industry (<1%), and let’s not even mention the relevant security markets.

Figure 9: Actual and Notional Assets for Leveraged and Inverse ETFs Figure 10: Days to trade Net

Notional based on ETP volume Actual Assets $MM -1 -2 -3 Short 1.25 2 3 Long Total

Equity 3,646 2,795 2,951 9,392 5 7,265 7,866 15,136 24,528

Fixed Income 1,076 2,915 691 4,682 0 114 68 181 4,863

Commodity 21 294 0 315 0 1,196 0 1,196 1,511

Currency 18 843 0 862 0 17 0 17 879

Alternative 585 0 0 585 0 528 0 528 1,112

Total 5,346 6,847 3,642 15,835 5 9,119 7,934 17,058 32,893

Notional Assets $MM -1 -2 -3 Short 1.25 2 3 Long Net

Equity (3,646) (5,589) (8,853) (18,088) 6 14,530 23,599 38,135 20,047

Fixed Income (1,076) (5,830) (2,073) (8,979) 0 227 203 430 (8,549)

Commodity (21) (588) 0 (609) 0 2,392 0 2,392 1,783

Currency (18) (1,687) 0 (1,705) 0 34 0 34 (1,671)

Alternative (585) 0 0 (585) 0 1,055 0 1,055 471

Total (5,346) (13,694) (10,926) (29,966) 6 18,238 23,802 42,047

ETP ADV

$MM ex

LevInv

Days to

Trade

Equity 20,047 54,759 0.4

Fixed Income (8,549) 5,082 1.7

Commodity 1,783 1,212 1.5

Currency (1,671) 167 10.0

Alternative 471 44 10.8

Net Notional Assets $MM

per Asset Class

Source: Deutsche Bank, Bloomberg Finance LP. Assets data as of the end of last month. ETP ADV ex LevInv is daily average for the month of November 2015.

9 December 2015



Second, the right way to look at the primary market impact is to look at the

Net Notional Assets instead of the absolute value of $72bn. In practice, some

of the underlying short and long positions on Leveraged and Inverse ETFs can

offset each other and reduce the actual activity passed onto the primary

market. In most cases, the net notional values are not only small compared to

the overall markets, but they are also small compared to the ETP’s recent daily

turnover (Figure 10). Therefore the ETF market liquidity and the liquidity of the

underlying markets could easily absorb the demands from massive

redemptions, reducing the systemic risk of such an event.

Third, the majority of the assets of Leveraged and Inverse

ETFs are concentrated on funds tracking some of the

most liquid asset class benchmarks such as US Large

Cap stocks or US Treasuries (Figure 11). Therefore

primary market exposure is highly diversified across

hundreds of liquid securities, which in turn reduces the

risk of a systemic risk episode even further.

Based on our analysis, we continue to believe that the

main risk from Leveraged and Inverse ETFs to investors

is lack of education and the wrong usage of them, and

not the product in itself. Leveraged and Inverse ETFs are

designed as trading tools, and should be used for short

term periods.

In this analysis we didn’t include Leveraged and Inverse

ETNs (such as the popular ones on the VIX), which are

not considered Funds and therefore are not affected by

the same set of rules or constraints.

Figure 11: Top 15 Leverage and Inverse ETFs

concentrating over 50% of assets

Ticker Name AUM $MM

TBT ProShares UltraShort 20+ Year Treasury 2,715

SSO ProShares Ultra S&P500 1,902

SH ProShares Short S&P500 1,732

SDS ProShares UltraShort S&P500 1,518

TQQQ ProShares UltraPro QQQ 1,402

FAS Direxion Daily Financial Bull 3x Shares 1,393

UPRO ProShares UltraPro S&P500 1,086

QLD ProShares Ultra QQQ 1,039

TNA Direxion Daily Small Cap Bull 3x Shares 964

UCO ProShares Ultra DJ-UBS Crude Oil 871

TBF ProShares Short 20+ Year Treasury 827

UYG ProShares Ultra Financials 800

BIB ProShares Ultra Nasdaq Biotechnology 780

NUGT Direxion Daily Gold Miners Index Bull 3x Shares 651

SPXL Direxion Daily S&P 500 Bull 3x Shares 616 Source: Deutsche Bank, Bloomberg Finance LP

9 December 2015



Asset Allocation dashboard

Global Multi Asset Allocator heatmaps

Figure 12: Global Multi Asset Performance and Net ETF 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 -0.53% 3.40% -5.34% -2.47% 9.29% 8.04% 1.5% 3.2% 4.7% 11.6% 17.2% 15.7%

VTI US Total Market 0.60% 5.39% -1.03% 2.50% 15.98% 14.13% 1.7% 3.6% 5.1% 7.1% 15.7% 15.5%

SPY S&P 500 (Large Cap) 0.37% 6.13% -0.15% 2.76% 15.99% 14.29% 1.4% 3.8% 5.1% 1.9% 12.0% 12.5%

MDY S&P 400 (Mid Cap) 1.34% 3.55% -3.48% 2.61% 14.86% 12.72% 1.3% 3.6% 4.8% 13.9% 17.1% 11.9%

IWM Russell 2000 (SM Cap) 3.26% 3.69% -3.17% 3.50% 14.94% 12.04% 3.7% 5.4% 8.5% 13.3% 15.8% 10.2%

EFA Intl DM -0.75% 1.13% -7.45% -2.69% 6.41% 5.44% 1.7% 3.8% 9.7% 43.6% 39.4% 28.9%

VGK Europe -1.25% 0.26% -7.42% -4.03% 6.66% 6.40% 0.6% 3.2% 15.4% 41.8% 56.8% 40.5%

EZU Eurozone -0.79% 1.50% -5.08% -3.56% 7.31% 5.31% 0.4% 4.1% 12.4% 116.1% 87.4% 72.9%

EWJ Japan 0.49% 2.15% -4.66% 7.71% 11.38% 5.41% 0.6% 1.8% 8.5% 34.4% 85.8% 53.1%

EPP Pacific ex JP -0.46% 2.80% -13.71% -12.42% -1.65% 1.58% -1.8% -4.0% -12.3% -12.5% -8.6% -7.0%

EEM EM -2.52% 0.44% -16.72% -16.32% -4.85% -3.51% -0.8% -0.3% -7.3% -5.2% -0.7% 2.3%

ILF Latin America -3.50% -6.69% -22.63% -34.46% -15.99% -12.61% 0.9% 3.0% -11.1% -27.7% -12.9% -6.4%

EEMA EM Asia -2.88% 4.18% -16.43% -10.48% 0.03% -3.2% -6.0% -13.4% 5.0% 10.9% 4.8%

GUR EM Europe -3.77% -3.42% -15.90% -22.90% -12.81% -9.10% -1.5% 4.3% -0.8% 12.5% 18.9% 10.9%

MES Middle East -7.86% -12.20% -17.23% -25.13% 5.27% 2.26%

AFK Africa -7.84% -9.01% -27.45% -32.54% -12.19% -7.94% 0.8% 5.3% 1.7% -3.0% 1.0% -2.3%

FM Frontier Market -5.57% -4.68% -13.77% -17.65% 3.46% -1.4% -2.4% -2.2% 3.6% 48.2% 30.2%

BKF BRIC -1.72% 0.78% -19.79% -15.61% -4.72% -6.08% -1.3% -4.8% -12.6% -27.9% -29.5% -20.1%

AGG Fixed Income (Broad) -0.39% 0.49% -0.07% 0.82% 1.43% 3.03% 0.1% 6.4% 9.8% 20.1% 13.9% 20.6%

GOVT US Treasury -0.40% 0.22% 0.32% 0.99% 0.88% -9.1% 0.0% 25.7% 24.0% 17.5% 13.9%

SHV Very Short -0.01% -0.01% -0.01% 0.01% 0.02% 0.03% -14.6% -7.1% 39.5% -22.4% 8.6% 1.9%

SHY Short -0.26% -0.11% -0.08% 0.28% 0.42% 0.56% -10.6% -3.6% 26.0% 41.0% 13.8% 9.2%

IEI Intermediate -0.41% 0.19% 0.35% 1.55% 0.92% 2.21% -8.1% -0.3% 23.8% 31.1% 20.2% 23.8%

TLT Long -0.87% 0.67% 0.27% 1.71% 1.94% 7.54% -7.7% 10.3% 20.5% 16.7% 19.4% 17.0%

TIP US Inflation -0.14% -0.37% -1.80% -1.79% -2.28% 2.26% 0.8% 2.8% 2.1% 12.2% -4.1% -0.4%

MUB Municipal 0.50% 1.73% 2.41% 2.69% 1.57% 4.50% 2.2% 6.7% 8.8% 26.2% 13.4% 17.8%

MBB Securitized -0.22% 0.44% 0.33% 1.47% 1.84% 2.57% 1.0% 4.1% 16.1% 28.8% 11.8% 30.5%

LQD IG Corporates -0.15% 1.61% -0.30% -0.19% 1.81% 4.98% 0.7% 7.4% 9.4% 20.1% 13.2% 23.4%

HYG HY Corporates -2.50% -2.35% -6.12% -3.87% 1.93% 5.06% -1.6% 11.1% 1.5% 11.2% 9.1% 24.6%

FLOT Corp. Floater 0.09% -0.16% -0.23% -0.03% 0.44% -1.0% -2.2% 11.8% -13.1% 110.5%

BKLN Senior Loans -1.00% -1.93% -4.10% -3.14% 1.27% -6.7% -5.0% -11.8% -14.4% 65.2%

PFF Preferred 0.66% 2.14% 1.72% 4.25% 5.78% 6.49% 4.0% 9.0% 11.0% 29.6% 12.4% 18.2%

CWB Convertible -0.67% 1.28% -4.88% -1.40% 10.15% 7.46% 4.3% -4.0% -3.7% 5.5% 46.5% 42.8%

BWX Intl DM Debt -2.41% -1.51% -2.63% -8.76% -4.61% -0.33% -2.1% -2.0% -7.1% -12.6% 3.6% 14.5%

WIP Intl Inflation -1.56% -1.14% -5.92% -11.10% -4.42% 0.90% -9.1% -15.6% -15.7% -17.4% -14.8% 0.3%

EMB EM Gov Debt USD 0.30% 1.64% -1.18% -0.20% 0.35% 4.85% 7.7% 13.8% 2.9% 6.4% -1.0% 21.2%

EMLC EM Gov Debt Local -1.65% -0.89% -9.48% -17.50% -8.54% -2.86% 1.5% 1.7% -1.1% 10.8% -0.5% 44.0%

EMCB EM Corp USD -0.95% -0.10% -5.47% -5.63% -0.81% -9.3% -20.0% -23.2% -23.8% 46.8%

HYEM EM HY Corp USD 0.70% 2.16% -3.03% 0.04% 1.61%

DBC Commodities -6.64% -9.56% -19.88% -30.51% -20.37% -10.76% -0.7% -0.5% -1.5% 1.5% -9.6% -4.9%

DBE Energy Cmdty -7.78% -15.01% -28.29% -40.03% -23.50% -12.64% 23.6% 19.8% 48.2% 207.1% 20.7% 6.3%

USO Crude Oil WTI -12.69% -18.63% -36.34% -49.45% -26.50% -18.54% 26.2% 20.7% 57.1% 342.3% 31.4% 15.1%

UNG Natural Gas -11.11% -31.34% -32.25% -58.98% -24.66% -28.37% 14.5% 21.0% 22.8% 50.0% -9.4% -7.4%

DBA Agriculture -3.62% -1.77% -6.05% -19.69% -10.75% -6.75% -0.2% -4.4% -4.7% -14.6% -9.0% -9.4%

DBB Industrial Metals -7.33% -12.34% -24.43% -30.37% -15.73% -11.72%

DBP Precious Metals -7.32% -6.01% -12.24% -9.69% -18.20% -8.19% -3.4% -3.1% -5.9% -6.6% -12.0% -6.8%

GLD Gold Physical -6.75% -6.34% -10.67% -9.09% -15.02% -5.53% -4.4% -3.2% -6.9% -5.9% -14.1% -8.0%

SLV Silver Physical -9.19% -3.93% -15.95% -9.37% -25.39% -13.30% 1.2% -2.4% 0.7% -8.2% 1.4% -1.1%

PPLT Platinum Physical -15.63% -17.95% -25.58% -31.21% -20.16% -13.52% 0.0% -7.5% -5.5% -10.3% -0.4% 6.8%

PALL Palladium Physical -19.56% -9.60% -30.25% -33.12% -7.94% -5.53% 3.4% -9.3% -19.4% -30.1% -22.4% -15.5%

UUP Bull USD 3.29% 4.07% 2.44% 11.12% 5.96% 2.11% 10.0% -6.2% -20.7% 12.4% 15.3% 2.4%

FXY JPYUSD -2.00% -1.62% 0.63% -3.99% -12.86% -7.80%

FXE EURUSD -3.96% -5.96% -4.10% -15.49% -7.10% -4.31%

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 to lowest values. Figures over 1Y are annualized. The ETFs mentioned in this figure are provided as reference and have been selected as investable and representative vehicles for each asset class considering the product’s asset 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 product 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.

9 December 2015



Figure 13: Global Multi Asset Risk and Risk-adjusted Performance Measures

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

ACWI Global Equities 10.9% 17.3% 17.5% 15.4% 12.9% 16.7% -15.1% -15.1% -24.1% (0.2) 0.7 0.5

VTI US Total Market 12.4% 16.7% 17.0% 15.0% 12.6% 15.6% -12.1% -12.1% -20.3% 0.2 1.3 0.9

SPY S&P 500 (Large Cap) 12.1% 16.5% 17.1% 15.2% 12.5% 15.2% -11.9% -11.9% -18.6% 0.2 1.3 0.9

MDY S&P 400 (Mid Cap) 14.3% 16.9% 16.7% 15.0% 13.7% 17.9% -12.5% -12.5% -26.2% 0.2 1.1 0.7

IWM Russell 2000 (SM Cap) 15.0% 19.4% 18.0% 16.6% 15.6% 20.1% -16.1% -16.1% -28.9% 0.2 1.0 0.6

EFA Intl DM 10.6% 17.9% 18.3% 16.6% 14.2% 19.2% -16.4% -16.6% -25.9% (0.2) 0.5 0.3

VGK Europe 12.6% 18.0% 18.7% 17.7% 15.3% 22.2% -16.1% -18.0% -30.2% (0.2) 0.4 0.3

EZU Eurozone 12.9% 18.3% 20.7% 20.0% 17.5% 24.8% -15.8% -20.4% -37.6% (0.2) 0.4 0.2

EWJ Japan 9.7% 21.0% 20.8% 18.0% 17.8% 18.7% -15.6% -15.6% -23.9% 0.4 0.6 0.3

EPP Pacific ex JP 16.4% 22.0% 24.1% 19.9% 16.5% 20.7% -25.6% -28.0% -28.8% (0.6) (0.1) 0.1

EEM EM 20.2% 23.9% 24.0% 21.0% 18.5% 22.2% -28.4% -30.2% -31.8% (0.8) (0.3) (0.2)

ILF Latin America 27.6% 29.0% 27.7% 27.2% 23.5% 24.3% -38.0% -49.6% -55.5% (1.3) (0.7) (0.5)

EEMA EM Asia 15.3% 23.3% 26.4% 21.8% 17.8% -31.5% -31.5% (0.5) 0.0

GUR EM Europe 24.4% 24.0% 26.8% 28.7% 24.0% 27.7% -28.7% -45.3% -54.6% (0.8) (0.5) (0.3)

MES Middle East 16.1% 20.2% 23.5% 25.6% 20.8% 20.5% -25.0% -33.5% -33.5% (1.0) 0.3 0.1

AFK Africa 18.1% 20.2% 19.6% 19.2% 16.2% 18.3% -32.5% -43.8% -43.8% (1.7) (0.8) (0.4)

FM Frontier Market 14.5% 15.8% 16.5% 16.1% 13.7% -19.4% -28.1% (1.1) 0.3

BKF BRIC 18.5% 25.5% 27.3% 24.6% 20.5% 23.3% -30.2% -30.2% -38.6% (0.6) (0.2) (0.3)

AGG Fixed Income (Broad) 2.4% 3.3% 3.6% 3.8% 3.4% 3.4% -2.9% -5.1% -5.1% 0.2 0.4 0.9

GOVT US Treasury 2.9% 3.6% 3.9% 4.3% 3.5% -3.5% -4.6% 0.2 0.3

SHV Very Short 0.2% 0.2% 0.2% 0.2% 0.1% 0.2% -0.1% -0.1% -0.1% 0.0 0.1 0.2

SHY Short 0.7% 1.0% 1.0% 1.0% 0.8% 0.8% -0.6% -0.6% -0.6% 0.3 0.6 0.7

IEI Intermediate 2.2% 3.0% 3.3% 3.6% 3.1% 3.3% -2.2% -4.2% -4.2% 0.4 0.3 0.7

TLT Long 8.2% 12.5% 14.7% 15.5% 13.2% 15.2% -15.8% -17.2% -20.5% 0.1 0.1 0.5

TIP US Inflation 2.7% 4.4% 4.8% 5.7% 5.4% 5.7% -4.8% -11.1% -11.1% (0.3) (0.4) 0.4

MUB Municipal 1.9% 2.4% 2.6% 2.9% 4.3% 5.0% -2.9% -9.7% -9.7% 0.9 0.4 0.9

MBB Securitized 1.9% 2.2% 2.7% 2.7% 3.0% 2.8% -1.7% -4.8% -4.8% 0.5 0.6 0.9

LQD IG Corporates 3.5% 4.9% 5.4% 5.9% 5.4% 5.5% -6.0% -8.6% -8.6% (0.0) 0.3 0.9

HYG HY Corporates 5.4% 6.8% 6.2% 6.5% 5.8% 7.8% -7.5% -7.5% -10.1% (0.6) 0.3 0.7

FLOT Floater 0.6% 0.7% 1.1% 1.0% 0.9% -0.5% -0.6% (0.0) 0.5

BKLN Senior Loans 2.4% 2.7% 3.0% 3.4% 2.7% -4.4% -4.4% (0.9) 0.5

PFF Preferred 4.1% 3.8% 4.6% 4.5% 4.7% 8.0% -3.0% -8.7% -15.2% 0.9 1.2 0.8

CWB Convertible 7.2% 10.7% 10.7% 10.2% 9.3% 10.4% -9.8% -9.8% -17.1% (0.1) 1.1 0.7

BWX Intl DM Debt 7.2% 6.9% 7.6% 8.3% 7.2% 7.4% -9.7% -15.4% -15.4% (1.0) (0.6) (0.0)

WIP Intl Inflation 7.5% 7.2% 7.2% 8.7% 7.3% 7.7% -12.2% -17.0% -17.0% (1.3) (0.6) 0.1

EMB EM Gov Debt USD 4.2% 6.1% 6.1% 7.4% 7.5% 7.1% -6.5% -14.5% -14.5% (0.0) 0.0 0.7

EMLC EM Gov Debt Local 9.4% 11.0% 9.9% 10.3% 9.5% 10.1% -20.4% -30.3% -30.3% (1.7) (0.9) (0.3)

EMCB EM Corp USD 7.0% 8.4% 8.3% 9.0% 7.8% -10.4% -11.8% (0.6) (0.1)

HYEM EM HY Corp USD 5.3% 5.7% 6.0% 8.6% 7.6% -9.8% -14.0% 0.0 0.2

DBC Commodities 15.5% 16.6% 17.8% 17.8% 13.4% 15.5% -32.1% -50.5% -55.7% (1.7) (1.5) (0.7)

DBE Energy Cmdty 26.4% 30.0% 30.8% 31.9% 21.9% 22.3% -41.5% -59.9% -62.7% (1.3) (1.1) (0.6)

USO Crude Oil WTI 30.6% 38.0% 39.4% 42.5% 28.8% 29.0% -52.5% -68.3% -72.3% (1.2) (0.9) (0.6)

UNG Natural Gas 35.6% 31.9% 31.9% 39.4% 35.7% 37.7% -59.0% -68.5% -83.0% (1.5) (0.7) (0.8)

DBA Agriculture 11.7% 10.7% 12.5% 11.8% 10.8% 12.8% -21.4% -30.9% -42.7% (1.7) (1.0) (0.5)

DBB Industrial Metals 15.8% 20.2% 19.1% 18.3% 16.3% 19.4% -32.2% -42.7% -55.6% (1.7) (1.0) (0.6)

DBP Precious Metals 10.8% 14.2% 13.3% 16.5% 18.8% 20.0% -21.0% -45.6% -53.3% (0.6) (1.0) (0.4)

GLD Gold Physical 11.5% 13.1% 12.4% 14.8% 17.0% 17.5% -19.1% -39.1% -45.1% (0.6) (0.9) (0.3)

SLV Silver Physical 9.5% 20.4% 20.2% 24.6% 26.5% 31.9% -23.7% -58.7% -71.6% (0.4) (1.0) (0.4)

PPLT Platinum Physical 14.5% 20.3% 18.8% 18.5% 17.9% 18.7% -35.7% -53.0% -57.6% (1.7) (1.1) (0.7)

PALL Palladium Physical 38.8% 36.0% 34.7% 28.7% 24.3% 27.5% -36.3% -41.7% -41.7% (1.2) (0.3) (0.2)

UUP Bull USD 6.9% 7.7% 8.6% 9.4% 7.2% 7.6% -7.9% -7.9% -10.9% 1.2 0.8 0.3

FXY JPYUSD 5.7% 6.6% 8.6% 8.8% 9.7% 9.1% -7.6% -35.5% -40.6% (0.5) (1.3) (0.9)

FXE EURUSD 7.9% 9.7% 11.0% 11.7% 8.7% 9.3% -16.4% -25.1% -30.1% (1.3) (0.8) (0.5)

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 Risk Free rate equal to zero. For Max DD and Sharpe calculations, green cells correspond to largest values, 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 vehicles for each asset class considering the product’s asset 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 product 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.

9 December 2015



US Equity Allocator heatmaps

Figure 14: US Equity Performance and Net ETF Cash Flow Trends


VTI US Total Market 0.60% 5.39% -1.03% 2.50% 15.98% 14.13% 1.7% 3.6% 5.1% 7.1% 15.7% 15.5%

SPY S&P 500 (Large Cap) 0.37% 6.13% -0.15% 2.76% 15.99% 14.29% 1.4% 3.8% 5.1% 1.9% 12.0% 12.5%

DIA DJI 0.74% 7.91% -0.35% 1.82% 13.40% 12.65% 1.4% 3.8% 5.1% 1.9% 12.0% 12.5%

QQQ NASDAQ-100 0.61% 9.58% 4.10% 8.72% 21.70% 18.30% 1.4% 3.8% 5.1% 1.9% 12.0% 12.5%

IWF Russell 1000 Growth 0.31% 6.19% 1.31% 5.94% 17.18% 14.87% 2.6% 4.4% 6.6% 15.2% 15.4% 13.5%

IWD Russell 1000 Value 0.45% 4.68% -3.11% -1.27% 14.48% 13.25% 1.5% 4.3% 5.0% 9.5% 17.6% 15.4%

MDY S&P 400 (Mid Cap) 1.34% 3.55% -3.48% 2.61% 14.86% 12.72% 1.3% 3.6% 4.8% 13.9% 17.1% 11.9%

IWM Russell 2000 (SM Cap) 3.26% 3.69% -3.17% 3.50% 14.94% 12.04% 3.7% 5.4% 8.5% 13.3% 15.8% 10.2%

VIG Div. Growth 0.27% 5.06% -1.53% -0.98% 12.13% 11.87% 0.5% 0.3% -2.6% -1.5% 11.8% 27.6%

DVY Div. Yield 0.10% 5.66% -0.12% 0.79% 13.81% 13.85% 0.5% 0.3% -2.6% -1.5% 11.8% 27.6%

VYM Div. Yield 0.22% 6.96% -0.74% 0.18% 14.48% 14.65% 0.5% 0.3% -2.6% -1.5% 11.8% 27.6%

SDY Div. Yield & Growth 0.21% 6.49% 0.62% 1.13% 14.42% 13.05% 0.5% 0.3% -2.6% -1.5% 11.8% 27.6%

XLY Cons. Discretionary -0.23% 8.15% 6.62% 14.13% 21.09% 19.24% 1.5% 3.5% 4.7% 44.7% 20.7% 23.3%

PEJ Hotels, Rest & Leisure -3.20% 5.05% 1.83% 7.22% 18.73% 16.30%

XHB Home Builders 1.71% 0.43% 1.33% 9.09% 11.92% 19.48% -3.7% -1.9% 6.3% 15.3% -7.6% 12.0%

ITB Household Durables 5.04% 2.99% 7.45% 10.44% 12.10% 20.83% -3.7% -1.9% 6.3% 15.3% -7.6% 12.0%

PBS Media -0.79% 8.25% -3.91% 2.51% 17.78% 15.57%

XRT Retail -2.88% -4.53% -8.40% -4.51% 13.32% 14.84% 18.4% -14.0% -25.1% -3.9% -3.9% -11.0%

XLP Cons. Staples -0.92% 5.14% 2.58% 2.87% 14.12% 14.89% -3.7% 5.0% 10.1% -2.5% 11.7% 20.0%

PBJ Food Products -2.85% 3.14% 1.89% 7.39% 18.64% 14.27%

XLE Energy -0.01% 3.17% -11.99% -12.46% 0.72% 3.65% 2.3% 3.4% 5.8% 35.9% 27.6% 21.0%

OIH Energy Eq. & Serv. 1.80% -1.08% -15.07% -16.49% -5.61% -5.30% 3.1% 15.0% 22.4% 42.0% 2.3% -0.5%

XES Energy Eq. & Serv. 3.36% -4.61% -25.16% -29.49% -14.00% -8.88% 3.1% 15.0% 22.4% 42.0% 2.3% -0.5%

IEZ Energy Eq. & Serv. 2.15% -2.00% -17.52% -18.81% -5.27% -3.66% 3.1% 15.0% 22.4% 42.0% 2.3% -0.5%

XOP Energy E&P 0.13% -2.35% -24.35% -26.11% -10.07% -4.04% 5.4% -1.8% 31.0% 79.0% 36.9% 23.7%

IEO Energy E&P 0.35% 3.52% -14.36% -12.02% 1.53% 2.55% 5.4% -1.8% 31.0% 79.0% 36.9% 23.7%

AMLP MLPs -7.72% -13.15% -22.68% -26.81% -2.84% 1.34% 5.2% 7.3% 4.3% 12.0% 33.3% 92.7%

XLF Financials 1.99% 5.35% 0.78% 2.50% 17.98% 13.07% 3.8% 2.4% 10.9% 10.3% 23.9% 22.6%

KBWB Large Banks 4.62% 5.00% 1.27% 5.99% 17.90% 5.9% 7.9% 23.3% 16.0% 21.3% 25.1%

KRE Regional Banks 6.58% 11.66% 9.27% 17.15% 20.37% 17.19% 5.9% 7.9% 23.3% 16.0% 21.3% 25.1%

KCE Capital Markets 4.88% 4.19% -6.98% -3.81% 14.79% 8.58% -7.3% -17.8% -11.5% -8.4% 74.1% 21.7%

KIE Insurance 1.71% 6.18% 7.51% 10.89% 20.31% 15.17% 3.2% 18.1% 94.3% 66.8% 45.8% 23.3%

XLV Healthcare -0.32% 1.25% -4.43% 3.55% 22.80% 20.73% -1.1% -4.1% 1.6% 20.3% 33.5% 29.5%

IBB Biotech & Pharma 2.74% -2.23% -8.38% 10.04% 34.21% 30.97% -1.2% -0.2% 6.5% 31.4% 42.1% 28.4%

BBH Large Biotech 0.54% -1.23% -7.57% 6.29% 31.88% 33.75% -1.2% -0.2% 6.5% 31.4% 42.1% 28.4%

IHI HC Eq. & Supplies 2.83% 3.48% 2.91% 9.29% 22.65% 18.31% 0.8% -11.0% -4.6% -14.4% 13.7% 3.4%

IHF HC Providers & Serv -0.88% -6.85% -11.07% 6.70% 23.03% 19.51% -6.6% -9.4% 3.0% 35.1% 44.8% 45.3%

PPH Large Pharma -0.25% -4.44% -10.54% -0.38% 20.12% 18.77% -3.1% -14.7% -15.3% -6.7% 20.2% 13.6%

XLI Industrials 0.87% 7.32% -0.88% -1.81% 16.14% 13.22% 1.9% 5.9% -5.7% -20.2% 20.0% 11.4%

ITA Aerospace & Def 1.45% 5.95% -0.90% 6.20% 23.08% 17.95% 18.4% 20.4% 14.2% 63.1% 86.9% 29.5%

IYT Transportation -0.13% 3.64% -1.64% -10.86% 18.17% 11.91% -8.0% 0.5% -16.7% -45.1% 11.5% 1.5%

XLB Materials 0.99% 6.06% -8.71% -5.08% 9.98% 7.70% 2.1% -2.6% -11.7% -17.8% -11.5% -5.9%

XME Metals & Mining -6.62% -21.14% -40.27% -51.62% -26.44% -22.37% 1.6% 10.3% 4.3% 17.9% -15.9% -4.5%

VNQ Real Estate -0.63% 8.31% 2.33% 2.48% 11.64% 12.37% 2.3% 4.7% 4.0% 3.2% 11.5% 18.3%

VGT Technology 1.19% 10.28% 2.06% 6.57% 18.74% 15.09% 5.7% 10.4% 4.6% 2.4% 15.4% 14.8%

IGN Comm. Equipment -0.10% 3.88% -4.06% 5.43% 12.53% 5.02%

FDN Int. Software & Serv. 2.53% 11.47% 13.76% 22.73% 26.04% 18.08% 16.2% 29.2% 50.3% 96.5% 87.7% 57.5%

SMH Semiconductors 2.93% 12.61% -6.70% 1.60% 22.28% 15.22% 16.8% 4.7% -8.5% -1.0% 2.4% -12.1%

IGV Software 2.09% 10.94% 4.71% 13.83% 20.02% 14.15% -4.7% 10.7% -19.7% -24.1% -3.4% 7.4%

VOX Telecom -1.01% 4.33% -0.74% -0.26% 10.65% 10.23% 7.8% 8.6% -16.7% 2.1% 9.7% 3.2%

XLU Utilities -2.13% 1.81% -1.97% -3.58% 10.65% 11.04% -9.0% -9.3% -4.0% -4.1% -1.4% 5.1%



9 December 2015



Figure 15: US Equity Risk and Risk-adjusted Performance Measures

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

VTI US Total Market 12.4% 16.7% 17.0% 15.0% 12.6% 15.6% -12.1% -12.1% -20.3% 0.2 1.3 0.9

SPY S&P 500 (Large Cap) 12.1% 16.5% 17.1% 15.2% 12.5% 15.2% -11.9% -11.9% -18.6% 0.2 1.3 0.9

DIA DJI 11.7% 16.0% 16.8% 15.1% 12.1% 14.2% -13.9% -13.9% -16.0% 0.1 1.1 0.9

QQQ NASDAQ-100 13.6% 18.8% 20.1% 17.5% 14.7% 16.9% -13.9% -13.9% -16.1% 0.5 1.5 1.1

IWF Russell 1000 Growth 12.1% 16.5% 17.4% 15.3% 12.9% 15.5% -11.7% -11.7% -18.3% 0.4 1.3 1.0

IWD Russell 1000 Value 12.4% 16.8% 17.1% 15.1% 12.5% 15.7% -13.4% -13.4% -21.4% (0.1) 1.2 0.8

MDY S&P 400 (Mid Cap) 14.3% 16.9% 16.7% 15.0% 13.7% 17.9% -12.5% -12.5% -26.2% 0.2 1.1 0.7

IWM Russell 2000 (SM Cap) 15.0% 19.4% 18.0% 16.6% 15.6% 20.1% -16.1% -16.1% -28.9% 0.2 1.0 0.6

VIG Div. Growth 11.0% 15.0% 15.9% 14.3% 11.8% 14.0% -12.1% -12.1% -16.9% (0.1) 1.0 0.8

DVY Div. Yield 12.8% 15.0% 14.6% 13.6% 11.5% 13.2% -12.0% -12.0% -15.6% 0.1 1.2 1.0

VYM Div. Yield 11.2% 16.0% 16.7% 14.8% 11.8% 13.4% -13.0% -13.0% -15.1% 0.0 1.2 1.1

SDY Div. Yield & Growth 12.4% 14.9% 15.2% 13.7% 11.6% 13.8% -10.8% -10.8% -16.1% 0.1 1.2 0.9

XLY Cons. Discretionary 15.9% 17.5% 18.0% 16.0% 14.0% 16.4% -11.4% -11.4% -18.4% 0.9 1.5 1.2

PEJ Hotels, Rest & Leisure 15.8% 19.8% 19.5% 18.4% 16.2% 19.0% -13.2% -13.4% -23.9% 0.4 1.2 0.9

XHB Home Builders 17.0% 21.8% 19.8% 18.8% 19.3% 24.0% -13.7% -17.7% -33.8% 0.5 0.6 0.8

ITB Household Durables 19.6% 24.2% 22.4% 21.9% 23.2% 27.5% -13.5% -21.2% -40.3% 0.5 0.5 0.8

PBS Media 12.1% 17.3% 17.7% 15.8% 15.7% 18.8% -16.9% -16.9% -27.7% 0.2 1.1 0.8

XRT Retail 25.5% 21.3% 19.8% 17.5% 15.6% 19.3% -16.6% -16.6% -22.2% (0.3) 0.9 0.8

XLP Cons. Staples 13.0% 15.0% 15.1% 13.4% 11.5% 11.8% -10.1% -10.1% -11.9% 0.2 1.2 1.3

PBJ Food Products 17.1% 17.8% 16.6% 14.6% 13.1% 14.5% -9.5% -9.5% -15.7% 0.5 1.4 1.0

XLE Energy 25.5% 27.0% 26.6% 24.6% 19.1% 22.0% -28.1% -40.1% -40.1% (0.5) 0.0 0.2

OIH Energy Eq. & Serv. 33.0% 36.1% 36.0% 33.3% 25.3% 28.4% -31.8% -52.9% -52.9% (0.5) (0.2) (0.2)

XES Energy Eq. & Serv. 43.5% 46.3% 44.2% 40.7% 29.3% 31.8% -41.3% -63.8% -63.8% (0.7) (0.5) (0.3)

IEZ Energy Eq. & Serv. 33.8% 37.1% 35.9% 33.1% 25.2% 29.0% -33.6% -53.0% -53.0% (0.6) (0.2) (0.1)

XOP Energy E&P 37.4% 42.2% 41.2% 40.5% 31.4% 33.4% -42.5% -61.3% -61.3% (0.6) (0.3) (0.1)

IEO Energy E&P 28.2% 31.9% 31.2% 29.4% 23.5% 26.8% -32.0% -45.1% -45.1% (0.4) 0.1 0.1

AMLP MLPs 26.8% 35.7% 28.9% 23.4% 16.2% 14.6% -32.9% -36.0% -36.0% (1.1) (0.2) 0.1

XLF Financials 12.9% 18.6% 19.0% 17.0% 14.7% 20.4% -12.7% -12.7% -33.7% 0.1 1.2 0.6

KBWB Large Banks 16.7% 22.9% 22.8% 20.6% 17.3% -15.5% -15.5% 0.3 1.0

KRE Regional Banks 18.1% 23.5% 22.3% 21.1% 18.1% 23.5% -15.0% -15.0% -31.7% 0.8 1.1 0.7

KCE Capital Markets 18.7% 24.2% 21.6% 19.5% 18.2% 23.3% -21.9% -21.9% -40.5% (0.2) 0.8 0.4

KIE Insurance 12.2% 14.8% 15.8% 14.6% 13.1% 18.8% -9.4% -9.4% -34.0% 0.7 1.5 0.8

XLV Healthcare 17.0% 21.8% 20.8% 18.3% 14.9% 15.3% -16.4% -16.4% -17.3% 0.2 1.5 1.4

IBB Biotech & Pharma 24.5% 36.0% 32.3% 28.7% 24.9% 23.8% -27.3% -27.3% -27.3% 0.3 1.4 1.3

BBH Large Biotech 21.9% 32.1% 30.1% 27.2% 24.7% 22.9% -24.0% -24.0% -24.0% 0.2 1.3 1.5

IHI HC Eq. & Supplies 14.0% 19.5% 18.2% 16.4% 14.0% 17.5% -14.2% -14.2% -22.0% 0.6 1.6 1.0

IHF HC Providers & Serv 24.0% 26.6% 22.9% 19.8% 15.8% 18.4% -18.9% -18.9% -27.2% 0.3 1.5 1.1

PPH Large Pharma 14.1% 21.8% 20.0% 17.2% 14.0% 14.3% -17.5% -17.5% -17.5% (0.0) 1.4 1.3

XLI Industrials 10.8% 17.7% 17.7% 16.0% 14.2% 17.8% -15.0% -15.0% -25.8% (0.1) 1.1 0.7

ITA Aerospace & Def 13.9% 17.5% 17.5% 15.9% 14.8% 17.9% -14.1% -14.1% -23.2% 0.4 1.6 1.0

IYT Transportation 13.5% 19.2% 19.6% 17.9% 16.6% 19.7% -18.4% -18.4% -28.1% (0.6) 1.1 0.6

XLB Materials 13.7% 20.2% 20.2% 18.1% 15.4% 19.9% -24.2% -24.2% -29.5% (0.3) 0.6 0.4

XME Metals & Mining 32.8% 38.3% 37.8% 32.6% 27.0% 31.2% -53.1% -65.1% -78.2% (1.6) (1.0) (0.7)

VNQ Real Estate 19.0% 16.6% 17.3% 16.8% 14.5% 18.2% -17.2% -18.0% -22.6% 0.1 0.8 0.7

VGT Technology 13.4% 18.5% 19.6% 17.7% 14.7% 17.4% -14.0% -14.0% -19.6% 0.4 1.3 0.9

IGN Comm. Equipment 16.2% 19.0% 19.2% 17.2% 16.9% 22.1% -13.6% -13.6% -39.5% 0.3 0.7 0.2

FDN Int. Software & Serv. 15.9% 20.4% 21.5% 18.9% 18.5% 20.9% -12.8% -19.5% -26.0% 1.2 1.4 0.9

SMH Semiconductors 18.6% 23.2% 23.6% 21.7% 18.7% 21.1% -23.7% -23.7% -25.1% 0.1 1.2 0.7

IGV Software 12.6% 18.3% 19.3% 17.9% 16.2% 20.2% -13.0% -13.0% -26.3% 0.8 1.2 0.7

VOX Telecom 10.8% 16.8% 16.4% 15.2% 13.2% 15.1% -12.3% -12.3% -19.8% (0.0) 0.8 0.7

XLU Utilities 18.2% 16.7% 17.0% 17.1% 14.3% 14.0% -15.7% -15.7% -15.7% (0.2) 0.7 0.8

Ticker Asset ClassMax DrawdownAnnualized Volatility Sharpe (TR / Vol)


9 December 2015



International Equity Allocator heatmaps

Figure 16: International Equity Performance and Net ETF Cash Flow Trends


EFA Intl DM -0.75% 1.13% -7.45% -2.69% 6.41% 5.44% 1.7% 3.8% 9.7% 43.6% 39.4% 28.9%

EWC Canada -2.23% -4.12% -15.59% -20.60% -3.98% -2.47% -1.2% 2.6% -10.8% -10.7% -18.5% -7.8%

EIS Israel 0.38% 0.60% -0.74% 6.56% 7.86% 0.58%

VGK Europe -1.25% 0.26% -7.42% -4.03% 6.66% 6.40% 0.6% 3.2% 15.4% 41.8% 56.8% 40.5%

EDEN Denmark 4.06% 2.13% 0.67% 14.12% 22.94%

NORW Norway 0.11% -1.28% -15.12% -15.73% -6.99% -1.34%

EWD Sweden 0.40% -0.21% -7.73% -5.86% 5.71% 5.02%

EWL Switzerland -2.77% -2.92% -10.66% -4.71% 8.08% 8.85% 1.8% 0.2% 6.0% 30.9% 23.1% 23.3%

EWU UK -1.66% 0.70% -9.50% -6.26% 3.30% 5.19% 0.0% -15.1% 0.4% 5.3% 32.5% 27.3%

EZU Eurozone -0.79% 1.50% -5.08% -3.56% 7.31% 5.31% 0.4% 4.1% 12.4% 116.1% 87.4% 72.9%

EWO Austria -1.56% 1.16% -5.17% -2.09% -0.24% -1.44%

EWK Belgium 1.48% 4.84% 1.33% 8.81% 13.99% 11.31%

EFNL Finland 0.67% 4.89% -0.74% 0.54% 13.09%

EWQ France -2.33% 0.68% -4.88% -1.77% 6.74% 5.23%

EWG Germany 0.52% 3.45% -4.76% -3.71% 6.96% 6.18% -6.1% -14.9% -7.9% 65.5% 27.3% 36.6%

EIRL Ireland 2.31% -0.39% 3.14% 16.99% 21.81% 19.08%

EWI Italy -2.84% -2.77% -5.89% -0.91% 6.56% 1.75% -0.3% 22.1% 41.0% 48.6% 58.8% 74.1%

EWN Netherlands -1.08% 1.06% -5.83% 0.79% 9.82% 7.83%

PGAL Portugal -5.56% -3.04% -14.30% -14.40%

EWP Spain -3.18% -4.93% -11.14% -17.47% 5.78% 2.76% -3.5% -5.4% -0.8% 6.0% 109.0% 66.5%

EWJ Japan 0.49% 2.15% -4.66% 7.71% 11.38% 5.41% 0.6% 1.8% 8.5% 34.4% 85.8% 53.1%

EPP Pacific ex JP -0.46% 2.80% -13.71% -12.42% -1.65% 1.58% -1.8% -4.0% -12.3% -12.5% -8.6% -7.0%

EWA Australia 0.90% 2.36% -13.25% -14.57% -3.72% 0.80% -1.9% 7.9% -2.6% -6.9% -8.5% -8.9%

EWH Hong Kong -2.05% 4.20% -14.05% -5.25% 4.67% 4.19% -1.6% -8.7% -16.0% -8.8% -0.5% 6.6%

ENZL New Zealand -1.55% 11.02% -3.74% -5.71% 5.86% 10.12%

EWS Singapore -5.49% -0.66% -17.25% -18.97% -4.61% -1.00% -0.3% -4.3% -13.0% -15.7% -19.5% -17.5%

EEM EM -2.52% 0.44% -16.72% -16.32% -4.85% -3.51% -0.8% -0.3% -7.3% -5.2% -0.7% 2.3%

ILF Latin America -3.50% -6.69% -22.63% -34.46% -15.99% -12.61% 0.9% 3.0% -11.1% -27.7% -12.9% -6.4%

EWZ Brazil -1.53% -9.49% -28.91% -44.53% -21.78% -18.66% -0.2% -1.0% -10.9% -26.8% -18.6% -6.4%

ECH Chile -7.02% -7.39% -20.22% -20.87% -17.36% -14.55% -10.6% -5.2% -9.5% -22.5% -5.8% -7.3%

GXG Colombia -14.56% -13.97% -31.96% -47.77% -27.17% -16.46%

EWW Mexico -2.07% 1.40% -7.76% -16.64% -5.99% -0.55% -3.1% 2.2% -19.7% -40.5% 8.2% 2.5%

EPU Peru -6.11% -6.88% -26.49% -34.60% -19.97% -12.81% 0.0% -8.9% -13.2% -31.2% -10.5% -6.5%

EEMA EM Asia -2.88% 4.18% -16.43% -10.48% 0.03% -3.2% -6.0% -13.4% 5.0% 10.9% 4.8%

FXI China H -2.14% 4.29% -22.80% -6.12% 2.47% -0.67% -2.8% -5.2% -6.6% 11.9% 2.8% 1.7%

ASHR China A 1.13% 12.14% -28.09% 18.89% -15.7% -10.9% -43.9% -50.9% 172.1% 61.6%

INDA India -3.58% -2.24% -9.74% -13.47% 2.78% -1.2% -1.1% -11.1% 35.2% 52.6% 27.7%

EIDO Indonesia 1.34% 2.46% -19.53% -24.57% -10.67% -4.72% -1.9% -2.6% -23.8% -35.9% -6.3% -6.4%

EWM Malaysia 3.01% 4.02% -16.37% -24.84% -7.56% -1.84% -7.6% -1.1% -18.7% -39.8% -23.7% -16.9%

EPHE Philippines -2.44% -1.58% -12.87% -10.30% 1.63% 9.42%

EWY South Korea -2.87% 10.41% -8.62% -6.02% -2.94% 0.52% 0.3% -5.8% -10.8% -14.5% 11.2% 0.8%

EWT Taiwan -2.66% 1.27% -17.20% -12.73% 1.88% 1.57% -10.2% -13.1% -17.4% 1.4% 4.8% 1.7%

THD Thailand -1.69% -0.65% -14.12% -20.94% -3.64% 2.99% -1.4% -2.6% -27.3% -42.1% -21.8% -18.2%

GUR EM Europe -3.77% -3.42% -15.90% -22.90% -12.81% -9.10% -1.5% 4.3% -0.8% 12.5% 18.9% 10.9%

GREK Greece -17.05% -5.33% -28.49% -46.45% -17.36%

EPOL Poland -9.06% -14.42% -22.54% -28.84% -9.30% -6.35%

RSX Russia -0.12% -0.77% -11.93% -11.13% -13.07% -11.37% -0.9% 8.6% 0.1% 13.1% 20.8% 12.7%

TUR Turkey -4.84% 0.18% -16.20% -32.01% -13.07% -8.69% -3.6% -12.7% -12.5% 7.5% -4.3% -3.4%

MES Middle East -7.86% -12.20% -17.23% -25.13% 5.27% 2.26%

QAT Qatar -12.53% -13.89% -18.68% -23.68%

UAE UAE -6.32% -14.65% -19.08% -25.58%

AFK Africa -7.84% -9.01% -27.45% -32.54% -12.19% -7.94% 0.8% 5.3% 1.7% -3.0% 1.0% -2.3%

EGPT Egypt -11.17% -9.71% -32.81% -45.39% -6.49% -11.33%

EZA South Africa -6.27% -7.15% -17.17% -19.87% -3.89% -1.64% 4.2% 13.0% 8.0% -0.4% -0.9% -5.3%

FM Frontier Market -5.57% -4.68% -13.77% -17.65% 3.46% -1.4% -2.4% -2.2% 3.6% 48.2% 30.2%

ARGT Argentina -5.36% 4.69% -10.09% -8.59% 6.13%

NGE Nigeria -4.73% -9.59% -25.87% -34.46%

PAK Pakistan -6.77% -10.19% -11.59%

VNM Vietnam -8.25% -4.42% -12.04% -21.78% 2.64% -7.20% -0.5% 0.7% 3.8% 5.8% 24.4% 25.2%

BKF BRIC -1.72% 0.78% -19.79% -15.61% -4.72% -6.08% -1.3% -4.8% -12.6% -27.9% -29.5% -20.1%



9 December 2015



Figure 17: International Equity Risk and Risk-adjusted Performance Measures

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

EFA Intl DM 10.6% 17.9% 18.3% 16.6% 14.2% 19.2% -16.4% -16.6% -25.9% (0.2) 0.5 0.3

EWC Canada 15.6% 21.4% 20.0% 18.8% 14.8% 18.0% -24.0% -30.8% -30.8% (1.1) (0.3) (0.1)

EIS Israel 12.1% 16.8% 17.6% 15.7% 14.3% 19.3% -15.2% -15.2% -40.3% 0.4 0.5 0.0

VGK Europe 12.6% 18.0% 18.7% 17.7% 15.3% 22.2% -16.1% -18.0% -30.2% (0.2) 0.4 0.3

EDEN Denmark 12.4% 13.8% 17.9% 17.1% 16.2% -8.9% -17.2% 0.8 1.4

NORW Norway 16.0% 23.9% 25.5% 25.9% 21.3% 27.0% -28.3% -42.9% -42.9% (0.6) (0.3) (0.0)

EWD Sweden 12.3% 19.8% 20.5% 19.4% 18.0% 26.3% -17.2% -19.6% -36.2% (0.3) 0.3 0.2

EWL Switzerland 11.0% 15.1% 15.6% 15.1% 13.3% 17.3% -15.4% -15.4% -25.5% (0.3) 0.6 0.5

EWU UK 15.7% 21.6% 19.9% 18.6% 14.8% 19.1% -18.0% -21.9% -22.9% (0.3) 0.2 0.3

EZU Eurozone 12.9% 18.3% 20.7% 20.0% 17.5% 24.8% -15.8% -20.4% -37.6% (0.2) 0.4 0.2

EWO Austria 16.2% 17.5% 19.1% 19.5% 17.6% 24.9% -18.3% -29.2% -45.9% (0.1) (0.0) (0.1)

EWK Belgium 12.5% 14.8% 16.7% 16.7% 15.3% 20.5% -11.1% -15.0% -33.3% 0.5 0.9 0.6

EFNL Finland 13.0% 17.7% 19.8% 19.0% 18.6% -14.6% -17.1% 0.0 0.7

EWQ France 13.8% 19.0% 21.1% 20.3% 17.8% 25.1% -14.3% -21.6% -36.2% (0.1) 0.4 0.2

EWG Germany 15.2% 20.1% 21.7% 20.7% 17.6% 25.1% -19.2% -21.9% -37.8% (0.2) 0.4 0.2

EIRL Ireland 11.1% 14.8% 16.2% 17.0% 16.4% 21.9% -7.9% -22.7% -27.3% 1.0 1.3 0.9

EWI Italy 15.9% 21.5% 25.8% 24.7% 23.3% 30.8% -13.4% -29.1% -51.1% (0.0) 0.3 0.1

EWN Netherlands 14.0% 18.1% 19.7% 19.0% 16.0% 22.0% -15.3% -15.3% -33.9% 0.0 0.6 0.4

PGAL Portugal 19.7% 23.2% 26.0% 26.4% -23.9% (0.5)

EWP Spain 13.6% 18.8% 21.8% 22.7% 21.8% 29.3% -21.5% -30.4% -50.9% (0.8) 0.3 0.1

EWJ Japan 9.7% 21.0% 20.8% 18.0% 17.8% 18.7% -15.6% -15.6% -23.9% 0.4 0.6 0.3

EPP Pacific ex JP 16.4% 22.0% 24.1% 19.9% 16.5% 20.7% -25.6% -28.0% -28.8% (0.6) (0.1) 0.1

EWA Australia 19.7% 25.0% 27.3% 23.4% 19.0% 22.9% -27.2% -32.9% -32.9% (0.6) (0.2) 0.0

EWH Hong Kong 14.5% 21.9% 25.6% 21.6% 17.5% 19.1% -24.6% -24.6% -29.7% (0.2) 0.3 0.2

ENZL New Zealand 10.7% 15.6% 17.2% 16.5% 15.5% 18.4% -22.9% -23.2% -23.2% (0.3) 0.4 0.5

EWS Singapore 17.3% 20.2% 19.8% 16.8% 14.4% 18.2% -26.6% -27.0% -27.0% (1.1) (0.3) (0.1)

EEM EM 20.2% 23.9% 24.0% 21.0% 18.5% 22.2% -28.4% -30.2% -31.8% (0.8) (0.3) (0.2)

ILF Latin America 27.6% 29.0% 27.7% 27.2% 23.5% 24.3% -38.0% -49.6% -55.5% (1.3) (0.7) (0.5)

EWZ Brazil 45.1% 42.9% 37.5% 35.2% 29.4% 28.8% -49.1% -61.1% -70.4% (1.3) (0.7) (0.6)

ECH Chile 16.3% 21.7% 22.6% 19.8% 19.2% 21.5% -26.7% -50.8% -57.2% (1.1) (0.9) (0.7)

GXG Colombia 30.6% 30.7% 29.9% 29.7% 21.3% 21.0% -48.3% -64.9% -64.9% (1.6) (1.3) (0.8)

EWW Mexico 16.0% 18.0% 19.0% 19.9% 18.8% 21.3% -23.9% -33.6% -33.6% (0.8) (0.3) (0.0)

EPU Peru 13.0% 18.3% 23.1% 20.1% 17.9% 22.1% -37.5% -55.1% -55.1% (1.7) (1.1) (0.6)

EEMA EM Asia 15.3% 23.3% 26.4% 21.8% 17.8% -31.5% -31.5% (0.5) 0.0

FXI China H 19.4% 29.8% 33.2% 30.0% 24.1% 25.7% -36.0% -36.0% -36.0% (0.2) 0.1 (0.0)

ASHR China A 42.2% 46.7% 64.8% 54.5% -45.4% 0.3

INDA India 16.6% 21.4% 23.5% 22.7% 23.1% -20.1% -29.6% (0.6) 0.1

EIDO Indonesia 30.4% 37.7% 36.3% 29.8% 29.6% 29.9% -40.6% -52.1% -52.1% (0.8) (0.4) (0.2)

EWM Malaysia 25.5% 29.9% 27.7% 23.6% 18.4% 18.1% -33.1% -40.2% -40.2% (1.1) (0.4) (0.1)

EPHE Philippines 21.5% 23.3% 24.1% 20.1% 22.5% 22.1% -24.2% -31.8% -31.8% (0.5) 0.1 0.4

EWY South Korea 19.8% 23.0% 21.7% 18.6% 17.5% 23.2% -29.0% -32.8% -34.7% (0.3) (0.2) 0.0

EWT Taiwan 20.2% 22.4% 24.7% 21.0% 17.4% 20.3% -29.6% -29.6% -29.6% (0.6) 0.1 0.1

THD Thailand 22.0% 24.2% 23.3% 21.8% 23.7% 24.9% -27.6% -33.7% -33.7% (1.0) (0.2) 0.1

GUR EM Europe 24.4% 24.0% 26.8% 28.7% 24.0% 27.7% -28.7% -45.3% -54.6% (0.8) (0.5) (0.3)

GREK Greece 33.1% 37.7% 58.4% 62.2% 47.1% -49.7% -65.8% (0.7) (0.4)

EPOL Poland 21.7% 22.0% 23.4% 23.3% 22.8% 29.2% -29.8% -38.1% -45.7% (1.2) (0.4) (0.2)

RSX Russia 34.9% 35.9% 36.3% 45.8% 33.7% 34.3% -30.9% -53.9% -65.3% (0.2) (0.4) (0.3)

TUR Turkey 43.5% 36.1% 35.0% 33.0% 31.4% 32.5% -40.1% -52.6% -52.6% (1.0) (0.4) (0.3)

MES Middle East 16.1% 20.2% 23.5% 25.6% 20.8% 20.5% -25.0% -33.5% -33.5% (1.0) 0.3 0.1

QAT Qatar 19.9% 22.2% 23.6% 23.8% -23.7% (1.0)

UAE UAE 22.4% 23.4% 28.4% 30.1% -27.5% (0.8)

AFK Africa 18.1% 20.2% 19.6% 19.2% 16.2% 18.3% -32.5% -43.8% -43.8% (1.7) (0.8) (0.4)

EGPT Egypt 26.4% 27.5% 31.0% 29.2% 26.5% 29.7% -45.7% -51.5% -53.8% (1.6) (0.2) (0.4)

EZA South Africa 31.9% 34.7% 30.8% 28.9% 25.7% 27.8% -28.6% -28.6% -28.6% (0.7) (0.2) (0.1)

FM Frontier Market 14.5% 15.8% 16.5% 16.1% 13.7% -19.4% -28.1% (1.1) 0.3

ARGT Argentina 19.0% 28.1% 29.2% 25.4% 23.9% -31.1% -34.0% (0.3) 0.3

NGE Nigeria 17.8% 21.4% 23.6% 33.7% -34.5% (1.0)

PAK Pakistan 12.7% 12.7% 14.1%

VNM Vietnam 17.6% 25.5% 28.2% 24.7% 24.7% 27.7% -28.4% -37.7% -51.1% (0.9) 0.1 (0.3)

BKF BRIC 18.5% 25.5% 27.3% 24.6% 20.5% 23.3% -30.2% -30.2% -38.6% (0.6) (0.2) (0.3)

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


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Cross Asset Correlations (3Y)

Figure 18: 3-Year Cross Asset Class Correlations 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 0.81 -0.11 -0.23 0.01 0.07 -0.03 -0.01 0.62 0.02 0.52 0.37 0.88 0.04 0.27 0.49 0.57 0.51 0.43 0.39 0.16 0.31 -0.04 0.00 -0.29 -0.01

US Total Market VTI 0.95 0.84 0.67 -0.16 -0.28 -0.06 0.03 -0.07 -0.05 0.61 0.00 0.51 0.37 0.90 -0.07 0.13 0.39 0.43 0.42 0.35 0.35 0.09 0.21 -0.09 0.09 -0.32 -0.09

Intl DM EFA 0.95 0.84 0.75 -0.08 -0.19 0.04 0.07 -0.03 0.00 0.56 0.03 0.48 0.31 0.80 0.13 0.34 0.48 0.58 0.48 0.43 0.38 0.18 0.35 0.01 -0.11 -0.24 0.10

EM EEM 0.81 0.67 0.75 0.03 -0.09 0.12 0.13 0.10 0.10 0.52 0.08 0.44 0.31 0.67 0.12 0.37 0.57 0.69 0.54 0.42 0.35 0.23 0.35 0.05 -0.01 -0.15 -0.03

US Agg Bond IG AGG -0.11 -0.16 -0.08 0.03 0.96 0.88 0.73 0.90 0.94 0.19 -0.02 0.06 0.48 -0.06 0.63 0.60 0.49 0.34 0.28 -0.19 -0.23 -0.04 -0.10 0.27 -0.27 0.46 0.18

US Treasury GOVT -0.23 -0.28 -0.19 -0.09 0.96 0.83 0.66 0.82 0.88 0.05 -0.06 -0.05 0.37 -0.18 0.61 0.55 0.35 0.25 0.15 -0.26 -0.30 -0.08 -0.17 0.30 -0.26 0.49 0.17

US Inflation TIP 0.01 -0.06 0.04 0.12 0.88 0.83 0.69 0.82 0.85 0.26 -0.05 0.11 0.48 0.02 0.62 0.66 0.55 0.46 0.35 -0.04 -0.07 0.02 0.03 0.26 -0.28 0.39 0.20

Municipal MUB 0.07 0.03 0.07 0.13 0.73 0.66 0.69 0.75 0.74 0.29 0.02 0.13 0.54 0.10 0.47 0.49 0.55 0.36 0.28 -0.10 -0.13 -0.03 -0.02 0.22 -0.16 0.30 0.09

MBS MBB -0.03 -0.07 -0.03 0.10 0.90 0.82 0.82 0.75 0.84 0.26 0.01 0.12 0.53 0.04 0.60 0.58 0.55 0.38 0.38 -0.14 -0.16 -0.05 -0.06 0.24 -0.27 0.43 0.19

IG Corporates LQD -0.01 -0.05 0.00 0.10 0.94 0.88 0.85 0.74 0.84 0.34 0.00 0.18 0.55 0.06 0.56 0.57 0.58 0.40 0.37 -0.13 -0.15 -0.04 -0.11 0.20 -0.18 0.39 0.09

HY Corporates HYG 0.62 0.61 0.56 0.52 0.19 0.05 0.26 0.29 0.26 0.34 0.08 0.69 0.55 0.64 0.20 0.32 0.66 0.57 0.63 0.36 0.35 0.10 0.19 0.05 -0.08 -0.02 0.04

Floater FLOT 0.02 0.00 0.03 0.08 -0.02 -0.06 -0.05 0.02 0.01 0.00 0.08 0.02 0.04 0.00 0.04 0.07 -0.02 0.09 0.09 0.10 0.09 0.09 0.02 0.10 -0.10 -0.02 0.09

Senior Loans BKLN 0.52 0.51 0.48 0.44 0.06 -0.05 0.11 0.13 0.12 0.18 0.69 0.02 0.46 0.57 0.03 0.15 0.49 0.40 0.56 0.23 0.24 0.04 0.17 -0.08 0.11 -0.17 -0.11

Preferred PFF 0.37 0.37 0.31 0.31 0.48 0.37 0.48 0.54 0.53 0.55 0.55 0.04 0.46 0.44 0.25 0.37 0.55 0.42 0.48 0.07 0.06 0.05 0.02 0.10 -0.02 0.03 -0.01

Convertible CWB 0.88 0.90 0.80 0.67 -0.06 -0.18 0.02 0.10 0.04 0.06 0.64 0.00 0.57 0.44 -0.01 0.16 0.45 0.43 0.45 0.33 0.32 0.05 0.21 -0.04 0.06 -0.27 -0.07

Intl DM Debt BWX 0.04 -0.07 0.13 0.12 0.63 0.61 0.62 0.47 0.60 0.56 0.20 0.04 0.03 0.25 -0.01 0.91 0.41 0.52 0.25 0.18 0.08 0.21 0.18 0.46 -0.85 0.63 0.75

Intl Inflation WIP 0.27 0.13 0.34 0.37 0.60 0.55 0.66 0.49 0.58 0.57 0.32 0.07 0.15 0.37 0.16 0.91 0.57 0.72 0.40 0.28 0.16 0.26 0.28 0.43 -0.74 0.43 0.64

EM Gov Debt USD EMB 0.49 0.39 0.48 0.57 0.49 0.35 0.55 0.55 0.55 0.58 0.66 -0.02 0.49 0.55 0.45 0.41 0.57 0.72 0.74 0.20 0.18 0.08 0.15 0.11 -0.13 0.07 0.06

EM Gov Debt Local EMLC 0.57 0.43 0.58 0.69 0.34 0.25 0.46 0.36 0.38 0.40 0.57 0.09 0.40 0.42 0.43 0.52 0.72 0.72 0.62 0.36 0.28 0.25 0.32 0.21 -0.36 0.10 0.31

EM Corp USD EMCB 0.51 0.42 0.48 0.54 0.28 0.15 0.35 0.28 0.38 0.37 0.63 0.09 0.56 0.48 0.45 0.25 0.40 0.74 0.62 0.19 0.19 0.08 0.15 -0.02 -0.05 0.01 0.00

Commodities DBC 0.43 0.35 0.43 0.42 -0.19 -0.26 -0.04 -0.10 -0.14 -0.13 0.36 0.10 0.23 0.07 0.33 0.18 0.28 0.20 0.36 0.19 0.92 0.46 0.55 0.23 -0.30 0.03 0.26

Energy Cmdty DBE 0.39 0.35 0.38 0.35 -0.23 -0.30 -0.07 -0.13 -0.16 -0.15 0.35 0.09 0.24 0.06 0.32 0.08 0.16 0.18 0.28 0.19 0.92 0.23 0.40 0.02 -0.20 -0.03 0.17

Agriculture DBA 0.16 0.09 0.18 0.23 -0.04 -0.08 0.02 -0.03 -0.05 -0.04 0.10 0.09 0.04 0.05 0.05 0.21 0.26 0.08 0.25 0.08 0.46 0.23 0.21 0.15 -0.26 0.09 0.24

Industrial Metals DBB 0.31 0.21 0.35 0.35 -0.10 -0.17 0.03 -0.02 -0.06 -0.11 0.19 0.02 0.17 0.02 0.21 0.18 0.28 0.15 0.32 0.15 0.55 0.40 0.21 0.15 -0.26 -0.04 0.26

Precious Metals DBP -0.04 -0.09 0.01 0.05 0.27 0.30 0.26 0.22 0.24 0.20 0.05 0.10 -0.08 0.10 -0.04 0.46 0.43 0.11 0.21 -0.02 0.23 0.02 0.15 0.15 -0.41 0.45 0.30

Bull USD UUP 0.00 0.09 -0.11 -0.01 -0.27 -0.26 -0.28 -0.16 -0.27 -0.18 -0.08 -0.10 0.11 -0.02 0.06 -0.85 -0.74 -0.13 -0.36 -0.05 -0.30 -0.20 -0.26 -0.26 -0.41 -0.50 -0.96

JPYUSD FXY -0.29 -0.32 -0.24 -0.15 0.46 0.49 0.39 0.30 0.43 0.39 -0.02 -0.02 -0.17 0.03 -0.27 0.63 0.43 0.07 0.10 0.01 0.03 -0.03 0.09 -0.04 0.45 -0.50 0.30

EURUSD FXE -0.01 -0.09 0.10 -0.03 0.18 0.17 0.20 0.09 0.19 0.09 0.04 0.09 -0.11 -0.01 -0.07 0.75 0.64 0.06 0.31 0.00 0.26 0.17 0.24 0.26 0.30 -0.96 0.30 Source: Deutsche Bank, FactSet. Data as of the end of last month. Green cells denote highest correlations, while red cells denote lowest correlations.

Figure 19: 26W Rolling Correlation for Global

Equities vs. Other Asset Classes (5Y)

Figure 20: 26W Rolling Correlation for US

Equities vs. Other Equities (5Y)

Figure 21: 26W Rolling Correlation for US Fixed

Income vs. Other Fixed Income segments (5Y)

-1

-0.8

-0.6

-0.4

-0.2

0

0.2

0.4

0.6

0.8

1

Dec-10 Dec-11 Dec-12 Dec-13 Dec-14

Global Equities - 26W Rolling Correlation

US Agg Bond IG Commodities Real EstateBull 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).

Source: Deutsche Bank, FactSet. Correlations based on weekly total returns of US-listed ETFs: US Equity (VTI), DM Intl (EFA), EM (EEM), Japan (EWJ), Pacific ex JP (EPP), and Europe (VGK).

Source: Deutsche Bank, FactSet. Correlations based on weekly total returns of US-listed ETFs: US Fixed Income (AGG), US Treasury (GOVT), IG Corp (LQD), HY Corp (HYG), and Sr Loans (BKLN)

9 December 2015



12-Month Relative Performance Monitor2

Figure 22: Cross Asset Class Figure 23: Global Equities Figure 24: US Equity Size and Style

0.80

0.90

1.00

1.10

1.20

1.30

1.40

1.50

No

v-1

4

Dec-1

4

Jan

-15

Feb

-15

Mar-

15

Ap

r-1

5

May-1

5

Ju

n-1

5

Ju

l-1

5

Au

g-1

5

Sep

-15

Oct-

15

No

v-1

5

Global Equities/Fixed Income (Broad)

Global Equities/Commodities

0.90

0.95

1.00

1.05

1.10

1.15

1.20

1.25

No

v-1

4

Dec-1

4

Jan

-15

Feb

-15

Mar-

15

Ap

r-1

5

May-1

5

Ju

n-1

5

Ju

l-1

5

Au

g-1

5

Sep

-15

Oct-

15

No

v-1

5

US Total Market/Intl DM

US Total Market/EM

0.900.920.940.960.981.001.021.041.061.081.10

No

v-1

4

Dec-1

4

Jan

-15

Feb

-15

Mar-

15

Ap

r-1

5

May-1

5

Ju

n-1

5

Ju

l-1

5

Au

g-1

5

Sep

-15

Oct-

15

No

v-1

5

S&P 500/Russell 2000 (SM Cap)

Russell 1000 Growth/Russell 1000 Value

Source: Deutsche Bank, FactSet. Total Returns as of 30-nov-15



Figure 25: US Equity Sectors Figure 26: Intl DM Equities Figure 27: EM Equities

0.80

0.90

1.00

1.10

1.20

1.30

1.40

No

v-1

4

Dec-1

4

Jan

-15

Feb

-15

Mar-

15

Ap

r-1

5

May-1

5

Ju

n-1

5

Ju

l-1

5

Au

g-1

5

Sep

-15

Oct-

15

No

v-1

5

Healthcare/EnergyTechnology/IndustrialsFinancials/Real EstateFinancials/Utilities

0.90

0.95

1.00

1.05

1.10

1.15

1.20

1.25

1.30

No

v-1

4

Dec-1

4

Jan

-15

Feb

-15

Mar-

15

Ap

r-1

5

May-1

5

Ju

n-1

5

Ju

l-1

5

Au

g-1

5

Sep

-15

Oct-

15

No

v-1

5

Eurozone/Europe

Japan/Pacific ex JP

0.60

0.70

0.80

0.90

1.00

1.10

1.20

1.30

1.40

1.50

No

v-1

4

Dec-1

4

Jan

-15

Feb

-15

Mar-

15

Ap

r-1

5

May-1

5

Ju

n-1

5

Ju

l-1

5

Au

g-1

5

Sep

-15

Oct-

15

No

v-1

5

EM Asia/Latin America

China H/China A




Figure 28: Fixed Income Credit

Figure 29: Fixed Income duration

and EM debt

Figure 30: Precious Metals

0.80

0.85

0.90

0.95

1.00

1.05

No

v-1

4

Dec-1

4

Jan

-15

Feb

-15

Mar-

15

Ap

r-1

5

May-1

5

Ju

n-1

5

Ju

l-1

5

Au

g-1

5

Sep

-15

Oct-

15

No

v-1

5

HY Corporates/US Treasury

HY Corporates/IG Corporates

0.80

0.90

1.00

1.10

1.20

1.30

No

v-1

4

Dec-1

4

Jan

-15

Feb

-15

Mar-

15

Ap

r-1

5

May-1

5

Ju

n-1

5

Ju

l-1

5

Au

g-1

5

Sep

-15

Oct-

15

No

v-1

5

UST Short/UST Long

EM Gov Debt USD/EM Gov Debt Local

0.90

1.00

1.10

1.20

1.30

1.40

1.50

1.60

No

v-1

4

Dec-1

4

Jan

-15

Feb

-15

Mar-

15

Ap

r-1

5

May-1

5

Ju

n-1

5

Ju

l-1

5

Au

g-1

5

Sep

-15

Oct-

15

No

v-1

5

Gold/SilverGold/PlatinumGold/Palladium




2 Performance for each asset class is based on the ETFs mentioned in the heatmaps presented earlier in

this section.

9 December 2015



House View Portfolio: Monthly Brief

Our House View Portfolio (HVP) was up by 1.09% in November outperforming

Global Equities (ACWI) and its benchmark which were down by 0.53% and

1.67% during the same period, respectively. YTD the HVP was up by 5.8% as

of the end of last month compared to losses of 0.11% and 4.5% for Global

Equities and its benchmark on a YTD basis, respectively.

Figure 31: House View Portfolio

Direction Type

QQQ 0.20% 15% 15.7% Long Core Equity US Large Caps

XLU 0.14% 5% 4.8% Long Satellite Equity US Utilities

DXJ 0.48% 15% 15.5% Long Core Equity Japan

DBEU 0.45% 25% 25.2% Long Core Equity Europe

EPI 0.83% 5% 4.6% Long Satellite Equity India

FXI 0.74% 5% 4.7% Long Satellite Equity China

LQD 0.15% 10% 9.7% Long Core Credit Inv. Grade

IEF 0.15% 10% 9.6% Long Satellite Rates Intermediate UST

UUP 0.80% 10% 10.2% Long Core FX Long USD

ETF TERActual

Weight

Position Asset

ClassExposure

Target

Weight

Source: Deutsche Bank. Actual weights as of the end of last month. Last rebalance as of 7-Oct-15.

Figure 32: Portfolio performance vs. Global Equities and

Benchmark since inception (10/01/2012)

Figure 33: Monthly performance of portfolio and

benchmark positions

90

100

110

120

130

140

150

Oct-12 Apr-13 Oct-13 Apr-14 Oct-14 Apr-15 Oct-15

No

rmalize

d L

evel (

10

0)

House View Port. ACWI Bnchmk

-8% -6% -4% -2% 0% 2% 4%

Fixed Income (BND)

Comdty (DBC)

Equity (ACWI)

FX Long USD (UUP)

Inv. Grade (LQD)

Intermediate UST (IEF)

Eq. China (FXI)

Eq. India (EPI)

Eq. Eurozone (DBEU)

Eq. Japan (DXJ)

Eq. US Utilities (XLU)

Eq. US Large Caps (QQQ)

Performance

Ho

use V

iew

Po

rt.

Bnchm

rk

Source: Deutsche Bank, FactSet. Benchmark is 50% Global Equities (ACWI), 30% Fixed Income (BND), and 20% Commodities (DBC) rebalanced at the end of each calendar quarter.

Source: Deutsche Bank, FactSet. Data as of last month.

Figure 34: Asset Class allocation Figure 35: Global Equity Allocation Figure 36: Regional Equity Allocation

0%

10%

20%

30%

40%

50%

60%

70%

80%

Equity Fixed Income Alternatives

Target Actual

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

US DM Intl EM

Target Actual

0%

5%

10%

15%

20%

25%

30%

North America

Europe Japan Asia ex JP

Target Actual

Source: Deutsche Bank, FactSet.



The HVP was up by 1.09% in

November with major

contributions from the

currency hedged positions in

European and Japanese

equities; in addition to its long

USD position.

9 December 2015



Business Intelligence

New Listings

There were twenty one new ETFs listed during the previous month; eight of

these were listed in the NYSE Arca; eight were listed in the BATS, while the

remaining five were listed in the NASDAQ. The new products offer FX hedged

exposure to Global Markets, EAFE DM, EM, and Europe; exposure to Europe

Small-Cap, FX hedged exposure to EM and DM ex-US, respectively, applying a

tilt to small cap and value stocks using a multi-factor modeling approach;

exposure to real assets investing in ETFs, DM ex-US, Global ex-US companies

in which hedge funds and institutional investors have disclosed significant

exposure through ADRs, the Russell 1000 Index and the FTSE Developed ex

US Index focused on five factors (Quality, Value, Momentum, Low Volatility,

and Size), high dividend yielding Global Small-Cap stocks, including a FX

hedged version; exposure to the companies in the Russell 1000 Index and the

FTSE Developed ex US Index with low beta characteristics, respectively; two

thematic funds, one offering exposure to Israeli technology companies and the

other to US companies with low carbon impact; two actively managed ETFs

offering exposure to US and non-US Real Estate securities and a portfolio of

US and non-US convertible securities, respectively; and Global ex-US dollar

denominated IG bonds.

Figure 37: Products listed during last month

Ticker NameAsset Class &

Structure

Listing

DateTER

AUM

$MM

ALFI AlphaClone International ETF Equity ETF 10-Nov-15 0.95% 2

ITEQ BlueStar TA-BIGTech Israel Technology ETF Equity ETF 3-Nov-15 0.75% 3

DEEF Deutsche X-Trackers FTSE Developed EX US Enhanced Beta ETF Equity ETF 26-Nov-15 0.35% 2

DEUS Deutsche X-Trackers Russell 1000 Enhanced Beta ETF Equity ETF 25-Nov-15 0.25% 3

ETHO Etho Climate Leadership US ETF Equity ETF 19-Nov-15 0.75% 3

PRME First Trust Heitman Global Prime Real Estate ETF Equity ETF 12-Nov-15 0.95% 2

FCVT First Trust SSI Strategic Convertible Securities ETF Fixed Income ETF 4-Nov-15 0.95% 5

TLDH FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund Equity ETF 10-Nov-15 0.47% 3

TLEH FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund Equity ETF 10-Nov-15 0.70% 2

ASET FlexShares Real Assets Allocation Index Fund Equity ETF 24-Nov-15 0.58% 2

GSIE Goldman Sachs ActiveBeta International Equity ETF Equity ETF 10-Nov-15 0.35% 35

HACV iShares Currency Hedged MSCI ACWI Minimum Volatility ETF Equity ETF 2-Nov-15 0.23% 2

HEFV iShares Currency Hedged MSCI EAFE Minimum Volatility ETF Equity ETF 2-Nov-15 0.23% 4

HEMV iShares Currency Hedged MSCI EM Minimum Volatility ETF Equity ETF 2-Nov-15 0.28% 2

HEUV iShares Currency Hedged MSCI Europe Minimum Volatility ETF Equity ETF 2-Nov-15 0.28% 3

HEUS iShares Currency Hedged MSCI Europe Small-Cap ETF Equity ETF 2-Nov-15 0.83% 3

IAGG iShares International Aggregate Bond Fund Fixed Income ETF 12-Nov-15 0.15% 53

IDLB PowerShares FTSE International Low Beta Equal Weight Portfolio Equity ETF 5-Nov-15 0.45% 2

USLB PowerShares Russell 1000 Low Beta Equal Weight Portfolio Equity ETF 5-Nov-15 0.35% 3

HGSD WisdomTree Global Hedged SmallCap Dividend Fund Equity ETF 19-Nov-15 0.43% 2

GSD WisdomTree Global SmallCap Dividend Fund Equity ETF 12-Nov-15 0.43% 3 Source: Deutsche Bank, Bloomberg Finance LP

Equity BlackRock listed five new FX hedged ETFs during November. Four of them

offer minimum volatility exposure to Global Markets (HACV), EAFE

Developed Markets (HEFV), Emerging Markets (HEMV), and Europe

Developed Markets (HEUV), respectively. HACV and HEFV come with an

9 December 2015



annual expense ratio of 0.23%; while, HEMV and HEUV come with an

expense ratio of 0.28%. The remaining fund (HEUS) offers exposure to

Europe Small-Cap companies and comes with a total expense ratio of

0.83%.

FlexShares listed three new ETFs during last month. Two of them offer FX

hedged exposure to Emerging Markets (TLEH) and Developed Markets ex-

US (TLDH), respectively, applying a tilt to small cap and value stocks using

a multi-factor modeling approach. TLEH tracks the Morningstar Emerging

Markets Factor Tilt Hedged Index and comes with an annual expense ratio

of 0.70%; while, TLDH tracks the Morningstar Developed Markets ex-US

Factor Tilt Hedged and comes with an annual expense ratio of 0.47%. The

remaining product (ASET) is a fund of funds and offers exposure to real

assets by investing in three ETFs tracked by the Northern Trust Real Assets

Allocation Index. The fund comes with a total expense ratio of 0.58%.

Deutsche AWM entered both the multi-factor and US equity arena with

two new ETFs during the past month. The first one (DEUS) offers exposure

to US equities based on five factors: Quality, Value, Momentum, Low

Volatility and Size. DEUS tracks the Russell 1000 Comprehensive Factor

Index and comes with an annual expense ratio of 0.25%. In the meantime,

the second one (DEEF) is designed to provide exposure to Developed

Markets ex-US based on the same five factors previously mentioned. DEEF

tracks the FTSE Developed ex US Comprehensive Factor Net Tax (US RIC)

Index and comes with a total expense ratio of 0.35%.

WisdomTree listed two new ETFs during November. The first one (GSD)

offers exposure to Global Small-Cap equity securities based on annual

cash dividend paid; while, the second fund (HGSD) is designed to provide

the same exposure hedging foreign currencies. Both funds come with an

annual expense ratio of 0.43%.

PowerShares listed two new ETFs during last month. The first fund (USLB)

offers equally-weighted exposure to equities from the Russell 1000 Index

with low beta characteristics. USLB tracks the Russell 1000 Low Beta

Equal Weight Index and comes with an annual expense ratio of 0.35%.

Meanwhile, the second one (IDLB) offers equally-weighted exposure to

stocks in the FTSE Developed ex US Index which exhibit low beta

characteristics. IDLB comes with an annual expense ratio of 0.45%.

ETFMG listed two new thematic ETFs. The funds offer exposure to 60

Israeli technology companies in the TASA - BlueStar Israel Technology

Index (ITEQ), and US companies with a carbon impact at least 50% better

than the average carbon impact for a given company’s industry (ETHO) as

determined in the American Climate Leadership Index, respectively. Both

funds come with an annual expense ratio of 0.75%.

First Trust listed one new actively managed ETF (PRME) which offers

exposure to US and non-US Real Estate securities as common stocks and

investment trusts. PRME comes with an annual expense ratio of 0.95%.

Goldman Sachs listed its third ETF (GSIE) during this year, which offers

exposure to Developed Markets ex-US. GSIE tracks the Goldman Sachs

ActiveBeta International Equity Index, designed to capture common

sources of active returns including value, momentum, quality, and

volatility. The fund comes with an annual expense ratio of 0.35%.

9 December 2015



Exchange Traded Concepts launched one new ETF (ALFI) designed to offer

exposure of Global ex-US companies in which hedge funds and

institutional investors have disclosed significant exposure through ADRs.

ALFI tracks the AlphaCone International Downside Hedged Index and

comes with an annual expense ratio of 0.95%.

Fixed Income First Trust listed one new fixed income ETF during November. The actively

managed fund (FCVT) offers exposure to a portfolio of US and non-US

Convertible Securities. FCVT comes with an annual expense ratio of 0.95%.

BlackRock listed one new ETF (IAGG) which is designed to provide

exposure to Global non USD denominated Investment Grade Bonds while

at the same time reducing the fluctuations between the original bonds

currencies and the USD. IAGG tracks the Barclays Global Aggregate ex

USD 10% Issuer Capped (Hedged) Index and comes with an annual

expense ratio of 0.15%.

Delistings

Figure 38: Delisted products during last month

Ticker NameAsset Class &

Structure

Delisting

dateTER

AUM at

Delisting $MM

BRXX EGShares Brazil Infrastructure ETF Equity ETF 2-Nov-15 0.85% 9

BCHP EGShares Blue Chip ETF Equity ETF 2-Nov-15 0.60% 4

Source: Deutsche Bank, Bloomberg Finance LP.

9 December 2015



Trends in products launched in the last 12 months

Figure 39: Main trends among those products launched in the last 12 months

Product

segment

Net Cash

Flows

12M $MM

AUM

Nov '15

$MM

New Funds

last 12MAsset Class Focus

Net Cash

Flows

12M $MM

AUM

Nov '15

$MM

New

Funds

last 12M

Total (All) 7,794 7,603 263 Top 5 by Geographic Focus (Equities)

By Asset Class US - US 2,323 2,225 85

Equity 5,311 5,176 214 Global - Global (reg) 1,191 1,162 25

Fixed Income 2,257 2,233 32 DM - Eurozone (Reg) 504 509 6

Commodities 1 1 1 EM - Global (reg) 277 258 13

Currency - - - EM - China A 227 246 6

Multi Asset 153 147 7 Top 5 by Category (Fixed Income)

Alternative 71 46 9 Broad 1,767 1,749 6

By Management Strategy Corporates 246 242 15

Beta 1,186 1,221 60 Municipal 160 162 4

Beta+ 664 554 31 EM debt 50 48 3

Smart Beta 3,726 3,650 147 Convertible 25 24 2

Active 2,219 2,178 25 Source: Deutsche Bank, Bloomberg Finance LP

Figure 40: Top 20 products by net cash flow raised in the last 12

months

Figure 41: Top 20 Issuers by inflows to

products launched in the last 12 months

Ticker Name TER

Net CF

12M

$MM

TOTL SPDR Doubleline Total Return Tactical ETF 0.55% 1,477

XT iShares Exponential Technologies ETF 0.47% 698

PTLC Pacer Trendpilot 750 ETF 0.60% 309

EUSC Wisdomtree Europe Hedged SmallCap Equity Fund 0.58% 255

CRBN iShares MSCI ACWI Low Carbon Target ETF 0.20% 222

GSLC Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF 0.09% 204

LABU Direxion Daily S&P Biotech Bull 3X Shares 0.95% 198

GEM Goldman Sachs ActiveBeta Emerging Markets Equity ETF 0.45% 182

SBIO ALPS Medical Breakthroughs ETF 0.50% 181

FXEU PowerShares Europe Currency Hedged Low Volatility Portfolio 0.25% 170

NFLT Virtus Newfleet Multi-Sector Unconstrained Bond ETF 0.80% 152

CHAD Direxion Daily CSI 300 China A Share Bear 1X Shares 0.80% 141

EQAL PowerShares Russell 1000 Equal Weight Portfolio 0.20% 126

MLPO Credit Suisse S&P MLP Index ETN 0.95% 120

HEWI iShares Currency Hedged MSCI Italy ETF 0.48% 118

PTMC Pacer Trendpilot 450 ETF 0.60% 118

CHAU Direxion Daily CSI 300 China A Share Bull 2X Shares 0.95% 113

XRLV PowerShares S&P 500 Ex-Rate Sensitive Low Volatility Portfolio 0.25% 109

CIBR First Trust NASDAQ CEA Cybersecurity ETF 0.60% 108

VTEB Vanguard Tax-Exempt Bond Index ETF 0.12% 105

Top 20 Issuers

Net Cash

Flows

12M $MM

AUM

Nov '15

$MM

New

Funds

last 12M

BlackRock 1,616 1,597 46

State Street 1,532 1,514 10

DirexionShares 586 505 23

PowerShares 508 510 10

Pacer Advisors 498 479 3

Goldman Sachs 421 423 3

Etfis Capital 347 337 6

WisdomTree 325 322 16

ALPS 215 199 5

ProShares 193 175 19

Deutsche AWM 147 146 20

First Trust 125 122 4

IndexIQ Advisors 113 113 6

Vanguard 105 106 1

John Hancock Inv. 98 102 6

Lattice Strategies 81 74 4

Innovator Mgmt 76 71 1

JPMorgan 72 62 2

ETC 60 61 6

Compass EMP 60 60 5 Source: Deutsche Bank, Bloomberg Finance LP


9 December 2015



Popular Product Segments: Smart Beta & Currency Hedged

Figure 42: Summary statistics for Smart Beta Equity ETFs

Smart Beta

(Equities)

Nov '15

$MM

YTD

$MM

Nov '15

$MM

MoM

Chg %

Mkt

Shr

Nov '15

$MM

MoM

Chg %

Mkt

Shr

Nov '15

All

Mkt

Shr

YTD

New

Dividend 846 16,577 18,925 -8% 21% 134,249 1% 29% 108 21% 31

Equal 457 5,171 30,613 -21% 34% 36,433 4% 8% 68 13% 5

ESG 17 84 138 26% 0% 1,820 1% 0% 14 3% 1

Fundamental 175 2,829 3,179 0% 4% 16,546 1% 4% 56 11% 16

Low Risk 752 8,268 4,353 -15% 5% 23,800 2% 5% 44 8% 16

Multi-factor 702 7,131 4,569 -23% 5% 32,660 3% 7% 121 23% 38

Single-factor 386 2,739 1,406 -29% 2% 8,954 5% 2% 40 8% 12

Style 4,436 19,279 27,563 -11% 30% 208,835 3% 45% 63 12% -

Other 6 (46) 75 -7% 0% 535 2% 0% 5 1% -

Total 7,777 62,032 90,821 -15% 100% 463,832 2% 100% 519 100% 119

Net Cash Flows Turnover AUM # of Funds


Figure 43: Summary statistics for Currency-Hedged Equity ETFs

Currency Hedged

(Equities)

Nov '15

$MM

YTD

$MM

Nov '15

$MM

MoM

Chg %

Mkt

Shr

Nov '15

$MM

MoM

Chg %

Mkt

Shr

Nov '15

All

Mkt

Shr

YTD

New

Multiple 414 22,277 4,094 -6% 25% 24,304 3% 35% 38 46% 29

AUD - 6 1 209% 0% 6 -1% 0% 2 2% 2

BRL 0 (2) 1 -45% 0% 4 12% 0% 1 1% -

CAD - 4 1 138% 0% 3 0% 0% 1 1% 1

CHF 1 6 3 1217% 0% 6 27% 0% 1 1% 1

CNY - 6 1 -7% 0% 6 1% 0% 2 2% 2

EUR 436 18,187 5,910 4% 35% 24,283 5% 35% 13 16% 8

GBP - 19 3 -55% 0% 47 0% 0% 3 4% 1

JPY 127 5,856 6,508 -16% 39% 20,034 2% 29% 16 20% 7

KRW - 137 168 -19% 1% 145 -2% 0% 3 4% 1

MXN - 2 1 182% 0% 7 -2% 0% 2 2% 1

Total 979 46,497 16,691 -7% 100% 68,845 4% 100% 82 100% 53

Net Cash Flows Turnover AUM # of Funds


Figure 44: Top 10 Issuers in Equity Smart Beta Figure 45: Top 10 Issuers in Equity Currency hedged

Top 10 Issuers

(Equity Smart Beta)

AUM

Nov '15

$MM

Net Cash

Flows

12M $MM

# of Funds

Nov '15

BlackRock 175,262 18,732 60

Vanguard 94,696 10,128 20

WisdomTree 57,894 21,486 57

State Street 33,782 3,063 51

First Trust 32,928 9,035 70

PowerShares 27,593 2,524 82

Guggenheim Inv. 18,041 1,220 27

Charles Schwab 10,298 4,139 9

FlexShares 3,154 213 14

ALPS 1,824 195 14

Top 10 Issuers

(Equity Currency Hedged)

AUM

Nov '15

$MM

Net Cash

Flows

12M $MM

# of Funds

Nov '15

WisdomTree 40,307 22,841 19

Deutsche AWM 20,391 18,515 25

BlackRock 7,775 7,534 22

PowerShares 181 175 3

IndexIQ Advisors 107 107 3

ProShares 52 54 2

State Street 20 19 3

O'Shares Investments 5 5 2

DirexionShares 4 4 2

CSOP AM 3 3 1 Source: Deutsche Bank, Bloomberg Finance LP


9 December 2015



Average Performance by Product Type and Size (Equity)

1 Month Comparisons

Figure 46: US Equity ETFs - 1 Month Total Returns Figure 47: US Equity ETFs - # of Funds in 1M sample

BetaSmart

BetaActive All

Large Cap 0.4% 0.2% 0.5% 0.3%

Mid Cap 0.9% 0.8% 0.8%

Small Cap 2.8% 2.7% 1.8% 2.7%

Broad 0.8% 0.1% 0.7% 0.2%

All 1.1% 0.7% 0.7% 0.8%

US Equity, Broad sector,

non levered, 1M Total

Return by

Product Type

Siz

e

BetaSmart

BetaActive All

Large Cap 19 84 12 115

Mid Cap 7 29 - 36

Small Cap 11 39 2 52

Broad 10 61 9 80

All 47 213 23 283


non levered, # of funds by

Product Type

Siz

e

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


Figure 48: DM Equity ETFs - 1 Month Total Returns Figure 49: DM Equity ETFs - # of Funds in 1M sample

BetaSmart

BetaActive All

Large Cap -0.7% -1.0% -0.9% -0.9%

Mid Cap 0.0% -1.2% -0.8%

Small Cap 0.5% 0.7% -0.2% 0.5%

Broad 0.2% -0.8% -0.4%

All 0.1% -0.7% -0.5% -0.4%

DM Equity, Broad sector,

regional, non levered, 1M

Total Return by

Product Type

Siz

e

BetaSmart

BetaActive All

Large Cap 7 6 1 14

Mid Cap 1 2 - 3

Small Cap 7 6 1 14

Broad 26 56 - 82

All 41 70 2 113


regional, non levered, # of

funds by

Product Type

Siz

e



Figure 50: EM Equity ETFs - 1 Month Total Returns Figure 51: EM Equity ETFs - # of Funds in 1M sample

BetaSmart

BetaActive All

Large Cap -1.8% -3.3% -2.3%

Mid Cap

Small Cap -1.3% -2.3% -1.8%

Broad -3.5% -3.2% -3.4%

All -3.2% -3.2% -3.2%

EM Equity, Broad sector,

regional, non levered, 1M

Total Return by

Product Type

Siz

e

BetaSmart

BetaActive All

Large Cap 4 2 - 6

Mid Cap - - - -

Small Cap 2 2 - 4

Broad 29 27 - 56

All 35 31 - 66



funds by

Product Type

Siz

e



9 December 2015



1 Year Comparisons

Figure 52: US Equity ETFs - 1 Year Total Returns Figure 53: US Equity ETFs - # of Funds in 1Y sample

BetaSmart

BetaActive All

Large Cap 2.9% 1.2% 4.3% 1.9%

Mid Cap 2.3% 0.9% 1.2%

Small Cap 3.5% 2.8% 1.4% 2.9%

Broad 2.7% 0.9% -0.8% 1.1%

All 2.9% 1.4% 2.4% 1.8%

Product Type

Siz

e


non levered, 1Y Total

Return by

BetaSmart

BetaActive All

Large Cap 15 63 11 89

Mid Cap 7 26 - 33

Small Cap 11 34 1 46

Broad 10 49 6 65

All 43 172 18 233


non levered, # of funds by

Product Type

Siz

e



Figure 54: DM Equity ETFs - 1 Year Total Returns Figure 55: DM Equity ETFs - # of Funds in 1Y sample

BetaSmart

BetaActive All

Large Cap -5.2% -6.7% 0.7% -5.1%

Mid Cap 4.1% 1.5% 2.3%

Small Cap 4.7% 5.6% 6.0% 5.2%

Broad -1.0% -3.8% -2.7%

All -0.8% -2.9% 3.4% -1.8%


regional, non levered, 1Y

Total Return by

Product Type

Siz

e

BetaSmart

BetaActive All

Large Cap 6 3 1 10

Mid Cap 1 2 - 3

Small Cap 5 4 1 10

Broad 21 33 - 54

All 33 42 2 77



funds by

Product Type

Siz

e



Figure 56: EM Equity ETFs - 1 Year Total Returns Figure 57: EM Equity ETFs - # of Funds in 1Y sample

BetaSmart

BetaActive All

Large Cap -17.4% -20.2% -18.3%

Mid Cap

Small Cap -12.0% -16.7% -14.3%

Broad -21.2% -20.4% -20.8%

All -20.2% -20.0% -20.1%


regional, non levered, 1Y

Total Return by

Product Type

Siz

e

BetaSmart

BetaActive All

Large Cap 4 2 - 6

Mid Cap - - - -

Small Cap 2 2 - 4

Broad 27 19 - 46

All 33 23 - 56



funds by

Product Type

Siz

e



9 December 2015



Total Expense Ratio X-ray

Figure 58: Average TER analysis by asset class and product type

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

Equity 0.46% 0.93% 0.48% 0.87% 0.55% 0.22% 0.94% 0.31% 0.91% 0.25%

Fixed Income 0.27% 0.88% 0.29% 0.55% 0.37% 0.22% 0.94% 0.32% 0.50% 0.24%

Commodity 0.80% 0.95% 0.78% 0.71% 0.82% 0.42% 0.95% 0.82% 0.69% 0.48%

Currency 0.45% 0.95% 0.75% 0.49% 0.59% 0.56% 0.95% 0.75% 0.48% 0.63%

Multi Asset 0.52% 0.69% 0.90% 0.72% 0.48% 0.77% 0.84% 0.56%

Alternative 1.86% 0.95% 0.81% 1.18% 1.20% 2.63% 0.95% 0.70% 0.97% 1.15%

All 0.45% 0.93% 0.48% 0.74% 0.54% 0.23% 0.94% 0.31% 0.59% 0.26%

Simple Average AUM-Weighted Average

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

Figure 59: Selected TER averages for the top 15 Issuers by AUM

BetaSmart

BetaBeta Active Beta

Smart

BetaBeta Active

BlackRock 827,758 0.46% 0.29% 0.24% 0.24% 0.37% 0.32% 0.24% 0.23% 0.26% 0.28%

Vanguard 483,690 0.14% 0.15% 0.13% 0.14% 0.11% 0.10% 0.11% 0.11%

State Street 416,593 0.34% 0.30% 0.28% 0.48% 0.33% 0.14% 0.34% 0.30% 0.60% 0.18%

PowerShares 98,807 0.43% 0.51% 0.42% 0.51% 0.25% 0.48% 0.53% 0.40%

WisdomTree 59,442 0.46% 0.50% 0.33% 0.54% 0.49% 0.43% 0.52% 0.43% 0.56% 0.52%

First Trust 43,081 0.61% 0.69% 0.79% 0.71% 0.60% 0.61% 0.92% 0.63%

Charles Schwab 38,807 0.09% 0.27% 0.08% 0.16% 0.07% 0.16% 0.07% 0.09%

Guggenheim Inv. 29,919 0.63% 0.50% 0.27% 0.47% 0.56% 0.42% 0.27% 0.41%

ProShares 26,046 0.29% 0.44% 0.51% 0.50% 0.88% 0.30% 0.35% 0.48% 0.50% 0.90%

Deutsche AWM 20,960 0.54% 0.43% 0.30% 0.50% 0.40% 0.43% 0.30% 0.40%

Van Eck Funds 19,551 0.60% 0.53% 0.35% 0.69% 0.52% 0.49% 0.35% 0.51%

PIMCO 11,050 0.27% 0.51% 0.39% 0.39% 0.44% 0.42%

ALPS 9,792 0.56% 0.59% 0.22% 0.57% 0.84% 0.49% 0.22% 0.74%

DirexionShares 9,137 0.57% 0.85% 0.62% 0.93%

FlexShares 8,073 0.48% 0.46% 0.20% 0.25% 0.39% 0.48% 0.39% 0.20% 0.25% 0.36%

AllEquity Fixed IncomeAUM Nov

'15 $MMTop 15 Issuers

Equity Fixed IncomeAll

Simple Average AUM-Weighted Average


9 December 2015



ETF Statistics

Global ETF Assets and Provider Ranking

Figure 60: Historical Growth of Global ETP Assets*

'05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15*

Asia Pacific ($) 43 48 61 53 66 86 91 136 169 202 245

Europe ($) 51 91 132 145 244 310 298 369 416 459 505

US ($) 298 427 612 535 782 995 1,046 1,333 1,678 1,979 2,130

US, Europe & Asia Pacific ($) 392 567 804 733 1,091 1,390 1,436 1,839 2,263 2,640 2,880

Europe (€) 43 69 90 104 170 231 230 280 302 379 478

Number of ETPs** 432 737 1,213 1,666 2,042 2,582 3,127 3,494 3,713 4,019 4,389

0

500

1,000

1,500

2,000

2,500

3,000

3,500

4,000

4,500

5,000

0

500

1,000

1,500

2,000

2,500

3,000

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 61: Top 10 Global ETP Provider Ranking and Summary Statistics

Rank IssuerCurrent

AUM

Mkt.

Share2014 AUM

2014 Mkt.

ShareNu.

Current

Month CF

Current

Month TOYTD CF

1 BlackRock 1,069,200 37.1% 987,699 37.4% 631 14,975 398,928 110,448

2 Vanguard 505,234 17.5% 443,404 16.8% 96 7,025 67,826 71,798

3 State Street 445,524 15.5% 481,063 18.2% 246 -785 604,203 -28,356

4 PowerShares 100,770 3.5% 98,537 3.7% 164 830 71,402 621

5 Deutsche AWM 83,639 2.9% 60,511 2.3% 268 452 10,258 26,997

6 Nomura Asset Management 62,442 2.2% 43,106 1.6% 49 -1,302 29,557 14,853

7 WisdomTree 59,877 2.1% 39,297 1.5% 103 823 14,279 20,451

8 Lyxor 52,046 1.8% 45,876 1.7% 244 440 11,172 9,129

9 First Trust 43,199 1.5% 33,266 1.3% 104 1,575 7,046 10,684

10 Charles Schwab 38,807 1.3% 26,922 1.0% 21 1,261 4,941 12,261

Total Top 10 2,460,738 85.4% 2,259,681 85.6% 1,926 25,295 1,219,611 248,887Others 419,136 14.6% 380,478 14.4% 2,463 385 251,415 58,830

Global Total 2,879,874 100.0% 2,640,158 100.0% 4,389 25,680 1,471,025 307,717 Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month.

9 December 2015



US Historical ETF trends

Figure 62: Annual ETP historical growth in AUM and # of

funds

Figure 63: Monthly ETF Volume $ growth vs. VIX and

ETF Volume

-

200

400

600

800

1,000

1,200

1,400

1,600

1,800

-

200

400

600

800

1,000

1,200

1,400

1,600

1,800

2,000

2,200

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-0

8

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-1

5

ET

F t

rad

ing

as %

of

all U

S C

ash

Eq

uit

y

trad

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. Data as of the end of last month.

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

Figure 64: Net Cash Flows and AUM historical

comparison between Mutual Funds and ETFs

Figure 65: Net Cash Flows and AUM historical

comparison between Active and Passive mgmt style

0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

-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 F

un

d A

UM

Net

Cash

Flo

ws $

billio

n

MF CF ETF CF ETF/MF % AUM

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

-300,000

-200,000

-100,000

0

100,000

200,000

300,000

400,000

500,000

Passi

ve A

UM

as %

of

Acti

ve A

UM

Net

Cash

Flo

ws $

billio

n

Active MF+ETF Passive MF+ETF

Passive / Active %

Source: Deutsche Bank, ICI, Bloomberg Finance LP. *Data as of the end of October 2015. Mutual Funds only include Long Term Mutual Funds.

Source: Deutsche Bank, ICI, Bloomberg Finance LP. *Data as of the end of October 2015. Mutual Funds only include Long Term Mutual Funds.

9 December 2015



ETF Issuer and Index Provider league tables

Figure 66: ETP Issuer league table (excludes ETN assets)

Top 50 Issuers TotalMkt

ShrEquity

Fixed

IncomeCmdty Other

Nov '15

$MM

YTD

$MMNov '15

$MM

Mkt

ShrNov '15

YTD

New

BlackRock 827,758 38.9% 627,903 187,054 10,843 1,959 13,092 85,914 382,572 28.9% 324 44

Vanguard 483,690 22.7% 401,519 82,171 - - 6,538 66,630 67,179 5.1% 68 1

State Street 416,593 19.6% 356,551 37,302 22,348 392 (1,247) (33,171) 614,900 46.5% 152 10

PowerShares 98,807 4.6% 77,078 15,342 4,034 2,354 853 520 72,034 5.4% 143 9

WisdomTree 59,442 2.8% 57,980 657 - 805 662 20,029 14,555 1.1% 84 15

First Trust 43,081 2.0% 40,290 1,649 187 955 1,574 10,634 7,068 0.5% 97 4

Charles Schwab 38,807 1.8% 34,517 4,290 - - 1,261 12,261 4,947 0.4% 21 0

Guggenheim Inv. 29,919 1.4% 20,345 7,355 - 2,219 798 2,201 5,575 0.4% 75 4

ProShares 26,046 1.2% 17,427 4,463 1,490 2,665 32 2,416 62,009 4.7% 150 19

Deutsche AWM 20,960 1.0% 20,915 44 - - 55 17,152 4,858 0.4% 35 19

Van Eck Funds 19,551 0.9% 13,829 5,559 78 86 241 1,871 33,277 2.5% 55 3

PIMCO 11,050 0.5% - 11,050 - - (199) (219) 1,786 0.1% 14 0

ALPS 9,792 0.5% 9,326 464 - 3 347 1,245 2,969 0.2% 21 4

DirexionShares 9,137 0.4% 8,461 676 - - 82 2,735 35,578 2.7% 75 23

FlexShares 8,073 0.4% 5,518 2,555 - - (28) 303 809 0.1% 22 5

US Commodity Funds 4,619 0.2% 6 - 4,614 - 1,022 3,010 8,450 0.6% 12 0

Fidelity Investments 3,761 0.2% 3,431 330 - - 391 1,052 1,054 0.1% 15 1

Global X Funds 3,187 0.1% 2,892 261 - 34 402 533 648 0.0% 47 10

ETC 2,287 0.1% 1,764 412 - 111 (2) 395 205 0.0% 20 6

ETF Securities 1,798 0.1% 17 - 1,781 - 19 (218) 242 0.0% 10 4

Millington Securities 1,516 0.1% 983 - - 533 (18) 456 284 0.0% 10 0

IndexIQ Advisors 1,514 0.1% 267 - - 1,246 (2) 219 197 0.0% 17 6

AdvisorShares Trust 1,135 0.1% 454 579 30 73 (32) (24) 166 0.0% 21 1

ETFMG 1,133 0.1% 1,133 - - - (14) 1,155 213 0.0% 7 5

Revenue Shares 1,059 0.0% 1,059 - - - 2 138 74 0.0% 8 1

EGShares 1,019 0.0% 1,019 - - - (10) (404) 151 0.0% 9 1

Pacer Advisors 479 0.0% 479 - - - 29 498 75 0.0% 3 3

Goldman Sachs 423 0.0% 423 - - - 143 421 170 0.0% 3 3

Etfis Capital 356 0.0% 154 152 - 51 10 365 53 0.0% 7 4

Compass EMP 356 0.0% 356 - - - 35 224 159 0.0% 10 5

Cambria Funds 337 0.0% 278 - - 59 2 (0) 40 0.0% 6 1

Highland Capital 328 0.0% - 299 - 29 (4) 35 38 0.0% 4 3

GreenHaven Funds 236 0.0% - - 236 - 3 20 46 0.0% 2 1

JPMorgan 209 0.0% 209 - - - 21 158 44 0.0% 4 2

KraneShares 207 0.0% 168 39 - - (13) (91) 172 0.0% 5 1

Franklin Templeton 189 0.0% - 189 - - - 163 1 0.0% 1 0

ArrowShares 157 0.0% 6 - - 151 (9) 48 48 0.0% 3 1

Teucrium Trading 105 0.0% - - 105 - 2 (17) 23 0.0% 5 0

John Hancock Inv. 102 0.0% 102 - - - 22 98 39 0.0% 6 6

Lattice Strategies 74 0.0% 74 - - - 3 81 23 0.0% 4 4

Innovator Mgmt 71 0.0% 71 - - - 1 76 22 0.0% 1 1

Empowered Funds 66 0.0% 66 - - - 2 48 21 0.0% 2 0

U.S. Global Investors 48 0.0% 48 - - - 3 47 18 0.0% 1 1

Precidian 48 0.0% 48 - - - (10) (48) 8 0.0% 1 0

O'Shares Investments 44 0.0% 44 - - - 1 43 12 0.0% 5 5

ARK Inv. Mgmt 44 0.0% 44 - - - - 16 2 0.0% 4 0

Recon Capital 41 0.0% 41 - - - 2 19 9 0.0% 3 1

Columbia Mgmt 41 0.0% 28 13 - - - 5 3 0.0% 5 0

Reality Shares 40 0.0% 40 - - - 10 31 21 0.0% 1 0

Principal Financial Group 31 0.0% - - - 31 - 33 3 0.0% 1 1

Other 242 0.0% 207 7 - 27 (31) 119 105 0.0% 24 12

Total 2,130,011 100% 1,707,569 362,913 45,746 13,783 26,043 199,227 1,322,954 100% 1,623 250

Net Cash FlowsAssets Under Management Nov '15 $MM # of FundsTurnover


9 December 2015



Figure 67: Index Provider league table (excludes ETN assets)

Turnover

Top 20 Index Providers TotalMkt

ShrEquity

Fixed

IncomeCmdty Other

Nov '15

$MM

YTD

$MMNov '15

$MM

Mkt

ShrNov '15

YTD

New

S&P Dow Jones 730,985 34.3% 697,748 28,334 1,764 3,138 7,370 (8,674) 715,887 54.1% 370 36

MSCI 309,148 14.5% 309,148 - - - 4,755 66,041 146,644 11.1% 218 44

FTSE Russell 308,351 14.5% 307,615 693 - 44 8,423 30,549 155,218 11.7% 135 21

Barclays 243,235 11.4% - 243,235 - - (1,077) 37,214 68,991 5.2% 114 10

CRSP 151,445 7.1% 151,445 - - - 1,892 20,880 12,105 0.9% 13 -

Nasdaq OMX 85,711 4.0% 84,558 276 - 876 780 (2,139) 90,765 6.9% 47 4

WisdomTree 57,985 2.7% 57,980 5 - - 584 20,403 14,154 1.1% 64 13

Markit iBoxx 43,976 2.1% - 43,976 - - 159 8,792 20,695 1.6% 15 1

Commodity - Physical 38,529 1.8% - - 38,529 - (367) 976 23,280 1.8% 21 -

NYSE Euronext 25,336 1.2% 24,663 673 - - 539 3,904 28,144 2.1% 39 2

Active 21,318 1.0% 3,251 16,076 455 1,536 506 6,175 3,825 0.3% 130 20

Morningstar 13,989 0.7% 13,603 126 - 260 (113) (182) 1,315 0.1% 26 4

Dorsey Wright 9,875 0.5% 9,875 - - - 453 5,246 1,603 0.1% 17 1

BofA Merrill Lynch 9,646 0.5% 140 9,465 - 40 (62) 86 1,725 0.1% 24 -

Market Vectors 8,816 0.4% 8,632 98 - 86 95 503 17,452 1.3% 35 3

Deutsche Bank 8,773 0.4% - 3,457 4,028 1,288 162 (368) 2,935 0.2% 16 -

Alerian 7,216 0.3% 7,216 - - - 354 896 2,713 0.2% 2 -

Accretive AM 6,850 0.3% - 6,850 - - 24 1,358 791 0.1% 20 2

J.P. Morgan 6,150 0.3% - 6,127 - 22 453 1,014 2,417 0.2% 4 -

STOXX 5,098 0.2% 5,098 - - - 2 876 1,313 0.1% 6 1

Other 37,581 1.8% 26,597 3,521 970 6,493 1,111 5,680 10,981 44.4% 307 88

Total 2,130,011 100% 1,707,569 362,913 45,746 13,783 26,043 199,227 1,322,954 100% 1,623 250

Assets Under Management Nov '15 $MM Net Cash Flows # of Funds


9 December 2015



Monthly Snapshot

Figure 68: ETP Summary Statistics by Asset Class

Asset ClassNov '15

$MM

YTD

$MMNov '15

$MM

MoM

Chg %

Mkt

ShrNov '15

$MM

MoM

Chg %

Mkt

ShrNov '15

All

Mkt

Shr

YTD

New

Equity 25,059 136,954 1,167,195 -21% 88% 1,707,569 1% 80% 1,187 73% 204

Fixed Income 342 57,816 103,702 -21% 8% 362,913 0% 17% 287 18% 30

Commodities (178) 1,660 28,240 -23% 2% 45,746 -8% 2% 53 3% 1

Currency 682 574 4,022 27% 0% 4,452 20% 0% 25 2% -

Multi Asset 163 468 929 33% 0% 5,462 2% 0% 35 2% 6

Alternative (37) 731 18,865 -9% 1% 3,869 -2% 0% 36 2% 9

Total 26,031 198,203 1,322,954 -21% 100% 2,130,011 1% 100% 1,623 100% 250

# of FundsAUMTurnover Net Cash Flows

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

Figure 69: ETP Summary Statistics by Management Style (Active-Passive)

Passive-->ActiveNov '15

$MM

YTD

$MMNov '15

$MM

MoM

Chg %

Mkt

ShrNov '15

$MM

MoM

Chg %

Mkt

ShrNov '15

All

Mkt

Shr

YTD

New

Beta 17,573 124,629 1,129,075 -21% 85% 1,595,500 1% 75% 688 42% 56

Beta+ 46 4,335 96,743 -25% 7% 32,893 0% 2% 192 12% 31

Smart Beta 7,850 63,065 93,297 -15% 7% 479,955 2% 23% 610 38% 142

Active 562 6,173 3,839 -12% 0% 21,663 2% 1% 133 8% 21

Total 26,031 198,203 1,322,954 -21% 100% 2,130,011 1% 100% 1,623 100% 250

# of FundsTurnover AUMNet Cash Flows


Figure 70: ETP Summary Statistics by Product Type

Product TypeNov '15

$MM

YTD

$MMNov '15

$MM

MoM

Chg %

Mkt

ShrNov '15

$MM

MoM

Chg %

Mkt

ShrNov '15

All

Mkt

Shr

YTD

New

Asset Allocation 15,119 149,350 129,128 -8% 10% 713,094 2% 33% 1,326 82% 219

Cash Management 5,754 84,578 191,320 -14% 14% 834,700 0% 39% 64 4% -

Pseudo Futures 5,112 (40,060) 905,762 -24% 68% 549,325 0% 26% 41 3% -

Leveraged & Inverse 46 4,335 96,743 -25% 7% 32,893 0% 2% 192 12% 31

Total 26,031 198,203 1,322,954 -21% 100% 2,130,011 1% 100% 1,623 100% 250

# of FundsTurnover AUMNet Cash Flows


9 December 2015



Equity Breakdowns

Figure 71: ETP Summary Statistics by Geographic Focus – Global and Developed Market Equities

Geographic Focus

(Equities)

Nov '15

$MM

YTD

$MMNov '15

$MM

MoM

Chg %

Mkt

ShrNov '15

$MM

MoM

Chg %

Mkt

ShrNov '15

All

Mkt

Shr

YTD

New

Global Markets Equities

Global (reg) 702 4,684 36,306 -36% 3% 34,570 -1% 2% 115 10% 23

Global ex US (reg) 679 7,631 5,050 0% 0% 30,075 1% 2% 30 3% 7

Asia Pacific (reg) - - 1 -18% 0% 25 -1% 0% 1 0% -

Asia Pacific ex JP (reg) (39) 103 1,035 -11% 0% 3,020 -5% 0% 7 1% -

Total GME 1,342 12,418 42,392 -33% 4% 67,690 0% 4% 153 13% 30

Developed Market Equities

Global (reg) 251 1,752 1,045 -7% 0% 10,091 2% 1% 23 2% 6

Global ex US (reg) 4,155 40,835 39,195 0% 3% 152,152 2% 9% 84 7% 24

Global ex JP (reg) - (154) 17 647% 0% 311 0% 0% 1 0% -

Europe & Middle East

Europe (reg) 145 9,439 5,730 -2% 0% 25,550 0% 1% 30 3% 11

Denmark 19 9 42 36% 0% 72 42% 0% 1 0% -

Norway (8) 9 33 64% 0% 88 -8% 0% 2 0% -

Sweden (2) 55 98 6% 0% 375 -1% 0% 1 0% -

Switzerland 25 367 390 -26% 0% 1,372 -1% 0% 3 0% 1

UK - 142 752 -10% 0% 2,971 -2% 0% 8 1% 2

Eurozone (Reg) 797 24,105 11,151 -16% 1% 41,721 3% 2% 12 1% 5

Austria (2) 3 18 -50% 0% 62 -4% 0% 1 0% -

Belgium 15 25 81 80% 0% 171 11% 0% 1 0% -

Finland - 5 7 -24% 0% 25 1% 0% 1 0% -

France 10 93 324 -9% 0% 403 -1% 0% 1 0% -

Germany (523) 3,753 2,806 -1% 0% 8,120 -5% 0% 8 1% -

Ireland (2) 73 36 -15% 0% 168 1% 0% 1 0% -

Israel (1) 8 163 164% 0% 173 -1% 0% 3 0% 1

Italy (4) 527 611 -5% 0% 1,395 -3% 0% 3 0% 2

Netherlands - 27 111 -7% 0% 168 -2% 0% 1 0% -

Portugal (2) 10 8 70% 0% 34 -10% 0% 1 0% -

Spain (59) 221 812 28% 0% 1,566 -7% 0% 4 0% 2

North America

North America (reg) 28 160 220 30% 0% 953 -4% 0% 3 0% 1

Canada (25) (303) 911 -22% 0% 1,978 -3% 0% 6 1% 1

US 19,614 36,226 928,142 -23% 80% 1,225,128 2% 72% 599 50% 80

Asia Pacific

Pacific (reg) 40 767 509 -18% 0% 3,612 1% 0% 5 0% 2

Japan 229 10,655 14,214 -26% 1% 41,228 1% 2% 32 3% 10

Pacific ex JP (reg) (47) (410) 282 9% 0% 1,936 -3% 0% 4 0% 1

Australia (27) (33) 845 -16% 0% 1,402 -1% 0% 7 1% 2

Hong Kong (47) 164 1,134 -24% 0% 2,710 -5% 0% 2 0% -

New Zealand 0 (46) 21 29% 0% 68 -1% 0% 1 0% -

Singapore (2) (105) 249 -16% 0% 576 -6% 0% 1 0% -

Total DME 24,579 128,379 1,009,958 -22% 87% 1,526,577 2% 89% 850 72% 151

Total Equities 25,059 136,954 1,167,195 -21% 100% 1,707,569 1% 100% 1,187 100% 204

# of FundsNet Cash Flows Turnover AUM


9 December 2015



Figure 72: ETP Summary Statistics by Geographic Focus – Emerging Market Equities

Geographic Focus

(Equities)

Nov '15

$MM

YTD

$MMNov '15

$MM

MoM

Chg %

Mkt

ShrNov '15

$MM

MoM

Chg %

Mkt

ShrNov '15

All

Mkt

Shr

YTD

New

Emerging Market Equities

Global (reg) 45 (4,062) 62,545 -17% 5% 78,268 -4% 5% 59 5% 12

BRIC (reg) (5) (140) 27 -3% 0% 358 -3% 0% 3 0% -

Asia

Asia (reg) 1 (8) 113 -46% 0% 817 -2% 0% 4 0% -

China (318) 1,121 19,082 -13% 2% 9,443 -6% 1% 26 2% 1

China A (121) (360) 2,326 -9% 0% 911 -11% 0% 12 1% 6

India (84) 1,937 3,424 -2% 0% 6,953 -5% 0% 10 1% -

Indonesia (7) (259) 336 -19% 0% 347 -4% 0% 3 0% -

Malaysia (22) (159) 361 -17% 0% 268 -6% 0% 1 0% -

Philippines (12) (90) 204 -17% 0% 241 -8% 0% 1 0% -

South Korea 11 (514) 3,265 -14% 0% 3,420 -3% 0% 8 1% 1

Taiwan (335) 17 2,345 0% 0% 2,840 -13% 0% 3 0% -

Thailand (3) (186) 206 -16% 0% 227 -4% 0% 1 0% -

Europe

Europe (reg) - (179) 3 -13% 0% 42 -4% 0% 1 0% -

Poland (8) 30 98 8% 0% 187 -14% 0% 2 0% -

Russia (11) 353 5,695 0% 0% 2,442 -1% 0% 6 1% -

Turkey (13) (5) 328 0% 0% 326 -9% 0% 1 0% -

Greece (6) 268 122 25% 0% 263 -17% 0% 1 0% -

Middle East & Africa

ME & Africa (reg) - (13) 6 74% 0% 33 -8% 0% 1 0% -

Middle East (reg) (1) (16) 5 58% 0% 34 -10% 0% 2 0% -

Africa (reg) (6) (3) 20 123% 0% 64 -15% 0% 1 0% -

Egypt (7) 1 12 85% 0% 26 -30% 0% 1 0% -

South Africa 17 66 685 2% 0% 390 -3% 0% 1 0% -

Qatar - 9 2 -81% 0% 42 -13% 0% 1 0% -

UAE - (17) 6 131% 0% 25 -9% 0% 1 0% -

Latin America

Latin America (reg) 107 40 228 -40% 0% 642 14% 0% 6 1% -

Brazil (3) (842) 10,358 -2% 1% 1,961 -3% 0% 10 1% -

Chile (26) (16) 229 0% 0% 201 -18% 0% 1 0% -

Colombia 2 27 23 -23% 0% 70 -14% 0% 2 0% -

Mexico (41) (848) 2,494 -3% 0% 1,260 -6% 0% 6 1% 1

Peru - (54) 45 -45% 0% 112 -7% 0% 1 0% -

Frontier Markets

Frontier (reg) (18) 8 141 10% 0% 606 -7% 0% 3 0% -

Argentina 5 0 10 90% 0% 19 25% 0% 1 0% -

Nigeria (0) 13 8 -30% 0% 23 -8% 0% 1 0% -

Pakistan - 6 1 71% 0% 5 -7% 0% 1 0% 1

Saudi Arabia - 5 0 -89% 0% 5 2% 0% 1 0% 1

Vietnam (2) 53 93 -29% 0% 429 -8% 0% 1 0% -

Total EME (862) (3,815) 114,845 -13% 10% 113,302 -4% 7% 184 16% 23

Total Equities 25,059 136,954 1,167,195 -21% 100% 1,707,569 1% 100% 1,187 100% 204



9 December 2015



Figure 73: ETP Summary Statistics by Size and Market – Equities

Market Cap Segment

(Equities)

Nov '15

$MM

YTD

$MM

Nov '15

$MM

MoM

Chg %

Mkt

Shr

Nov '15

$MM

MoM

Chg %

Mkt

Shr

Nov '15

All

Mkt

Shr

YTD

New

US Equities

Large Cap 8,351 (16,413) 697,474 -23% 60% 625,928 2% 37% 173 15% 30

Mid Cap 1,341 12,172 18,715 -5% 2% 109,338 2% 6% 43 4% 3

Small Cap 3,530 8,906 93,221 -23% 8% 104,786 6% 6% 75 6% 7

Broad 6,392 31,561 118,732 -22% 10% 385,076 2% 23% 308 26% 40

Total US Equities 19,614 36,226 928,142 -23% 80% 1,225,128 2% 72% 599 50% 80

DM Intl Equities

Large Cap 46 1,677 1,529 -13% 0% 8,145 -1% 0% 22 2% 7

Mid Cap - 46 31 43% 0% 347 -1% 0% 3 0% -

Small Cap 83 2,850 1,523 0% 0% 10,183 1% 1% 23 2% 5

Broad 4,836 87,563 78,734 -9% 7% 282,774 1% 17% 203 17% 59

Total DM Intl Equities 4,965 92,136 81,816 -9% 7% 301,449 1% 18% 251 21% 71

EM Equities

Large Cap (272) 1,122 18,194 -14% 2% 7,287 -8% 0% 15 1% 1

Mid Cap - (2) 0 -14% 0% 3 -1% 0% 1 0% -

Small Cap (41) (413) 497 -8% 0% 2,073 -4% 0% 14 1% -

Broad (549) (4,522) 96,154 -13% 8% 103,939 -4% 6% 154 13% 22

Total EM Equities (862) (3,815) 114,845 -13% 10% 113,302 -4% 7% 184 16% 23

Total Equities 25,059 136,954 1,167,195 -21% 100% 1,707,569 1% 100% 1,187 100% 204



Figure 74: ETP Summary Statistics by Style and Market – Equities

Style

(Equities)

Nov '15

$MM

YTD

$MMNov '15

$MM

MoM

Chg %

Mkt

ShrNov '15

$MM

MoM

Chg %

Mkt

ShrNov '15

All

Mkt

Shr

YTD

New

US Equities

Growth 2,835 11,771 14,031 -12% 1% 112,598 3% 7% 39 3% -

Value 1,419 6,900 13,258 -12% 1% 95,313 2% 6% 42 4% 1

Dividend 433 (2,893) 6,084 -10% 1% 80,140 1% 5% 43 4% 8

Blend 14,927 20,448 894,769 -23% 77% 937,077 2% 55% 475 40% 71


DM Intl Equities

Growth 163 477 376 92% 0% 2,133 8% 0% 1 0% -

Value 58 461 326 9% 0% 2,776 0% 0% 1 0% -

Dividend 520 20,491 12,313 -8% 1% 50,111 3% 3% 40 3% 14

Blend 4,224 70,707 68,801 -10% 6% 246,429 1% 14% 209 18% 57

Total DM Intl Equities 4,965 92,136 81,816 -9% 7% 301,449 1% 18% 251 21% 71

EM Equities

Dividend (55) (866) 424 -23% 0% 2,952 -6% 0% 11 1% 2

Blend (807) (2,927) 114,421 -13% 10% 110,351 -4% 6% 173 15% 21

Total EM Equities (862) (3,815) 114,845 -13% 10% 113,302 -4% 7% 184 16% 23

Total Equities 25,059 136,954 1,167,195 -21% 100% 1,707,569 1% 100% 1,187 100% 204



9 December 2015



Figure 75: ETP Summary Statistics by Sectors – US Equities

Sector

(US Equities)

Nov '15

$MM

YTD

$MMNov '15

$MM

MoM

Chg %

Mkt

ShrNov '15

$MM

MoM

Chg %

Mkt

ShrNov '15

All

Mkt

Shr

YTD

New

Consumer Discretionary 363 3,117 21,215 -8% 2% 23,859 2% 2% 23 4% 6

Consumer Staples (590) (961) 10,390 -20% 1% 15,364 -4% 1% 13 2% -

Energy 685 7,297 43,289 -22% 5% 31,014 0% 3% 32 5% 4

Financials 1,347 (325) 30,900 -10% 3% 39,393 6% 3% 39 7% 4

Healthcare (483) 7,330 37,933 -51% 4% 48,082 1% 4% 34 6% 7

Industrials 234 (3,325) 15,674 -19% 2% 12,738 3% 1% 15 3% -

Materials 86 (868) 7,688 -26% 1% 4,299 2% 0% 12 2% -

Real Estate 927 81 24,810 3% 3% 41,474 2% 3% 20 3% 3

Technology 1,991 245 16,908 -19% 2% 37,739 7% 3% 32 5% 1

Telecom 109 (26) 362 48% 0% 1,489 7% 0% 5 1% -

Utilities (862) (3,111) 11,830 -1% 1% 8,487 -11% 1% 9 2% 1

Theme (38) (206) 1,424 -7% 0% 9,330 -1% 1% 36 6% 2

Overall 15,846 26,977 705,720 -22% 76% 951,860 2% 78% 329 55% 52




Commodity Breakdowns

Figure 76: ETP Summary Statistics by Sectors and Sub Sectors– Commodity

Sector

(Commodities)

Nov '15

$MM

YTD

$MMNov '15

$MM

MoM

Chg %

Mkt

ShrNov '15

$MM

MoM

Chg %

Mkt

ShrNov '15

Mkt

Shr

YTD

New

Diversified Broad 21 (539) 856 -3% 3% 4,205 -6% 9% 10 19% -

Agriculture (2) (103) 144 -7% 1% 887 -4% 2% 7 13% -

Energy 1,149 4,437 12,138 -26% 43% 5,696 8% 12% 15 28% 1

Crude Oil 1,072 4,243 10,901 -26% 39% 4,936 9% 11% 7 13% -

Natural Gas 72 142 1,170 -31% 4% 572 1% 1% 4 8% -

Industrial Metals 5 (25) 28 -33% 0% 138 -4% 0% 2 4% -

Precious Metals (1,351) (2,109) 15,075 -21% 53% 34,819 -11% 76% 19 36% -

Gold (1,425) (1,672) 13,332 -20% 47% 28,952 -11% 63% 9 17% -

Silver 51 (177) 1,555 -32% 6% 5,037 -9% 11% 5 9% -

Platinum - (42) 63 22% 0% 381 -16% 1% 1 2% -

Palladium 8 (100) 43 -4% 0% 190 -17% 0% 1 2% -

Total Commodities (178) 1,660 28,240 -23% 100% 45,746 -8% 100% 53 100% 1



9 December 2015



Fixed Income Breakdowns

Figure 77: ETP Summary Statistics by Category – Fixed Income

Categories

(Fixed Income)

Nov '15

$MM

YTD

$MMNov '15

$MM

MoM

Chg %

Mkt

ShrNov '15

$MM

MoM

Chg %

Mkt

ShrNov '15

All

Mkt

Shr

YTD

New

Broad 3,295 19,435 17,711 1% 17% 105,059 3% 29% 43 15% 6

Convertible 116 8 768 -24% 1% 2,815 4% 1% 3 1% 2

Corporates (43) 17,304 36,569 -28% 35% 115,229 -1% 32% 91 32% 14

EM debt 507 1,138 3,618 -8% 3% 11,203 4% 3% 23 8% 2

Inflation 87 2,066 2,552 11% 2% 22,262 0% 6% 17 6% -

International (65) (602) 694 6% 1% 2,966 -5% 1% 13 5% 1

Municipal 394 3,469 1,985 -13% 2% 18,536 2% 5% 36 13% 4

Preferred 798 4,597 3,102 14% 3% 21,039 4% 6% 9 3% -

Securitized 99 1,847 1,365 -50% 1% 10,321 1% 3% 9 3% -

Senior Loans (422) (663) 1,328 -12% 1% 5,795 -8% 2% 4 1% -

US Treasury (4,423) 9,217 34,012 -27% 33% 47,689 -9% 13% 39 14% 1

Total Fixed Income 342 57,816 103,702 -21% 100% 362,913 0% 100% 287 100% 30



Figure 78: ETP Summary Statistics by Credit Quality – Fixed Income

Credit Quality

(Fixed Income)

Nov '15

$MM

YTD

$MMNov '15

$MM

MoM

Chg %

Mkt

ShrNov '15

$MM

MoM

Chg %

Mkt

ShrNov '15

All

Mkt

Shr

YTD

New

Investment Grade (314) 44,964 70,973 -21% 68% 279,803 0% 77% 197 69% 18

High Yield (1,110) 4,093 25,153 -28% 24% 46,171 -5% 13% 46 16% 4

Mixed 1,766 8,826 7,576 2% 7% 36,939 5% 10% 44 15% 8




Figure 79: ETP Summary Statistics by Duration – Fixed Income

Duration

(Fixed Income)

Nov '15

$MM

YTD

$MMNov '15

$MM

MoM

Chg %

Mkt

ShrNov '15

$MM

MoM

Chg %

Mkt

ShrNov '15

All

Mkt

Shr

YTD

New

Short (2,525) 10,252 19,411 -12% 19% 94,563 -3% 26% 70 24% 7

Intermediate (1,454) 13,409 31,621 -29% 30% 73,643 -3% 20% 41 14% 1

Long (726) 1,317 19,618 -31% 19% 18,307 -4% 5% 29 10% 2

Broad 4,958 31,091 32,147 -11% 31% 168,086 3% 46% 102 36% 9

Set Maturity 89 1,815 905 9% 1% 8,314 1% 2% 45 16% 11




9 December 2015



Top 15 ETFs (includes ETNs)

Figure 80: Top 15 by 1M Total Return Gain (non-levered) Figure 81: Top 15 by 1M Total Return Loss (non-levered)

Ticker Name TERTotal

Return

BBC BioShares Biotechnology Clinical Trials Fund 0.85% 15.7%

CNCR Loncar Cancer Immunotherapy ETF 0.79% 11.4%

XPH SPDR S&P Pharmaceuticals ETF 0.35% 10.5%

XBI SPDR S&P Biotech ETF 0.35% 8.5%

SBIO ALPS Medical Breakthroughs ETF 0.50% 8.5%

PSCH PowerShares S&P SmallCap Health Care Portfolio 0.29% 8.3%

BIZD Market Vectors BDC Income ETF 9.17% 8.0%

BDCZ ETRACS Linked to the Wells Fargo Business

Development Company Index ETN Series B

0.85% 7.7%

FBT First Trust NYSE Arca Biotechnology Index Fund 0.60% 7.7%

DXJH WisdomTree Japan Hedged Health Care Fund 0.43% 7.5%

BDCS ETRACS Linked to the Wells Fargo Business

Development Company Index ETN

0.85% 7.3%

KWEB KraneShares CSI China Internet ETF 0.68% 7.3%

AIRR First Trust RBA American Industrial Renaissance ETF 0.70% 7.2%

KBWR PowerShares KBW Regional Banking Portfolio 0.35% 7.0%

QABA First Trust NASDAQ ABA Community Bank Index

Fund

0.60% 7.0%

Ticker Name TERTotal

Return

GAZ iPath Dow Jones-UBS Natural Gas Subindex Total

Return ETN

0.75% -20.3%

PALL ETFS Physical Palladium Shares 0.60% -19.6%

PGM iPath Dow Jones-UBS Platinum Subindex Total

Return ETN

0.75% -17.5%

GREK Global X FTSE Greece 20 ETF 0.65% -17.0%

PTM ETRACS CMCI Long Platinum Total Return 0.65% -16.9%

COPX Global X Copper Miners ETF 0.65% -16.5%

CU First Trust ISE Global Copper Index Fund 0.70% -16.0%

PPLT ETFS Physical Platinum Shares 0.60% -15.6%

ICOL iShares MSCI Colombia Capped ETF 0.61% -15.5%

GXG Global X FTSE Colombia 20 ETF 0.68% -14.6%

YMLP Yorkville High Income MLP 0.82% -14.5%

PLTM First Trust ISE Global Platinum Index Fund 0.70% -13.9%

JJC iPath Dow Jones-UBS Copper Subindex Total Return

ETN

0.75% -13.1%

WITE ETFS White Metals Basket Trust 0.60% -13.1%

SILJ PureFunds ISE Junior Silver ETF 0.69% -12.7% Source: Deutsche Bank, FactSet. Total Return corresponds to last month.


Figure 82: Top 15 by 1M Inflows Figure 83: Top 15 by 1M Outflows

Ticker Name TERInflows

$MM

AGG iShares Core U.S. Aggregate Bond ETF 0.08% 2,645

IWB iShares Russell 1000 ETF 0.15% 2,525

IWM iShares Russell 2000 ETF 0.24% 2,401

IEFA iShares Core MSCI EAFE ETF 0.14% 1,635

EFA iShares MSCI EAFE ETF 0.33% 1,017

VOO Vanguard S&P 500 ETF 0.05% 930

USO United States Oil Fund LP 0.45% 890

VEA Vanguard FTSE Developed Markets ETF 0.10% 831

IWF iShares Russell 1000 Growth ETF 0.20% 825

QQQ PowerShares QQQ 0.20% 702

XLF Financial Select Sector SPDR Fund 0.14% 683

FDN First Trust Dow Jones Internet Index Fund 0.60% 670

XLK Technology Select Sector SPDR Fund 0.14% 623

HEDJ WisdomTree Europe Hedged Equity Fund 0.58% 617

PFF iShares U.S. Preferred Stock ETF 0.47% 559

Ticker Name TEROutflows

$MM

SHY iShares 1-3 Year Treasury Bond ETF 0.15% (1,516)

GLD SPDR Gold Shares 0.40% (1,316)

XLU Utilities Select Sector SPDR Fund 0.14% (891)

IEF iShares 7-10 Year Treasury Bond ETF 0.15% (868)

JNK SPDR Barclays High Yield Bond ETF 0.40% (761)

EEM iShares MSCI Emerging Markets ETF 0.67% (585)

BIL SPDR Barclays 1-3 Month T-Bill ETF 0.13% (567)

TLT iShares 20+ Year Treasury Bond ETF 0.15% (540)

BKLN PowerShares Senior Loan Portfolio 0.65% (497)

XLP Consumer Staples Select Sector SPDR Fund 0.14% (460)

IEI iShares 3-7 Year Treasury Bond ETF 0.15% (407)

XLV Health Care Select Sector SPDR Fund 0.14% (352)

SHV iShares Short Treasury Bond ETF 0.15% (342)

EWT iShares MSCI Taiwan ETF 0.62% (332)

EWG iShares MSCI Germany ETF 0.48% (288) Source: Deutsche Bank, Bloomberg Finance LP. Inflows correspond to last month.

Source: Deutsche Bank, Bloomberg Finance LP. Outflows correspond to last month.

Figure 84: Top 15 by AUM Figure 85: Top 15 by $ Volume traded last month

Ticker Name TERAUM

$MM

SPY SPDR S&P 500 ETF 0.09% 180,509

IVV iShares Core S&P 500 ETF 0.07% 70,428


VTI Vanguard Total Stock Market ETF 0.05% 58,084

QQQ PowerShares QQQ 0.20% 43,059

VOO Vanguard S&P 500 ETF 0.05% 39,510

VWO Vanguard FTSE Emerging Markets ETF 0.15% 35,852

IWF iShares Russell 1000 Growth ETF 0.20% 31,124

AGG iShares Core U.S. Aggregate Bond ETF 0.08% 30,099


VEA Vanguard FTSE Developed Markets ETF 0.10% 28,940

BND Vanguard Total Bond Market ETF 0.08% 27,257

IJH iShares Core S&P Mid-Cap ETF 0.15% 27,217

IWD iShares Russell 1000 Value ETF 0.21% 27,056

VNQ Vanguard REIT ETF 0.12% 26,907

Ticker Name TERVolume

$MM

SPY SPDR S&P 500 ETF 0.09% 407,755


QQQ PowerShares QQQ 0.20% 62,027

EEM iShares MSCI Emerging Markets ETF 0.67% 43,987


XLE Energy Select Sector SPDR Fund 0.14% 22,766

VXX iPath S&P 500 VIX Short-Term Futures ETN 0.89% 20,335

XLF Financial Select Sector SPDR Fund 0.14% 19,409

DIA SPDR Dow Jones Industrial Average ETF 0.17% 18,721

FXI iShares China Large-Cap ETF 0.74% 17,323

GDX Market Vectors Gold Miners ETF 0.52% 16,636

XLV Health Care Select Sector SPDR Fund 0.14% 16,622

IVV iShares Core S&P 500 ETF 0.07% 16,220

IYR iShares U.S. Real Estate ETF 0.43% 16,218

TLT iShares 20+ Year Treasury Bond ETF 0.15% 16,035 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.

9 December 2015



Appendix A: ETN Snapshot

Figure 86: ETN Summary by Asset Class

Asset ClassNov

2015

End of

2014%Chg

Nov

2015

Oct

2015YTD

YTD Chg

% AUM

Nov

2015

Oct

2015%Chg

Nov

2015

End of

2014%Chg AUM

Turn-

over

# of

ETNs

Equity 13,225 16,990 -22.2% (1) 103 515 3.0% 3,232 3,432 -5.8% 55 53 3.8% 59.0% 6.2% 27.4%

Fixed income 292 448 -34.8% (11) (1) (133) -29.8% 38 56 -32.2% 19 23 -17.4% 1.3% 0.1% 9.5%

Commodity 5,366 5,409 -0.8% 466 236 2,811 52.0% 11,132 15,073 -26.1% 90 96 -6.3% 24.0% 21.3% 44.8%

Currency 76 119 -36.5% (5) 5 (34) -28.2% 21 21 -0.4% 11 13 -15.4% 0.3% 0.0% 5.5%

Multi Asset 585 1,040 -43.8% (43) (25) (318) -30.5% 115 126 -8.7% 7 7 0.0% 2.6% 0.2% 3.5%

Alternative 2,860 2,803 2.1% 86 112 495 17.7% 37,756 49,053 -23.0% 19 19 0.0% 12.8% 72.2% 9.5%

Total 22,404 26,809 -16.4% 492 431 3,337 12.4% 52,295 67,761 -22.8% 201 211 -4.7% 100% 100% 100%

AUM ($ MM) Cash Flow ($ MM) Turnover ($ MM) # of ETNs Market Share %


Figure 87: ETN Summary by Issuer

IssuerNov

2015

End of

2014%Chg

Nov

2015

Oct

2015YTD

YTD Chg

% AUM

Nov

2015

Oct

2015%Chg

Nov

2015

End of

2014%Chg AUM

Turn-

over

# of

ETNs

Barclays Bank 6,836 8,971 -23.8% (46) 267 (388) -4.3% 21,569 28,768 -25.0% 81 81 0.0% 30.5% 41.2% 40.3%

UBS 5,024 5,188 -3.2% 12 200 1,419 27.3% 1,075 1,165 -7.7% 45 34 32.4% 22.4% 2.1% 22.4%

Credit Suisse 4,959 3,961 25.2% 523 (45) 3,115 78.6% 27,356 35,256 -22.4% 26 27 -3.7% 22.1% 52.3% 12.9%

JPMorgan 3,726 5,694 -34.6% - - - 0.0% 1,954 2,013 -2.9% 1 1 0.0% 16.6% 3.7% 0.5%

Deutsche Bank 811 881 -8.0% 12 (10) (79) -9.0% 191 339 -43.7% 29 35 -17.1% 3.6% 0.4% 14.4%

Swedish Export CC 533 765 -30.4% (5) 15 (68) -8.9% 96 115 -17.1% 7 7 0.0% 2.4% 0.2% 3.5%

Citigroup 219 186 18.1% - - 103 55.7% 8 68 -88.1% 3 3 0.0% 1.0% 0.0% 1.5%

Goldman Sachs 114 158 -27.8% - - - 0.0% 29 17 72.7% 1 1 0.0% 0.5% 0.1% 0.5%

Van Eck Funds 64 79 -19.6% (3) 5 (4) -4.5% 14 13 7.0% 4 4 0.0% 0.3% 0.0% 2.0%

Morgan Stanley 62 111 -44.4% - - (8) -7.0% 2 2 -30.6% 1 2 -50.0% 0.3% 0.0% 0.5%

HSBC USA Inc 29 30 -1.8% - - - 0.0% 1 0 307.6% 1 1 0.0% 0.1% 0.0% 0.5%

RBC Global Asset Management 20 28 -29.9% - - 0 1.4% 2 4 -59.8% 1 1 0.0% 0.1% 0.0% 0.5%

Guggenheim Investments 8 9 -15.9% - - - 0.0% 0 0 34.4% 1 1 0.0% 0.0% 0.0% 0.5%

Total 22,404 26,062 -14.0% 492 431 4,090 15.7% 52,295 67,761 -22.8% 201 198 1.5% 100% 100% 100%

AUM ($ MM) Cash Flow ($ MM) Turnover ($ MM) # of ETNs Market Share %


9 December 2015



Appendix B: ETF List

Figure 88: Global and US Equities Reference list

5-Day $ 5-Day bps

Global Equities ACWI iShares MSCI ACWI ETF CM 28-Mar-08 0.33% 6,225 130 90 220 2.01 144.3

US Total Market VTI Vanguard Total Stock Market ETF CM 31-May-01 0.05% 58,196 243 3,063 3,306 0.01 1.1

S&P 500 (Large Cap) SPY SPDR S&P 500 ETF PF 29-Jan-93 0.09% 182,186 20,251 7,437 27,689 0.01 0.5

DJI DIA SPDR Dow Jones Industrial Average ETF PF 14-Jan-98 0.17% 12,632 971 1,204 2,174 0.01 0.7

NASDAQ-100 QQQ PowerShares QQQ PF 10-Mar-99 0.20% 42,990 3,127 2,163 5,289 0.01 0.9

Russell 1000 Growth IWF iShares Russell 1000 Growth ETF PF 22-May-00 0.20% 31,255 237 1,064 1,300 0.01 1.3

Russell 1000 Value IWD iShares Russell 1000 Value ETF PF 22-May-00 0.21% 27,033 247 4,417 4,664 0.01 1.3

S&P 400 (Mid Cap) MDY SPDR S&P MidCap 400 ETF PF 4-May-95 0.25% 15,726 531 883 1,414 0.04 1.6

Russell 2000 (SM Cap) IWM iShares Russell 2000 ETF PF 22-May-00 0.24% 28,802 3,326 295 3,621 0.01 0.9

Div. Growth VIG Vanguard Dividend Appreciation ETF CM 27-Apr-06 0.10% 19,414 52 999 1,052 0.02 2.3

Div. Yield DVY iShares Select Dividend ETF CM 7-Nov-03 0.39% 13,408 62 601 663 0.02 2.0

Div. Yield VYM Vanguard High Dividend Yield ETF CM 16-Nov-06 0.10% 11,339 39 3,534 3,573 0.02 3.3

Div. Yield & Growth SDY SPDR S&P Dividend ETF CM 15-Nov-05 0.35% 13,018 54 418 472 0.03 3.9

Cons. Discretionary XLY Consumer Discretionary Select Sector SPDR Fund PF 22-Dec-98 0.14% 11,878 521 2,476 2,997 0.01 1.3

Hotels, Rest & Leisure PEJ PowerShares Dynamic Leisure and Entertainment PortfolioAA 23-Jun-05 0.63% 242 4 11 15 0.05 13.1

Home Builders XHB SPDR S&P Homebuilders ETF PF 2-Feb-06 0.35% 1,922 105 85 190 0.01 3.0

Household Durables ITB iShares U.S. Home Construction ETF CM 5-May-06 0.43% 2,048 89 24 113 0.01 3.6

Media PBS PowerShares Dynamic Media Portfolio AA 23-Jun-05 0.63% 139 1 11 12 0.02 9.2

Retail XRT SPDR S&P Retail ETF PF 22-Jun-06 0.35% 797 255 78 333 0.01 2.6

Cons. Staples XLP Consumer Staples Select Sector SPDR Fund PF 22-Dec-98 0.14% 7,663 400 1,060 1,460 0.01 2.1

Food Products PBJ PowerShares Dynamic Food & Beverage Portfolio AA 23-Jun-05 0.63% 236 3 12 15 0.04 10.9

Energy XLE Energy Select Sector SPDR Fund PF 22-Dec-98 0.14% 11,989 1,100 1,479 2,579 0.01 1.5

Energy Eq. & Serv. OIH Market Vectors Oil Services ETF PF 7-Feb-01 0.35% 1,309 166 374 541 0.01 3.3

Energy Eq. & Serv. XES SPDR S&P Oil & Gas Equipment & Services ETF AA 22-Jun-06 0.35% 203 10 70 80 0.03 13.8

Energy Eq. & Serv. IEZ iShares U.S. Oil Equipment & Services ETF AA 5-May-06 0.43% 293 4 61 65 0.04 10.8

Energy E&P XOP SPDR S&P Oil & Gas Exploration & Production ETF PF 22-Jun-06 0.35% 1,631 447 62 509 0.01 2.9

Energy E&P IEO iShares U.S. Oil & Gas Exploration & Production ETF AA 5-May-06 0.43% 412 9 648 657 0.05 8.5

MLPs AMLP Alerian MLP ETF CM 25-Aug-10 0.85% 6,919 139 65 204 0.01 8.9

Financials XLF Financial Select Sector SPDR Fund PF 22-Dec-98 0.14% 19,516 904 1,232 2,135 0.01 4.1

Large Banks KBWB PowerShares KBW Bank Portfolio AA 1-Nov-11 0.35% 516 11 494 505 0.02 6.3

Regional Banks KRE SPDR S&P Regional Banking ETF PF 22-Jun-06 0.35% 2,829 202 61 263 0.01 2.3

Capital Markets KCE SPDR S&P Capital Markets ETF AA 15-Nov-05 0.35% 123 0 57 57 0.04 8.3

Insurance KIE SPDR S&P Insurance ETF AA 15-Nov-05 0.35% 645 7 115 122 0.03 4.6

Healthcare XLV Health Care Select Sector SPDR Fund PF 22-Dec-98 0.14% 13,825 736 1,677 2,412 0.01 1.4

Biotech & Pharma IBB iShares Nasdaq Biotechnology ETF PF 5-Feb-01 0.48% 8,155 545 155 700 0.25 7.4

Large Biotech BBH Market Vectors Biotech ETF AA 23-Nov-99 0.35% 696 12 282 294 0.14 11.0

HC Eq. & Supplies IHI iShares U.S. Medical Devices ETF AA 5-May-06 0.43% 714 6 288 294 0.09 7.1

HC Providers & Serv IHF iShares U.S. Healthcare Providers ETF AA 5-May-06 0.43% 784 16 64 79 0.12 9.7

Large Pharma PPH Market Vectors Pharmaceutical ETF AA 1-Feb-00 0.35% 312 5 429 434 0.04 5.7

Industrials XLI Industrial Select Sector SPDR Fund PF 22-Dec-98 0.14% 7,028 674 1,704 2,378 0.01 1.9

Aerospace & Def ITA iShares U.S. Aerospace & Defense ETF AA 5-May-06 0.43% 646 11 92 103 0.05 4.5

Transportation IYT iShares Transportation Average ETF AA 10-Oct-03 0.43% 867 33 90 124 0.07 4.6

Materials XLB Materials Select Sector SPDR Fund PF 22-Dec-98 0.14% 2,193 293 653 946 0.01 2.3

Metals & Mining XME SPDR S&P Metals and Mining ETF PF 22-Jun-06 0.35% 238 34 41 75 0.01 6.9

Real Estate VNQ Vanguard REIT ETF CM 29-Sep-04 0.12% 26,840 305 294 599 0.01 1.4

Technology VGT Vanguard Information Technology ETF AA 30-Jan-04 0.12% 8,395 37 1,848 1,885 0.04 3.8

Comm. Equipment IGN iShares North American Tech-Multimedia Networking ETFAA 10-Jul-01 0.47% 143 1 38 39 0.04 10.5

Int. Software & Serv. FDN First Trust Dow Jones Internet Index Fund AA 23-Jun-06 0.60% 4,890 47 107 154 0.03 4.4

Semiconductors SMH Market Vectors Semiconductor ETF PF 5-May-00 0.35% 411 120 374 493 0.01 2.1

Software IGV iShares North American Tech-Software ETF AA 10-Jul-01 0.47% 1,040 15 297 311 0.05 4.7

Telecom VOX Vanguard Telecommunication Services ETF AA 29-Sep-04 0.14% 870 4 19 23 0.09 10.8

Utilities XLU Utilities Select Sector SPDR Fund PF 22-Dec-98 0.14% 5,603 514 488 1,002 0.01 2.4

AUM $M20D ADV

$M

Implied

Liq. $M

Total

Liq. $M

Avg. Bid/Ask SpreadsProduct

TypeAsset Class Ticker ETF Name Listing Date TER

Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of 3-Dec-15. Bid/Ask Spreads are provided only as reference, actual spreads are trade-specific. Product Type: Asset Allocation (AA), Cash Management (CM), Pseudo Futures (PF).

9 December 2015



Figure 89: International Equities Reference list

5-Day $ 5-Day bps

Intl DM EFA iShares MSCI EAFE ETF CM 14-Aug-01 0.33% 58,750 1,227 1,626 2,853 0.01 1.7

Canada EWC iShares MSCI Canada ETF CM 12-Mar-96 0.47% 1,917 43 346 389 0.01 4.5

Israel EIS iShares MSCI Israel Capped ETF AA 28-Mar-08 0.62% 122 8 24 32 0.32 64.1

Europe VGK Vanguard FTSE Europe ETF CM 3-Mar-05 0.12% 15,377 193 448 641 0.01 2.0

Denmark EDEN iShares MSCI Denmark Capped ETF AA 26-Jan-12 0.53% 72 2 11 13 0.10 17.8

Norway NORW Global X FTSE Norway 30 ETF AA 10-Nov-10 0.50% 66 1 10 11 0.06 59.2

Sweden EWD iShares MSCI Sweden ETF AA 12-Mar-96 0.47% 376 5 230 234 0.29 151.2

Switzerland EWL iShares MSCI Switzerland Capped ETF AA 12-Mar-96 0.47% 1,178 18 0 18 0.01 3.6

UK EWU iShares MSCI United Kingdom ETF CM 12-Mar-96 0.47% 2,690 40 1,207 1,247 0.01 6.0

Eurozone EZU iShares MSCI Eurozone ETF CM 25-Jul-00 0.48% 13,463 221 1,305 1,526 0.02 4.3

Austria EWO iShares MSCI Austria Capped ETF AA 12-Mar-96 0.47% 57 1 2 4 0.04 25.1

Belgium EWK iShares MSCI Belgium Capped ETF AA 12-Mar-96 0.47% 171 4 15 19 0.03 17.7

Finland EFNL iShares MSCI Finland Capped ETF AA 26-Jan-12 0.53% 25 0 13 13 0.10 29.9

France EWQ iShares MSCI France ETF AA 12-Mar-96 0.47% 400 16 831 847 0.64 50.9

Germany EWG iShares MSCI Germany ETF CM 12-Mar-96 0.48% 5,889 120 437 557 0.01 3.8

Ireland EIRL iShares MSCI Ireland Capped ETF AA 7-May-10 0.47% 169 2 15 16 0.21 53.4

Italy EWI iShares MSCI Italy Capped ETF CM 12-Mar-96 0.47% 1,198 31 396 427 0.01 7.4

Netherlands EWN iShares MSCI Netherlands ETF AA 12-Mar-96 0.47% 167 5 80 85 1.91 108.3

Portugal PGAL Global X FTSE Portugal 20 ETF AA 13-Nov-13 0.61% 34 0 2 2 0.08 74.0

Spain EWP iShares MSCI Spain Capped ETF CM 12-Mar-96 0.48% 1,459 36 122 158 0.01 3.8

Japan EWJ iShares MSCI Japan ETF CM 12-Mar-96 0.47% 20,414 374 1,142 1,516 0.01 8.0

Pacific ex JP EPP iShares MSCI Pacific ex Japan ETF AA 25-Oct-01 0.49% 1,980 14 267 281 0.20 62.7

Australia EWA iShares MSCI Australia ETF CM 12-Mar-96 0.47% 1,389 41 427 467 0.01 5.3

Hong Kong EWH iShares MSCI Hong Kong ETF CM 12-Mar-96 0.47% 2,610 59 75 134 0.01 5.2

New Zealand ENZL iShares MSCI New Zealand Capped ETF AA 2-Sep-10 0.47% 69 1 4 6 0.14 39.2

Singapore EWS iShares MSCI Singapore ETF CM 12-Mar-96 0.47% 581 13 71 84 0.01 10.2

EM EEM iShares MSCI Emerging Markets ETF PF 7-Apr-03 0.67% 22,174 2,063 475 2,538 0.01 2.9

Latin America ILF iShares Latin America 40 ETF AA 26-Oct-01 0.49% 596 10 66 76 0.02 9.7

Brazil EWZ iShares MSCI Brazil Capped ETF PF 10-Jul-00 0.62% 1,824 477 122 599 0.01 5.0

Chile ECH iShares MSCI Chile Capped ETF AA 16-Nov-07 0.62% 200 11 6 17 0.05 14.6

Colombia GXG Global X FTSE Colombia 20 ETF AA 9-Feb-09 0.68% 56 1 0 1 0.05 59.4

Mexico EWW iShares MSCI Mexico Capped ETF PF 12-Mar-96 0.47% 1,261 121 18 139 0.02 4.2

Peru EPU iShares MSCI Peru Capped ETF AA 22-Jun-09 0.62% 111 3 0 3 0.08 39.1

EM Asia EEMA iShares MSCI Emerging Markets Asia ETF AA 9-Feb-12 0.49% 130 2 316 318 0.24 45.6

China H FXI iShares China Large-Cap ETF PF 8-Oct-04 0.74% 5,727 829 320 1,149 0.01 2.7

China A ASHR Deutsche X-trackers Harvest CSI 300 China A-Shares ETFAA 6-Nov-13 0.80% 475 75 1,379 1,454 0.01 3.9

India INDA iShares MSCI India ETF AA 2-Feb-12 0.67% 3,540 56 86 142 0.01 3.9

Indonesia EIDO iShares MSCI Indonesia ETF AA 7-May-10 0.62% 266 15 1 16 0.02 10.4

Malaysia EWM iShares MSCI Malaysia ETF CM 12-Mar-96 0.47% 271 17 23 40 0.01 10.2

Philippines EPHE iShares MSCI Philippines ETF AA 29-Sep-10 0.62% 245 10 2 12 0.05 14.9

South Korea EWY iShares MSCI South Korea Capped ETF CM 9-May-00 0.62% 3,276 147 231 378 0.01 2.1

Taiwan EWT iShares MSCI Taiwan ETF PF 20-Jun-00 0.62% 2,877 116 119 235 0.03 19.4

Thailand THD iShares MSCI Thailand Capped ETF AA 28-Mar-08 0.62% 223 10 12 22 0.17 25.2

EM Europe GUR SPDR S&P Emerging Europe ETF AA 23-Mar-07 0.49% 42 0 0 0 0.27 106.3

Greece GREK Global X FTSE Greece 20 ETF AA 8-Dec-11 0.65% 259 6 0 6 0.04 41.4

Poland EPOL iShares MSCI Poland Capped ETF AA 26-May-10 0.62% 160 5 3 8 0.03 17.0

Russia RSX Market Vectors Russia ETF PF 26-Apr-07 0.63% 1,859 201 0 201 0.01 6.0

Turkey TUR iShares MSCI Turkey ETF AA 28-Mar-08 0.62% 333 14 7 21 0.08 19.5

Middle East MES Market Vectors Gulf States Index ETF AA 25-Jul-08 0.98% 10 0 3 4 0.55 241.7

Qatar QAT iShares MSCI Qatar Capped ETF AA 1-May-14 0.62% 44 0 2 2 0.34 174.7

UAE UAE iShares MSCI UAE Capped ETF AA 1-May-14 0.62% 25 0 2 3 0.22 138.8

Africa AFK Market Vectors Africa Index ETF AA 14-Jul-08 0.78% 65 1 3 4 0.12 62.2

Egypt EGPT Market Vectors Egypt Index ETF AA 18-Feb-10 0.98% 28 1 1 1 1.11 314.5

South Africa EZA iShares MSCI South Africa ETF AA 7-Feb-03 0.62% 375 34 121 155 0.07 12.2

Frontier Market FM iShares MSCI Frontier 100 ETF AA 13-Sep-12 0.79% 465 8 35 43 0.07 26.1

Argentina ARGT Global X MSCI Argentina ETF AA 3-Mar-11 0.75% 19 0 4 5 0.12 63.0

Nigeria NGE Global X MSCI Nigeria ETF AA 3-Apr-13 0.68% 22 0 0 1 0.10 132.8

Pakistan PAK Global X MSCI Pakistan ETF AA 23-Apr-15 0.88% 5 0 1 1 0.16 124.0

Vietnam VNM Market Vectors Vietnam ETF AA 14-Aug-09 0.76% 422 5 1 6 0.04 23.3

BRIC BKF iShares MSCI BRIC ETF AA 16-Nov-07 0.67% 191 1 260 261 14.34 957.3

AUM $M20D ADV

$M

Implied

Liq. $M

Total

Liq. $M




9 December 2015



Figure 90: Non-Equity Reference list

5-Day $ 5-Day bps

Fixed Income (Broad) AGG iShares Core U.S. Aggregate Bond ETF CM 26-Sep-03 0.08% 30,129 342 n.a. n.a. 0.01 1.3

US Treasury GOVT iShares Core U.S. Treasury Bond ETF AA 16-Feb-12 0.15% 1,637 11 n.a. n.a. 0.18 74.0

Very Short SHV iShares Short Treasury Bond ETF CM 12-Jan-07 0.15% 3,141 64 n.a. n.a. 0.02 1.9

Short SHY iShares 1-3 Year Treasury Bond ETF CM 26-Jul-02 0.15% 11,192 200 n.a. n.a. 0.01 1.2

Intermediate IEI iShares 3-7 Year Treasury Bond ETF CM 12-Jan-07 0.15% 4,965 61 n.a. n.a. 0.02 1.8

Long TLT iShares 20+ Year Treasury Bond ETF PF 26-Jul-02 0.15% 5,877 756 n.a. n.a. 0.01 0.9

US Inflation TIP iShares TIPS Bond ETF CM 12-Apr-03 0.20% 13,882 72 n.a. n.a. 0.02 1.4

Municipal MUB iShares National AMT-Free Muni Bond ETF AA 9-Sep-07 0.25% 5,751 32 n.a. n.a. 0.05 4.1

Securitized MBB iShares MBS ETF AA 15-Mar-07 0.27% 7,567 42 n.a. n.a. 0.05 4.7

IG Corporates LQD iShares iBoxx $ Investment Grade Corporate Bond ETF CM 26-Jul-02 0.15% 24,788 343 n.a. n.a. 0.01 1.0

HY Corporates HYG iShares iBoxx $ High Yield Corporate Bond ETF PF 10-Apr-07 0.50% 15,526 672 n.a. n.a. 0.01 1.3

Floater FLOT iShares Floating Rate Bond ETF AA 17-Jun-11 0.20% 3,458 23 n.a. n.a. 0.01 2.6

Senior Loans BKLN PowerShares Senior Loan Portfolio CM 3-Mar-11 0.65% 4,301 52 n.a. n.a. 0.01 4.7

Preferred PFF iShares U.S. Preferred Stock ETF CM 30-Mar-07 0.47% 14,531 94 n.a. n.a. 0.01 2.6

Convertible CWB SPDR Barclays Convertible Securities ETF AA 16-Apr-09 0.40% 2,780 36 n.a. n.a. 0.02 5.1

Intl DM Debt BWX SPDR Barclays International Treasury Bond ETF AA 5-Oct-07 0.50% 1,435 14 n.a. n.a. 0.13 36.6

Intl Inflation WIP SPDR DB International Government Inflation-Protected Bond ETFAA 19-Mar-08 0.50% 621 8 n.a. n.a. 0.12 22.2

EM Gov Debt USD EMB iShares J.P. Morgan USD Emerging Markets Bond ETF CM 12-Dec-07 0.60% 4,905 97 n.a. n.a. 0.05 4.6

EM Gov Debt Local EMLC Market Vectors Emerging Markets Local Currency Bond ETFAA 23-Jul-10 0.47% 1,240 9 n.a. n.a. 0.09 46.0

EM Corp USD EMCB WisdomTree Emerging Markets Corporate Bond Fund AA 8-Mar-12 0.60% 75 2 n.a. n.a. 0.40 58.3

EM HY Corp USD HYEM Market Vectors Emerging Markets High Yield Bond ETF AA 9-May-12 0.40% 284 7 n.a. n.a. 1.41 1,055.4

Commodities DBC PowerShares DB Commodity Index Tracking Fund CM 3-Feb-06 0.85% 2,225 27 n.a. n.a. 0.01 7.2

Energy Cmdty DBE PowerShares DB Energy Fund AA 5-Jan-07 0.75% 108 1 n.a. n.a. 0.21 229.6

Crude Oil WTI USO United States Oil Fund LP PF 3-Apr-06 0.45% 3,085 359 n.a. n.a. 0.01 7.7

Natural Gas UNG United States Natural Gas Fund LP PF 18-Apr-07 1.11% 497 52 n.a. n.a. 0.01 12.0

Agriculture DBA PowerShares DB Agriculture Fund CM 5-Jan-07 0.85% 784 6 n.a. n.a. 0.02 7.6

Industrial Metals DBB PowerShares DB Base Metals Fund AA 5-Jan-07 0.75% 139 1 n.a. n.a. 0.03 24.9

Precious Metals DBP PowerShares DB Precious Metals Fund AA 5-Jan-07 0.75% 97 1 n.a. n.a. 3.27 1,014.6

Gold Physical GLD SPDR Gold Shares PF 18-Nov-04 0.40% 21,675 561 n.a. n.a. 0.01 1.1

Silver Physical SLV iShares Silver Trust PF 27-Apr-06 0.50% 4,514 66 n.a. n.a. 0.01 7.5

Platinum Physical PPLT ETFS Physical Platinum Shares AA 8-Jan-10 0.60% 382 3 n.a. n.a. 0.14 17.2

Palladium Physical PALL ETFS Physical Palladium Shares AA 8-Jan-10 0.60% 186 2 n.a. n.a. 0.17 31.6

Bull USD UUP PowerShares DB US Dollar Index Bullish Fund CM 20-Feb-07 0.80% 1,150 69 n.a. n.a. 0.01 3.9

JPYUSD FXY CurrencyShares Japanese Yen Trust PF 13-Feb-07 0.40% 232 15 n.a. n.a. 0.02 3.0

EURUSD FXE CurrencyShares Euro Currency Trust PF 12-Dec-05 0.40% 787 73 n.a. n.a. 0.01 1.1

AUM $M20D ADV

$M

Implied

Liq. $M

Total

Liq. $M




9 December 2015



Appendix C: Definitions

ETP 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), and exchange-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-

day dual liquidity to access diversified investments in a transparent, cheap, and

tax efficient way. ETFs indexed to equity and fixed income benchmarks are

registered under the investment company act of 1940. Only physical index

replication techniques are permissible by this legislation while synthetic

replication is not allowed.

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 from

ETFs in that they are registered under the Securities Act of 1933 and not the

Investment Company Act of 1940, hence they are not classed as funds.

Vehicles that replicate commodity benchmarks, more often known as pools,

and funds targeting alternative index returns are formed under the

Commodities Exchange Act and are listed under the 33 Securities Act, and

report under 34 Corporate Act.

Management Style or Product Strategy Definitions

Beta

This 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 which employs

a market capitalization weighting methodology, and a simple selection

methodology usually involving screenings such as minimum market cap and

liquidity 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 Russell

1000, to name a few.

Beta+

In this group we include every product that offers any level of leverage or

inverse implementation. For example, an ETF offering access to twice the daily

returns of the S&P 500 on either direction (long or short) would be classified

under this category.

Active

Classifying products in this group is still easy; basically if the ETF doesn’t track

any index then we classify the fund as active.

9 December 2015



Enhanced Beta (aka Smart Beta)

This category is reserved for those ETFs that also track an index, but which

follow more elaborated strategies. After defining an index universe, there are

two main levers that determine most of the risk/return profile of the index: (1)

the selection criteria, and (2) the weighting criteria. In their selection process,

enhanced beta ETFs usually employ additional screening processes and

scoring systems involving multiple factors beyond just minimum market cap

and liquidity levels. For example, they could include growth or value scores,

dividends paid or dividend yield, earnings, volatility, or momentum screens, to

name a few. The weighting methodology of enhanced beta ETFs is usually

anything but market cap weighted, it can include simple equal weighting or

variations of it, optimized weights, and other metric-specific weights such as

those based on dividends paid, 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 a combination of both.

Product Type Definitions

Asset Allocation ETFs

This group covers all ETFs with exception of levered and inverse products.

These are usually good products for market access strategies, portfolio

completion, and core positions. They are also efficient building blocks for multi

asset strategies. When selecting these products, major emphasis should be set

on the desired exposure, tracking efficiency, primary liquidity (i.e. the liquidity

of the underlying basket), and cost.

Cash Management ETFs

This group covers a more selected group of ETFs which in addition to being

good asset allocation tools, also serves a series of cash management portfolio

needs. For example, these products are very good for equitizing cash between

transitions, around reporting periods (window dressing), and during tax loss

harvesting. These ETFs usually have good liquidity, large fund size, and low

cost, all of which makes it easier to execute sizeable short-term transactions,

therefore secondary market liquidity and fund size tend to be a more relevant

factor compared to asset allocation ETFs. The most popular asset allocation

usage of these funds is as core building blocks.

Pseudo Futures ETFs

This group covers an even more selected sample of ETFs which in addition to

being good asset allocation and cash management tools can also be used for

fulfilling risk management functions such as risk hedging, portable alpha

strategies, or tactical shorts. Many times they also trade at a cheaper level

than their underlying basket, and offer large amounts of liquidity which can

make them attractive for market making activities as well. Secondary and short

liquidity (ease to borrow), and fund size tend to be more relevant

characteristics at the moment of selecting this type of ETFs. There is usually no

more than one pseudo futures ETF per asset class. The most popular asset

allocation usage of these funds is among portfolios that require more liquidity

given their size or more tactical nature.

9 December 2015



Figure 91: Selection criteria depending on intended ETF usage

Criteria 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

9 December 2015



The authors of this report wish to acknowledge the contribution made by

Alfonso Delgado Valdivia, employee of Evalueserve, a third-party provider of

offshore research support services to Deutsche Bank.

9 December 2015



Appendix 1

Important Disclosures

Additional information available upon request

*Prices are current as of the end of the previous trading session unless otherwise indicated and are sourced from local exchanges via Reuters, Bloomberg and other vendors . Other information is sourced from Deutsche Bank, subject companies, and other sources. For disclosures pertaining to recommendations or estimates made on securities other than the primary subject of this research, please see the most recently published company report or visit our global disclosure look-up page on our website at http://gm.db.com/ger/disclosure/DisclosureDirectory.eqsr

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 recommendation or view in this report. Sebastian Mercado

Equity rating key Equity rating dispersion and banking relationships

Buy: Based on a current 12- month view of total share-holder return (TSR = percentage change in share price from current price 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-holder return, 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 Buy or Sell. Notes:

1. Newly issued research recommendations and target prices always supersede previously published research. 2. Ratings definitions prior to 27 January, 2007 were:

Buy: Expected total return (including dividends) of 10% or more over a 12-month period Hold: Expected total return (including dividends) between -10% and 10% over a 12-month period Sell: Expected total return (including dividends) of -10% or worse over a 12-month period

49 % 49 %

2 %

53 %40 %

37 %0

50100150200250300350400450500

Buy Hold Sell

North American Universe

Companies Covered Cos. w/ Banking Relationship

http://gm.db.com/ger/disclosure/DisclosureDirectory.eqsr

9 December 2015



Regulatory Disclosures

1.Additional Information

Information on ETFs is provided strictly for illustrative purposes and should not be deemed an offer to sell or a

solicitation of an offer to buy shares of any fund that is described in this document. Consider carefully any fund's

investment objectives, risk factors, and charges and expenses before investing. This and other information can be found

in the fund's prospectus. Prospectuses about db X-trackers funds and Powershares DB funds can be obtained by calling

1-877-369-4617 or by visiting www.DBXUS.com. Read prospectuses carefully before investing. Past performance is not

necessarily indicative of future results. Investing involves risk, including possible loss of principal. To better understand

the similarities and differences between investments, including investment objectives, risks, fees and expenses, it is

important to read the products' prospectuses. Shares of ETFs may be sold throughout the day on an exchange through

any brokerage account. However, shares may only be redeemed directly from an ETF by authorized participants, in very

large creation/redemption units. Transactions in shares of ETFs will result in brokerage commissions and will generate

tax consequences. ETFs are obliged to distribute portfolio gains to shareholders. Deutsche Bank may be an issuer,

advisor, manager, distributor or administrator of, or provide other services to, an ETF included in this report, for which it

receives compensation. db X-trackers and Powershares DB funds are distributed by ALPS Distributors, Inc. The opinions

expressed are those of the authors and do not necessarily reflect the views of DB, ALPS or their affiliates.

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.

2. Short-Term Trade Ideas

Deutsche Bank equity research analysts sometimes have shorter-term trade ideas (known as SOLAR ideas) that are

consistent or inconsistent with Deutsche Bank's existing longer term ratings. These trade ideas can be found at the

SOLAR link at http://gm.db.com.

http://www.dbxus.com/

http://gm.db.com/

9 December 2015



Additional Information

The information and opinions in this report were prepared by Deutsche Bank AG or one of its affiliates (collectively

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Macroeconomic fluctuations often account for most of the risks associated with exposures to instruments that promise

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index fixings may -- by construction -- lag or mis-measure the actual move in the underlying variables they are intended

to track. The choice of the proper fixing (or metric) is particularly important in swaps markets, where floating coupon

rates (i.e., coupons indexed to a typically short-dated interest rate reference index) are exchanged for fixed coupons. It is

also important to acknowledge that funding in a currency that differs from the currency in which coupons are

denominated carries FX risk. Naturally, options on swaps (swaptions) also bear the risks typical to options in addition to

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Derivative transactions involve numerous risks including, among others, market, counterparty default and illiquidity risk.

The appropriateness or otherwise of these products for use by investors is dependent on the investors' own

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9 December 2015



to or inspired by the contents of this publication. The risk of loss in futures trading and options, foreign or domestic, can

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affected by the currency of an underlying security, effectively assume currency risk.

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9 December 2015



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