ETF 20/20 : Exchange Traded Fund Monthly Report. Published: July 2016 Report Scope: Global

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1 ETF 20/20 : Exchange Traded Fund Monthly Report Published: July 2016 Report Scope: Global 1

2 Key Highlights Our monthly ETF 20/20 report briefly summarizes recent Exchange Traded Fund (ETF) trends globally. It uses data from the First Bridge ETF database that includes all global ETPs. Assets for global ETPs ended the first half of June 2016 at $3.226T, up 7.4% year to date. Inflows in end June were driven by a shift into gold and treasury bond ETPs as a result of the Brexit vote. Over 150 new ETPs were listed globally in June 2016, including 32 in the US. Many of the US listed equity ETFs were focused on cross-sector themes, particularly ESG (environmental / social / governance) and lifestyle themes. In the 2 weeks after the Brexit vote, large cap UK ETFs outperformed small cap ETFs, since the former hold more companies that potentially benefit from a weaker pound. Small cap ETFs may be a better reflection of investor concerns about the potential impact of Brexit on the domestic UK market. US based investors are also likely to show a renewed interest in ETFs that hedge against a falling pound. Low volatility and dividend outperformed the other popular US equity strategies in the trailing month, as investors rotated into defensive strategies. Expectedly, Gold (GLD) was the best performing among ETFs representing 6 major asset classes, as investors looked for safety. About Us First Bridge provides ETF data and analytics to reputed institutional clients. Our ETF data sets include daily ETF holdings, global ETF product & smart beta classifications, historical distributions and risk metrics. Our clients include asset managers, financial software providers and research firms that use ETF data as a critical input into their systems & workflow. We often provide high touch services to our clients in the form of ETF data sets customized to their needs with related support. The First Bridge team combines deep expertise in the Indexing & ETF domain with skills in statistical programming and data visualization. support@firstbridgedata.com Phone: (650) Web: 2

3 Global ETPs: Landscape Snapshot Assets for global ETPs ended the first half of June 2016 at $3.226T, up 7.4% year to date. Inflows in end June were driven by a shift into gold and treasury bond ETPs as a result of the Brexit vote. For more granular data & analytics on global ETFs: ETF / ETP Type Assets ($M) - Jun '16 Assets ($M) - May '16 1. Bonds 1.1 Broad Market 182, , Corporate 182, , Municipal 23,248 22, Treasury / Sovereign 141, , Inflation Protected 38,947 38, Specialty / Other 59,700 62, Commodities & Metals 2.1 Diversified Commodities 13,159 12, Agricultural 2,238 2, Energy 9,846 10, Gold & Metals 103,081 89, Other US Equity Exposure 3.1 Broad Market & Size 655, , Dividend & Fundamental 80,678 75, Factor & Thematic 45,282 42, Sector & Industry 257, , Growth / Value 216, , Quant Strategy & Other 6,928 7, Global/Ex-US Equity Exposure * 4.1 Broad Market & Regional 478, , Country Specific 372, , Dividend & Fundamental 73,044 76, Factor & Thematic 60,367 56, Sector & Industry 63,622 59, Quant Strategy & Other 1,890 1, Multi-Asset & Other 61,844 59, Inverse / Leveraged 65,605 62, ETPs Listed in Israel ** 28,919 29,802 All Globally Listed ETPs 3,225,930 3,202,707 Source: First Bridge Data and individual ETF Sponsors; ETF data as of June 30, 2016 * The Global Equities category includes both International (ex-us) and Global (US + International) ** Asset breakdown by exposure type not available for ETFs listed in Israel 3

4 Key ETF Developments Brexit vote Although the Brexit outcome did not trigger contagion in the form of a bank collapse or trading disruptions, the long-term implications for Pan-European trade are still uncertain. The effects that ETF investors experienced in the two weeks since the Brexit vote include: 1. Performance differential in domestic vs. export oriented UK ETFs ETFs that track the FTSE 100 and other large cap UK indices have outperformed small cap UK ETFs, since the former hold more export oriented firms that potentially benefit from the weaker pound. Small cap ETFs may be a better reflection of investor concerns about the potential impact of Brexit on the domestic UK market. US based investors are also likely to show a renewed interest in ETFs that hedge against a falling pound. 110 UK ETFs - 2 weeks post Brexit UK Equities USD returns (EWU) UK Small Cap USD returns (EWUS) FTSE 100 (GBP) UK Equities Currency Hedged (DBUK) 80 6/24/16 6/25/16 6/26/16 6/27/16 6/28/16 6/29/16 6/30/16 7/1/16 7/2/16 7/3/16 7/4/16 7/5/16 7/6/16 7/7/16 7/8/16 ETF Data: As of 7/8/16 2. Gold ETP inflows Gold ( GLD ) was already gathering positive flows in 2016, after net outflows in Not surprisingly this trend sharply accelerated in the two weeks after the Brexit vote, as investors looked for investing safe havens. Net Flows ($M) Mean Daily Flows ($M) ETF Data; As of 7/8/ Pre Brexit vote 2 weeks Post Brexit vote (6/24-7/8) -$2,031 $10,821 $2,821 -$8.1 $90.2 $

5 June 2016 ETF Launches US 32 new ETPs were launched in the US in June Many of the equity ETFs were focused on cross-sector themes, particularly ESG (environmental/social/governance) and lifestyle themes. All launches and closures are reflected in our regularly updated ETF list. Table: June 2016 ETF Launches in the US Type of Exposure Sponsor Tickers Expense Ratios (in bps) US Equities Small Cap Multi Factor Deutsche Bank DESC:US 30 S&P 100 Equal Weight Guggenheim OEW:US 40 Behavioral Momentum Ex. Traded Concepts BEMO:US 79 Sustainable Equity Income Columbia Management ESGS:US 35 Technology Hardware State Street (SPDR) XTH:US 35 Technology Internet State Street (SPDR) XWEB:US 35 US Multi-Factor - Active ALPS RFFC:US 52 US Dividend - Active ALPS RFDA:US 52 Global or Ex-US Equities Emerging Markets - Active First Trust RFEM:US 95 China A Shares Blackrock (ishares) CNYA:US 65 Dividend & Quality - Global Franklin Templeton FLQD:US 55 Multi-Factor EAFE Currency Hedged Franklin Templeton FLQH:US 40 Multi-Factor Emerging & Global Franklin Templeton FLQE:US; FLQG:US 45 Lifestyle and Demographic FITS:US; OLD:US; Janus Themes SLIM:US; ORG:US 50 Sustainable International Columbia ESGN:US; & Global Equity Income Management ESGW:US 45 ESG Theme EAFE and EM Blackrock (ishares) ESGD:US; ESGE:US Bonds / Fixed Income Fixed Income Allocation State Street (SPDR) DWFI:US 60 Active Fixed Income ALPS RFUN:US; RFCI:US 51 High Yield ex Oil & Gas Blackrock (ishares) HYXE:US 50 High Yield Previously Rated Investment Grade Blackrock (ishares) FALN:US 35 Commodities & Metals GSCI Crude Oil AccuShares OILU:US 29 Leveraged / Inverse S&P 500 Inverse Direxion Shares SPDN:US 45 High Yld Bond 2x Inverse Direxion Shares HYDD:US 80 GSCI Crude Oil Inverse AccuShares OILD:US 29 Multi-Asset / Other Equi-Cash Trend Allocator RBC TALL:US 85 ETF Data: First Bridge Data; Data as of June 30,

6 June 2016 Ex-US ETP Notable Launches Below we summarize the notable new ETP listings outside the US in June The table below is summarized from First Bridge s ETF data sets for institutional clients. Type of Exposure Sponsor Tickers Expense Ratios (in bps) US Equities U.S. Equities Quality Dividend Growth USD, GBP, EUR Wisdom Tree 6 DGRA:LN, DGRG:LN, WTDM:GR, DGRA:IM S&P 500 CHF Hedged Lyxor LYSPH:SW 15 U.S. Equities ESG BNP Paribas EKLD:FP 36 Non Cap-Weighted Max Mackenzie Diversification Investments MUS:CN 60 Global or Ex-US Equities Thailand - Large & Mid Cap Bangkok Capital BMSCITH:TB 65 EMU ESG Hedged to USD EUSRU:SW 38 Japan ESG Hedged to EUR U1FB:GR, JPSRE:SW Japan ESG Hedged to USD UBS JPSRU:SW 50 United Kingdom ESG 4UBA:GR, UKSRE:SW, Hedged to EUR & USD UKSRU:SW 38 Global Equities Quality GGRA:LN, GGRG:LN, Dividend Growth USD, Wisdom Tree WTEM:GR, GGRA:IM GBP, EUR 38 JPX/S&P CAPEX & Human Capital DIAM 1484:JP 17 JPX/S&P CAPEX & Human Blackrock Capital (ishares) 1483:JP 19 Europe Equities Low Volatility EVOE:FP U.S. Equities Low EVOU:FP Volatility BNP Paribas Europe Equities EMOM:FP Momentum 42 Europe Equities Quality EQUA:FP Europe Equities Value EVAE:FP Emerging Markets High Invesco Dividend Low Volatility Powershares EMHD:FP, EHDL:GR 49 Eurozone Equities Large Cap Yuanta 00660:TT 74 Japan Equities Broad Market / Multi-Cap Yuanta 00661:TT 70 EMU Equities ex EEMU:FP 31 Emerging Market Equities BNP Paribas ex EEMK:FP 51 Europe Equities Small Cap EESM:FP 31 33

7 Type of Exposure Sponsor Tickers Expense Ratios (in bps) ex Europe Equities ex UK ex EEXU:FP Europe Equities ex EEUE:FP UK Equities ex EUKD:FP 31 Pacific ex Japan ex EPEJ:FP 41 BNP Paribas North America ex ENAM:FP 31 Japan Equities ex EJAP:FP 41 Global Equities ex EWRD:FP 46 Canada Non Cap Weighted Max Diversification Global Equities Energy Currency Hedged Global Volatility, Value, Momentum, Liquidity - Active Mackenzie Investments MKC:CN 60 Beta Shares ETF FUEL:AU 47 Vanguard VVO:CN, VVL:CN, VMO:CN, VLQ:CN UAE Equities Afkar Capital UAETF:UH 100 Japan Equities Physical and Human Capital Mitsubishi 1485:JP 22 Nasdaq 100 HKD, CNY, Blackrock 2834:HK, 82834:HK, USD (ishares) 9834:HK 28 Nasdaq-100 Fubon AM 00662:TT 55 UK Equities Large Cap 2847:HK, 82847:HK HKD, CNY, USD 9847:HK 20 Taiwan Equities HKD, 3074:HK, 83074:HK, CNY, USD 9074:HK 30 Germany Equities Large 3146:HK, 83146:HK, Cap HKD, CNY, USD 9146:HK 20 Eurozone Equities Large 3155:HK, 83155:HK, Cap HKD, CNY, USD 9155:HK 20 Korea Large Cap HKD, 3170:HK, 83170:HK, CNY, USD 9170:HK 30 Japan ETN Large & Mid :KS, Mirae Asset Cap :KS 90 China H-Share Mirae Asset :KS :KS; Korea Mega Cap Samsung :KS; Turnaround, Value, Growth :KS 45 India Large Cap Value ICICI Prudential ICPNV20:IN India Mid Cap ICICI Prudential ICPMIDC:IN 35 7

8 Type of Exposure Sponsor Tickers Expense Ratios (in bps) Bonds Corporate Bond Floating Rate USD hedged to EUR Amundi FRNH:GR, HFRN:IM 20 High Yield Corporate Bond DBX Strategic EUR Advisors XDEP:GR 25 High Yield Corporate Bond Blackrock WING:LN, RISE:LN, USD, GBP, EUR (ishares) QDVQ:GR 50 Sovereign Bond India MCB Invt. Mgmt. MISB:MP 99 Turkey Sovereign Bond TRKY:GR, TRKY:LN, ZyFin Funds EUR & GBP TURK:LN 89 Developed Market Govt. - Factor Weighted ETF Securities HCOE:GR 30 China Medium Term Govt. Fullgoal Asset RMB1:LN, RMB1:IM Bond EUR, USD, CNY Management RMB2:LN, RMB3:LN, 55 Long Term Sovereign Bond India SBI SBIGILT:IN Commodities & Metals Diversified Commodities Wisdom Tree WCOA:IM, WTIC:GR 35 Energy Crude Oil Horizons 3097:HK 99 Leveraged / Inverse Korea Large Cap Equities Samsung Leveraged & Inverse Japan Multi Cap Equities Samsung Leveraged & Inverse Energy WTI Oil EUR, USD, GBP (1xInverse) Energy WTI Oil EUR, USD, GBP (2xLeveraged) Energy WTI Oil EUR, USD, GBP (2xInverse) Energy WTI Oil EUR, USD, GBP (3xLeveraged) BOOST Energy WTI Oil EUR, USD, GBP (3xInverse) S&P 500 VIX Short-Term Futures (2.25xLeveraged) Emerging Markets 3xLeveraged & Inverse S&P 500 ETN Leveraged & Mirae Asset Inverse ETF Data source: First Bridge; June 30, :HK, 7326:HK 7255:HK, 7311:HK OI1S:GR, OILZ:LN, OIZL:LN 2OIL:GR, 2OIL:LN, 2OLI:LN 2OIS:GR, 2OIS:LN, 2OSI:LN 3BFM:GR, 3BRL:LN, 3BLR:LN 3BFS:GR, 3BRS:LN, 3BSR:LN VIXL:GR 3E3M:GR, 3E3S:GR :KS, :KS

9 Performance of Key Asset Classes & Strategies Expectedly, Gold (GLD) was the best performing among ETFs representing 6 major asset classes, as investors looked for safety after the unexpected Brexit vote outcome. 8.00% Major Asset Classes - Trailing 1 Month Total Returns 7.00% 6.00% 5.00% 4.00% 3.00% 2.00% 1.00% 0.00% -1.00% Gold (GLD) Emerging US Large Cap Equity (EEM) (SPY) US Bonds (AGG) US Small Cap (IWM) Developed Equity (EFA) -2.00% Low volatility and dividend outperformed the other popular US equity strategies as investors rotated into defensive strategies in the trailing 1 month. 5.00% 4.50% 4.00% 3.50% 3.00% 2.50% 2.00% 1.50% 1.00% 0.50% 0.00% US Equity Strategies - Trailing 1 Month Total Returns Low Volatility (SPLV) Large Cap Dividend (DLN) S&P 500 Pure Growth (RPG) S&P 500 (SPY) S&P 500 Equal Weight (RSP) S&P 500 Pure Value (RPV) Data source: First Bridge Data; Trailing 1 month as of July 8,

10 More First Bridge ETF Resources ETF Book - ETF Investment Strategies (McGraw-Hill): ETF Daily Holdings: First Bridge maintains granular data sets for all globally listed ETFs, with key metrics. For more information, support@firstbridgedata.com 10

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