Synthetic Equity & Index Strategy US ETF Market Monthly Review

Transcription

1 Deutsche Bank Markets Research North America United States Synthetic Equity & Index Strategy US ETF Market Monthly Review Date 14 March 2016 Massive flow rotation from equities to fixed income and gold in February ETF Monthly 2.0: Evolving content for an evolving industry 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. Global Equity markets remained soft in February Risky assets kicked off the month on the weak side, extending the January plunge until February 11th, after which markets recovered as they became more hopeful on improving macro data. However, the data surprises were not enough to fully bring Global Equities back from negative territory (-1.25%) last month. US equities ended flat, while DM Intl equities were down by over 3%, and EM equities were slightly negative (0.82%). In the meantime, Safe Haven assets continued their rally with the 10Y US Treasury yield dropping by another 20bps, and Gold advancing over 10% during the same period. The USD, however, weakened against the major currencies (UUP down by 1.43%). Huge flow rotations, but within the ETP system Equity ETFs experienced significant outflows of $14.7bn in February for a total of $30.5bn outflows YTD, the toughest start for this group ever. However, February s departure from Equity ETFs seems to have stayed within the ETP system given the $10.4bn and $5.9bn that flowed into Fixed Income ETFs and Commodity ETPs in February, respectively. Overall, the flat organic growth so far and the weakness among risky assets have industry assets at $2.01 trillion or 4.7% down from the end of Besides US Treasuries and Gold, Low Risk ETFs such as minimum volatility or low volatility were the biggest winner, among Equity ETFs, hauling a remarkable $3.2bn in new flows last month. Institutional ETF Ownership nears 60% at the end of 2015 Institutional investors continue to jump into ETFs. As of the end of 2015, we estimate that 59.3% of ETF assets were owned by Institutional Investors up from 58.3% at the end of 2014, and up from 43% ten years ago. Investment advisers continue to dominate ETF usage with 29%, while Mutual Funds, Pension Funds, and Insurance Companies continue to increase their ETF utilization. Over 3,100 institutions had over $1.2 trillion invested in over 1,500 ETFs as of the end of last year. Our detailed ownership analysis reveals significant differences in usage among ETF investors. Look inside for full details on our 2015 Annual ETF Institutional Ownership Analysis. First ETMF launch and latest Non-Transparent Active ETF developments Last February 26th, 2016 the first Exchange Traded Managed Fund was launched by Eaton Vance. The new product called Eaton Vance Stock NextShares (EVSTC) is an actively-managed product listed in the NASDAQ, and seeks long-term capital appreciation by investing in a diversified portfolio of equity securities. Although not an ETF, this product is the most material development in the quest for Non-Transparent Actively-Managed ETFs to date; therefore we revisit the different models approved and proposed. There are currently three main Non-Transparent Actively-Managed ETF models that seek to provide the benefits of the ETF structure without having the daily disclosure requirements of portfolio positions: (1) Exchange Traded Managed Fund, (2) Agent Model, and (3) Tracking Portfolio model. Deutsche Bank Securities Inc. Author Sebastian Mercado, CFA Strategist (+1) sebastian.mercado@db.com Team Contacts Hallie Martin Strategist (+1) hallie.martin@db.com Srineel Jalagani Strategist (+1) srineel.jalagani@db.com Recent research 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. Date TAARSS says prefer Gold and US 03 Mar 2016 Treasuries in March House View Portfolio: Feb 2016 Annual Rebalance ETF Annual Review & Outlook 21 Jan 2016 Source: Deutsche Bank

2 Table Of Contents ETF Monthly Insights... 3 Global Equity markets remained soft in February... 3 ETF flows: huge rotations, but within the ETP system... 4 Institutional ETF Ownership nears 60% at the end of First ETMF launch and latest Non-Transparent Active ETF developments Asset Allocation dashboard Global Multi Asset Allocator heatmaps US Equity Allocator heatmaps International Equity Allocator heatmaps Cross Asset Correlations (3Y) Month Relative Performance Monitor House View Portfolio: Monthly Brief Business Intelligence New Listings Delistings Trends in products launched in the last 12 months Popular Product Segments: Smart Beta & Currency Hedged Average Performance by Product Type and Size (Equity) Total Expense Ratio X-ray ETF Statistics Global ETF Assets and Provider Ranking US Historical ETF trends ETF Issuer and Index Provider league tables Monthly Snapshot Top 15 ETFs (includes ETNs) Appendix A: ETN Snapshot Appendix B: ETF List Appendix C: Definitions ETP Universe Definitions Management Style or Product Strategy Definitions Product Type Definitions Page 2 Deutsche Bank Securities Inc.

3 ETF Monthly Insights Global Equity markets remained soft in February Risky assets kicked off the month on the weak side, extending the January plunge until February 11th, after which markets recovered as they became more hopeful on improving macro data. However, the data surprises were not enough to fully bring Global Equities back from negative territory (-1.25%) last month. US equities ended flat, while DM Intl equities were down by over 3%, and EM equities were slightly negative (0.82%). In the meantime, Safe Haven assets continued their rally with the 10Y US Treasury yield dropping by another 20bps, and Gold advancing over 10% during the same period. The USD, however, weakened against the major currencies (UUP down by 1.43%). ETP flows were mostly consistent with performance during February with most equity geographies experiencing outflows. The Eurozone, Japan, and Asia Pacific ex Japan suffered the most significant outflows (5%-10% of assets), while Latin America was one of the few notable exceptions on the positive side with inflows of 2% of assets. In the fixed income space US Treasuries and Investment Grade debt continued to attract inflows, while most of the sectors in the lower credit space experienced outflows, with the exception of HY Corporate debt which experienced a notable comeback with inflows consistent with a strong performance rebound. Commodity flows were mostly positive across the board, consistent with strong performance in Precious Metals, but not with Energy returns which were negative. Within US equities, sectors and industries were mixed. Materials (+7.8%), Industrials (4.3%), and Telecom (+4.0%) were the strongest, while Financials (-2.9%) and Energy (-2.8%) were the weakest. The most significant jump was in Metals and Mining (+20%), while the most significant drop was experienced by Energy E&P (-13.6%). In international equity markets, we saw mostly outflows in developed markets, while emerging markets received a larger number of inflows. Canada was an exception in the DM with inflows of 16% of assets and returns of 3.4% for February; while in EM, Chile and Indonesia experienced the most significant inflows (about 35% of assets each). In general, most countries with strong ties to mining or natural resources fared better than the rest of their peers. In terms of correlation trends, we observed that the correlation between US Real Estate (REITs) and Global equities continues to increase towards +0.8, while the correlation of US Fixed Income with IG corporate debt has began to decrease. For full details please refer to the information contained in Figure 24 through Figure 42 within the Asset Allocation dashboard section. Deutsche Bank Securities Inc. Page 3

4 ETF flows: huge rotations, but within the ETP system Equity ETFs experienced significant outflows of $14.7bn in February for a total of $30.5bn outflows YTD, the toughest start for this group ever. However, the departure from Equity ETFs seems to have stayed within the ETP system given the $10.4bn and $5.9bn that flowed into Fixed Income ETFs and Commodity ETPs in February, respectively. Actually, if we look at ETP flows YTD the net number is slightly positive, as the $23.7bn received by Fixed Income ETFs and $8.4bn received by Commodity ETPs slightly offset the $30.5bn outflows from Equity and $1.6bn outflows from other asset class products. This suggests that investors may be dumping equities, but not ETFs. Overall, the flat organic growth so far and the weakness among risky assets have industry assets at $2.01 trillion or 4.7% down from the end of Smart Beta products weren t able to recover from the previous month outflows, and added $50m of outflows for a total of $9.4bn in asset departures YTD. In contrast, Beta, Beta+ (leveraged and inverse), and Active products have all received positive flows YTD. Within Equity Smart Beta products, Equal weighted (-$1.7bn), Multi Factor (-$0.64bn), and Style (-$0.6bn) were the main casualties in February; while Low Risk ETFs such as minimum volatility or low volatility were the biggest winner hauling a remarkable $3.2bn in new flows last month. Low Risk ETFs such as minimum volatility or low volatility were the biggest winner hauling a remarkable $3.2bn in new flows last month. Equity Currency Hedged ETFs haven t had that much of a great start either. In February, this group recorded $2.6bn in outflows, for a $3.6bn outflow total YTD. ETFs offering currency hedging to EUR-denominated (-$1.4bn) and JPYdenominated (-$0.8bn) equities suffered the most last month. In terms of product types, Cash Management and Leveraged and Inverse ETPs received inflows of $2.1bn and $1.1bn last month, respectively. On the other hand, Asset Allocation and Pseudo Futures ETPs experienced outflows of $1.6bn and $0.5bn during the same period, respectively. We believe that this suggests two things: (1) that buy-and-hold investors continue to invest in their ETF portfolios, and (2) that short-term traders are trying to benefit from recent volatility spikes by using leveraged and inverse ETFs. Total ETP turnover was $1.79 trillion last month, down 14% from the previous month as volatility was mostly on retreat following VIX Feb 11th s peak at 28. Furthermore, ETP turnover represented 27% of all cash equity traded in the US during February, slightly over its 12-month average of 26.3%. Through the end of January, organic growth was positive for passive investments (+$13bn); while it was weak for Active vehicles (-$37bn), Mutual Funds (-$21bn), and ETFs (-$3.1bn). Additional details can be found in the Business Intelligence and ETF Statistics sections. Page 4 Deutsche Bank Securities Inc.

5 Institutional Ownership % 14 March 2016 Institutional ETF Ownership nears 60% at the end of 2015 Institutional investors continue to jump into ETFs. As of the end of 2015, we estimate that 59.3% 1 of ETF assets were owned by Institutional Investors up from 58.3% at the end of 2014, and up from 43% ten years ago. Similarly, ETNs also recorded about 60% of institutional ownership; however institutional investors continued to dispose of ETV positions, probably due to the Commodities bear market experienced in recent years (Figure 1). Back to ETFs, Investment Adviser continues to be the major institutional holder group with 29%, followed by Private Banks with 13.2%, and Brokers with 9.8%. The next group of institutional investors corresponds to a more traditional group including Mutual Funds (2.5%), Pension Funds (1.7%), Hedge Funds (1.3%), and Insurance Companies (0.8%). Although most institutional investors have been increasing their usage of ETFs, in recent years we have seen a decrease in the relative relevance of Brokers as a holding group. We believe that this is a combination of new regulation affecting banks balance sheets and investment usage of ETFs growing faster than trading usage. Overall, we believe that this development is good for the industry as investment usage tends to be more stable, have better potential for organic growth, and provides a more sustainable growth path for the industry (Figure 2). Figure 1: Historical ETP Institutional Ownership Figure 2: Institutional ETF Ownership Summary Q % 60% 50% 40% 30% 20% 10% 0% ETF ETV ETN '00 '01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 Investor Type Institutional Investor Investment Adviser 1, , % Private Banking/WM 1, , % Broker 1, , % Mutual Fund Manager , % Pension Fund Manager , % Hedge Fund Manager , % Other (8 Others) , % Inst. Investor Total 1,521 1,225, % Retail Investor # of ETFs Q ETF AUM $M Q ETF Ownership % Q Retail Investor Total 1, , % Total ETFs 1,577 2,065, % Source: Deutsche Bank, FactSet, Bloomberg Finance LP Source: Deutsche Bank, FactSet, Bloomberg Finance LP Historically, institutional investments in ETFs continue to grow in line with past trends. At the end of 2015, over 3,000 institutional investors held over $1.2 trillion distributed across more than 1,500 ETFs. While ten years ago, there were only about 1,000 institutional investors which held just $130bn distributed across under 200 ETFs. 1 Ownership data is sourced from FactSet Ownership database based on SEC 13f filings and FactSet s definitions of institutional investors. Data as of Q Deutsche Bank Securities Inc. Page 5

6 '00 '01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 Institutional ETF Assets $BN # of ETFs used by Institutional Investors Number of Institutional Investors using ETFs 14 March 2016 Figure 3: Historical Institutional ETF Assets and number of ETFs held by institutions 1,400 1,600 1,200 AUM $BN 1,400 1,000 # of ETFs (rhs) 1, , Source: Deutsche Bank, FactSet, Bloomberg Finance LP Figure 4: Historical number of institutional investors using ETFs 3,500 3,000 2,500 2,000 1,500 1, '00'01'02'03'04'05'06'07'08'09'10'11'12'13'14'15 Source: Deutsche Bank, FactSet, Bloomberg Finance LP Who are the major institutional investors holding ETFs? Some of the largest holders of ETFs are well-known institutional names. Therefore as a reference for our readers we have included some tables with the top 20 holders of ETFs, ETVs, and ETFs for each of the major six institutional categories (Figure 5-Figure 12). Figure 5: Top 20 Institutional ETF holders Q Figure 6: Top 20 Institutional ETV holders Q Institution Name Institution Type ETF Assets $M Merrill Lynch, Pierce, Fenner & Smith, Inc. Broker 53,722 Morgan Stanley Smith Barney LLC Broker 50,210 Goldman Sachs & Co. (Private Banking) Private Banking/Wealth Mgmt 40,261 Wells Fargo Advisors LLC Private Banking/Wealth Mgmt 40,097 Managed Account Advisors LLC Investment Adviser 36,175 JPMorgan Chase Bank, NA (Invest. Management) Investment Adviser 35,819 Bank of America, NA (Private Banking) Private Banking/Wealth Mgmt 34,214 UBS Financial Services, Inc. Private Banking/Wealth Mgmt 33,760 BlackRock Fund Advisors Investment Adviser 27,456 LPL Financial LLC Private Banking/Wealth Mgmt 27,401 Wells Fargo Bank, NA (Private Banking) Private Banking/Wealth Mgmt 26,635 Morgan Stanley & Co. LLC Broker 22,250 Citigroup Global Markets, Inc. (Broker) Broker 17,517 PNC Bank, NA (Investment Management) Investment Adviser 16,935 Northern Trust Investments, Inc. Investment Adviser 15,633 Edward D. Jones & Co. LP (Investment Management) Investment Adviser 15,552 Envestnet Asset Management, Inc. Investment Adviser 14,779 Strategic Advisers, Inc. Investment Adviser 13,765 Susquehanna Financial Group LLLP Broker 12,082 Columbia Management Investment Advisers LLC Mutual Fund Manager 11,226 Institution Name Institution Type ETV Assets $M Paulson & Co., Inc. Hedge Fund Manager 587 Morgan Stanley Smith Barney LLC Broker 554 BlackRock Advisors LLC Investment Adviser 544 First Eagle Investment Management LLC Investment Adviser 489 Bank of America, NA (Private Banking) Private Banking/Wealth Mgmt 480 Merrill Lynch, Pierce, Fenner & Smith, Inc. Broker 460 Morgan Stanley & Co. LLC Broker 459 Windhaven Investment Management, Inc. Investment Adviser 429 Wells Fargo Advisors LLC Private Banking/Wealth Mgmt 335 BlackRock Asset Management Canada Ltd. Fund of Funds Manager 325 Goldman Sachs & Co. (Private Banking) Private Banking/Wealth Mgmt 307 Citigroup Global Markets, Inc. (Broker) Broker 306 Jane Street Capital LLC Investment Adviser 278 Susquehanna Financial Group LLLP Broker 250 UBS Financial Services, Inc. Private Banking/Wealth Mgmt 244 FIAM (Canada) ULC Investment Adviser 243 Charles Schwab Investment Advisory, Inc. Investment Adviser 219 BlackRock Investment Management (UK) Ltd. Investment Adviser 209 Orbis Investment Management Ltd. Hedge Fund Manager 197 Barclays Capital, Inc. Broker 191 Source: Deutsche Bank, FactSet, Bloomberg Finance LP Source: Deutsche Bank, FactSet, Bloomberg Finance LP Page 6 Deutsche Bank Securities Inc.

7 Figure 7: Top 20 ETF Holders - Investment Adviser Q Institution Name ETF Assets $M Managed Account Advisors LLC 36,175 JPMorgan Chase Bank, NA (Investment 35,819 BlackRock Fund Advisors 27,456 PNC Bank, NA (Investment Management) 16,935 Northern Trust Investments, Inc. 15,633 Edward D. Jones & Co. LP (Investment 15,552 Envestnet Asset Management, Inc. 14,779 Strategic Advisers, Inc. 13,765 Windhaven Investment Management, Inc. 11,107 Milliman Financial Risk Management LLC 9,555 Creative Planning, Inc. 8,864 Raymond James & Associates, Inc. (Invt Mgmt) 8,630 TIAA-CREF Trust Co., FSB 8,300 Charles Schwab Investment Advisory, Inc. 8,083 BlackRock Financial Management, Inc. 6,802 Edelman Financial Services LLC 6,632 US Bancorp Asset Management, Inc. 6,125 First Trust Advisors LP 5,834 USAA Investment Management Co. 5,563 Commonwealth Equity Services, Inc. 5,494 Figure 8: Top 20 ETF Holders - Private Banking Q Institution Name ETF Assets $M Goldman Sachs & Co. (Private Banking) 40,261 Wells Fargo Advisors LLC 40,097 Bank of America, NA (Private Banking) 34,214 UBS Financial Services, Inc. 33,760 LPL Financial LLC 27,401 Wells Fargo Bank, NA (Private Banking) 26,635 SunTrust Banks, Inc. (Wealth Management) 3,391 Nomura Securities Co., Ltd. (Private Banking) 3,296 First Republic Investment Management, Inc. 2,911 Veritable LP 2,444 Robert W. Baird & Co., Inc. (Private Wealth 2,059 Brinker Capital, Inc. 1,033 Pinnacle Advisory Group, Inc. 1,030 Ballentine Partners LLC 952 Homrich & Berg, Inc. 828 Aspiriant LLC 739 Wharton Business Group LLC 725 Tiedemann Wealth Management LLC 721 Bingham Osborn & Scarborough LLC 709 Banque Pictet & Cie SA 669 Figure 9: Top 20 ETF Holders - Broker Q Institution Name ETF Assets $M Merrill Lynch, Pierce, Fenner & Smith, Inc. 53,722 Morgan Stanley Smith Barney LLC 50,210 Morgan Stanley & Co. LLC 22,250 Citigroup Global Markets, Inc. (Broker) 17,517 Susquehanna Financial Group LLLP 12,082 UBS Securities LLC 10,229 JPMorgan Securities LLC 9,987 Credit Suisse Securities (USA) LLC (Broker) 5,549 Barclays Capital, Inc. 5,106 SG Americas Securities LLC 3,444 Commerzbank AG (Broker) 2,803 BMO Capital Markets (Canada) 1,295 Goldman Sachs International 1,042 D. A. Davidson & Co. 982 NPC of America 725 KCG Americas LLC 702 Maple Securities USA, Inc. 663 Cetera Advisor Networks LLC 611 Timber Hill LLC 584 Old Mission Capital LLC 522 Source: Deutsche Bank, FactSet, Bloomberg Finance LP Source: Deutsche Bank, FactSet, Bloomberg Finance LP Source: Deutsche Bank, FactSet, Bloomberg Finance LP Figure 10: Top 20 ETF Holders - Pension Fund Q Institution Name ETF Assets $M AFP Provida SA (Investment Management) 4,100 AFP Integra SA (Investment Management) 3,620 Prima AFP SA 2,767 Keskinainen tyoelakevakuutusyhtio Varma 2,685 Clal Gemel Ltd. 2,315 Tennessee Consolidated Retirement System 2,023 New Jersey Division of Investment 2,000 Keskinainen Elakevakuutusyhtio Ilmarinen 1,442 The Public Sector Pension Investment Board 1,194 Amitim Senior Pension Funds 1,091 Lockheed Martin Investment Management Co. 961 Ontario Teachers' Pension Plan Board 880 The Dow Chemical Co. Pension Fund 815 Keskinainen Tyoelakevakuutusyhtio Elo 776 The Retirement Systems of Alabama 705 Employees Retirement System of Texas 657 National Pension Service of Korea 646 Sampension Administrationsselskab A/S 610 Michigan Department of Treasury (Investment 600 Management) Coordinating Investment Fiduciary of Raytheon 560 Master Pension Figure 11: Top 20 ETF Holders - Mutual Fund Q Institution Name ETF Assets $M Columbia Management Investment Advisers LLC 11,226 JPMorgan Investment Management, Inc. 7,154 SSgA Funds Management, Inc. 6,808 The Vanguard Group, Inc. 4,365 AllianceBernstein LP 3,412 Wilmington Trust Investment Advisors, Inc. 2,630 Psagot Mutual Funds Ltd. 2,120 Thrivent Investment Management, Inc. 1,228 Franklin Templeton Investments Corp. 1,019 Wellington Management Co. LLP 1,012 Franklin Advisers, Inc. 837 Neuberger Berman LLC 832 American Century Investment Management, Inc. 828 AGF Investments, Inc. 792 Voya Investment Management Co. LLC 691 FIL Investment Advisors (UK) Ltd 467 Harel-Pia Mutual Funds Ltd. 458 Invesco Canada Ltd. 405 Operadora Valmex de Sociedades de Inversion 349 Arrow Investment Advisors LLC 341 Figure 12: Top 20 ETF Holders - Hedge Fund Q Institution Name ETF Assets $M Bridgewater Associates LP 6,052 SCS Capital Management LLC 2,227 Citadel Advisors LLC 1,459 IndexIQ Advisors LLC 1,284 York Capital Management Global Advisors LLC 806 Lumina Fund Management LLC 756 JBF Capital, Inc. 700 Millennium Management LLC 591 Parallax Volatility Advisers LP 572 Main Management LLC 563 Two Sigma Advisers LLC 523 NWI Management LP 420 BlueCrest Capital Management (UK) LLP 324 Broadmark Asset Management LLC 305 Hutchin Hill Capital LP 300 AQR Capital Management LLC 298 D. E. Shaw & Co. LP 292 Quantitative Investment Management LLC 279 Makena Capital Management LLC 264 Capital Fund Management SA 247 Source: Deutsche Bank, FactSet, Bloomberg Finance LP Source: Deutsche Bank, FactSet, Bloomberg Finance LP Source: Deutsche Bank, FactSet, Bloomberg Finance LP How are institutional investors using ETFs? In addition, not every type of investor uses ETFs for the same purposes. Some institutional investors use ETFs as a core investment, others use them as a liquidity or hedging tool, and others may use them as a short-term access product to gain quick exposure or equitize cash. Thus for the purpose of illustrating the different usage by specific type of investors we have provided a table with the top 20 ETFs/ETVs held by each of the seven major institutional investor groups (Figure 13). Deutsche Bank Securities Inc. Page 7

8 Figure 13: Top 20 ETF/ETV holdings by institutional investor Rank Inv. Adviser Priv. Bank Broker Mutual Fund Hedge Fund Pension Fund Insurance Comp. 1 SPY ($51,391m) SPY ($30,986m) SPY ($45,064m) SPY ($7,834m) SPY ($6,177m) SPY ($5,882m) SPY ($2,735m) 2 EFA ($26,794m) EFA ($8,293m) IWM ($7,706m) EFA ($3,535m) VWO ($2,621m) EEM ($2,265m) LQD ($1,802m) 3 IVV ($21,523m) IVV ($7,429m) QQQ ($4,512m) VOO ($1,563m) EEM ($1,777m) IWM ($1,815m) IVV ($1,484m) 4 AGG ($16,050m) VNQ ($6,927m) XLV ($3,245m) DXJ ($1,309m) GLD ($1,238m) IVV ($1,802m) VOO ($1,361m) 5 BND ($14,466m) VEA ($6,747m) XLE ($2,914m) VWO ($1,241m) IWM ($969m) EWJ ($1,536m) EFA ($553m) 6 IJH ($11,376m) IWM ($6,297m) EFA ($2,648m) JNK ($1,220m) IWV ($811m) QQQ ($1,530m) VWO ($426m) 7 IWD ($11,331m) IWF ($5,722m) TLT ($2,576m) VEA ($1,029m) XLF ($737m) XLF ($1,089m) VEA ($343m) 8 IWF ($10,945m) VWO ($5,689m) IYR ($2,416m) DBEF ($986m) HYG ($675m) VNQ ($1,057m) IJH ($334m) 9 VOO ($10,470m) VTI ($5,381m) LQD ($2,405m) HYG ($931m) AGG ($670m) VOO ($954m) IJR ($268m) 10 LQD ($9,475m) IJH ($4,544m) VUG ($2,320m) VTI ($926m) XLE ($619m) EFA ($912m) XLV ($261m) 11 IWM ($9,447m) QQQ ($4,181m) IWF ($2,280m) IWD ($758m) XOP ($608m) XLK ($888m) IWB ($243m) 12 VTI ($9,269m) DBEF ($4,069m) DXJ ($1,943m) VNQ ($742m) EFA ($604m) XLY ($788m) BND ($241m) 13 VEA ($9,010m) IJR ($4,051m) XLF ($1,928m) AGG ($741m) QQQ ($555m) XLV ($743m) EEM ($241m) 14 VUG ($8,147m) IWD ($3,743m) XLP ($1,906m) IVV ($741m) LQD ($549m) EWG ($734m) DIA ($212m) 15 IWB ($7,812m) MDY ($3,437m) IBB ($1,897m) IWM ($734m) FXI ($468m) EWY ($674m) AGG ($211m) 16 VWO ($7,406m) AGG ($2,935m) VTV ($1,891m) TIP ($731m) GDX ($396m) VWO ($633m) VNQ ($208m) 17 VTV ($6,974m) BND ($2,882m) DIA ($1,862m) BIL ($708m) VOO ($330m) DXJ ($607m) VGK ($204m) 18 BSV ($6,759m) HEDJ ($2,872m) EWJ ($1,831m) XLK ($687m) XLU ($302m) VTV ($561m) QQQ ($196m) 19 EEM ($5,792m) IWR ($2,835m) VTI ($1,823m) HEDJ ($662m) VEA ($287m) HEDJ ($533m) CSJ ($189m) 20 IWR ($5,608m) EEM ($2,621m) XLY ($1,821m) XLV ($652m) XLV ($283m) HYG ($497m) XHB ($185m) Source: Deutsche Bank, FactSet, Bloomberg Finance LP As we examine the top holdings for each institutional investor group presented on Figure 13, we can extract the following insights about each group s ETF usage: Investment Adviser: mostly use ETFs as core investment, the top 20 holdings includes very cheap products which usually track plain-vanilla equity and bond indices tracking major model portfolio building blocks. The presence of many Vanguard and ishares Core ETFs supports this observation. Investment Advisers tend to run simple asset allocation model portfolios which tend to be very scalable, and don t experience significant turnover, therefore clean asset class exposure and cost tend to be key on the selection of products. Private Bank: like Investment Advisers, they also use ETFs mostly as core investments; however management of ETF model portfolios may be less concentrated and therefore less scalable. Usually they have some more room for customization and more flexibility on asset class selection. Besides the presence of multiple Vanguard and ishares Core products, the presence of Real Estate, Currency Hedged, and sector-tilt (QQQ) ETFs support the above views. Portfolio turnover is probably slightly higher than investment advisers, but still relatively low. Clean asset class exposure and cost continue to be key on the selection of products, but the investable ETF universe is broader. Broker: mostly use ETFs for market making (lead, inventory and hedging), security lending, and seeding. However, all of these activities have become more limited recently due to the new capital requirements and more restricted use of banks balance sheet. The list of top 20 products held by Brokers is dominated by ETFs that are characterized for being not only the most liquid in the industry, but also in the whole market such as SPY, IWM, and QQQ. Moreover, most of these ETFs tend to have the most competitive shorting metrics for their respective asset class or benchmark. And we also see a more diverse sample of ETFs including broad, concentrated, sector, industry, currency hedged, and even Credit and US Treasury. Cost is not as relevant for Brokers as it is liquidity both on the long and short side. There is no portfolio as such; therefore turnover is probably the highest among institutional investors. Page 8 Deutsche Bank Securities Inc.

9 Mutual Fund: we see a mix of product usage among Mutual Funds. We believe that the most common usages of ETFs by Mutual Funds, in order of relevance, are: cash equitization, liquidity management, and core investment. Our top 20 product sample includes commonly-used active manager benchmarks such as the S&P 500, MSCI EAFE, Russell 2000, etc; as well as less liquid asset classes such as High Yield Credit, and short term cash management vehicles (BIL). Apparently a combination of underlying index exposure, liquidity, and cost seems more relevant than just one of them on their own. ETFs, unless part of a fund of funds portfolio, don t play a structural role in the mutual fund manager portfolio and therefore their usage tends to be more tactical with relatively high turnover of ETF positions. Hedge Fund: this group of investors uses ETFs for gaining quick and efficient access both on the long and short side to their desired asset class, similar to futures contracts. Some can hold ETFs for very long periods (>1 year), while many others may hold them for less than 1 day. The main requirement is enough liquidity (on the long and short side) and size to be able to execute large trades without major market impact, particularly on those asset classes that may be harder to access. Cost is usually not the main criteria for product selection. The presence of highly liquid products covering diverse asset classes such as equities, fixed income, and commodities support these views. Particularly, high positions on Gold, Gold miners, High Yield Credit, EM countries, sectors and industries further confirm the efficient access product thesis. Pension Fund: ETFs are usually seen as a way to obtain access to different asset classes in an efficient way. However, unlike Hedge Funds, ETFs tend to play a more strategic role in pension portfolios. The better way to describe Pension Fund usage of ETFs is completion. Usually pension funds use ETFs as building blocks for more efficient financial markets, or markets that are difficult to access. For example, it is common to see non-us based pension funds use ETFs for accessing the US market (either via broad or sector exposures), and countries outside their own region (e.g. Latin American pension using Asian country ETFs), or US-based pension funds using ETFs for accessing Emerging Markets, or specific factor exposures. Although Pension Funds have focused mostly on using equity ETFs, we have recently seen some pick up in the usage of Fixed Income ETFs such as High Yield credit. Given the more strategic nature of ETFs in pension portfolios, turnover tends to be somewhere in between Investment Adviser and Mutual Fund. A combination of factors including exposure, liquidity, size, and cost is usually more important than any single selection criterion on its own. Insurance Company: this group is relatively newer compared to the other groups previously reviewed. However, ETFs are used in a similar way than by Mutual Fund Managers. We believe that cash equitization and core investment tend to be the most common usage. Exposure, size, cost, and liquidity combined tend to be the main selection criteria. Turnover of ETF positions is probably similar to that of Mutual Fund Managers. Fixed Income ETFs also seem a more relevant segment to this group compared to the other groups. In addition to the insights we have already discussed, we can also understand institutional investor usage of ETFs by looking at the product concentration curve of each of these different groups. For example, Investment Adviser and Private Bank have the lowest product concentration compared to the other Deutsche Bank Securities Inc. Page 9

10 % of ETF/ETV Institutional assets 14 March 2016 groups; this characteristic is consistent with their usage of products as core investment, but also suggests a very broad selection universe and satellite investment usage. The Broker concentration curve has two clearly defined patterns; first their usage is highly concentrated on a handful of ETFs, most likely those highly liquid ETFs used for hedging; while the second pattern shows less concentration suggesting Broker ownership in a broader universe most likely due to other Broker activities such as seeding, leading, and inventory for market making. The Mutual Fund concentration curve displays a higher level of concentration than the investors groups discussed so far, a possible sign of their narrower selection universe, and non-investment usage such as cash equitization. The remaining groups (Hedge Fund, Pension Fund, and Insurance Company) all show highly concentrated curves with a high focus on just a few ETFs/ETVs suggesting traits of limited selection universe, early adoption, non-investment usage, and satellite access or completion investment (Figure 14). Figure 14: Concentration of ETF/ETV holdings per institutional investor Q % 80% 60% 40% 20% 0% Inv. Adviser Priv. Bank Broker Mutual Fund Hedge Fund Pension Fund Insurance Comp Top 100 ETFs/ETVs used by institutional investors Source: Deutsche Bank, FactSet, Bloomberg Finance LP Where are institutional investors allocating their ETF assets? In addition to the insights we have discussed about institutional ETF usage, we also examine some key allocations among the seven major institutional investor groups. Most institutional investors allocate about 80% of their assets to Equity products, and the rest mostly to Fixed Income. However, Pension Funds allocate almost their entire ETF assets to Equity, while Hedge Funds have the most significant Commodity allocation relative to the other investor groups (Figure 15). Within institutional equity ETF allocations, the majority of the assets are in Beta vehicles, with Private Banks and Investment Adviser displaying the most significant allocations to Smart Beta products. Furthermore, institutional investors don t show any significant allocation to Beta+ (i.e. leveraged and inverse) or Active funds. We believe that the almost-inexistent allocation to Beta+ ETFs can be a combination of two reasons: (1) institutional investors don t use these products as much as other ETFs, and (2) those that are using them may be properly using them for the short term and therefore do not need to report them (Figure 16). Page 10 Deutsche Bank Securities Inc.

11 % of I nstitutional ETF/ETV assets % of I nstitutional ETF/ETV assets % of I nstitutional ETF/ETV assets % of I nstitutional ETF/ETV assets 14 March 2016 Figure 15: Institutional Investor ETF/ETV allocation by Asset Class Q % 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% Inv. Adviser Priv. Bank Broker Mutual Fund Hedge Fund Pension Fund Equity Fixed Income Commodity Other Insurance Comp. Figure 16: Institutional Investor ETF allocation by Management Style Q (Equity) 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% Inv. Adviser Priv. Bank Broker Mutual Fund Hedge Fund Beta Smart Beta Beta+ Active Pension Fund Insurance Comp. Source: Deutsche Bank, FactSet, Bloomberg Finance LP Source: Deutsche Bank, FactSet, Bloomberg Finance LP From a market and regional equity allocation perspective, institutional investors prefer US-focused products. However, Mutual Funds seem to use them for international developed market allocations relatively more than other groups of investors; while Hedge Funds and Pension Funds stand out for their significant usage of emerging market focused funds. Furthermore, Pension Funds have a higher interest in specific regional allocations among institutions (Figure 17-Figure 18). Figure 17: Institutional Investor ETF allocation by Market focus Q (Equity) 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% Inv. Adviser Priv. Bank Broker Mutual Fund US DM EM Global Hedge Fund Pension Fund Insurance Comp. Figure 18: Institutional Investor ETF allocation by Region Q (Equity) 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% Inv. Adviser Priv. Bank Broker Mutual Fund Hedge Fund Pension Fund Insurance Comp. North America Global Europe Japan Asia Pacific ex JP Other Source: Deutsche Bank, FactSet, Bloomberg Finance LP Source: Deutsche Bank, FactSet, Bloomberg Finance LP In terms of sector and style allocations within US-focused equity funds, Brokers and Pension Funds have the highest allocations to sector ETFs, while in the case of style investing Investment Advisers and Private Banks have the most significant allocations to Style ETFs. We believe that these allocations are a clear reflection of these investors investment strategies and product usage (Figure 19-Figure 20). Deutsche Bank Securities Inc. Page 11

12 % of I nstitutional ETF/ETV assets % of I nstitutional ETF/ETV assets % of I nstitutional ETF/ETV assets % of I nstitutional ETF/ETV assets 14 March 2016 Figure 19: Institutional Investor ETF allocation by US Sector Q (US Equity) 25% Theme 20% Utilities 15% Real Estate Cons. Stpls 10% Industrials 5% Cons. Discr. Materials 0% Healthcare Financials Energy Figure 20: Institutional Investor ETF allocation by US Style Q (US Equity) 15% 12% 9% 6% 3% 0% Inv. Priv. Bank Broker Mutual Adviser Fund Hedge Fund Growth Value Dividend Pension Fund Insurance Comp. Source: Deutsche Bank, FactSet, Bloomberg Finance LP Source: Deutsche Bank, FactSet, Bloomberg Finance LP Lastly we looked at the ETF allocation by Equity index provider and all ETF/ETV allocations by issuer. On the index provider side, Pension Funds called our attention the most by displaying a significantly higher allocation to MSCI compared to the other institutional investors in the group, suggesting higher relevance attributed to the benchmark as a selection criterion among Pension Funds (Figure 21). On the issuer side we found a high concentration on the top 3 providers (over 90% in some cases). Furthermore, the dichotomy exhibited by State Street ETFs/ETVs was another finding worth highlighting; Brokers and Hedge Funds allocated each about 40% to their products compared to the much lower allocation of around 20% each allotted by Investment Advisers and Private Banks; most likely driven by product usage and the high liquidity profile of many of the State Street ETPs. Figure 21: Institutional Investor ETF allocation by Index Provider Q (Equity) 100% 80% 60% 40% 20% 0% Inv. Adviser Priv. Bank Broker Mutual Fund Hedge Fund Pension Fund S&P Dow Jones MSCI FTSE Russell CRSP Nasdaq OMX Other Insurance Comp. Figure 22: Institutional Investor ETF/ETV allocation by Issuer Q % 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% Other Van Eck Guggenheim Deutsche AWM Charles Schwab First Trust WisdomTree PowerShares Vanguard State Street BlackRock Source: Deutsche Bank, FactSet, Bloomberg Finance LP Source: Deutsche Bank, FactSet, Bloomberg Finance LP First ETMF launch and latest Non-Transparent Active ETF developments Last February 26th, 2016 the first Exchange Traded Managed Fund was launched by Eaton Vance. The new product called Eaton Vance Stock NextShares (EVSTC) is an actively-managed product listed in the NASDAQ, and seeks long-term capital appreciation by investing in a diversified portfolio of equity securities. The investment process is overseen by Charles Gaffney and is grounded in hands-on fundamental research, which involves finding Page 12 Deutsche Bank Securities Inc.

13 companies with consistent earnings growth and leading business franchises. EVSTC will disclose on its website its portfolio holdings approximately one month after such month end. The fund carries a net expense ratio of 65bps and will trade using the new NAV-based trading protocol. Although not an ETF, this product is the most material development in the quest for Non- Transparent Actively-Managed ETFs to date; therefore we believe this is a good time to revisit the different models approved and proposed. The road to Active ETFs Even though back in the early 90s ETFs were envisioned and developed as vehicles to offer passive or index-based strategies, the benefits of this new fund structure technology such as tax efficiency, shareholder protection, lower cost, secondary market trading, and intraday liquidity eventually attracted the attention of the supporters of active management. Thus on November 8, 2001 the SEC issued a Concept Release on Active ETFs to assist them in the consideration of sponsor s potential proposals of Active ETFs. On the Concept Release the SEC highlighted some specific concerns that could impact their approval of Active ETFs. One of them was whether effective arbitrage of ETF shares would exist, given that according to them an efficient arbitrage of Shares depended on portfolio transparency and liquidity of the respective components. Another concern was the potential that significant deviations between the secondary market price and the NAV could hurt Active ETF shareholders. Eventually, the first Active ETFs would be approved and launched on the first half of 2008; however these ETFs would be fully transparent disclosing their portfolio holdings on a daily basis. Based on the current minimal ETF market share ($23bn or about 1%) of Active ETFs, it is fair to say that the first round Active ETFs hasn t been as successful as expected. In fact, the daily disclosure of portfolio holdings has held back many active managers from testing the ETF waters, despite all the known benefits of the fund structure. Therefore, active managers have been exploring different ways to overcome the transparency issue, while still keeping the ETF technology benefits. Hence, the Non-Transparent Actively-Managed ETF concept was born. Non-Transparent Actively-Managed ETF models There are currently three main Non-Transparent Actively-Managed ETF models that seek to provide the benefits of the ETF structure without having the daily disclosure requirements of portfolio positions. Exchange Traded Managed Fund (ETMF): The first model is not even an ETF. This is the model proposed by Eaton Vance under the NextShares brand. The Eaton Vance model creates a new type of Investment Company under the Investment Company Act of 1940 called Exchange Traded Managed Fund. The ETMF is a hybrid between an ETF and a Mutual Fund. It maintains the tax efficiency, cost savings, shareholder protection, and secondary market trading common to ETFs; while at the same time, offering active management and maintaining the privacy of the portfolio holdings. Furthermore, because ETMFs trade at NAV +/- a premium/discount using the new NAV-based trading protocol, intraday pricing and arbitrage activities are not relevant; and premium and discounts are expected to be minimal. So far this model is the only one that has been approved by the SEC, and the only one under which a product has been launched already. We do not believe that ETMFs will develop significant secondary market liquidity; however we believe that Deutsche Bank Securities Inc. Page 13

14 this is not very relevant because ETMFs are more probable to be used like Active Mutual Funds rather than ETFs. Therefore we see ETMFs as direct competitors of traditional Active Mutual Funds. Agent Model: this model proposes an ETF structure, but adds a Trusted Agent-Confidential Account figure, and the calculation of a Verified Intraday Indicative Value (VIIV). Authorized Participants (AP) and Non- Authorized Participant Market Makers can establish Confidential Accounts managed by a Trusted Agent in order to engage in: in-kind creation and redemption activity, in the case of the AP, and arbitrage of shares in the case of both. The Fund Custodian will transmit a Constituent file to the Trusted Agent on a daily basis. The Trusted Agent-Confidential Account figure is intended to protect the privacy of the portfolio holdings, while at the same time allowing equal access to arbitrage of shares. The VIIV is intended to be a real time, primary and centralized pricing signal that should allow equal-opportunity and efficient arbitrage of shares; it also proposes a halt feature triggered in the case of mispricing events to protect shareholders from possible price deviations from NAV. This model is being proposed independently by Precidian and BlackRock, and is still under review. We believe that the latest iteration of this model has addressed many of the initial concerns stated by the SEC, and in our opinion is the most likely to be approved from those models still under review. However addressing the SEC concerns is just one of the hurdles faced for the success of this model; implementation of the model and investor interest, would still remain uncertain. Tracking Portfolio Model: the third model being proposed removes the requirement of disclosing a Creation Basket that resembles a pro rata slice of the portfolio holdings, and introduces the concept of a Tracking Portfolio which can be utilized as a hedging vehicle for arbitrage activities. The Tracking Portfolio is not equivalent to the actual portfolio holdings, but is expected to be highly correlated to them. In fact, in addition to the tracking portfolio the fund will provide specific metrics such as daily deviation, and tracking error to help understand the quality of the tracking portfolio as a hedging vehicle. The model also proposes the calculation of an Intraday Indicative Value as a centralized pricing source signal. Similar versions of this model are being proposed by T. Rowe Price, Fidelity, and Cohen & Steers. All proposals are still under review. We believe that this model is most likely to fall short from satisfying the concerns of the SEC regarding Price-NAV premium/discounts; more specifically we think that the 15 second dissemination period, the lack of safeguards against large premium/discounts, and the INAV calculations based on the tracking portfolios may not be sufficient to meet the desired standards of the Commission. We think that INAVs calculated based on actual portfolio holdings, disseminated as close to real time as possible (e.g. every 1 second), and in-built safeguards to trigger halts in the event of significant price-nav premium/discounts could come closer to ease the concerns of the Commission. We present a comparison summary of the different Active ETF and ETMF models on Figure 23. Page 14 Deutsche Bank Securities Inc.

15 Deutsche Bank Securities Inc. Page 15 Figure 23: Comparison Summary of major Active ETF and ETMF models Vehicle Description Fully Transparent ETF Exchange Traded Managed Fund Non-Transparent Active ETF - Agent Non-Transparent Active ETF - Tracking Portfolio Investment Company Type ETF ETMF Actively-managed ETF Actively-managed ETF Actively-managed ETF Actively-managed ETF Fund Sponsor Multiple (e.g. BlackRock, Vanguard, State Street GA, PowerShares, Deutsche Asset Management) Eaton Vance and others (e.g. ALPS Advisors, American Beacon, Columbia Threadneedle Investments, Gabelli Funds) Precidian / BlackRock T. Rowe Price Fidelity Cohen & Steers Status Over 2,000 vehicles in over 23 First ETMF launched on Feb 26, Yet to be approved Yet to be approved Yet to be approved Yet to be approved years 2016 Management Style Passive and Active Active Active Active Active Active Portfolio Disclosure Daily At least quarterly with a lag Quarterly with a lag Quarterly with a lag Monthly with a 30-day lag Quarterly with a lag Intraday Pricing Yes No Yes Yes Yes Yes End of Day Pricing Yes, for creation units at NAV Yes, at NAV Yes, for creation units at NAV Yes, for creation units at NAV Arbitrage Vehicle Primary Pricing Signal Portfolio transparency (Creation/Redemption baskets) and availability of liquid hedging vehicles (e.g. futures and other ETFs) allow efficient arbitrage necessary to keep price in line with NAV. Calculated on real time by each market maker, authorized participant, or liquidity provider based on the portfolio holdings provided by the fund. Intraday Indicative Value (IIV) is calculated by third party agent, but it is not very relevant as primary pricing signal. ETMF Shares utilize NAV-Based Trading and therefore arbitrage is not a relevant feature. ETMFs trade at NAV +/- premium/discount determined by market factors rather than pricing differences between Price and NAV. Not relevant. Provides Intraday Indicative Value (IIV) only as a reference for calculating the number of shares to buy, for example. Authorized Participants and Non-Authorized Participant Market Makers need to establish a Confidential Account with a Trusted Agent. The Fund Custodian will provide a daily Fund Constituent file to each Trusted Agent. As a fiduciary, the Trusted Agent may purchase or sell securities in the portfolio for arbitrage purposes, and/or in-kind creation and redemption activity. The APs and Non-AP Market Makers are responsible for all order instructions and associated profit and loss. Verified Intraday Indicative Value (VIIV) calculated using midpoint quotes derived from at leat two independent pricing sources computed by one or more independent pricing agents, verified by another Independent Pricing Agent. If the prices from the independent pricing sources are out of line by more than 25bps for 60 seconds, the Sponsor can request the trading halt of the fund on the Exchange. Hedge Portfolio with daily deviation, tracking error, and empirical percentiles. Self-calculated based on Hedge Portfolio or Indicative Net Asset Value (INAV), calculated by the INAV provider who will know the portfolio holdings and would be under confidentiality agreement. Yes, for creation units and Fund Small Allotment Redemption at NAV exception. Daily optimized Tracking basket comprised of recent disclosed holdings and representative ETFs. Self-calculated based on Tracking Basket or Indicative Net Asset Value (INAV) of the Tracking Basket calculated by INAV provider Yes, for creation units at NAV Daily Tracking Portfolio with Daily deviation and Tracking Error data. Tracking Portfolio: Proxy Portfolio optimized from Selection Universe, Partial Portfolio with representative sample and minimal tracking error, or Hedge Portfolio based on an index or recently disclosed portfolio holdings. Self-calculated based on Tracking Portfolio or Intraday Indicative Value (IIV) calculated by Agent receiving portfolio holding information from the Fund in a secure and confidential manner. IIV Dissemination Every 15 secs Not more than every 15 minutes Every second Every 15 secs Every 15 secs Every 15 secs Creation Basket Based on pro rata slice of portfolio holdings Creation Basket is not a pro rata slice of the portfolio holdings. Buys will be excluded and sells may not be removed until the execution is over. Based on pro rata Portfolio Holdings. Same for Creation and Redemptions. Creation Basket information is provided daily to Trusted Agent. Based on Hedge Portfolio, issued at next determined NAV. Deposit and Redemption baskets are the same. Based on Tracking Basket. Used for Deposit Instruments and Redemption Instruments. Deposit basket published daily, same for creation and redemptions. Based on Tracking Portfolio Creation Unit Size 10k-600k Shares (50K most 5k-50K Shares. At least 25k Shares. At least 25k Shares. At least 25k Shares. Not specified common) In-kind Create/Redeem Yes Yes Yes Yes Yes Yes Source: Deutsche Bank, NextShares, SEC

16 Asset Allocation dashboard Global Multi Asset Allocator heatmaps Figure 24: Global Multi Asset Performance and Net ETF Cash Flow Trends Ticker Asset Class Total Return ETF Net Cash Flows as % of Initial AUM 1M Chg 3M Chg 6M Chg 1Y Chg 3Y Ann 5Y Ann 1M 3M 6M 1Y 3Y Ann 5Y Ann ACWI Global Equities -1.25% -8.46% -5.35% % 3.86% 3.70% -1.0% 0.3% 3.5% 8.3% 13.9% 13.7% VTI US Total Market -0.01% -7.74% -2.77% -8.02% 10.00% 9.56% -0.8% 0.3% 3.9% 4.8% 13.0% 12.7% SPY S&P 500 (Large Cap) -0.08% -6.69% -0.97% -6.20% 10.67% 10.00% -0.9% 1.1% 5.0% 3.1% 10.3% 10.0% MDY S&P 400 (Mid Cap) 1.24% -8.38% -5.13% % 7.92% 7.99% -1.3% -1.5% 1.9% 6.8% 13.5% 10.0% IWM Russell 2000 (SM Cap) -0.22% % % % 5.76% 6.13% -2.1% -2.4% 2.8% 6.6% 11.8% 8.6% EFA Intl DM -3.33% % -9.79% % 0.19% 0.31% -1.8% 1.3% 5.2% 32.2% 33.2% 25.7% VGK Europe -3.23% % % % 0.92% 0.79% -2.3% -1.6% 1.5% 32.5% 45.5% 34.1% EZU Eurozone -4.22% % % % 1.08% -1.07% -6.6% -5.7% -2.1% 49.1% 75.9% 60.2% EWJ Japan -5.30% % -9.49% % 3.43% 0.40% -5.8% -8.6% -7.2% 20.2% 45.4% 38.3% EPP Pacific ex JP -0.62% -7.35% -4.76% % -6.93% -1.57% -9.1% -13.1% -16.9% -16.6% -14.3% -8.1% EEM EM -0.82% -9.42% -9.02% % -9.15% -5.98% -0.6% -1.8% -2.1% -4.4% -4.3% 3.3% ILF Latin America 1.61% -7.24% % % % % 2.0% 5.4% 8.3% -11.2% -11.0% -6.9% EEMA EM Asia -0.62% -8.78% -4.97% % -4.16% -0.4% -3.2% -9.1% -2.8% 4.5% 5.3% GUR EM Europe 2.41% -7.11% % % % % 0.9% 0.1% 4.5% 0.7% 16.5% 6.3% MES Middle East 7.65% -2.22% % % 1.49% 3.10% AFK Africa 3.21% -6.77% % % % -9.67% 10.7% -8.7% -3.1% -8.6% -2.8% -3.0% FM Frontier Market 4.18% -4.99% -9.43% % -1.16% -7.4% -9.7% -11.6% -8.3% 29.1% 25.5% BKF BRIC -1.80% % % % % -9.29% -0.4% -6.0% -10.6% -23.5% -28.1% -17.9% AGG Fixed Income (Broad) 0.89% 1.94% 2.44% 1.47% 2.18% 3.52% 2.8% 7.4% 14.3% 18.7% 16.1% 22.1% GOVT US Treasury 0.92% 2.83% 3.06% 2.83% 2.06% 8.3% 31.6% 31.6% 44.2% 33.9% 21.2% SHV Very Short 0.04% 0.10% 0.08% 0.08% 0.05% 0.04% 2.9% 69.3% 57.2% 31.9% 31.5% 11.8% SHY Short 0.11% 0.61% 0.51% 0.86% 0.59% 0.71% 2.5% 13.3% 9.2% 64.8% 23.3% 13.0% IEI Intermediate 0.55% 2.42% 2.61% 3.41% 1.80% 3.08% 10.9% 26.7% 26.3% 42.4% 38.3% 33.1% TLT Long 3.09% 8.50% 9.23% 3.70% 6.34% 10.47% 18.3% 51.0% 66.2% 31.0% 40.5% 28.1% TIP US Inflation 1.22% 1.77% 1.39% -0.88% -1.33% 2.75% 2.1% 5.8% 8.7% 15.9% -1.5% 0.9% MUB Municipal 0.02% 1.82% 3.58% 3.25% 2.62% 4.97% 3.1% 10.0% 17.5% 26.8% 15.0% 21.7% MBB Securitized 0.38% 1.63% 2.08% 2.19% 2.36% 2.97% 3.8% 4.5% 8.8% 27.5% 14.0% 30.5% LQD IG Corporates 1.05% 0.08% 1.69% -2.32% 2.02% 4.92% 2.4% 3.6% 11.3% 15.6% 14.1% 24.4% HYG HY Corporates 1.50% -2.12% -4.42% -7.86% 0.31% 3.40% 4.6% -0.1% 11.0% -2.2% 9.6% 20.4% FLOT Corp. Floater -0.19% -0.25% -0.40% -0.27% 0.19% -1.7% 2.5% 0.3% 4.9% 69.0% BKLN Senior Loans 0.11% -1.40% -3.31% -4.77% 0.01% -6.0% -12.1% -16.1% -20.0% 30.2% PFF Preferred 0.06% -1.02% 1.10% 0.99% 4.64% 5.72% 0.3% 3.6% 13.0% 23.1% 10.7% 17.3% CWB Convertible 0.80% -5.85% -4.64% -7.45% 5.88% 4.78% -5.5% -10.0% -13.7% -9.8% 33.8% 28.0% BWX Intl DM Debt 3.30% 4.82% 3.24% -0.71% -2.04% -0.30% -1.6% 1.0% -1.1% -15.5% 0.8% 12.9% WIP Intl Inflation 0.38% -1.40% -2.53% -8.27% -4.79% -0.81% -1.5% -9.3% -23.3% -20.3% -22.7% -2.8% EMB EM Gov Debt USD 1.76% 0.25% 1.89% 0.00% 1.07% 5.06% -2.7% -7.3% 5.4% 9.7% -1.5% 20.1% EMLC EM Gov Debt Local 1.69% -0.73% -1.61% % -9.63% -3.39% -3.1% -10.4% -8.7% 2.5% -10.8% 29.5% EMCB EM Corp USD 0.75% -2.82% -2.92% -5.24% -1.93% -2.7% -17.1% -33.5% -34.3% 24.1% HYEM EM HY Corp USD 0.90% -2.81% -0.71% 1.87% -0.52% DBC Commodities -0.23% % % % % % 12.5% 17.2% 15.4% 6.9% -6.5% -2.6% DBE Energy Cmdty -3.91% % % % % % 10.0% 38.9% 58.2% 85.7% 41.0% 11.0% USO Crude Oil WTI -6.74% % % % % % 10.0% 44.3% 65.4% 105.5% 61.3% 21.1% UNG Natural Gas % % % % % % 13.0% 12.6% 31.9% 23.2% -5.8% -6.2% DBA Agriculture -0.10% -2.63% -4.36% % -8.88% % -2.0% -16.6% -19.9% -11.2% -14.5% -14.2% DBB Industrial Metals 5.12% 6.95% -6.25% % % % DBP Precious Metals 9.88% 14.11% 7.25% -1.33% % -6.65% 14.3% 17.1% 12.6% 2.4% -9.4% -3.9% GLD Gold Physical 10.93% 16.41% 9.02% 2.13% -8.13% -2.93% 16.7% 20.7% 15.8% 3.7% -10.6% -4.5% SLV Silver Physical 4.49% 5.65% 1.50% % % % 0.7% -1.8% -4.1% -3.4% -1.7% -1.1% PPLT Platinum Physical 7.53% 12.69% -7.54% % % % 4.6% 3.7% -4.7% -4.5% -1.8% 2.2% PALL Palladium Physical -1.12% -9.42% % % % -9.77% 0.0% -9.4% -17.4% -25.1% -24.0% -17.6% UUP Bull USD -1.43% -2.26% 1.72% 1.15% 4.45% 2.90% -6.5% -18.5% -24.1% -25.7% 16.7% 2.0% FXY JPYUSD 7.34% 9.07% 7.30% 5.66% -6.71% -6.59% FXE EURUSD 0.38% 2.78% -3.34% -3.41% -6.35% -4.95% 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. Page 16 Deutsche Bank Securities Inc.

17 Figure 25: Global Multi Asset Risk and Risk-adjusted Performance Measures Ticker Asset Class Annualized Volatility Max Drawdown Sharpe (TR / Vol) 1M 3M 6M 1Y 3Y 5Y 1Y 3Y 5Y 1Y 3Y 5Y ACWI Global Equities 19.6% 20.5% 18.9% 17.1% 13.8% 17.1% -19.4% -19.4% -24.1% (0.7) VTI US Total Market 19.4% 20.3% 18.5% 16.6% 13.5% 16.1% -15.1% -15.1% -20.3% (0.5) SPY S&P 500 (Large Cap) 18.8% 20.1% 18.4% 16.7% 13.4% 15.7% -13.0% -13.0% -18.6% (0.4) MDY S&P 400 (Mid Cap) 20.0% 20.8% 18.9% 16.6% 14.5% 18.2% -19.3% -19.3% -26.2% (0.6) IWM Russell 2000 (SM Cap) 21.1% 22.7% 21.1% 18.1% 16.5% 20.5% -25.7% -25.7% -28.9% (0.8) EFA Intl DM 20.4% 21.0% 19.5% 18.2% 15.0% 19.4% -23.0% -23.1% -25.9% (0.9) VGK Europe 22.5% 21.8% 19.9% 18.9% 15.9% 22.3% -23.2% -24.9% -30.2% (0.8) EZU Eurozone 24.1% 22.0% 20.2% 20.3% 17.8% 24.9% -23.0% -27.1% -37.6% (0.8) 0.1 (0.0) EWJ Japan 23.2% 24.3% 22.6% 20.4% 18.7% 19.3% -21.6% -21.6% -23.4% (0.5) EPP Pacific ex JP 21.7% 24.2% 23.1% 22.3% 17.5% 21.0% -28.0% -30.4% -30.4% (0.9) (0.4) (0.1) EEM EM 26.5% 26.1% 24.9% 22.9% 19.6% 22.6% -34.4% -36.1% -37.5% (1.0) (0.5) (0.3) ILF Latin America 40.8% 35.0% 32.0% 28.7% 25.2% 25.2% -43.2% -56.1% -61.8% (1.1) (0.8) (0.6) EEMA EM Asia 21.2% 23.9% 23.6% 23.6% 18.7% -31.5% -31.5% (0.9) (0.2) GUR EM Europe 34.3% 31.5% 27.8% 27.2% 25.2% 28.1% -37.8% -51.8% -60.4% (0.7) (0.6) (0.5) MES Middle East 29.2% 27.4% 24.0% 23.6% 21.8% 20.8% -33.0% -42.4% -42.4% (0.9) AFK Africa 20.6% 22.6% 21.3% 19.6% 17.0% 18.4% -43.6% -54.0% -54.0% (1.6) (0.9) (0.5) FM Frontier Market 12.9% 17.1% 16.4% 15.5% 14.4% -28.9% -36.6% (1.3) (0.1) BKF BRIC 28.7% 27.0% 26.2% 25.9% 21.6% 23.8% -39.4% -39.4% -46.7% (1.1) (0.5) (0.4) AGG Fixed Income (Broad) 2.9% 3.2% 3.2% 3.6% 3.4% 3.3% -2.8% -5.1% -5.1% GOVT US Treasury 4.6% 4.2% 3.9% 4.1% 3.6% -2.8% -4.6% SHV Very Short 0.2% 0.2% 0.2% 0.2% 0.1% 0.2% -0.1% -0.1% -0.1% SHY Short 1.1% 1.0% 1.0% 1.0% 0.8% 0.8% -0.7% -0.7% -0.7% IEI Intermediate 3.1% 3.1% 3.1% 3.3% 3.2% 3.1% -2.0% -4.2% -4.2% TLT Long 15.1% 14.7% 13.6% 15.1% 13.4% 15.1% -12.6% -17.0% -20.5% TIP US Inflation 4.4% 4.4% 4.4% 5.3% 5.4% 5.6% -5.2% -10.6% -11.1% (0.2) (0.2) 0.5 MUB Municipal 2.3% 2.3% 2.4% 2.8% 4.1% 4.5% -2.2% -9.2% -9.7% MBB Securitized 1.8% 2.2% 2.2% 2.6% 3.1% 2.7% -1.7% -4.8% -4.8% LQD IG Corporates 5.5% 5.6% 5.3% 5.8% 5.6% 5.5% -5.4% -8.6% -8.6% (0.4) HYG HY Corporates 11.1% 12.0% 9.7% 7.7% 6.6% 8.1% -13.4% -13.4% -13.4% (1.0) FLOT Floater 1.0% 1.1% 0.9% 1.0% 0.8% -0.6% -0.6% (0.3) 0.2 BKLN Senior Loans 3.6% 5.3% 4.2% 3.7% 3.0% -7.1% -7.1% (1.3) 0.0 PFF Preferred 14.7% 10.3% 7.7% 6.5% 5.5% 8.3% -6.8% -8.7% -15.2% CWB Convertible 15.0% 14.0% 12.4% 11.2% 10.0% 10.7% -15.9% -15.9% -17.1% (0.7) BWX Intl DM Debt 9.5% 7.0% 7.0% 8.2% 7.4% 7.4% -6.4% -15.4% -15.4% (0.1) (0.3) (0.0) WIP Intl Inflation 8.1% 6.3% 6.8% 8.4% 7.4% 7.6% -12.5% -19.1% -19.1% (1.0) (0.7) (0.1) EMB EM Gov Debt USD 5.1% 6.6% 6.3% 6.2% 7.6% 7.1% -6.4% -14.5% -14.5% EMLC EM Gov Debt Local 11.7% 10.7% 10.8% 10.5% 9.8% 10.2% -17.7% -32.0% -32.0% (1.2) (1.0) (0.3) EMCB EM Corp USD 6.2% 7.1% 7.7% 7.9% 7.9% -11.9% -13.3% (0.7) (0.2) HYEM EM HY Corp USD 6.9% 7.0% 6.4% 6.4% 7.7% -8.8% -14.0% 0.3 (0.1) DBC Commodities 22.5% 21.1% 18.9% 18.4% 14.5% 15.8% -35.6% -56.9% -62.8% (1.6) (1.5) (1.0) DBE Energy Cmdty 43.9% 40.6% 35.5% 32.9% 24.5% 23.7% -51.2% -71.4% -73.4% (1.3) (1.2) (0.8) USO Crude Oil WTI 64.2% 56.8% 48.0% 44.4% 32.7% 31.0% -61.8% -79.8% -82.4% (1.1) (1.1) (0.8) UNG Natural Gas 46.7% 52.0% 42.8% 38.5% 37.6% 38.6% -59.6% -78.3% -87.8% (1.5) (0.9) (0.8) DBA Agriculture 7.0% 10.0% 10.3% 11.6% 11.0% 12.5% -15.9% -33.2% -44.6% (1.2) (0.8) (0.8) DBB Industrial Metals 21.0% 21.1% 20.7% 19.3% 16.8% 19.3% -34.2% -40.5% -57.0% (1.0) (0.8) (0.7) DBP Precious Metals 24.1% 19.7% 17.2% 15.7% 19.3% 20.1% -16.7% -41.6% -53.9% (0.1) (0.6) (0.3) GLD Gold Physical 23.9% 19.0% 16.5% 14.8% 17.6% 17.7% -14.5% -35.7% -45.6% 0.1 (0.5) (0.2) SLV Silver Physical 24.6% 23.7% 22.0% 21.7% 26.7% 31.5% -22.7% -53.7% -72.4% (0.5) (0.7) (0.5) PPLT Platinum Physical 26.1% 26.9% 24.0% 20.9% 18.9% 19.3% -31.3% -49.7% -58.2% (1.0) (0.9) (0.7) PALL Palladium Physical 26.9% 32.3% 34.1% 31.2% 25.3% 27.5% -43.6% -48.4% -48.4% (1.3) (0.5) (0.4) UUP Bull USD 9.5% 9.4% 8.5% 9.5% 7.6% 7.7% -7.9% -7.9% -8.4% FXY JPYUSD 12.7% 10.6% 8.9% 8.7% 9.6% 9.2% -5.5% -26.9% -40.6% 0.6 (0.7) (0.7) FXE EURUSD 11.1% 11.3% 10.5% 11.9% 9.0% 9.4% -9.0% -25.1% -30.1% (0.3) (0.7) (0.5) 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. Deutsche Bank Securities Inc. Page 17

18 US Equity Allocator heatmaps Figure 26: US Equity Performance and Net ETF Cash Flow Trends Ticker Asset Class Total Return ETF Net Cash Flows as % of Initial AUM 1M Chg 3M Chg 6M Chg 1Y Chg 3Y Ann 5Y Ann 1M 3M 6M 1Y 3Y Ann 5Y Ann VTI US Total Market -0.01% -7.74% -2.77% -8.02% 10.00% 9.56% -0.8% 0.3% 3.9% 4.8% 13.0% 12.7% SPY S&P 500 (Large Cap) -0.08% -6.69% -0.97% -6.20% 10.67% 10.00% -0.9% 1.1% 5.0% 3.1% 10.3% 10.0% DIA DJI 0.73% -6.30% 1.11% -6.76% 7.97% 8.74% -0.9% 1.1% 5.0% 3.1% 10.3% 10.0% QQQ NASDAQ % -9.82% -1.19% -4.48% 16.60% 13.46% -0.9% 1.1% 5.0% 3.1% 10.3% 10.0% IWF Russell 1000 Growth 0.00% -7.11% -1.36% -5.26% 12.35% 10.71% -1.0% -1.0% 3.4% 8.0% 14.1% 10.9% IWD Russell 1000 Value 0.00% -7.37% -3.04% -9.61% 8.09% 8.56% 0.6% 2.1% 6.5% 7.6% 15.8% 13.7% MDY S&P 400 (Mid Cap) 1.24% -8.38% -5.13% % 7.92% 7.99% -1.3% -1.5% 1.9% 6.8% 13.5% 10.0% IWM Russell 2000 (SM Cap) -0.22% % % % 5.76% 6.13% -2.1% -2.4% 2.8% 6.6% 11.8% 8.6% VIG Div. Growth 1.13% -2.05% 2.91% -5.03% 8.65% 9.21% 2.2% 4.1% 4.6% -1.7% 11.8% 25.0% DVY Div. Yield 2.89% 0.47% 6.16% -0.21% 11.45% 12.11% 2.2% 4.1% 4.6% -1.7% 11.8% 25.0% VYM Div. Yield 0.51% -3.34% 3.38% -3.86% 10.28% 11.41% 2.2% 4.1% 4.6% -1.7% 11.8% 25.0% SDY Div. Yield & Growth 3.03% -0.34% 6.12% -0.26% 10.95% 11.32% 2.2% 4.1% 4.6% -1.7% 11.8% 25.0% XLY Cons. Discretionary 0.45% -7.46% 0.08% -0.58% 15.07% 15.26% -2.6% -10.1% -7.4% 5.2% 11.8% 19.1% PEJ Hotels, Rest & Leisure 4.68% -6.30% -1.56% -7.58% 12.32% 13.78% XHB Home Builders 1.15% % % % 3.41% 12.35% -2.3% -13.2% -14.9% -14.2% -15.2% 4.6% ITB Household Durables 0.66% % % % 3.17% 13.44% -2.3% -13.2% -14.9% -14.2% -15.2% 4.6% PBS Media -2.79% % -4.52% % 9.05% 9.27% XRT Retail 5.56% -2.46% -6.88% % 9.86% 13.17% 7.4% -25.2% -34.8% -37.8% -20.0% -18.1% XLP Cons. Staples 0.32% 3.81% 9.14% 4.52% 13.02% 14.44% 1.8% 8.1% 13.7% -2.2% 17.1% 23.6% PBJ Food Products 0.16% -2.82% 0.23% 2.03% 14.31% 12.67% XLE Energy -2.80% % % % -7.93% -4.41% -0.7% 7.6% 10.9% 21.1% 25.4% 13.8% OIH Energy Eq. & Serv % % % % % % -4.3% -6.7% 7.3% 18.5% -3.2% -4.6% XES Energy Eq. & Serv % % % % % % -4.3% -6.7% 7.3% 18.5% -3.2% -4.6% IEZ Energy Eq. & Serv % % % % % % -4.3% -6.7% 7.3% 18.5% -3.2% -4.6% XOP Energy E&P % % % % % % -7.7% 14.0% 11.6% 36.1% 36.9% 11.2% IEO Energy E&P -9.15% % % % % -8.29% -7.7% 14.0% 11.6% 36.1% 36.9% 11.2% AMLP MLPs 0.77% % % % -9.60% -2.89% 2.4% 9.6% 16.1% 16.8% 28.8% 70.6% XLF Financials -2.90% % -8.95% % 8.11% 6.43% -3.7% -7.4% -5.5% 6.0% 11.8% 13.4% KBWB Large Banks -5.30% % % % 5.44% -4.9% -10.9% -4.8% 20.1% 9.1% 8.7% KRE Regional Banks -4.34% % % % 6.67% 7.49% -4.9% -10.9% -4.8% 20.1% 9.1% 8.7% KCE Capital Markets -1.83% % % % -0.27% 0.19% -31.3% -40.8% -53.3% -41.4% 6.0% -6.5% KIE Insurance -0.85% -9.56% -3.98% -0.71% 11.79% 9.31% -6.4% -18.7% -5.2% 56.7% 22.3% 8.7% XLV Healthcare -0.36% -6.46% -5.29% -7.01% 16.85% 17.20% -7.5% -8.8% -12.4% -0.3% 24.6% 25.7% IBB Biotech & Pharma -4.85% % % % 19.89% 22.01% -12.2% -15.2% -15.2% -5.5% 27.6% 21.7% BBH Large Biotech -1.16% % % % 19.26% 27.15% -12.2% -15.2% -15.2% -5.5% 27.6% 21.7% IHI HC Eq. & Supplies 1.11% -4.32% -0.99% -1.03% 17.15% 13.51% 0.0% 16.4% 4.1% 15.7% 18.8% 6.8% IHF HC Providers & Serv 0.11% -5.86% % -8.81% 17.10% 14.44% -6.9% -12.5% -19.9% 4.9% 31.6% 29.7% PPH Large Pharma -4.68% % % % 12.52% 14.64% -5.5% -7.3% -20.6% -16.5% 14.1% 10.4% XLI Industrials 4.26% -4.20% 2.81% -7.40% 10.52% 9.34% 1.3% -9.2% -4.3% -19.1% 3.5% 6.0% ITA Aerospace & Def 2.51% -6.31% -0.74% -8.10% 17.79% 13.79% -6.8% 3.3% 24.6% 25.6% 90.7% 29.2% IYT Transportation 6.63% -9.24% -5.94% % 8.41% 8.65% -4.6% -24.3% -24.6% -55.4% -9.7% -2.1% XLB Materials 7.82% -7.90% -2.31% % 5.01% 3.38% 3.3% 2.3% -0.4% -12.1% -10.3% -6.6% XME Metals & Mining 19.99% 4.86% % % % % 28.5% 46.0% 50.3% 27.9% -0.1% -0.6% VNQ Real Estate -0.36% -2.04% 6.10% -4.27% 7.77% 9.21% -1.5% 1.0% 5.9% 1.0% 8.5% 15.7% VGT Technology -0.97% -9.36% -0.04% -6.33% 13.76% 10.24% -3.7% -7.4% 1.6% 0.2% 9.5% 7.5% IGN Comm. Equipment 6.91% -7.89% -4.31% -8.70% 6.70% -0.51% FDN Int. Software & Serv % % -4.53% -1.21% 15.33% 12.99% -16.4% -22.9% -3.3% 28.3% 41.1% 37.7% SMH Semiconductors 1.43% -7.70% 3.95% -9.59% 14.64% 10.13% -3.7% -22.7% -21.5% -23.1% -7.8% -20.0% IGV Software -2.08% % -2.25% -5.25% 11.83% 9.00% -15.4% -17.9% -11.1% -36.2% -14.5% -6.3% VOX Telecom 3.97% 4.83% 9.37% 3.34% 10.89% 9.58% 7.2% 15.8% 26.0% 12.0% 22.9% 9.8% XLU Utilities 1.94% 9.26% 11.23% 6.20% 11.36% 11.80% 24.8% 38.1% 25.6% 6.6% 10.6% 14.4% 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. Page 18 Deutsche Bank Securities Inc.

19 Figure 27: US Equity Risk and Risk-adjusted Performance Measures Ticker Asset Class Annualized Volatility Max Drawdown Sharpe (TR / Vol) 1M 3M 6M 1Y 3Y 5Y 1Y 3Y 5Y 1Y 3Y 5Y VTI US Total Market 19.4% 20.3% 18.5% 16.6% 13.5% 16.1% -15.1% -15.1% -20.3% (0.5) SPY S&P 500 (Large Cap) 18.8% 20.1% 18.4% 16.7% 13.4% 15.7% -13.0% -13.0% -18.6% (0.4) DIA DJI 18.2% 19.8% 18.0% 16.5% 13.0% 14.7% -13.9% -13.9% -16.0% (0.4) QQQ NASDAQ % 24.4% 21.8% 19.8% 15.7% 17.5% -16.1% -16.1% -16.1% (0.2) IWF Russell 1000 Growth 19.7% 20.4% 18.6% 16.9% 13.8% 16.0% -13.8% -13.8% -18.3% (0.3) IWD Russell 1000 Value 19.4% 20.6% 18.8% 16.7% 13.4% 16.1% -16.2% -16.2% -21.4% (0.6) MDY S&P 400 (Mid Cap) 20.0% 20.8% 18.9% 16.6% 14.5% 18.2% -19.3% -19.3% -26.2% (0.6) IWM Russell 2000 (SM Cap) 21.1% 22.7% 21.1% 18.1% 16.5% 20.5% -25.7% -25.7% -28.9% (0.8) VIG Div. Growth 15.5% 17.3% 16.2% 15.2% 12.4% 14.4% -12.1% -12.1% -16.9% (0.3) DVY Div. Yield 12.4% 16.5% 15.7% 14.3% 12.1% 13.6% -10.4% -12.0% -15.6% (0.0) VYM Div. Yield 16.0% 18.6% 17.3% 15.8% 12.6% 13.9% -13.0% -13.0% -15.1% (0.2) SDY Div. Yield & Growth 14.2% 17.1% 16.0% 14.7% 12.2% 14.2% -10.6% -10.8% -16.1% (0.0) XLY Cons. Discretionary 22.7% 21.2% 19.4% 17.6% 14.8% 16.9% -15.8% -15.8% -18.4% (0.0) PEJ Hotels, Rest & Leisure 28.8% 26.2% 23.1% 20.9% 17.4% 19.6% -21.7% -21.7% -23.9% (0.4) XHB Home Builders 26.4% 25.5% 23.7% 20.5% 19.7% 24.2% -28.2% -28.2% -33.8% (0.7) ITB Household Durables 29.4% 28.7% 26.5% 23.2% 23.4% 27.7% -26.4% -26.4% -37.7% (0.5) PBS Media 27.4% 24.4% 21.2% 18.3% 16.8% 19.3% -23.2% -23.2% -27.7% (0.7) XRT Retail 24.4% 23.3% 22.2% 19.2% 16.5% 19.7% -24.2% -24.2% -24.2% (0.6) XLP Cons. Staples 12.3% 15.8% 15.3% 14.3% 12.0% 12.2% -10.1% -10.1% -11.9% PBJ Food Products 16.4% 17.1% 17.4% 15.5% 13.6% 14.8% -11.0% -11.0% -15.7% XLE Energy 32.4% 36.6% 32.1% 27.4% 21.3% 23.1% -36.1% -46.7% -46.7% (1.0) (0.4) (0.2) OIH Energy Eq. & Serv. 41.4% 42.1% 39.1% 35.5% 27.4% 29.4% -44.0% -61.3% -61.3% (0.8) (0.6) (0.5) XES Energy Eq. & Serv. 59.3% 54.1% 50.2% 43.8% 32.5% 33.6% -55.8% -72.8% -72.8% (1.0) (0.8) (0.5) IEZ Energy Eq. & Serv. 42.3% 43.1% 40.1% 35.5% 27.4% 30.0% -46.1% -61.8% -61.8% (0.9) (0.6) (0.4) XOP Energy E&P 51.1% 55.9% 49.5% 42.9% 34.7% 35.4% -57.0% -71.0% -71.0% (1.2) (0.7) (0.4) IEO Energy E&P 44.3% 46.5% 39.8% 33.4% 26.4% 28.4% -46.5% -56.8% -56.8% (1.2) (0.5) (0.3) AMLP MLPs 68.0% 70.1% 55.1% 40.3% 25.4% 21.1% -49.2% -53.1% -53.1% (0.9) (0.4) (0.1) XLF Financials 27.7% 25.2% 22.1% 19.4% 15.9% 20.8% -22.3% -22.3% -32.4% (0.6) KBWB Large Banks 37.9% 31.5% 27.6% 23.5% 19.0% -29.1% -29.1% (0.6) 0.3 KRE Regional Banks 35.3% 29.2% 26.8% 22.7% 19.6% 23.9% -28.0% -28.0% -31.5% (0.5) KCE Capital Markets 34.4% 32.0% 28.4% 23.0% 19.9% 24.1% -36.4% -36.4% -39.0% (1.2) (0.0) 0.0 KIE Insurance 17.6% 18.6% 16.9% 15.6% 13.7% 18.8% -15.2% -15.2% -32.7% (0.0) XLV Healthcare 18.8% 20.6% 21.2% 19.3% 15.8% 15.8% -17.1% -17.1% -17.3% (0.4) IBB Biotech & Pharma 33.3% 35.5% 35.8% 31.2% 26.6% 25.0% -38.7% -38.7% -38.7% (0.8) BBH Large Biotech 29.3% 31.9% 31.9% 28.7% 26.0% 23.8% -33.8% -33.8% -33.8% (0.7) IHI HC Eq. & Supplies 21.2% 21.3% 20.4% 18.0% 14.8% 17.9% -14.2% -14.2% -22.0% (0.1) IHF HC Providers & Serv 26.3% 23.7% 25.1% 21.3% 16.8% 18.8% -26.3% -26.3% -27.2% (0.4) PPH Large Pharma 20.4% 21.0% 21.4% 18.8% 15.0% 14.9% -23.8% -23.8% -23.8% (0.8) XLI Industrials 20.4% 20.3% 19.0% 17.2% 14.9% 18.1% -15.5% -15.7% -25.8% (0.4) ITA Aerospace & Def 20.9% 20.3% 18.9% 17.2% 15.5% 18.2% -17.2% -17.2% -23.2% (0.5) IYT Transportation 24.4% 24.9% 22.1% 19.9% 17.6% 20.1% -26.8% -27.3% -28.1% (0.9) XLB Materials 29.0% 27.1% 23.8% 20.5% 16.7% 20.4% -26.5% -26.9% -29.5% (0.8) XME Metals & Mining 49.1% 45.1% 41.8% 36.9% 29.2% 32.2% -58.2% -71.8% -83.1% (1.1) (0.8) (0.7) VNQ Real Estate 20.4% 20.3% 18.5% 17.9% 15.4% 18.4% -15.7% -18.0% -22.6% (0.2) VGT Technology 23.8% 24.1% 21.5% 19.6% 15.7% 18.0% -16.4% -16.4% -18.6% (0.3) IGN Comm. Equipment 31.9% 27.0% 23.2% 20.2% 17.9% 22.4% -24.9% -24.9% -39.2% (0.4) 0.4 (0.0) FDN Int. Software & Serv. 38.4% 30.5% 26.0% 22.4% 19.9% 21.7% -25.8% -25.8% -26.0% (0.1) SMH Semiconductors 28.5% 27.3% 25.3% 23.8% 19.5% 21.7% -23.7% -23.7% -25.1% (0.4) IGV Software 36.7% 28.2% 23.8% 20.8% 17.6% 20.8% -21.5% -21.5% -26.3% (0.3) VOX Telecom 15.3% 20.1% 18.4% 16.6% 14.0% 15.5% -12.3% -12.3% -19.8% XLU Utilities 16.3% 16.7% 16.6% 16.6% 14.8% 14.3% -10.7% -15.7% -15.7% 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. Deutsche Bank Securities Inc. Page 19

20 International Equity Allocator heatmaps Figure 28: International Equity Performance and Net ETF Cash Flow Trends Ticker Asset Class Total Return ETF Net Cash Flows as % of Initial AUM 1M Chg 3M Chg 6M Chg 1Y Chg 3Y Ann 5Y Ann 1M 3M 6M 1Y 3Y Ann 5Y Ann EFA Intl DM -3.33% % -9.79% % 0.19% 0.31% -1.8% 1.3% 5.2% 32.2% 33.2% 25.7% EWC Canada 3.44% -5.79% -9.67% % -6.40% -6.44% 15.7% 10.1% 12.6% 1.9% -17.3% -9.0% EIS Israel -0.65% -8.30% -7.76% -1.62% 3.78% -1.86% VGK Europe -3.23% % % % 0.92% 0.79% -2.3% -1.6% 1.5% 32.5% 45.5% 34.1% EDEN Denmark -2.25% -4.03% -1.98% 5.21% 16.35% NORW Norway 0.83% % % % % -7.70% EWD Sweden 0.26% -9.27% -9.46% % -1.76% 0.57% EWL Switzerland -2.85% -8.29% % % 1.75% 4.37% -3.0% 0.0% 0.2% 30.1% 21.3% 20.7% EWU UK -3.13% % % % -1.88% -0.17% -4.6% -10.4% -23.9% -3.4% 27.6% 17.3% EZU Eurozone -4.22% % % % 1.08% -1.07% -6.6% -5.7% -2.1% 49.1% 75.9% 60.2% EWO Austria -0.98% -9.79% -8.74% % -5.52% -6.74% EWK Belgium -4.60% -7.45% -2.97% -3.68% 7.98% 7.15% EFNL Finland -6.55% -9.26% -4.83% % 5.89% EWQ France -2.53% -9.56% -8.94% % 1.51% -0.60% EWG Germany -3.99% % % % 0.00% 0.06% -11.4% -8.1% -22.1% 18.0% 27.4% 23.5% EIRL Ireland -3.69% -6.86% -7.23% -0.52% 13.59% 13.38% EWI Italy -6.55% % % % -0.99% -6.99% -4.6% -25.6% -8.5% 18.4% 25.6% 50.9% EWN Netherlands -2.70% -7.48% -6.50% -9.54% 5.95% 2.50% PGAL Portugal -6.67% -8.24% % % EWP Spain -5.01% % % % -2.18% -5.19% -4.3% -20.4% -23.8% 1.3% 78.8% 40.9% EWJ Japan -5.30% % -9.49% % 3.43% 0.40% -5.8% -8.6% -7.2% 20.2% 45.4% 38.3% EPP Pacific ex JP -0.62% -7.35% -4.76% % -6.93% -1.57% -9.1% -13.1% -16.9% -16.6% -14.3% -8.1% EWA Australia -2.04% -6.95% -4.76% % -9.36% -3.18% 0.2% -3.7% 3.9% -4.2% -9.7% -9.1% EWH Hong Kong 0.67% -8.97% -5.15% % -0.52% 2.30% -19.4% -27.1% -34.2% -23.1% -13.2% 0.4% ENZL New Zealand 3.02% 2.94% 14.28% -7.76% 4.47% 10.03% EWS Singapore 3.30% -5.44% -6.07% % -7.45% -2.09% -6.7% -11.9% -15.6% -19.9% -22.4% -18.0% EEM EM -0.82% -9.42% -9.02% % -9.15% -5.98% -0.6% -1.8% -2.1% -4.4% -4.3% 3.3% ILF Latin America 1.61% -7.24% % % % % 2.0% 5.4% 8.3% -11.2% -11.0% -6.9% EWZ Brazil 3.33% -7.99% % % % % 0.0% 11.0% 8.8% -11.2% -12.9% -7.8% ECH Chile 1.72% 2.68% -4.92% % % % 35.0% 18.7% 10.8% 34.4% -5.8% -7.2% GXG Colombia 7.56% 8.67% -6.51% % % % EWW Mexico 0.19% -8.20% -6.91% % % -2.98% 0.2% -0.3% 1.9% -26.0% -5.4% 4.4% EPU Peru 11.89% 2.43% -4.62% % % % 0.0% 0.0% -8.9% -16.1% -18.6% -11.7% EEMA EM Asia -0.62% -8.78% -4.97% % -4.16% -0.4% -3.2% -9.1% -2.8% 4.5% 5.3% FXI China H -2.95% % % % -5.43% -4.07% -1.8% 0.5% -4.7% 11.7% -3.2% 4.9% ASHR China A -1.85% % % % 7.1% 5.8% -5.1% -52.7% 90.3% 71.7% INDA India -7.54% % % % -0.54% -0.9% -8.5% -9.3% 3.0% 45.6% 26.3% EIDO Indonesia 4.80% 11.33% 14.06% % % -2.42% 36.7% 32.8% 28.5% -20.8% -3.0% 4.2% EWM Malaysia -3.45% 0.74% 4.79% % -7.48% -2.66% 7.1% 11.0% 10.1% -9.6% -20.4% -13.8% EPHE Philippines 1.02% -4.69% -6.19% % -5.67% 9.12% EWY South Korea -2.41% -9.70% -0.30% % -7.42% -3.00% -0.3% 1.9% -3.9% -5.6% 8.3% -0.1% EWT Taiwan 4.14% -2.17% -0.92% % 0.56% -0.17% -3.1% -15.5% -26.5% -18.0% -2.2% -3.5% THD Thailand 3.31% -0.23% -0.88% % -8.64% 3.14% 4.3% 5.5% 2.7% -30.6% -23.3% -15.6% GUR EM Europe 2.41% -7.11% % % % % 0.9% 0.1% 4.5% 0.7% 16.5% 6.3% GREK Greece -8.77% % % % % EPOL Poland 3.26% -4.97% % % % -9.57% RSX Russia 0.28% -9.95% % % % % 0.9% 2.0% 10.7% 6.0% 21.0% 5.1% TUR Turkey 0.78% -2.14% -1.96% % % -6.77% -5.2% -12.1% -23.3% -26.2% -10.3% 0.8% MES Middle East 7.65% -2.22% % % 1.49% 3.10% QAT Qatar 6.77% -0.36% % % UAE UAE 12.18% 1.72% % % AFK Africa 3.21% -6.77% % % % -9.67% 10.7% -8.7% -3.1% -8.6% -2.8% -3.0% EGPT Egypt -0.91% -3.68% % % -8.77% % EZA South Africa -2.25% % % % -9.21% -5.83% 14.2% -8.7% 3.9% -7.4% -4.1% -4.8% FM Frontier Market 4.18% -4.99% -9.43% % -1.16% -7.4% -9.7% -11.6% -8.3% 29.1% 25.5% ARGT Argentina 7.90% -1.14% 3.49% -7.00% 3.80% NGE Nigeria -1.32% % % % PAK Pakistan 1.79% -3.40% % VNM Vietnam 0.00% -6.86% % % % -8.13% -3.9% -11.1% -10.0% -6.9% 8.1% 16.1% BKF BRIC -1.80% % % % % -9.29% -0.4% -6.0% -10.6% -23.5% -28.1% -17.9% 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. Page 20 Deutsche Bank Securities Inc.

21 Figure 29: International Equity Risk and Risk-adjusted Performance Measures Ticker Asset Class Annualized Volatility Max Drawdown Sharpe (TR / Vol) 1M 3M 6M 1Y 3Y 5Y 1Y 3Y 5Y 1Y 3Y 5Y EFA Intl DM 20.4% 21.0% 19.5% 18.2% 15.0% 19.4% -23.0% -23.1% -25.9% (0.9) EWC Canada 28.5% 28.4% 24.9% 21.2% 16.6% 18.8% -35.5% -41.4% -41.4% (1.0) (0.4) (0.3) EIS Israel 17.6% 15.8% 16.3% 16.4% 14.4% 19.2% -20.9% -20.9% -38.9% (0.1) 0.3 (0.1) VGK Europe 22.5% 21.8% 19.9% 18.9% 15.9% 22.3% -23.2% -24.9% -30.2% (0.8) EDEN Denmark 26.3% 21.8% 18.1% 18.2% 16.7% -14.1% -17.2% NORW Norway 34.2% 32.5% 28.3% 26.6% 22.6% 27.5% -38.3% -50.9% -50.9% (0.8) (0.5) (0.3) EWD Sweden 27.6% 26.0% 23.0% 21.1% 18.8% 26.5% -23.4% -25.6% -36.2% (0.9) (0.1) 0.0 EWL Switzerland 17.0% 18.2% 16.6% 16.0% 13.9% 17.5% -21.4% -21.4% -25.5% (0.8) EWU UK 25.5% 24.7% 23.1% 20.5% 16.1% 19.6% -25.9% -29.3% -29.3% (0.9) (0.1) (0.0) EZU Eurozone 24.1% 22.0% 20.2% 20.3% 17.8% 24.9% -23.0% -27.1% -37.6% (0.8) 0.1 (0.0) EWO Austria 27.0% 24.1% 20.9% 20.1% 18.1% 25.0% -23.8% -32.6% -45.9% (0.6) (0.3) (0.3) EWK Belgium 20.6% 19.2% 17.1% 17.3% 15.3% 20.5% -13.5% -15.0% -33.3% (0.2) EFNL Finland 23.4% 22.3% 20.1% 20.0% 18.5% -16.7% -19.2% (0.6) 0.3 EWQ France 23.3% 22.0% 20.5% 20.5% 17.9% 25.1% -20.7% -25.8% -36.2% (0.6) 0.1 (0.0) EWG Germany 22.0% 21.8% 21.0% 21.1% 18.1% 25.2% -24.0% -26.6% -37.8% (0.9) (0.0) 0.0 EIRL Ireland 24.3% 19.6% 17.3% 17.5% 16.5% 21.6% -15.4% -22.7% -27.3% (0.0) EWI Italy 35.8% 28.8% 25.4% 25.2% 23.6% 31.0% -32.0% -39.2% -51.1% (0.9) (0.0) (0.2) EWN Netherlands 22.4% 21.6% 19.9% 19.6% 16.5% 22.1% -19.6% -19.6% -33.9% (0.5) PGAL Portugal 26.9% 27.3% 25.2% 25.8% -29.3% (0.7) EWP Spain 30.5% 26.4% 22.8% 22.8% 21.7% 29.0% -32.0% -40.8% -50.9% (1.1) (0.1) (0.2) EWJ Japan 23.2% 24.3% 22.6% 20.4% 18.7% 19.3% -21.6% -21.6% -23.4% (0.5) EPP Pacific ex JP 21.7% 24.2% 23.1% 22.3% 17.5% 21.0% -28.0% -30.4% -30.4% (0.9) (0.4) (0.1) EWA Australia 25.9% 28.8% 26.9% 26.2% 20.4% 23.5% -29.8% -35.4% -35.4% (0.9) (0.5) (0.1) EWH Hong Kong 19.1% 20.0% 21.0% 22.7% 18.1% 19.3% -29.5% -29.5% -29.5% (0.6) (0.0) 0.1 ENZL New Zealand 19.9% 19.1% 17.4% 17.8% 15.7% 18.6% -22.9% -23.2% -23.2% (0.4) EWS Singapore 22.8% 22.3% 21.2% 18.9% 15.5% 18.5% -32.1% -32.5% -32.5% (1.1) (0.5) (0.1) EEM EM 26.5% 26.1% 24.9% 22.9% 19.6% 22.6% -34.4% -36.1% -37.5% (1.0) (0.5) (0.3) ILF Latin America 40.8% 35.0% 32.0% 28.7% 25.2% 25.2% -43.2% -56.1% -61.8% (1.1) (0.8) (0.6) EWZ Brazil 53.6% 44.9% 43.7% 38.0% 31.8% 30.1% -52.0% -67.0% -74.9% (1.1) (0.8) (0.7) ECH Chile 22.8% 22.6% 22.1% 21.0% 20.0% 21.6% -31.8% -53.5% -59.1% (0.9) (1.0) (0.6) GXG Colombia 31.1% 36.3% 33.6% 30.3% 23.5% 22.1% -47.6% -67.2% -68.3% (1.0) (1.1) (0.7) EWW Mexico 30.4% 28.5% 23.7% 21.3% 20.1% 21.9% -26.0% -39.2% -39.2% (0.8) (0.5) (0.1) EPU Peru 27.4% 23.7% 21.1% 21.2% 18.8% 22.3% -42.0% -58.1% -60.6% (1.2) (1.1) (0.6) EEMA EM Asia 21.2% 23.9% 23.6% 23.6% 18.7% -31.5% -31.5% (0.9) (0.2) FXI China H 29.4% 29.7% 29.8% 31.3% 25.0% 26.2% -44.6% -44.6% -44.6% (0.9) (0.2) (0.2) ASHR China A 45.2% 44.9% 45.9% 54.5% -50.2% (0.4) INDA India 23.8% 22.8% 22.0% 22.8% 23.4% -28.7% -28.7% (1.2) (0.0) EIDO Indonesia 31.1% 30.0% 34.0% 31.3% 30.5% 29.9% -40.0% -52.1% -52.1% (0.5) (0.4) (0.1) EWM Malaysia 26.5% 27.7% 28.7% 25.5% 19.7% 18.9% -32.9% -40.2% -40.2% (0.8) (0.4) (0.1) EPHE Philippines 19.1% 22.9% 23.0% 22.0% 23.1% 22.1% -31.1% -31.8% -31.8% (1.0) (0.2) 0.4 EWY South Korea 22.4% 24.7% 23.9% 21.2% 18.4% 23.4% -29.0% -32.8% -34.7% (0.7) (0.4) (0.1) EWT Taiwan 24.0% 25.8% 24.1% 23.0% 18.6% 20.7% -31.3% -31.3% -31.3% (0.8) 0.0 (0.0) THD Thailand 22.5% 24.4% 24.2% 22.1% 24.3% 24.8% -32.7% -38.0% -38.0% (0.9) (0.4) 0.1 GUR EM Europe 34.3% 31.5% 27.8% 27.2% 25.2% 28.1% -37.8% -51.8% -60.4% (0.7) (0.6) (0.5) GREK Greece 51.5% 40.2% 38.9% 51.9% 47.2% -55.6% -77.4% (1.0) (0.6) EPOL Poland 25.6% 26.6% 24.3% 24.4% 23.4% 29.4% -39.5% -47.0% -52.8% (1.0) (0.5) (0.3) RSX Russia 47.6% 45.3% 40.7% 38.6% 35.8% 35.3% -39.4% -55.1% -67.2% (0.4) (0.5) (0.5) TUR Turkey 36.3% 32.1% 34.1% 33.3% 32.0% 32.5% -33.3% -53.9% -53.9% (0.7) (0.5) (0.2) MES Middle East 29.2% 27.4% 24.0% 23.6% 21.8% 20.8% -33.0% -42.4% -42.4% (0.9) QAT Qatar 18.8% 26.2% 24.2% 23.1% -32.8% (0.9) UAE UAE 26.9% 32.3% 28.1% 27.8% -36.5% (0.5) AFK Africa 20.6% 22.6% 21.3% 19.6% 17.0% 18.4% -43.6% -54.0% -54.0% (1.6) (0.9) (0.5) EGPT Egypt 25.5% 36.4% 32.1% 31.4% 27.8% 29.6% -47.4% -55.7% -55.7% (1.3) (0.3) (0.3) EZA South Africa 43.1% 46.6% 40.8% 33.9% 28.4% 29.2% -45.0% -45.0% -45.0% (1.0) (0.3) (0.2) FM Frontier Market 12.9% 17.1% 16.4% 15.5% 14.4% -28.9% -36.6% (1.3) (0.1) ARGT Argentina 27.4% 27.2% 27.5% 26.5% 24.4% -31.1% -34.0% (0.3) 0.2 NGE Nigeria 22.3% 28.2% 24.9% 30.0% -45.8% (0.9) PAK Pakistan 18.7% 17.7% 15.3% VNM Vietnam 28.4% 27.3% 26.3% 26.2% 23.4% 26.9% -33.0% -42.9% -42.9% (1.0) (0.4) (0.3) BKF BRIC 28.7% 27.0% 26.2% 25.9% 21.6% 23.8% -39.4% -39.4% -46.7% (1.1) (0.5) (0.4) 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. Deutsche Bank Securities Inc. Page 21

22 Page 22 Deutsche Bank Securities Inc. Cross Asset Correlations (3Y) Figure 30: 3-Year Cross Asset Class Correlations of Weekly Total Returns 3Y - Cross Asset Class Correlation of Weekly Total Returns Category Ticker ACWI VTI EFA EEM AGG GOVT TIP MUB MBB LQD HYG FLOT BKLN PFF CWB BWX WIP EMB EMLC EMCB DBC DBE DBA DBB DBP UUP FXY FXE Global Equities ACWI US Total Market VTI Intl DM EFA EM EEM US Agg Bond IG AGG US Treasury GOVT US Inflation TIP Municipal MUB MBS MBB IG Corporates LQD HY Corporates HYG Floater FLOT Senior Loans BKLN Preferred PFF Convertible CWB Intl DM Debt BWX Intl Inflation WIP EM Gov Debt USD EMB EM Gov Debt Local EMLC EM Corp USD EMCB Commodities DBC Energy Cmdty DBE Agriculture DBA Industrial Metals DBB Precious Metals DBP Bull USD UUP JPYUSD FXY EURUSD FXE Source: Deutsche Bank, FactSet. Data as of the end of last month. Green cells denote highest correlations, while red cells denote lowest correlations. Figure 31: 26W Rolling Correlation for Global Equities vs. Other Asset Classes (5Y) Global Equities - 26W Rolling Correlation Mar-11 Mar-12 Mar-13 Mar-14 Mar-15 US Agg Bond IG Commodities Real Estate Bull USD Gold 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). Figure 32: 26W Rolling Correlation for US Equities vs. Other Equities (5Y) US Equities - 26W Rolling Correlation Mar-11 Mar-12 Mar-13 Mar-14 Mar-15 DM Intl EM Japan Pacific ex JP Europe 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). Figure 33: 26W Rolling Correlation for US Fixed Income vs. Other Fixed Income segments (5Y) US Fixed Income - 26W Rolling Correlation Mar-11 Mar-12 Mar-13 Mar-14 Mar-15 US Treasury IG Corp HY Corp Sr Loans 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)

23 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Dec-15 Jan-16 Feb-16 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Dec-15 Jan-16 Feb-16 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Dec-15 Jan-16 Feb-16 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Dec-15 Jan-16 Feb-16 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Dec-15 Jan-16 Feb-16 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Dec-15 Jan-16 Feb-16 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Dec-15 Jan-16 Feb-16 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Dec-15 Jan-16 Feb-16 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Dec-15 Jan-16 Feb March Month Relative Performance Monitor 2 Figure 34: Cross Asset Class Figure 35: Global Equities Figure 36: US Equity Size and Style Global Equities/Fixed Income (Broad) Global Equities/Commodities US Total Market/Intl DM US Total Market/EM S&P 500/Russell 2000 (SM Cap) Russell 1000 Growth/Russell 1000 Value Source: Deutsche Bank, FactSet. Source: Deutsche Bank, FactSet. Source: Deutsche Bank, FactSet. Figure 37: US Equity Sectors Figure 38: Intl DM Equities Figure 39: EM Equities Healthcare/Energy Technology/Industrials Financials/Real Estate Financials/Utilities Eurozone/Europe Japan/Pacific ex JP EM Asia/Latin America China H/China A Source: Deutsche Bank, FactSet. Source: Deutsche Bank, FactSet. Source: Deutsche Bank, FactSet. Figure 40: Fixed Income Credit HY Corporates/US Treasury HY Corporates/IG Corporates Figure 41: Fixed Income duration and EM debt UST Short/UST Long EM Gov Debt USD/EM Gov Debt Local Figure 42: Precious Metals Gold/Silver Gold/Platinum Gold/Palladium Source: Deutsche Bank, FactSet. Source: Deutsche Bank, FactSet. Source: Deutsche Bank, FactSet. 2 Performance for each asset class is based on the ETFs mentioned in the heatmaps presented earlier in this section. Total return data is as of the end of last month. Deutsche Bank Securities Inc. Page 23

24 Bnchmk Normalized Level (100) House View Port. 14 March 2016 House View Portfolio: Monthly Brief Our House View Portfolio (HVP) was down by 4.28% in February underperforming Global Equities (ACWI) and its benchmark which were down by 1.25% and 0.39% during the same period, respectively. We performed our annual rebalance on February 9th, full details of the annual rebalance are found in our US ETF Model Portfolios report published on February 12th. Figure 43: House View Portfolio ETF TER Target Actual Position Asset Weight Weight Direction Type Class Exposure USMV 0.15% 15% 15.3% Long Core Equity US LC Min Vol KBWB 0.35% 5% 5.0% Long Satellite Equity US Banks XLU 0.14% 10% 9.8% Long Satellite Equity US Utilities EFAV 0.20% 25% 25.0% Long Core Equity DM Intl LQD 0.15% 10% 9.9% Long Core Credit Inv. Grade IEF 0.15% 20% 19.6% Long Core Rates Intermediate UST IAU 0.25% 10% 10.3% Long Core Comdty Gold UUP 0.80% 5% 5.0% Long Core FX Long USD Source: Deutsche Bank. Actual weights as of the end of last month. Last rebalance as of 7-Oct-15. Figure 44: Portfolio performance vs. Global Equities and Benchmark since inception (10/01/2012) 150 House View Port. ACWI Bnchmk Oct-12 Apr-13 Oct-13 Apr-14 Oct-14 Apr-15 Oct-15 Figure 45: Monthly* performance of portfolio and benchmark positions Eq. China (FXI) Eq. India (EPI) Eq. Europe (DBEU) Eq. Japan (DXJ) Eq. US Large Caps (QQQ) Eq. US LC Min Vol (USMV) Eq. US Banks (KBWB) Eq. US Utilities (XLU) Eq. DM Intl (EFAV) Inv. Grade (LQD) Intermediate UST (IEF) Gold (IAU) FX Long USD (UUP) Equity (ACWI) Comdty (DBC) Fixed Income (BND) Performance -15% -10% -5% 0% 5% 10% 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. *Based on Total Returns. FXI, EPI, DBEU, DXJ, and QQQ returns from Jan 31 to Feb 9. USMV, KBWB, EFAV, IAU returns from Feb 9 to Feb 29. Other returns are full month returns. Figure 46: Asset Class allocation Figure 47: Global Equity Allocation Figure 48: Regional Equity Allocation 60% 50% 40% 30% 20% 10% 0% Target Actual Equity Fixed Income Alternatives 35% 30% 25% 20% 15% 10% 5% 0% Target Actual US DM Intl EM 35% 30% 25% 20% 15% 10% 5% 0% North America Target Actual Europe Japan Asia ex JP Source: Deutsche Bank, FactSet. Source: Deutsche Bank, FactSet. Source: Deutsche Bank, FactSet. Page 24 Deutsche Bank Securities Inc.

25 Business Intelligence New Listings There were seven new ETFs and six new ETNs listed during the previous month; nine of these were listed in the NYSE Arca, two were listed in the NASDAQ, while the remaining funds were listed in the BATS. The new products offer exposure to Global IG bonds, Global Sovereign HY bonds; Small Cap and Small/Mid Cap companies selected by a Smart Growth methodology, respectively; Global companies with a high free cash flow yield and a high dividend yield, an alternative actively managed strategy offering exposure to futures, a Putwrite strategy, and notes offering exposure to Crude Oil, and 2x leveraged exposure to Europe, Global high dividend yield stocks, and MLPs. Figure 49: Products listed during last month Ticker Name Asset Class & Listing AUM TER Structure Date OIIL Credit Suisse X-Links WTI Crude Oil Index ETN Commodity ETN 9-Feb % 26 MLPZ ETRACS 2xMonthly Leveraged S&P MLP Index ETN Series B Equity ETN 9-Feb % 33 MLPQ ETRACS 2xMonthly Leveraged Alerian MLP Infrastructure Index ETN Series B Equity ETN 9-Feb % 33 GTO Guggenheim Total Return Bond ETF Fixed Income ETF 10-Feb % 20 FIEE UBS AG FI Enhanced Europe 50 ETN Equity ETN 16-Feb % 26 FUT ProShares Managed Futures Strategy ETF Alternative ETF 18-Feb % 4 OILX ETRACS S&P GSCI Crude Oil Total Return Index ETN Commodity ETN 18-Feb % 26 FIHD UBS AG FI Enhanced Global High Yield ETN Equity ETN 22-Feb % 25 PGHD Pacer Global High Dividend ETF Equity ETF 23-Feb % 2 SOVB Cambria Sovereign High Yield Bond ETF Fixed Income ETF 23-Feb % 2 PUTW WisdomTree Cboe S&P 500 Putwrite Strategy Fund Alternative ETF 24-Feb % 3 JSMD Janus Small/Mid Cap Growth ETF Equity ETF 25-Feb % 3 JSML Janus Small Cap Growth Alpha ETF Equity ETF 25-Feb % 3 Source: Deutsche Bank, Bloomberg Finance LP Equity UBS listed four new equity ETNs during February. Two of them offer 2x leveraged exposure to MLPs, the first (MLPZ) tracks the S&P MLP index, while the second one (MLPQ) tracks the Alerian MLP Infrastructure Index. The remaining two notes offer 2x leveraged exposure to Global high dividend yielding stocks (FIHD) tracking the MSCI World High Dividend Yield Index, and European markets (FIEE) tracking the STOXX Europe 50 USD (Gross Return) Index. MLPZ and FIEE come with an annual expense ratio of 0.95%; meanwhile, MLPQ and FIHD with an annual expense ratio of 0.85% and 0.80%, respectively. Janus Capital launched two new ETFs during last month. One of them (JSMD) offers exposure to US Small/Mid cap companies tracking the Janus Small/Mip Cap Growth Alpha Index; while, the second fund (JSML) offers exposure to US Small cap stocks tracking the Janus Small cap Growth Alpha Index. Both funds use a Smart Growth methodology that evaluates every stock on different fundamental factors such as growth, profitability, and capital efficiency to identify companies poised for longrun sustainable growth from the top 10% of the eligible universe. Both ETFs come with an annual expense ratio of 0.50%. Deutsche Bank Securities Inc. Page 25

26 Pacer Advisors listed one new ETF (PGHD), which is designed to provide exposure to the Top 100 Global companies with the highest free cash flow yield and the highest dividend yield weighted by the highest trailing 12- month dividends. PGHD tracks the Pacer Global Cash Cows Dividends 100 Index and comes with an annual expense ratio of 0.60%. Fixed Income Guggenheim Investment listed one new actively managed ETF (GTO), which offers exposure to a Global IG fixed income portfolio that seeks maximum total return. The fund comes with a total expense ratio of 0.50%. Cambria Funds listed one new actively managed ETF (SOVB), offering exposure to Global Sovereign and Semi-Sovereign HY bonds. SOVB comes with an annual expense ratio of 0.59%. Commodities UBS also listed one new Commodity ETN during February. The note (OILX) offers exposure to WTI Crude Oil, through front-month futures contracts rolled over monthly, according to the methodology of the S&P GSCI Crude Oil Total Return Index and comes with an annual expense ratio of 0.50%. Credit Suisse listed one new Commodity ETN (OIIL) which offers exposure to Crude Oil futures contracts, tracking the Bloomberg WTI Crude Oil Total Return Index. The note comes with an annual expense ratio of 0.55%. Alternative: ProShares launched one new actively managed alternative ETF (FUT), which offers exposure to Commodity, Currency and Treasury futures via a managed futures strategy weighted by risk and taking long/short positions in each contract. FUT comes with an annual expense ratio of 0.75% WisdomTree listed one new ETF (PUTW), which tracks the CBOE S&P 500 PutWrite Index, a collateralized put-write strategy on the S&P 500 Index, offering long exposure to 1-Month and 3-Month Treasury-bills while selling S&P 500 Index put options. PUTW come with an annual expense ratio of 0.38%. Delistings Figure 50: Delisted products during last month Ticker Name Asset Class & Delisting AUM at TER Structure date Delisting MLPL ETRACS 2xMonthly Leveraged Long Alerian MLP Infrastructure Index Equity ETN 1-Feb % 127 MLPV ETRACS 2xMonthly Leveraged S&P MLP Index ETN Equity ETN 1-Feb % 45 ERW Janus Equal Risk Weighted Large Cap ETF Equity ETF 25-Feb % 2 Source: Deutsche Bank, Bloomberg Finance LP. Page 26 Deutsche Bank Securities Inc.

27 Trends in products launched in the last 12 months Figure 51: Main trends among those products launched in the last 12 months Product segment Net Cash AUM Flows 12M Net Cash New Funds last 12M Asset Class Focus Flows 12M AUM New Funds last 12M Total (All) 8,974 8, Top 5 by Geographic Focus (Equities) By Asset Class US - US 3,587 3, Equity 7,605 6, Global - Global (reg) 1, Fixed Income 1,192 1, DM - North America (reg) Commodities EM - Global (reg) Currency DM - Eurozone (Reg) Multi Asset Top 5 by Category (Fixed Income) Alternative Broad By Management Strategy Corporates Beta 1,704 1, Municipal Beta Convertible Smart Beta 6,042 5, EM debt Active Source: Deutsche Bank, Bloomberg Finance LP Figure 52: Top 20 products by net cash flow raised in the last 12 months Net CF Ticker Name TER 12M XT ishares Exponential Technologies ETF 0.47% 715 NANR SPDR S&P North American Natural Resources ETF 0.35% 701 GEM Goldman Sachs ActiveBeta Emerging Markets Equity ETF 0.45% 590 PTLC Pacer Trendpilot 750 ETF 0.60% 385 GSLC Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF 0.09% 358 ONEV SPDR Russell 1000 Low Volatility Focus ETF 0.20% 340 ONEO SPDR Russell 1000 Momentum Focus ETF 0.20% 340 ONEY SPDR Russell 1000 Yield Focus ETF 0.20% 338 LABU Direxion Daily S&P Biotech Bull 3X Shares 0.95% 322 EUSC WisdomTree Europe Hedged SmallCap Equity Fund 0.58% 286 VTEB Vanguard Tax-Exempt Bond Index ETF 0.12% 213 FXEU PowerShares Europe Currency Hedged Low Volatility Portfolio 0.25% 179 NFLT Virtus Newfleet Multi-Sector Unconstrained Bond ETF 0.80% 178 IAGG ishares Core International Aggregate Bond ETF 0.15% 174 DWTR PowerShares DWA Tactical Sector Rotation Portfolio 0.15% 152 PTMC Pacer Trendpilot 450 ETF 0.60% 140 IDLB PowerShares FTSE International Low Beta Equal Weight Portfolio 0.45% 129 USLB PowerShares Russell 1000 Low Beta Equal Weight Portfolio 0.35% 126 CHAU Direxion Daily CSI 300 China A Share Bull 2X Shares 0.95% 120 XRLV PowerShares S&P 500 Ex-Rate Sensitive Low Volatility Portfolio 0.25% 112 Source: Deutsche Bank, Bloomberg Finance LP Figure 53: Top 20 Issuers by inflows to products launched in the last 12 months Top 20 Issuers Net Cash Flows 12M AUM Nov '15 New Funds last 12M State Street 1,850 1, BlackRock 1,727 1, Goldman Sachs 1, PowerShares DirexionShares Pacer Advisors WisdomTree Etfis Capital Vanguard ProShares First Trust IndexIQ Advisors John Hancock Inv O'Shares Investmen Deutsche AWM ETC Compass EMP Global X Funds JPMorgan Innovator Mgmt Source: Deutsche Bank, Bloomberg Finance LP Deutsche Bank Securities Inc. Page 27

28 Popular Product Segments: Smart Beta & Currency Hedged Figure 54: Summary statistics for Smart Beta Equity ETFs Net Cash Flows Turnover AUM # of Funds Smart Beta (Equities) YTD MoM Chg % MoM Chg % All YTD New Dividend (160) (2,965) 25,928-10% 20% 118,418 0% 28% % 3 Equal (1,703) (3,620) 40,927-8% 32% 26,954-7% 6% 68 13% 1 ESG (9) (18) % 0% 1,738-1% 0% 15 3% - Fundamental (237) (217) 3,516-30% 3% 14,597-2% 3% 59 11% 2 Low Risk 3,248 4,552 10,324 18% 8% 30,295 13% 7% 46 8% - Multi-factor (636) (2,355) 8,700 15% 7% 27,556-3% 7% % - Single-factor (172) (606) 2,386-12% 2% 8,230-2% 2% 41 8% - Style (606) (4,845) 36,677-28% 29% 191,692 0% 46% 63 12% - Other (30) (20) 94-44% 0% 526-5% 0% 13 2% 8 Total (306) (10,094) 128,678-13% 100% 420,005 0% 100% % 14 Source: Deutsche Bank, Bloomberg Finance LP Figure 55: Summary statistics for Currency-Hedged Equity ETFs Net Cash Flows Turnover AUM # of Funds Currency Hedged (Equities) YTD MoM Chg % MoM Chg % All YTD New Multiple (316) 425 5,909-18% 27% 22,846-5% 44% 43 47% 3 AUD % 0% 12 89% 0% 2 2% - BRL - (0) 0-71% 0% 3 4% 0% 1 1% - CAD % 0% 8 167% 0% 1 1% - CHF - (2) 0-72% 0% 2-5% 0% 1 1% - CNY % 0% 4-3% 0% 2 2% - EUR (831) (1,645) 6,480-9% 30% 16,180-7% 31% 16 17% 2 GBP (3) (5) % 0% 37-8% 0% 3 3% - JPY (1,403) (2,307) 9,033 5% 42% 12,291-20% 24% 18 20% 2 KRW (24) (33) 63-30% 0% % 0% 3 3% - MXN % 0% 6 0% 0% 2 2% - Total (2,566) (3,555) 21,506-7% 100% 51,529-10% 100% % 7 Source: Deutsche Bank, Bloomberg Finance LP Figure 56: Top 10 Issuers in Equity Smart Beta Top 10 Issuers (Equity Smart Beta) AUM Net Cash Flows 12M # of Funds BlackRock 167,628 15, Vanguard 91,727 9, WisdomTree 41,632 6, State Street 29,381 1, First Trust 25,427 2, PowerShares 25, Guggenheim Inv. 14,858 (1,942) 27 Charles Schwab 10,473 4,229 9 FlexShares 3, ALPS 1,664 (309) 14 Source: Deutsche Bank, Bloomberg Finance LP Figure 57: Top 10 Issuers in Equity Currency hedged Top 10 Issuers (Equity Currency Hedged) AUM Net Cash Flows 12M # of Funds WisdomTree 26,136 8, Deutsche AWM 17,320 13, BlackRock 7,720 6, PowerShares IndexIQ Advisors ProShares State Street FlexShares O'Shares Investments DirexionShares Source: Deutsche Bank, Bloomberg Finance LP Page 28 Deutsche Bank Securities Inc.

29 Size Size Size Size Size Size 14 March 2016 Average Performance by Product Type and Size (Equity) 1 Month Comparisons Figure 58: US Equity ETFs - 1 Month Total Returns US Equity, Broad sector, Product Type non levered, 1M Total Smart Beta Return by Beta Active All Large Cap 0.1% 1.2% 1.0% 1.0% Mid Cap 1.2% 1.7% 1.6% Small Cap 0.4% 1.5% 3.6% 1.4% Broad 0.3% 1.2% 1.4% 1.1% All 0.4% 1.3% 1.4% 1.2% Source: Deutsche Bank, FactSet. Total Return corresponds to last month. Figure 59: US Equity ETFs - # of Funds in 1M sample Product Type US Equity, Broad sector, Smart non levered, # of funds by Beta Active All Beta Large Cap Mid Cap Small Cap Broad All Source: Deutsche Bank Figure 60: DM Equity ETFs - 1 Month Total Returns DM Equity, Broad sector, Product Type regional, non levered, 1M Smart Beta Total Return by Beta Active All Large Cap -3.7% -1.3% -2.3% -2.6% Mid Cap 0.2% -1.2% -0.7% Small Cap -1.9% -2.0% 0.3% -1.8% Broad -3.0% -1.8% -3.7% -2.2% All -2.8% -1.8% -1.9% -2.1% Source: Deutsche Bank, FactSet. Total Return corresponds to last month. Figure 61: DM Equity ETFs - # of Funds in 1M sample DM Equity, Broad sector, Product Type regional, non levered, # of Smart Beta funds by Beta Active All Large Cap Mid Cap Small Cap Broad All Source: Deutsche Bank Figure 62: EM Equity ETFs - 1 Month Total Returns EM Equity, Broad sector, Product Type regional, non levered, 1M Smart Beta Total Return by Beta Active All Large Cap 0.2% 2.1% 0.8% Mid Cap Small Cap 0.0% 3.0% 1.5% Broad 1.5% 0.4% 0.9% All 1.3% 0.6% 1.0% Source: Deutsche Bank, FactSet. Total Return corresponds to last month. Figure 63: EM Equity ETFs - # of Funds in 1M sample EM Equity, Broad sector, Product Type regional, non levered, # of Smart Beta funds by Beta Active All Large Cap Mid Cap Small Cap Broad All Source: Deutsche Bank Deutsche Bank Securities Inc. Page 29

30 Size Size Size Size Size Size 14 March Year Comparisons Figure 64: US Equity ETFs - 1 Year Total Returns US Equity, Broad sector, Product Type non levered, 1Y Total Smart Beta Return by Beta Active All Large Cap -6.1% -7.3% -6.0% -7.0% Mid Cap -10.6% -10.7% -10.7% Small Cap -13.1% -12.6% -9.3% -12.6% Broad -9.0% -6.9% -11.1% -7.6% All -9.3% -8.8% -8.3% -8.8% Source: Deutsche Bank, FactSet. Total Return corresponds to last month. Figure 65: US Equity ETFs - # of Funds in 1Y sample Product Type US Equity, Broad sector, Smart non levered, # of funds by Beta Active All Beta Large Cap Mid Cap Small Cap Broad All Source: Deutsche Bank Figure 66: DM Equity ETFs - 1 Year Total Returns DM Equity, Broad sector, Product Type regional, non levered, 1Y Smart Beta Total Return by Beta Active All Large Cap -17.0% -17.5% -9.7% -16.4% Mid Cap -9.2% -10.8% -10.3% Small Cap -8.6% -7.7% -5.0% -7.9% Broad -14.4% -14.0% -14.2% All -13.9% -13.6% -7.4% -13.5% Source: Deutsche Bank, FactSet. Total Return corresponds to last month. Figure 67: DM Equity ETFs - # of Funds in 1Y sample DM Equity, Broad sector, Product Type regional, non levered, # of Smart Beta Active All funds by Beta Large Cap Mid Cap Small Cap Broad All Source: Deutsche Bank Figure 68: EM Equity ETFs - 1 Year Total Returns EM Equity, Broad sector, Product Type regional, non levered, 1Y Smart Beta Total Return by Beta Active All Large Cap -23.3% -22.3% -23.0% Mid Cap Small Cap -18.8% -19.4% -19.1% Broad -24.1% -24.1% -24.1% All -23.7% -23.6% -23.7% Source: Deutsche Bank, FactSet. Total Return corresponds to last month. Figure 69: EM Equity ETFs - # of Funds in 1Y sample EM Equity, Broad sector, Product Type regional, non levered, # of Smart Beta funds by Beta Active All Large Cap Mid Cap Small Cap Broad All Source: Deutsche Bank Page 30 Deutsche Bank Securities Inc.

31 Total Expense Ratio X-ray Figure 70: Average TER analysis by asset class and product type Simple Average AUM-Weighted Average TER By Beta Beta+ Smart Beta Active All Beta Beta+ Smart Beta Active All Equity 0.46% 0.93% 0.48% 0.87% 0.54% 0.21% 0.94% 0.29% 0.91% 0.24% Fixed Income 0.27% 0.88% 0.30% 0.56% 0.37% 0.21% 0.94% 0.30% 0.49% 0.23% Commodity 0.80% 0.95% 0.80% 0.76% 0.83% 0.41% 0.95% 0.82% 0.64% 0.46% Currency 0.45% 0.95% 0.75% 0.49% 0.59% 0.57% 0.95% 0.75% 0.48% 0.64% Multi Asset 0.53% 0.69% 0.90% 0.73% 0.46% 0.77% 0.86% 0.55% Alternative 1.88% 0.95% 0.79% 1.01% 1.13% 2.74% 0.95% 0.71% 0.96% 1.11% All 0.45% 0.93% 0.48% 0.74% 0.54% 0.22% 0.94% 0.29% 0.56% 0.25% Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month Figure 71: Selected TER averages for the top 15 Issuers by AUM Simple Average AUM-Weighted Average Top 15 Issuers AUM Feb Equity Fixed Income Equity Fixed Income Smart All '16 Smart Beta Beta Active Beta Beta Active Beta Beta All BlackRock 790, % 0.30% 0.23% 0.32% 0.36% 0.30% 0.23% 0.21% 0.25% 0.27% Vanguard 468, % 0.15% 0.12% 0.13% 0.10% 0.10% 0.10% 0.10% State Street 401, % 0.30% 0.28% 0.48% 0.33% 0.14% 0.33% 0.28% 0.56% 0.19% PowerShares 87, % 0.51% 0.42% 0.51% 0.25% 0.45% 0.52% 0.39% WisdomTree 43, % 0.49% 0.33% 0.54% 0.50% 0.43% 0.52% 0.42% 0.55% 0.52% Charles Schwab 39, % 0.27% 0.08% 0.16% 0.07% 0.16% 0.00% 0.09% First Trust 33, % 0.69% 0.79% 0.71% 0.60% 0.62% 0.00% 0.64% Guggenheim Inv. 25, % 0.50% 0.39% 0.47% 0.54% 0.42% 0.28% 0.40% ProShares 24, % 0.47% 0.51% 0.50% 0.88% 0.32% 0.35% 0.48% 0.50% 0.89% Van Eck Funds 20, % 0.53% 0.35% 0.71% 0.53% 0.49% 0.34% 0.51% Deutsche AWM 17, % 0.43% 0.30% 0.50% 0.39% 0.43% 0.30% 0.39% PIMCO 10, % 0.51% 0.39% 0.37% 0.43% 0.41% ALPS 8, % 0.59% 0.22% 0.57% 0.84% 0.49% 0.22% 0.74% DirexionShares 8, % 0.85% 0.62% 0.93% FlexShares 7, % 0.46% 0.20% 0.25% 0.39% 0.48% 0.39% 0.20% 0.25% 0.36% Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month Deutsche Bank Securities Inc. Page 31

32 AUM $billion Number of ETPs 14 March 2016 ETF Statistics Global ETF Assets and Provider Ranking Figure 72: Historical Growth of Global ETP Assets* 3,000 2,500 2,000 1,500 1, '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16* Asia Pacific ($) Europe ($) US ($) ,046 1,333 1,678 1,979 2,113 2,015 US, Europe & Asia Pacific ($) ,094 1,390 1,435 1,838 2,262 2,640 2,872 2,739 Europe ( ) Number of ETPs** 737 1,213 1,666 2,041 2,580 3,124 3,492 3,711 4,019 4,420 4,480 5,000 4,500 4,000 3,500 3,000 2,500 2,000 1,500 1, 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 73: Top 10 Global ETP Provider Ranking and Summary Statistics Rank Issuer Current AUM. Share 2015 AUM Share Nu. Current Month CF Current Month TO YTD CF 1 BlackRock 1,021, % 1,071, % 641 2, ,133 3,372 2 Vanguard 488, % 504, % 108 2,671 93,139 6,952 3 State Street 428, % 443, % 266 1, ,276 2,522 4 PowerShares 89, % 99, % 165-2, ,793-4,252 5 Deutsche AWM 77, % 83, % , Nomura Asset Management 61, % 63, % 49 1,444 54,045 5,468 7 Lyxor 48, % 51, % , WisdomTree 43, % 52, % 115-1,942 16,912-3,706 9 Charles Schwab 39, % 39, % ,411 1, First Trust 33, % 42, % 104-2,413 14,189-5,380 Total Top 10 2,333, % 2,453, % 1,983 1,379 1,674,572 6,996 Others 404, % 418, % 2,497 7, ,871 13,728 Global Total 2,738, % 2,871, % 4,480 8,969 2,005,443 20,724 Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month. Page 32 Deutsche Bank Securities Inc.

33 * * Net Cash Flows $billion ETF AUM as % of Mutual Fund AUM Net Cash Flows $billion Passive AUM as % of Active AUM Jan-05 Aug-05 Mar-06 Oct-06 May-07 Dec-07 Jul-08 Feb-09 Sep-09 Apr-10 Nov-10 Jun-11 Jan-12 Aug-12 Mar-13 Oct-13 May-14 Dec-14 Jul-15 Feb-16 AUM $billion Number of ETPs Monthly ETF Turnover $billion ETF trading as % of all US Cash Equity trading and VIX Level (end of month) 14 March 2016 US Historical ETF trends Figure 74: Annual ETP historical growth in AUM and # of funds 2,200 2,000 1,800 1,600 1,400 1,200 1, Others Fixed Income Equity # Funds 1,800 1,600 1,400 1,200 1, Figure 75: Monthly ETF Volume $ growth vs. VIX and ETF Volume 3,500 70% ETF Turnover ETF % Cash Eqty VIX 3,000 60% 2,500 50% 2,000 40% 1,500 30% 1,000 20% % - 0% Source: Deutsche Bank, Bloomberg Finance LP. ETPs include ETFs and ETVs; ETVs represent about 2% of ETP assets and track mostly non-equity and non-fixed Income exposures. *YTD data as of the end of last month. Source: Deutsche Bank, Bloomberg Finance LP. ETF Turnover excludes ETVs and ETNs. Data as of the end of last month. Figure 76: Net Cash Flows and AUM historical comparison between Mutual Funds and ETFs* 500,000 MF CF ETF CF ETF/MF % AUM 400, , , , , , ,000 18% 16% 14% 12% 10% 8% 6% 4% 2% 0% Figure 77: Net Cash Flows and AUM historical comparison between Active and Passive mgmt style* 500,000 45% 400,000 Active MF+ETF Passive MF+ETF 40% Passive / Active % 300,000 35% 200,000 30% 100,000 25% 0 20% -100,000 15% -200,000 10% -300,000 5% -400,000 0% Source: Deutsche Bank, ICI, Bloomberg Finance LP. *Data as of the end of January Mutual Funds only include Long Term Mutual Funds. Source: Deutsche Bank, ICI, Bloomberg Finance LP. *Data as of the end of January Mutual Funds only include Long Term Mutual Funds. Deutsche Bank Securities Inc. Page 33

34 ETF Issuer and Index Provider league tables Figure 78: ETP Issuer league table (excludes ETN assets) Assets Under Management Net Cash Flows Turnover # of Funds Top 50 Issuers Total Fixed YTD Equity Cmdty Other YTD Income New BlackRock 790, % 570, ,197 13,052 1,939 1,983 1, , % Vanguard 468, % 380,619 87, ,682 6,909 90, % 68 0 State Street 401, % 331,028 38,893 30, ,245 1, , % PowerShares 87, % 66,850 15,222 3,674 1,883 (2,028) (4,259) 108, % WisdomTree 43, % 41, (1,914) (3,729) 16, % 93 5 Charles Schwab 39, % 34,094 5, ,350 7, % 21 0 First Trust 33, % 30,451 2, (2,412) (5,380) 14, % 97 0 Guggenheim Inv. 25, % 16,838 7,116-1,596 (448) (1,463) 6, % 74 1 ProShares 24, % 17,340 3,436 1,438 2, , , % Van Eck Funds 20, % 14,641 5, (10) 54 51, % 58 1 Deutsche AWM 17, % 17, (281) (252) 4, % 35 0 PIMCO 10, % - 10, (400) 56 2, % 14 0 ALPS 8, % 8, , % 21 0 DirexionShares 8, % 7, , % 78 0 FlexShares 7, % 5,518 2, % 22 0 US Commodity Funds 5, % 5-5, ,381 11, % 12 0 Fidelity Investments 3, % 3, (40) (55) % 15 0 Global X Funds 2, % 2, (103) (143) % 47 0 ETF Securities 1, % 10-1, % 10 0 ETC 1, % 1, % 17 0 IndexIQ Advisors 1, % ,254 2 (33) % 17 0 Millington Securities 1, % (14) (57) % 10 0 AdvisorShares Trust 1, % % 21 0 Goldman Sachs % % 3 0 EGShares % (1) (46) % 9 0 ETFMG % (66) (161) % 8 0 Pacer Advisors % % 6 1 Compass EMP % (26) % 10 0 Etfis Capital % % 7 0 JPMorgan % % 5 0 Highland Capital % (19) (28) % 4 0 Cambria Funds % (6) (23) % 7 1 Franklin Templeton % % 1 0 KraneShares % (3) (22) % 5 0 John Hancock Inv % % 6 0 ArrowShares % (1) (11) % 3 0 O'Shares Investments % % 5 0 Teucrium Trading % (3) (3) % 5 0 Empowered Funds % (7) % 4 0 Lattice Strategies % % 4 0 QuantShares % % 5 0 U.S. Global Investors % % 1 0 Recon Capital % % 3 0 Reality Shares % % 4 3 Precidian % % 1 0 Innovator Mgmt % (5) (15) % 1 0 ARK Inv. Mgmt % % 4 0 Principal Financial Group % (2) (2) 4 0.0% 1 0 Calamos Investments % % 1 0 AlphaMark Advisors % (3) (7) 1 0.0% 1 0 Other 1, % 1, (27) (83) % 34 2 Total 2,014, % 1,558, ,809 56,646 11, ,789, % 1, Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month Page 34 Deutsche Bank Securities Inc.

35 Figure 79: Index Provider league table (excludes ETN assets) Assets Under Management Net Cash Flows Turnover # of Funds Top 20 Index Providers Total Fixed YTD Equity Cmdty Other YTD Income New S&P Dow Jones 680, % 647,701 27,635 1,701 2,986 (6,818) (11,997) 976, % MSCI 290, % 290, (1,262) (1,525) 169, % FTSE Russell 276, % 276, (2,772) (6,695) 185, % Barclays 266, % - 266, ,800 19,713 88, % CRSP 141, % 141, , , % 13 - Nasdaq OMX 73, % 72, (1,396) (3,532) 137, % 47 - Commodity - Physical 49, % ,953-5,627 7,850 52, % 21 - Markit iboxx 44, % - 44, ,423 2,175 34, % 15 - WisdomTree 41, % 41, (1,823) (3,711) 16, % 70 4 Active 23, % 2,977 18, , ,629 5, % NYSE Euronext 22, % 22, (1,358) (2,599) 57, % 39 - Morningstar 13, % 13, , % 26 - BofA Merrill Lynch 10, % 126 9, , % 24 - Market Vectors 7, % 7, (182) (315) 17, % 35 - Dorsey Wright 7, % 7, (828) (1,834) 2, % 17 - Deutsche Bank 7, % - 2,661 3, (69) (314) 2, % 15 - Alerian 6, % 6, , % 2 - Accretive AM 6, % - 6, , % 18 - J.P. Morgan 5, % - 5, (109) (418) 2, % 4 - STOXX 3, % 3, (358) (398) 2, % 6 - Other 33, % 23,093 4, ,358 (269) (547) 10, % Total 2,014, % 1,558, ,809 56,646 11, ,789, % 1, Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month Deutsche Bank Securities Inc. Page 35

36 Monthly Snapshot Figure 80: ETP Summary Statistics by Asset Class Net Cash Flows Turnover AUM # of Funds Asset Class YTD MoM MoM YTD Chg % Chg % All New Equity (14,719) (30,532) 1,551,819-16% 87% 1,558,088-1% 77% 1,218 73% 15 Fixed Income 10,440 23, ,563-4% 8% 387,809 3% 19% % 2 Commodities 5,884 8,362 59,228 56% 3% 56,646 19% 3% 53 3% - Currency (264) (459) 3,098-25% 0% 3,354-8% 0% 25 2% - Multi Asset (146) (777) % 0% 5,013-3% 0% 35 2% - Alternative (205) (336) 32,673-18% 2% 3,622-4% 0% 41 2% 3 Total ,789,012-14% 100% 2,014,531 0% 100% 1, % 20 Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month. Figure 81: ETP Summary Statistics by Management Style (Active-Passive) Net Cash Flows Turnover AUM # of Funds Passive-->Active YTD MoM MoM YTD Chg % Chg % All New Beta (366) 6,672 1,495,960-14% 84% 1,524,852 0% 76% % 1 Beta+ 1,081 1, ,685-8% 9% 30,627 3% 2% % - Smart Beta (50) (9,422) 132,028-13% 7% 435,374 0% 22% % 16 Active 325 1,422 5,340 0% 0% 23,678 1% 1% 135 8% 3 Total ,789,012-14% 100% 2,014,531 0% 100% 1, % 20 Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month. Figure 82: ETP Summary Statistics by Product Type Net Cash Flows Turnover AUM # of Funds Product Type YTD MoM MoM YTD Chg % Chg % All New Asset Allocation (1,758) (5,866) 171,862-11% 10% 664,616-1% 33% 1,359 82% 20 Cash Management 2,138 9, ,343-18% 14% 805,661 0% 40% 64 4% - Pseudo Futures (470) (4,864) 1,217,122-14% 68% 513,628 1% 25% 41 2% - Leveraged & Inverse 1,081 1, ,685-8% 9% 30,627 3% 2% % - Total ,789,012-14% 100% 2,014,531 0% 100% 1, % 20 Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month. Page 36 Deutsche Bank Securities Inc.

37 Equity Breakdowns Figure 83: ETP Summary Statistics by Geographic Focus Global and Developed Market Equities Net Cash Flows Turnover AUM # of Funds Geographic Focus (Equities) YTD MoM Chg % MoM Chg % All YTD New Global Markets Equities Global (reg) (290) (714) 60,403 87% 4% 34,380 8% 2% % 1 Global ex US (reg) (531) (1,017) 5,542-30% 0% 26,977-4% 2% 30 2% - Asia Pacific (reg) (1) (1) 1 34% 0% 19-10% 0% 1 0% - Asia Pacific ex JP (reg) (65) (283) 1,018-33% 0% 2,516-3% 0% 7 1% - Total GME (888) (2,014) 66,964 60% 4% 63,893 2% 4% % 1 Developed Market Equities Global (reg) (86) (35) 2,035-9% 0% 9,884-2% 1% 24 2% 1 Global ex US (reg) 977 3,020 53,555-16% 3% 145,749-1% 9% 89 7% 3 Global ex JP (reg) (9) (19) % 0% 252-4% 0% 1 0% - Europe & Middle East Europe (reg) (475) (373) 8,294-10% 1% 22,553-4% 1% 31 3% - Denmark (5) (5) 57-22% 0% 77-8% 0% 1 0% - Norway (2) (0) 23 23% 0% 74 0% 0% 2 0% - Sweden - (34) % 0% 308 1% 0% 1 0% - Switzerland (40) (5) % 0% 1,270-4% 0% 3 0% - UK (112) (146) 1,318-22% 0% 2,303-6% 0% 8 1% - Eurozone (Reg) (2,176) (2,379) 15,194-12% 1% 32,957-9% 2% 16 1% 2 Austria % 0% 57 11% 0% 1 0% - Belgium (14) (32) 92-12% 0% % 0% 1 0% - Finland % 0% 23-5% 0% 1 0% - France % 0% 362-1% 0% 1 0% - Germany (833) (761) 4,450-5% 0% 6,276-14% 0% 8 1% - Ireland (2) % 0% 166-2% 0% 1 0% - Israel % 0% 162 9% 0% 3 0% - Italy (40) (143) % 0% % 0% 3 0% - Netherlands % 0% % 0% 1 0% - Portugal (0) (1) 3-45% 0% 23-7% 0% 1 0% - Spain (47) (254) % 0% 992-8% 0% 4 0% - North America North America (reg) % 0% 1,717 9% 0% 4 0% - Canada ,362 9% 0% 2,039 20% 0% 6 0% - US (8,098) (20,425) 1,260,514-18% 81% 1,127,213-1% 72% % 5 Asia Pacific Pacific (reg) (2) % 0% 3,465-3% 0% 5 0% - Japan (2,052) (2,340) 21,505-8% 1% 30,934-12% 2% 34 3% 2 Pacific ex JP (reg) (73) (73) 403-4% 0% 1,736-4% 0% 4 0% - Australia 3 6 1,138-20% 0% 1,227-1% 0% 7 1% - Hong Kong (415) (614) 1,943-24% 0% 1,707-20% 0% 2 0% - New Zealand (2) (9) 30-36% 0% 61 1% 0% 1 0% - Singapore (32) (42) % 0% 465-3% 0% 1 0% - Total DME (13,188) (24,274) 1,376,079-18% 89% 1,395,192-1% 90% % 13 Total Equities (14,719) (30,532) 1,551,819-16% 100% 1,558,088-1% 100% 1, % 15 Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month. Deutsche Bank Securities Inc. Page 37

38 Figure 84: ETP Summary Statistics by Geographic Focus Emerging Market Equities Net Cash Flows Turnover AUM # of Funds Geographic Focus (Equities) YTD MoM Chg % MoM Chg % All YTD New Emerging Market Equities Global (reg) (581) (2,798) 61,620-9% 4% 69,305-1% 4% 62 5% 1 BRIC (reg) (1) (16) 20-44% 0% 282-2% 0% 3 0% - Asia Asia (reg) (27) (44) % 0% 627-6% 0% 4 0% - China (135) (198) 20,087-21% 1% 7,814-5% 1% 26 2% - China A (21) (67) 1,065-34% 0% 638-5% 0% 12 1% - India (49) (367) 2,961-30% 0% 5,456-9% 0% 10 1% - Indonesia % 0% % 0% 3 0% - Malaysia % 0% 228 5% 0% 1 0% - Philippines 16 (12) % 0% 229 8% 0% 1 0% - South Korea (8) (68) 2,993-18% 0% 3,099-3% 0% 8 1% - Taiwan (69) (494) 2,429-24% 0% 2,229 1% 0% 3 0% - Thailand % 0% 236 8% 0% 1 0% - Europe Europe (reg) (2) (2) 6 2% 0% 34-4% 0% 1 0% - Poland % 0% % 0% 2 0% - Russia 22 (14) 4,568-3% 0% 2,140 1% 0% 6 0% - Turkey (15) (36) % 0% 281-2% 0% 1 0% - Greece 5 (3) 44-15% 0% 203-4% 0% 1 0% - Middle East & Africa ME & Africa (reg) (5) (5) 4-65% 0% 24-14% 0% 1 0% - Middle East (reg) - (4) 1-35% 0% 27 8% 0% 2 0% - Africa (reg) (1) (4) 7-59% 0% 52 1% 0% 1 0% - Egypt % 0% 23 0% 0% 1 0% - South Africa % 0% % 0% 1 0% - Qatar % 0% 44 13% 0% 1 0% - UAE % 0% 28 19% 0% 1 0% - Latin America Latin America (reg) 10 (24) % 0% 565 4% 0% 7 1% - Brazil 11 (71) 7,435 10% 0% 2,008 6% 0% 10 1% - Chile % 0% % 0% 1 0% - Colombia % 0% 83 13% 0% 2 0% - Mexico 2 (117) 2,338-5% 0% 1,129 1% 0% 6 0% - Peru % 0% % 0% 1 0% - Frontier Markets Frontier (reg) (62) (86) % 0% 503-8% 0% 3 0% - Argentina % 0% 34 28% 0% 1 0% - Nigeria % 0% 17-2% 0% 1 0% - Pakistan % 0% 5 1% 0% 1 0% - Saudi Arabia % 0% 4 4% 0% 1 0% - Vietnam (13) (24) 68-50% 0% 330-4% 0% 1 0% - Total EME (643) (4,243) 108,776-11% 7% 99,003-1% 6% % 1 Total Equities (14,719) (30,532) 1,551,819-16% 100% 1,558,088-1% 100% 1, % 15 Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month. Page 38 Deutsche Bank Securities Inc.

39 Figure 85: ETP Summary Statistics by Size and Market Equities Net Cash Flows Turnover AUM # of Funds Market Cap Segment (Equities) YTD MoM Chg % MoM Chg % All YTD New US Equities Large Cap (4,480) (8,567) 976,717-18% 63% 586,532-1% 38% % 2 Mid Cap (1,289) (3,297) 20,969-38% 1% 97,754 0% 6% 43 4% - Small Cap (1,863) (3,364) 111,190-22% 7% 89,581-2% 6% 76 6% 1 Broad (465) (5,196) 151,637-15% 10% 353,346 0% 23% % 2 Total US Equities (8,098) (20,425) 1,260,514-18% 81% 1,127,213-1% 72% % 5 DM Intl Equities Large Cap (432) (448) 2,880-18% 0% 6,566-8% 0% 23 2% 1 Mid Cap % 0% 329 1% 0% 3 0% - Small Cap (178) (14) 1,809-29% 0% 9,754-2% 1% 24 2% 1 Broad (4,485) (3,399) 110,817-13% 7% 251,330-4% 16% % 6 Total DM Intl Equities (5,090) (3,850) 115,565-14% 7% 267,979-4% 17% % 8 EM Equities Large Cap (49) (98) 19,166-21% 1% 5,919-4% 0% 15 1% - Mid Cap % 0% 3 6% 0% 1 0% - Small Cap (23) (54) % 0% 1,687-1% 0% 14 1% - Broad (572) (4,092) 89,274-9% 6% 91,394-1% 6% % 1 Total EM Equities (643) (4,243) 108,776-11% 7% 99,003-1% 6% % 1 Total Equities (14,719) (30,532) 1,551,819-16% 100% 1,558,088-1% 100% 1, % 15 Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month. Figure 86: ETP Summary Statistics by Style and Market Equities Net Cash Flows Turnover AUM # of Funds Style (Equities) YTD MoM Chg % MoM Chg % All YTD New US Equities Growth (1,062) (4,030) 18,410-26% 1% 101,029-1% 6% 39 3% 2 Value 565 (869) 18,051-29% 1% 89,453 1% 6% 41 3% - Dividend 1,729 1,036 10,955-11% 1% 81,167 4% 5% 48 4% 1 Blend (9,330) (16,561) 1,213,098-18% 78% 855,563-1% 55% % 2 Total US Equities (8,098) (20,425) 1,260,514-18% 81% 1,127,213-1% 72% % 5 DM Intl Equities Growth (96) (96) 469 6% 0% 2,211-6% 0% 1 0% - Value (82) (64) % 0% 2,460-5% 0% 1 0% - Dividend (1,817) (3,662) 14,821-7% 1% 34,300-10% 2% 45 4% 5 Blend (3,095) (27) 99,996-15% 6% 229,007-3% 15% % 3 Total DM Intl Equities (5,090) (3,850) 115,565-14% 7% 267,979-4% 17% % 8 EM Equities Dividend (51) (114) % 0% 2,448 1% 0% 12 1% 1 Blend (592) (4,129) 108,460-11% 7% 96,555-2% 6% % - Total EM Equities (643) (4,243) 108,776-11% 7% 99,003-1% 6% % 1 Total Equities (14,719) (30,532) 1,551,819-16% 100% 1,558,088-1% 100% 1, % 15 Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month. Deutsche Bank Securities Inc. Page 39

40 Figure 87: ETP Summary Statistics by Sectors US Equities Net Cash Flows Turnover AUM # of Funds Sector (US Equities) YTD MoM Chg % MoM Chg % All YTD New Consumer Discretionary (521) (2,108) 23,743-15% 2% 19,370-2% 2% 23 4% - Consumer Staples ,298 4% 1% 16,933 2% 2% 13 2% - Energy (150) ,297-8% 5% 27,557-4% 2% 32 5% - Financials (1,014) (3,501) 50,930 8% 4% 30,452-6% 3% 39 6% - Healthcare (2,983) (3,860) 47,960-18% 4% 36,766-10% 3% 36 6% - Industrials 132 (155) 17,128-1% 1% 10,813 5% 1% 15 2% - Materials ,975 6% 1% 4,054 11% 0% 12 2% - Real Estate (615) 88 21,560-25% 2% 40,348-2% 4% 20 3% - Technology (1,217) (3,743) 21,407-14% 2% 31,307-5% 3% 32 5% - Telecom % 0% 1,772 12% 0% 5 1% - Utilities 2,435 3,367 24,119 76% 2% 12,458 27% 1% 9 1% - Theme (501) (641) 1,671-37% 0% 6,966-7% 1% 38 6% 1 Overall (4,188) (11,938) 966,845-22% 77% 888,415 0% 79% % 4 Total US Equities (8,098) (20,425) 1,260,514-18% 100% 1,127,213-1% 100% % 5 Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month. Commodity Breakdowns Figure 88: ETP Summary Statistics by Sectors and Sub Sectors Commodity Net Cash Flows Turnover AUM # of Funds Sector YTD MoM MoM YTD (Commodities) Chg % Chg % New Diversified Broad % 2% 3,925 2% 7% 10 19% - Agriculture (15) (35) 85-27% 0% 715-3% 1% 7 13% - Energy 616 1,828 16,555-10% 28% 6,106 2% 11% 15 28% - Crude Oil 556 1,782 15,013-12% 25% 5,483 5% 10% 7 13% - Natural Gas ,391 12% 2% % 1% 4 8% - Industrial Metals (7) (18) 31 42% 0% 100-2% 0% 2 4% - Precious Metals 5,204 6,499 41, % 70% 45,800 25% 81% 19 36% - Gold 5,162 6,610 39, % 66% 39,771 28% 70% 9 17% - Silver 29 (105) 2,386 55% 4% 5,145 5% 9% 5 9% - Platinum % 0% % 1% 1 2% - Palladium - (7) 21-26% 0% 157-1% 0% 1 2% - Total Commodities 5,884 8,362 59,228 56% 100% 56,646 19% 100% % - Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month. Page 40 Deutsche Bank Securities Inc.

41 Fixed Income Breakdowns Figure 89: ETP Summary Statistics by Category Fixed Income Net Cash Flows Turnover AUM # of Funds Categories (Fixed Income) YTD MoM Chg % MoM Chg % All YTD New Broad 2,061 5,183 17,289-19% 12% 113,761 2% 29% 44 15% 1 Convertible (129) (168) % 0% 2,234-5% 1% 3 1% - Corporates 3,420 4,139 54,946-2% 39% 115,916 3% 30% 89 31% - EM debt (298) (715) 4,009 3% 3% 10,023-2% 3% 24 8% 1 Inflation ,960 7% 2% 23,751 3% 6% 17 6% - International (50) % 0% 3,085 1% 1% 13 5% - Municipal 622 1,363 3,172-12% 2% 20,623 3% 5% 36 13% - Preferred ,611 9% 3% 21,249-1% 5% 9 3% - Securitized ,234-46% 1% 10,839 4% 3% 9 3% - Senior Loans (319) (467) 1,352-3% 1% 4,934-7% 1% 4 1% - US Treasury 4,219 12,841 50,763 3% 36% 61,394 8% 16% 39 14% - Total Fixed Income 10,440 23, ,563-4% 100% 387,809 3% 100% % 2 Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month. Figure 90: ETP Summary Statistics by Credit Quality Fixed Income Net Cash Flows Turnover AUM # of Funds Credit Quality (Fixed Income) YTD MoM Chg % MoM Chg % All YTD New Investment Grade 9,304 21,939 95,570-2% 68% 307,262 4% 79% % - High Yield 1,283 1,575 36,744-8% 26% 43,724 3% 11% 46 16% 1 Mixed (146) 235 9,249-5% 7% 36,823-1% 9% 45 16% 1 Total Fixed Income 10,440 23, ,563-4% 100% 387,809 3% 100% % 2 Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month. Figure 91: ETP Summary Statistics by Duration Fixed Income Net Cash Flows Turnover AUM # of Funds Duration (Fixed Income) YTD MoM Chg % MoM Chg % All YTD New Short 284 6,212 19,629-23% 14% 101,310 0% 26% 70 24% - Intermediate 4,620 7,524 48,944-2% 35% 79,941 7% 21% 41 14% - Long 1,733 3,666 34,289 15% 24% 22,073 9% 6% 29 10% - Broad 3,495 5,702 37,427-9% 26% 176,196 2% 45% % 2 Set Maturity ,273 22% 1% 8,290 4% 2% 43 15% - Total Fixed Income 10,440 23, ,563-4% 100% 387,809 3% 100% % 2 Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month. Deutsche Bank Securities Inc. Page 41

42 Top 15 ETFs (includes ETNs) Figure 92: Top 15 by 1M Total Return Gain (non-levered) Ticker Name TER Total Return LD ipath Dow Jones-UBS Lead Subindex Total Return 0.75% 41.5% RING ishares MSCI Global Gold Miners ETF 0.39% 38.4% SGDJ Sprott Junior Gold Miners ETF 0.57% 37.3% SILJ PureFunds ISE Junior Silver ETF 0.69% 37.0% SLVP ishares MSCI Global Silver Miners ETF 0.39% 36.5% GDX Market Vectors Gold Miners ETF 0.52% 36.4% GDXJ Market Vectors Junior Gold Miners ETF 0.54% 36.0% GLDX Global X Gold Explorers ETF 0.65% 35.2% PSAU PowerShares Global Gold and Precious Metals 0.75% 34.3% SGDM Sprott Gold Miners ETF 0.57% 32.7% JJT ipath Dow Jones-UBS Tin Subindex Total Return ETN 0.75% 31.6% SIL Global X Silver Miners ETF 0.65% 29.3% XME SPDR S&P Metals and Mining ETF 0.35% 20.0% COPX Global X Copper Miners ETF 0.65% 19.1% CNDA IQ Canada Small Cap ETF 0.69% 13.2% Source: Deutsche Bank, FactSet. Total Return corresponds to last month. Figure 93: Top 15 by 1M Total Return Loss (non-levered) Ticker Name TER Total Return GAZ ipath Dow Jones-UBS Natural Gas Subindex Total 0.75% -32.0% UNG United States Natural Gas Fund LP 1.11% -29.1% GRN ipath Global Carbon ETN 0.75% -27.1% FCG First Trust ISE-Revere Natural Gas Index Fund 0.60% -20.2% DXJF WisdomTree Japan Hedged Financials Fund 0.43% -19.4% UNL United States 12 Month Natural Gas Fund 0.75% -16.7% PXE PowerShares Dynamic Energy Exploration & 0.65% -16.7% SCIF Market Vectors India Small-Cap Index ETF 0.85% -16.0% SCIN EGShares India Small Cap ETF 0.85% -14.4% DXJC WisdomTree Japan Hedged Capital Goods Fund 0.43% -14.1% DPU DB Commodity Index Long ETN 0.75% -14.0% XOP SPDR S&P Oil & Gas Exploration & Production ETF 0.35% -13.7% SMIN ishares MSCI India Small-Cap ETF 0.74% -13.5% HGJP ProShares Hedged FTSE Japan ETF 0.23% -12.7% DXJ WisdomTree Japan Hedged Equity Fund 0.48% -12.5% Source: Deutsche Bank, FactSet. Total Return corresponds to last month. Figure 94: Top 15 by 1M Inflows Ticker Name TER Inflows GLD SPDR Gold Shares 0.40% 4,186 USMV ishares MSCI USA Minimum Volatility ETF 0.15% 1,862 TLT ishares 20+ Year Treasury Bond ETF 0.15% 1,250 LQD ishares iboxx $ Investment Grade Corporate Bond 0.15% 1,194 FXU First Trust Utilities AlphaDEX Fund 0.70% 1,146 HYG ishares iboxx $ High Yield Corporate Bond ETF 0.50% 1,135 IEI ishares 3-7 Year Treasury Bond ETF 0.15% 992 AGG ishares Core U.S. Aggregate Bond ETF 0.08% 963 IAU ishares Gold Trust 0.25% 887 EFAV ishares MSCI EAFE Minimum Volatility ETF 0.20% 708 VTI Vanguard Total Stock Market ETF 0.05% 692 VYM Vanguard High Dividend Yield ETF 0.09% 668 SH ProShares Short S&P % 642 XLU Utilities Select Sector SPDR Fund 0.14% 638 IEF ishares 7-10 Year Treasury Bond ETF 0.15% 560 Source: Deutsche Bank, Bloomberg Finance LP. Inflows correspond to last month. Figure 95: Top 15 by 1M Outflows Ticker Name TER Outflows SPY SPDR S&P 500 ETF 0.09% (3,779) IWM ishares Russell 2000 ETF 0.20% (1,780) FBT First Trust NYSE Arca Biotechnology Index Fund 0.60% (1,376) DXJ WisdomTree Japan Hedged Equity Fund 0.48% (1,199) IVV ishares Core S&P 500 ETF 0.07% (935) EZU ishares MSCI Eurozone ETF 0.48% (915) QQQ PowerShares QQQ 0.20% (889) EWJ ishares MSCI Japan ETF 0.48% (835) IJH ishares Core S&P Mid-Cap ETF 0.12% (714) XLF Financial Select Sector SPDR Fund 0.14% (662) XLV Health Care Select Sector SPDR Fund 0.14% (651) VWO Vanguard FTSE Emerging Markets ETF 0.15% (639) FDN First Trust Dow Jones Internet Index Fund 0.60% (636) IYR ishares U.S. Real Estate ETF 0.43% (611) HEDJ WisdomTree Europe Hedged Equity Fund 0.58% (539) Source: Deutsche Bank, Bloomberg Finance LP. Outflows correspond to last month. Figure 96: Top 15 by AUM Ticker Name TER AUM SPY SPDR S&P 500 ETF 0.09% 170,845 IVV ishares Core S&P 500 ETF 0.07% 65,706 EFA ishares MSCI EAFE ETF 0.33% 54,774 VTI Vanguard Total Stock Market ETF 0.05% 54,378 VOO Vanguard S&P 500 ETF 0.05% 40,244 QQQ PowerShares QQQ 0.20% 36,228 AGG ishares Core U.S. Aggregate Bond ETF 0.08% 32,911 VWO Vanguard FTSE Emerging Markets ETF 0.15% 30,923 GLD SPDR Gold Shares 0.40% 30,851 BND Vanguard Total Bond Market ETF 0.08% 28,330 IWF ishares Russell 1000 Growth ETF 0.20% 28,197 VEA Vanguard FTSE Developed Markets ETF 0.10% 27,509 VNQ Vanguard REIT ETF 0.12% 26,990 LQD ishares iboxx $ Investment Grade Corporate Bond 0.15% 25,072 IWD ishares Russell 1000 Value ETF 0.20% 24,412 Source: Deutsche Bank, Bloomberg Finance LP. AUM as of the end of last month. Figure 97: Top 15 by $ Volume traded last month Ticker Name TER Volume SPY SPDR S&P 500 ETF 0.09% 554,936 QQQ PowerShares QQQ 0.20% 94,098 IWM ishares Russell 2000 ETF 0.20% 80,916 EEM ishares MSCI Emerging Markets ETF 0.69% 39,921 VXX ipath S&P 500 VIX Short-Term Futures ETN 0.89% 39,155 GLD SPDR Gold Shares 0.40% 36,367 GDX Market Vectors Gold Miners ETF 0.52% 34,466 XLF Financial Select Sector SPDR Fund 0.14% 33,435 XLE Energy Select Sector SPDR Fund 0.14% 32,793 EFA ishares MSCI EAFE ETF 0.33% 32,039 TLT ishares 20+ Year Treasury Bond ETF 0.15% 28,738 UVXY ProShares Ultra VIX Short-Term Futures ETF 0.95% 25,204 DIA SPDR Dow Jones Industrial Average ETF 0.17% 25,145 HYG ishares iboxx $ High Yield Corporate Bond ETF 0.50% 23,133 XLU Utilities Select Sector SPDR Fund 0.14% 20,070 Source: Deutsche Bank, Bloomberg Finance LP. Volume $ corresponds to total traded last month. Page 42 Deutsche Bank Securities Inc.

43 Appendix A: ETN Snapshot Figure 98: ETN Summary by Asset Class Asset Class Feb 2016 AUM ($ MM) Cash Flow ($ MM) Turnover ($ MM) # of ETNs Market Share % End of %Chg Feb YTD End Jan Feb Jan Feb YTD Chg % %Chg of %Chg AUM Turnover ETNs # of AUM 2015 Equity 11,134 12, % % 3,589 5, % % 57.6% 4.5% 27.9% Fixed income % (3) (4) (7) -2.3% % % 1.2% 0.1% 9.3% Commodity 4,938 5, % (364) % 19,003 16, % % 25.5% 24.1% 44.6% Currency % (2) % % % 0.4% 0.0% 5.4% Multi Asset % (15) (14) (29) -5.4% % % 2.5% 0.1% 3.4% Alternative 2,483 2, % (311) 182 (129) -4.9% 56,156 76, % % 12.8% 71.1% 9.3% Total 19,345 21, % (609) 1, % 78,936 98, % % 100% 100% 100% Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month. Figure 99: ETN Summary by Issuer Issuer Feb 2016 AUM ($ MM) Cash Flow ($ MM) Turnover ($ MM) # of ETNs Market Share % End of 2015 %Chg Feb 2016 Jan 2016 YTD YTD Chg % AUM Feb 2016 Jan 2016 %Chg Feb 2016 End of 2015 %Chg AUM Turnover Barclays Bank 5,469 6, % (260) (335) (594) -9.1% 40,351 50, % % 28.3% 51.1% 39.7% Credit Suisse 4,747 4, % (384) 1, % 34,541 42, % % 24.5% 43.8% 12.7% UBS 4,513 4, % % 1,127 1, % % 23.3% 1.4% 23.5% JPMorgan 2,980 3, % % 2,387 3, % % 15.4% 3.0% 0.5% Deutsche Bank % (69) (74) (144) -15.3% % % 4.4% 0.5% 14.2% Swedish Export CC % (28) 10 (17) -4.5% % % 1.8% 0.1% 3.4% Citigroup % % % % 1.0% 0.0% 1.5% Goldman Sachs % % % % 0.5% 0.0% 0.5% Van Eck Funds % % % % 0.3% 0.0% 2.0% Morgan Stanley % % % % 0.2% 0.0% 0.5% HSBC USA Inc % % % % 0.2% 0.0% 0.5% RBC GAM % (0) (4) (4) -22.8% % % 0.1% 0.0% 0.5% Guggenheim % % % % 0.0% 0.0% 0.5% Total 19,345 21, % (609) 1, % 78,936 98, % % 100% 100% 100% Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month. # of ETNs Deutsche Bank Securities Inc. Page 43

44 Appendix B: ETF List Figure 100: Global and US Equities Reference list Product Asset Class Ticker ETF Name Listing Date TER AUM $M Type 20D ADV $M Avg. Bid/Ask Spreads 5-Day $ 5-Day bps Global Equities ACWI ishares MSCI ACWI ETF CM 28-Mar % 5, US Total Market VTI Vanguard Total Stock Market ETF CM 31-May % 55, ,347 2, S&P 500 (Large Cap) SPY SPDR S&P 500 ETF PF 29-Jan % 174,679 27,043 11,349 38, DJI DIA SPDR Dow Jones Industrial Average ETF PF 14-Jan % 11,908 1,192 1,314 2, NASDAQ-100 QQQ PowerShares QQQ PF 10-Mar % 37,437 4,651 6,275 10, Russell 1000 Growth IWF ishares Russell 1000 Growth ETF PF 22-May % 28, ,022 1, Russell 1000 Value IWD ishares Russell 1000 Value ETF PF 22-May % 25, ,474 6, S&P 400 (Mid Cap) MDY SPDR S&P MidCap 400 ETF PF 4-May % 14, , Russell 2000 (SM Cap) IWM ishares Russell 2000 ETF PF 22-May % 23,904 3, , Div. Growth VIG Vanguard Dividend Appreciation ETF CM 27-Apr % 19, Div. Yield DVY ishares Select Dividend ETF CM 7-Nov % 13, Div. Yield VYM Vanguard High Dividend Yield ETF CM 16-Nov % 12, Div. Yield & Growth SDY SPDR S&P Dividend ETF CM 15-Nov % 12, Cons. Discretionary XLY Consumer Discretionary Select Sector SPDR Fund PF 22-Dec % 10, ,976 3, Hotels, Rest & Leisure PEJ PowerShares Dynamic Leisure and Entertainment Port AA 23-Jun % Home Builders XHB SPDR S&P Homebuilders ETF PF 2-Feb % 1, Household Durables ITB ishares U.S. Home Construction ETF CM 5-May % 1, Media PBS PowerShares Dynamic Media Portfolio AA 23-Jun % Retail XRT SPDR S&P Retail ETF PF 22-Jun % Cons. Staples XLP Consumer Staples Select Sector SPDR Fund PF 22-Dec % 9, ,439 2, Food Products PBJ PowerShares Dynamic Food & Beverage Portfolio AA 23-Jun % Energy XLE Energy Select Sector SPDR Fund PF 22-Dec % 12,119 1,633 1,627 3, Energy Eq. & Serv. OIH Market Vectors Oil Services ETF PF 7-Feb % Energy Eq. & Serv. XES SPDR S&P Oil & Gas Equipment & Services ETF AA 22-Jun % Energy Eq. & Serv. IEZ ishares U.S. Oil Equipment & Services ETF AA 5-May % Energy E&P XOP SPDR S&P Oil & Gas Exploration & Production ETF PF 22-Jun % 1, Energy E&P IEO ishares U.S. Oil & Gas Exploration & Production ETF AA 5-May % MLPs AMLP Alerian MLP ETF CM 25-Aug % 6, Financials XLF Financial Select Sector SPDR Fund PF 22-Dec % 16,254 1,689 1,798 3, Large Banks KBWB PowerShares KBW Bank Portfolio AA 1-Nov % Regional Banks KRE SPDR S&P Regional Banking ETF PF 22-Jun % 1, Capital Markets KCE SPDR S&P Capital Markets ETF AA 15-Nov % Insurance KIE SPDR S&P Insurance ETF AA 15-Nov % Healthcare XLV Health Care Select Sector SPDR Fund PF 22-Dec % 12, ,530 3, Biotech & Pharma IBB ishares Nasdaq Biotechnology ETF PF 5-Feb % 6, Large Biotech BBH Market Vectors Biotech ETF AA 23-Nov % HC Eq. & Supplies IHI ishares U.S. Medical Devices ETF AA 5-May % HC Providers & Serv IHF ishares U.S. Healthcare Providers ETF AA 5-May % Large Pharma PPH Market Vectors Pharmaceutical ETF AA 1-Feb % Industrials XLI Industrial Select Sector SPDR Fund PF 22-Dec % 6, ,094 2, Aerospace & Def ITA ishares U.S. Aerospace & Defense ETF AA 5-May % Transportation IYT ishares Transportation Average ETF AA 10-Oct % Materials XLB Materials Select Sector SPDR Fund PF 22-Dec % 2, , Metals & Mining XME SPDR S&P Metals and Mining ETF PF 22-Jun % Real Estate VNQ Vanguard REIT ETF CM 29-Sep % 27, Technology VGT Vanguard Information Technology ETF AA 30-Jan % 8, ,050 1, Comm. Equipment IGN ishares North American Tech-Multimedia Networking AA 10-Jul % Int. Software & Serv. FDN First Trust Dow Jones Internet Index Fund AA 23-Jun % 2, Semiconductors SMH Market Vectors Semiconductor ETF PF 5-May % Software IGV ishares North American Tech-Software ETF AA 10-Jul % Telecom VOX Vanguard Telecommunication Services ETF AA 29-Sep % 1, Utilities XLU Utilities Select Sector SPDR Fund PF 22-Dec % 7,836 1, , Implied Liq. $M Total Liq. $M Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of 4-Mar-16. Bid/Ask Spreads are provided only as reference, actual spreads are trade-specific. Product Type: Asset Allocation (AA), Cash Management (CM), Pseudo Futures (PF). Page 44 Deutsche Bank Securities Inc.

45 Figure 101: International Equities Reference list Product Asset Class Ticker ETF Name Listing Date TER AUM $M Type 20D ADV $M Avg. Bid/Ask Spreads 5-Day $ 5-Day bps Intl DM EFA ishares MSCI EAFE ETF CM 14-Aug % 56,105 1,562 1,482 3, Canada EWC ishares MSCI Canada ETF CM 12-Mar % 2, Israel EIS ishares MSCI Israel Capped ETF AA 28-Mar % Europe VGK Vanguard FTSE Europe ETF CM 3-Mar % 13, Denmark EDEN ishares MSCI Denmark Capped ETF AA 26-Jan % Norway NORW Global X FTSE Norway 30 ETF AA 10-Nov % Sweden EWD ishares MSCI Sweden ETF AA 12-Mar % Switzerland EWL ishares MSCI Switzerland Capped ETF AA 12-Mar % 1, UK EWU ishares MSCI United Kingdom ETF CM 12-Mar % 2, ,893 1, Eurozone EZU ishares MSCI Eurozone ETF CM 25-Jul % 12, ,589 1, Austria EWO ishares MSCI Austria Capped ETF AA 12-Mar % Belgium EWK ishares MSCI Belgium Capped ETF AA 12-Mar % Finland EFNL ishares MSCI Finland Capped ETF AA 26-Jan % France EWQ ishares MSCI France ETF AA 12-Mar % ,081 1, Germany EWG ishares MSCI Germany ETF CM 12-Mar % 5, Ireland EIRL ishares MSCI Ireland Capped ETF AA 7-May % Italy EWI ishares MSCI Italy Capped ETF CM 12-Mar % Netherlands EWN ishares MSCI Netherlands ETF AA 12-Mar % Portugal PGAL Global X FTSE Portugal 20 ETF AA 13-Nov % Spain EWP ishares MSCI Spain Capped ETF CM 12-Mar % Japan EWJ ishares MSCI Japan ETF CM 12-Mar % 17, ,315 1, Pacific ex JP EPP ishares MSCI Pacific ex Japan ETF AA 25-Oct % 1, Australia EWA ishares MSCI Australia ETF CM 12-Mar % 1, Hong Kong EWH ishares MSCI Hong Kong ETF CM 12-Mar % 1, New Zealand ENZL ishares MSCI New Zealand Capped ETF AA 2-Sep % Singapore EWS ishares MSCI Singapore ETF CM 12-Mar % EM EEM ishares MSCI Emerging Markets ETF PF 7-Apr % 19,021 2, , Latin America ILF ishares Latin America 40 ETF AA 26-Oct % Brazil EWZ ishares MSCI Brazil Capped ETF PF 10-Jul % 2, Chile ECH ishares MSCI Chile Capped ETF AA 16-Nov % Colombia GXG Global X FTSE Colombia 20 ETF AA 9-Feb % Mexico EWW ishares MSCI Mexico Capped ETF PF 12-Mar % 1, Peru EPU ishares MSCI Peru Capped ETF AA 22-Jun % EM Asia EEMA ishares MSCI Emerging Markets Asia ETF AA 9-Feb % China H FXI ishares China Large-Cap ETF PF 8-Oct % 4, , China A ASHR Deutsche X-trackers Harvest CSI 300 China A-Shares AA 6-Nov % India INDA ishares MSCI India ETF AA 2-Feb % 3, Indonesia EIDO ishares MSCI Indonesia ETF AA 7-May % Malaysia EWM ishares MSCI Malaysia ETF CM 12-Mar % Philippines EPHE ishares MSCI Philippines ETF AA 29-Sep % South Korea EWY ishares MSCI South Korea Capped ETF CM 9-May % 3, Taiwan EWT ishares MSCI Taiwan ETF PF 20-Jun % 2, Thailand THD ishares MSCI Thailand Capped ETF AA 28-Mar % EM Europe GUR SPDR S&P Emerging Europe ETF AA 23-Mar % Greece GREK Global X FTSE Greece 20 ETF AA 8-Dec % Poland EPOL ishares MSCI Poland Capped ETF AA 26-May % Russia RSX Market Vectors Russia ETF PF 26-Apr % 1, Turkey TUR ishares MSCI Turkey ETF AA 28-Mar % Middle East MES Market Vectors Gulf States Index ETF AA 25-Jul % Qatar QAT ishares MSCI Qatar Capped ETF AA 1-May % UAE UAE ishares MSCI UAE Capped ETF AA 1-May % Africa AFK Market Vectors Africa Index ETF AA 14-Jul % Egypt EGPT Market Vectors Egypt Index ETF AA 18-Feb % South Africa EZA ishares MSCI South Africa ETF AA 7-Feb % Frontier Market FM ishares MSCI Frontier 100 ETF AA 13-Sep % Argentina ARGT Global X MSCI Argentina ETF AA 3-Mar % Nigeria NGE Global X MSCI Nigeria ETF AA 3-Apr % Pakistan PAK Global X MSCI Pakistan ETF AA 23-Apr % Vietnam VNM Market Vectors Vietnam ETF AA 14-Aug % BRIC BKF ishares MSCI BRIC ETF AA 16-Nov % Implied Liq. $M Total Liq. $M Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of 4-Mar-16. Bid/Ask Spreads are provided only as reference, actual spreads are trade-specific. Product Type: Asset Allocation (AA), Cash Management (CM), Pseudo Futures (PF). Deutsche Bank Securities Inc. Page 45

46 Figure 102: Non-Equity Reference list Product Asset Class Ticker ETF Name Listing Date TER AUM $M Type 20D ADV $M Avg. Bid/Ask Spreads 5-Day $ 5-Day bps BRIC BKF ishares MSCI BRIC ETF AA 16-Nov % Fixed Income (Broad) AGG ishares Core U.S. Aggregate Bond ETF CM 26-Sep % 33, n.a. n.a US Treasury GOVT ishares Core U.S. Treasury Bond ETF AA 16-Feb % 2, n.a. n.a Very Short SHV ishares Short Treasury Bond ETF CM 12-Jan % 4, n.a. n.a Short SHY ishares 1-3 Year Treasury Bond ETF CM 26-Jul % 12, n.a. n.a Intermediate IEI ishares 3-7 Year Treasury Bond ETF CM 12-Jan % 6, n.a. n.a Long TLT ishares 20+ Year Treasury Bond ETF PF 26-Jul % 9,566 1,441 n.a. n.a US Inflation TIP ishares TIPS Bond ETF CM 12-Apr % 15, n.a. n.a Municipal MUB ishares National AMT-Free Muni Bond ETF AA 9-Sep % 6, n.a. n.a Securitized MBB ishares MBS ETF AA 15-Mar % 7, n.a. n.a IG Corporates LQD ishares iboxx $ Investment Grade Corporate Bond ETF CM 26-Jul % 24, n.a. n.a HY Corporates HYG ishares iboxx $ High Yield Corporate Bond ETF PF 10-Apr % 16,110 1,217 n.a. n.a Floater FLOT ishares Floating Rate Bond ETF AA 17-Jun % 3, n.a. n.a Senior Loans BKLN PowerShares Senior Loan Portfolio CM 3-Mar % 3, n.a. n.a Preferred PFF ishares U.S. Preferred Stock ETF CM 30-Mar % 13, n.a. n.a Convertible CWB SPDR Barclays Convertible Securities ETF AA 16-Apr % 2, n.a. n.a Intl DM Debt BWX SPDR Barclays International Treasury Bond ETF AA 5-Oct % 1, n.a. n.a Intl Inflation WIP SPDR DB International Government Inflation-Protected AA 19-Mar % n.a. n.a EM Gov Debt USD EMB ishares J.P. Morgan USD Emerging Markets Bond ETF CM 12-Dec % 4, n.a. n.a EM Gov Debt Local EMLC Market Vectors Emerging Markets Local Currency Bon AA 23-Jul % 1, n.a. n.a EM Corp USD EMCB WisdomTree Emerging Markets Corporate Bond Fund AA 8-Mar % 59 1 n.a. n.a EM HY Corp USD HYEM Market Vectors Emerging Markets High Yield Bond ET AA 9-May % n.a. n.a Commodities DBC PowerShares DB Commodity Index Tracking Fund CM 3-Feb % 1, n.a. n.a Energy Cmdty DBE PowerShares DB Energy Fund AA 5-Jan % 75 0 n.a. n.a Crude Oil WTI USO United States Oil Fund LP PF 3-Apr % 3, n.a. n.a Natural Gas UNG United States Natural Gas Fund LP PF 18-Apr % n.a. n.a Agriculture DBA PowerShares DB Agriculture Fund CM 5-Jan % n.a. n.a Industrial Metals DBB PowerShares DB Base Metals Fund AA 5-Jan % n.a. n.a Precious Metals DBP PowerShares DB Precious Metals Fund AA 5-Jan % n.a. n.a Gold Physical GLD SPDR Gold Shares PF 18-Nov % 31,408 1,862 n.a. n.a Silver Physical SLV ishares Silver Trust PF 27-Apr % 4, n.a. n.a Platinum Physical PPLT ETFS Physical Platinum Shares AA 8-Jan % n.a. n.a Palladium Physical PALL ETFS Physical Palladium Shares AA 8-Jan % n.a. n.a Bull USD UUP PowerShares DB US Dollar Index Bullish Fund CM 20-Feb % n.a. n.a JPYUSD FXY CurrencyShares Japanese Yen Trust PF 13-Feb % n.a. n.a EURUSD FXE CurrencyShares Euro Currency Trust PF 12-Dec % n.a. n.a Implied Liq. $M Total Liq. $M Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of 4-Mar-16. Bid/Ask Spreads are provided only as reference, actual spreads are trade-specific. Product Type: Asset Allocation (AA), Cash Management (CM), Pseudo Futures (PF). Page 46 Deutsche Bank Securities Inc.

47 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 intraday 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 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. Deutsche Bank Securities Inc. Page 47

48 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. Page 48 Deutsche Bank Securities Inc.

49 Figure 103: 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/ s. 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 Deutsche Bank Securities Inc. Page 49

50 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. Page 50 Deutsche Bank Securities Inc.

51 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 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 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 shareholder 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. Newly issued research recommendations and target prices supersede previously published research. Equity rating dispersion and banking relationships % 49 % 52 % 41 % 3 % 38 % Buy Hold Sell Companies Covered Cos. w/ Banking Relationship North American Universe Deutsche Bank Securities Inc. Page 51

52 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 or by visiting 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 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 Page 52 Deutsche Bank Securities Inc.

53 Additional Information The information and opinions in this report were prepared by Deutsche Bank AG or one of its affiliates (collectively "Deutsche Bank"). Though the information herein is believed to be reliable and has been obtained from public sources believed to be reliable, Deutsche Bank makes no representation as to its accuracy or completeness. If you use the services of Deutsche Bank in connection with a purchase or sale of a security that is discussed in this report, or is included or discussed in another communication (oral or written) from a Deutsche Bank analyst, Deutsche Bank may act as principal for its own account or as agent for another person. Deutsche Bank may consider this report in deciding to trade as principal. It may also engage in transactions, for its own account or with customers, in a manner inconsistent with the views taken in this research report. Others within Deutsche Bank, including strategists, sales staff and other analysts, may take views that are inconsistent with those taken in this research report. Deutsche Bank issues a variety of research products, including fundamental analysis, equity-linked analysis, quantitative analysis and trade ideas. Recommendations contained in one type of communication may differ from recommendations contained in others, whether as a result of differing time horizons, methodologies or otherwise. Deutsche Bank and/or its affiliates may also be holding debt securities of the issuers it writes on. Analysts are paid in part based on the profitability of Deutsche Bank AG and its affiliates, which includes investment banking revenues. Opinions, estimates and projections constitute the current judgment of the author as of the date of this report. They do not necessarily reflect the opinions of Deutsche Bank and are subject to change without notice. Deutsche Bank has no obligation to update, modify or amend this report or to otherwise notify a recipient thereof if any opinion, forecast or estimate contained herein changes or subsequently becomes inaccurate. This report is provided for informational purposes only. It is not an offer or a solicitation of an offer to buy or sell any financial instruments or to participate in any particular trading strategy. Target prices are inherently imprecise and a product of the analyst s judgment. The financial instruments discussed in this report may not be suitable for all investors and investors must make their own informed investment decisions. Prices and availability of financial instruments are subject to change without notice and investment transactions can lead to losses as a result of price fluctuations and other factors. If a financial instrument is denominated in a currency other than an investor's currency, a change in exchange rates may adversely affect the investment. Past performance is not necessarily indicative of future results. Unless otherwise indicated, prices are current as of the end of the previous trading session, and are sourced from local exchanges via Reuters, Bloomberg and other vendors. Data is sourced from Deutsche Bank, subject companies, and in some cases, other parties. Macroeconomic fluctuations often account for most of the risks associated with exposures to instruments that promise to pay fixed or variable interest rates. For an investor who is long fixed rate instruments (thus receiving these cash flows), increases in interest rates naturally lift the discount factors applied to the expected cash flows and thus cause a loss. The longer the maturity of a certain cash flow and the higher the move in the discount factor, the higher will be the loss. Upside surprises in inflation, fiscal funding needs, and FX depreciation rates are among the most common adverse macroeconomic shocks to receivers. But counterparty exposure, issuer creditworthiness, client segmentation, regulation (including changes in assets holding limits for different types of investors), changes in tax policies, currency convertibility (which may constrain currency conversion, repatriation of profits and/or the liquidation of positions), and settlement issues related to local clearing houses are also important risk factors to be considered. The sensitivity of fixed income instruments to macroeconomic shocks may be mitigated by indexing the contracted cash flows to inflation, to FX depreciation, or to specified interest rates these are common in emerging markets. It is important to note that the 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 the risks related to rates movements. Deutsche Bank Securities Inc. Page 53

54 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 circumstances including their tax position, their regulatory environment and the nature of their other assets and liabilities, and as such, investors should take expert legal and financial advice before entering into any transaction similar to or inspired by the contents of this publication. The risk of loss in futures trading and options, foreign or domestic, can be substantial. As a result of the high degree of leverage obtainable in futures and options trading, losses may be incurred that are greater than the amount of funds initially deposited. Trading in options involves risk and is not suitable for all investors. Prior to buying or selling an option investors must review the "Characteristics and Risks of Standardized Options, at If you are unable to access the website please contact your Deutsche Bank representative for a copy of this important document. Participants in foreign exchange transactions may incur risks arising from several factors, including the following: ( i) exchange rates can be volatile and are subject to large fluctuations; ( ii) the value of currencies may be affected by numerous market factors, including world and national economic, political and regulatory events, events in equity and debt markets and changes in interest rates; and (iii) currencies may be subject to devaluation or government imposed exchange controls which could affect the value of the currency. Investors in securities such as ADRs, whose values are affected by the currency of an underlying security, effectively assume currency risk. Unless governing law provides otherwise, all transactions should be executed through the Deutsche Bank entity in the investor's home jurisdiction. United States: Approved and/or distributed by Deutsche Bank Securities Incorporated, a member of FINRA, NFA and SIPC. Analysts employed by non-us affiliates may not be associated persons of Deutsche Bank Securities Incorporated and therefore not subject to FINRA regulations concerning communications with subject companies, public appearances and securities held by analysts. Germany: Approved and/or distributed by Deutsche Bank AG, a joint stock corporation with limited liability incorporated in the Federal Republic of Germany with its principal office in Frankfurt am Main. Deutsche Bank AG is authorized under German Banking Law and is subject to supervision by the European Central Bank and by BaFin, Germany s Federal Financial Supervisory Authority. United Kingdom: Approved and/or distributed by Deutsche Bank AG acting through its London Branch at Winchester House, 1 Great Winchester Street, London EC2N 2DB. Deutsche Bank AG in the United Kingdom is authorised by the Prudential Regulation Authority and is subject to limited regulation by the Prudential Regulation Authority and Financial Conduct Authority. Details about the extent of our authorisation and regulation are available on request. Hong Kong: Distributed by Deutsche Bank AG, Hong Kong Branch. India: Prepared by Deutsche Equities Private Ltd, which is registered by the Securities and Exchange Board of India (SEBI) as a stock broker. Research Analyst SEBI Registration Number is INH DEIPL may have received administrative warnings from the SEBI for breaches of Indian regulations. Japan: Approved and/or distributed by Deutsche Securities Inc.(DSI). 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56 David Folkerts-Landau Chief Economist and Global Head of Research Raj Hindocha Global Chief Operating Officer Research Michael Spencer Regional Head Asia Pacific Research Marcel Cassard Global Head FICC Research & Global Macro Economics Ralf Hoffmann Regional Head Deutsche Bank Research, Germany Steve Pollard Global Head Equity Research Andreas Neubauer Regional Head Equity Research, Germany International Locations Deutsche Bank AG Deutsche Bank Place Level 16 Corner of Hunter & Phillip Streets Sydney, NSW 2000 Australia Tel: (61) Deutsche Bank AG Große Gallusstraße Frankfurt am Main Germany Tel: (49) Deutsche Bank AG Filiale Hongkong International Commerce Centre, 1 Austin Road West,Kowloon, Hong Kong Tel: (852) Deutsche Securities Inc Nagatacho Sanno Park Tower Chiyoda-ku, Tokyo Japan Tel: (81) Deutsche Bank AG London 1 Great Winchester Street London EC2N 2EQ United Kingdom Tel: (44) Deutsche Bank Securities Inc. 60 Wall Street New York, NY United States of America Tel: (1)