Inflows Picked Up in October Led by Equities Hallie Martin

Transcription

1 Deutsche Bank Markets Research North America Date Synthetic Equity & Index Strategy November 7 Inflows Picked Up in October Led by Equities Hallie Martin Global equities rallied in October 7 led by Emerging Markets Asset returns were mostly positive for Equities and Commodities; however, almost flat for Fixed Income. Equities in general registered positive returns during last month, Global equities were up by.%, mainly driven by EM (.% in returns) and US Total Market (.%); while, Intl DM recorded returns by.7%. Fixed Income (.) was almost flat during last month, only Convertible debt posted significant gains by.7%; meanwhile, EM Gov Debt in Local Currency (.8%), Intl Inflation (.8%), Intl DM debt (.8%) and US Treasury (.%) were the worst performers. Commodity products registered gains of.7%, driven by Energy (6.9%) and Industrial Metals (.8%). Strategist +799 Srineel Jalagani, CFA Strategist +9 Inflows to USlisted ETPs pickedup with $bn in new cash USlisted ETPs registered almost $bn in new cash, helping assets rise by.% from one month earlier, reaching a total of $. trillion at the end of October. Inflows were led by Equity (+$bn), followed by Fixed Income (+$bn); while, Commodity ETPs saw small outflows ($.6bn). Within Equity ETPs, we saw inflows to US and DM exus of $.bn and $.7bn, respectively. In Fixed Income space, Broad and Corporates exposure recorded +$.bn and +$.6bn of inflows, respectively. USTreasury ETFs posted outflows of $.bn. Equity, Smart, and Active products experienced inflows of $9.bn, $8.8bn, and $.bn, respectively. Primary and secondary ETP activity evolves in low volatility, trending market Secondary ETP trading averaging 6% of total cash volumes is down in 7, declining from its peak above in the volatile Q 6. This shift is likely driven by the current low volatility environment, which has resulted in a longer Average Holding Periods (AHP) for many ETFs. At the same time, primary ETF activity averaged.7% of total cash exetp volumes in 7 and has trended upwards with ETF product growth. However, primary ETF activity has normalized from its peak of.% of cash exetp volumes in the 6 days after Trump's election. EM Case Study: Management fees are only one component of cost Management fees have been a key focus for ETF investors and issuers in 7. However, management fees are only one component of total cost. This month we use our Efficient Investor framework to compare costs for the three largest broad EM equity ETFs. We find that while headline management fees are substantially lower for IEMG or VWO relative to EEM, the total cost for a benchmarked investor Distributed on: //7 :: GMT Note to U.S. investors: US regulators have not approved most foreign listed stock index futures and options for US investors. Eligible investors may be able to get exposure through overthecounter products. 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.MCI (P) 8//7. bed7b6cfc

2 November 7 was lowest on EEM over the past Y. However, the total cost can change over time driven primarily by NAV slippage relative to the benchmark. 'Tis the season of TaxLossHarvesting ETFs being tax efficient and transparent instruments are viewed favorably by taxable accounts. For these investors, taxlossharvesting, or selling ETFs that have negative returns and replacing these positions with a similar and correlated ETFs, can be another source for tax efficiency. The capital loss from liquidated positions reduces the net capital gains for the year, while accounts still maintain market segment exposure with the new long positions. For 7, we highlight candidates for taxloss harvesting from Energy, Mining, Retail, Biotech, Latam and Long Volatility categories. Risks ETFs have similar directional risk to stocks. Past performance is not indicative of future performance. Page

3 November 7 Table Of Contents ETF Monthly Insights... Global equities rallied in October 7 led by Emerging Markets... Inflows to USlisted ETPs pickedup in October, with almost $bn... ETP trading patterns evolve in low volatility, trending market... 6 EM Case Study: Management fees are only one component of cost... 8 'Tis the season of TaxLossHarvesting... Asset ocation Heatmaps... Global Multi Asset ocator heatmaps... US Equity ocator heatmaps... International Equity ocator heatmaps... Cross Asset Correlations... Month Relative Performance Monitor Business Intelligence... New Listings... Delistings... Trends in products launched in the last months... Popular Product Segments: Smart & Currency Hedged... Average Performance by Products Type and Size (Equity)... Total Expense Ratio XRay ETF Statistics... Global ETF Assets and Provider Ranking... US Historical ETF Trends... ETF Issuer and Index Provider league tables... Monthly Snapshot... Top ETFs (includes ETNs)... Appendix A: ETN Snapshot... Appendix B: ETF List... Appendix... ETP Universe Definitions... Management Style or Product Strategy Definitions... Product Type Definitions... 6 Page

4 November 7 ETF Monthly Insights Global equities rallied in October 7 led by Emerging Markets Asset returns were mostly positive for Equities and Commodities; however, almost flat for Fixed Income. Equities in general registered positive returns during last month, Global equities were up by.%, mainly driven by EM (.8% in returns) and US Total Market (.7%); while, Intl DM recorded returns by.68%. Fixed Income (.) was almost flat during last month, only Convertible debt posted significant gains by.69%; meanwhile, EM Gov Debt in Local Currency (.78%), Intl Inflation (.8%), Intl DM debt (.76%) and US Treasury (.6%) were worst performances. Commodity products registered gains of.69%, driven by Energy (6.86%) and Industrial Metals (.79%); conversely, Industrial Metals posted losses by.6%. On the currency side, the USD gains force against most major foreign currencies (UUP was up by.6%) during last month. October showed mostly inconsistent matching flows with performances. In the equity space, US large and midcap stocks recorded returns by.6% and.%, with inflows by.7% and. of their assets, respectively. Additionally, Japan led the equity gains during last month with a performance of.8% and inflows of.% of their assets. On the other hand, the Eurozone and Europe received outflows by.% and. of their assets; but, registering positive returns of.8% and.6%, respectively; while, Latin America posted losses by.8% and inflows by.9% of their assets. In the meantime, Very Short US Treasury ETFs recorded almost flat returns (+.6%) and inflows by 6.% of their assets; instead, Longterm US Treasuries registered outflows by. of their assets. Furthermore, Crude Oil and Palladium ETFs posted gains by over.% with outflows of 9.% and.% of the assets, respectively. Finally, Natural Gas led the commodity losses with negative returns by 8.98%; however, received inflows by 9.8% of their assets. Within US sector equities, performance and flows were mixed across most sectors and industries during last month. Technology was the top sector with gains of 7., followed by Utilities and Materials which posted returns by.9% each one. In the flows space, Materials (+8.% of their assets) and Industrials (+7.6% of their assets) led the inflows during October; while, Utilities (.7%) and Consumer Staples (.%) registered the most significant outflows. Moreover, at the industry level, Household Durables and Semiconductors were the most consistent in terms of both strong inflows and performance. In international equity markets, Peru and Chile ETF received the strongest inflows,.% and 7.8% of their assets, respectively; performance was also positive with a gains of 7.8% and.8%, respectively. South Africa was another highlight among foreign countries with inflows (+6.% of assets), and returns of.97%. Meanwhile, performance and flows were weak in developed Europe with France, Germany and Austria registering returns over.8% each one, and EM countries posting mixed returns and mostly positive flows. South Korea, Egypt, and Vietnam posted gains by 8.%, 7.86%, and 7.%, respectively; meanwhile, Mexico (7.8%) and Colombia (7.%) ETFs registered the worst performances. Page

5 November 7 Inflows to USlisted ETPs pickedup in October, with almost $bn in new cash October flows were led by Equity, followed by Fixed Income; while, Commodity ETPs received outflows. ETPs registered almost $bn in new cash, helping assets rise by.% from one month earlier, reaching a total of $. trillion at the end of October. Equity and Fixed Income attracted inflows of $.bn and $.bn, respectively; while, Commodity registered outflows of $.6bn. Among the most relevant inflow trends, we saw US and DM exus equities with $.bn and $.7bn, respectively. Furthermore, on the fixed income space, Broad and Corporates exposure recorded $.bn and $.6bn in positive flows, respectively. On the outflows side, Spain in equities and USTreasury ETFs posted negative flows of $.6bn and $.bn, respectively. Furthermore, on the fixed income space, Broad, Corporates, and US Treasury exposures recorded $.bn, $.bn, and $.bn in positive flows, respectively. On the outflows side, the Eurozone and Germanyfocused ETPs posted negative flows of $.7bn and $.bn, respectively., Smart, and Active products experienced inflows of $9.bn, $8.8bn, and $.bn, respectively; meanwhile, + (leveraged and inverse) posted outflow of $.bn. Within Equity Smart products, Style and Dividend ETFs were the most popular categories in October, attracting $.bn and $.bn in fresh new cash, respectively; while, in the negative side, ESGfocused ETFs posted outflows by $.bn. Currency Hedged ETFs registered inflows of $.bn, with JPYhedged ETPs receiving inflows of $.bn, but dragged by EUR hedged ETPs which posted outflows by $.bn. In terms of product types, Asset ocation, Cash Management, and Pseudo Futures received inflows by $.bn, $7.bn, and $9.bn, respectively; meanwhile, Leveraged & Inverse posted outflows of $.bn. Total ETP turnover was $. trillion last month, up % from the previous month. Page

6 November 7 ETP trading patterns evolve in low volatility, trending market Secondary ETP trading as a percentage of total cash volumes is down in 7, likely driven by the low volatility environment. At the same time, primary ETF activity represents an increasing percentage of total cash volumes but has normalized since the significant inflows after Trump's election last year. Billions Figure : Secondary ETP trading represents an average 6% of daily cash volumes in 7 $6 Cash Volumes exetps ETP Volumes exs $ US Volumes (Secondary) Volume from ETF Creations/Redemptions $ $ $ $ $ Source: Deutsche Bank, Bloomberg Finance LP, Axioma Total US cash volumes averaged $66bn daily, of which secondary ETP trading represents 6% ($69bn). Secondary trading averaged $bn, or about 6 of secondary ETP trading and % of total cash trading. We estimate primary trading accounted for an average.7% of total cash exetp volumes. Secondary ETP trading as % of total cash volumes is down in 7 After increasing in 6, secondary ETP trading as a percentage of total cash volumes decreased in 7. This could be reflective of the low volatility environment, which has resulted in increased Average Holding Periods (AHPs) for many ETFs. Page 6

7 November 7 Figure : Secondary ETP volumes decreased as % of total cash volume in Aug7 Feb7 May7 Aug6 Nov6 Feb6 May6 Aug Nov Feb May Aug Nov Feb May Aug Nov Aug Nov Feb May. Feb May Secondary ETP/Total Cash Volumes (lhs, rolling 6d) Secondary US s/total Cash Volumes (rhs, rolling 6d) Source: Deutsche Bank, Bloomberg Finance LP, Axioma The 6d peak in secondary ETP volumes occurred in Q 6, when market volatility was elevated for an extended period. We ve seen trading days in 7 where secondary ETP volumes exceeding of total cash volumes. ETP volumes on August 7th8th were just under % of the total cash volumes with US s accounting for % of the total. The quietest day for secondary ETP trading relative to the market was June rd, when ETPs were 6% and US s were of total cash volumes. Primary ETF activity trends up but normalized after the postelection spike Many investors have expressed concern in 7 about the impact of ETF inflows on stock prices, particularly after the significant pickup of inflows to US equity ETFs following Trump s election last year. In previous research, we ve acknowledged that market impact can potentially be significant on certain days for specific securities. However in aggregate across the market, we continue to believe the impact of primary ETF activity is relatively small. We estimate that primary ETF activity accounted for an average.7% of total cash exetp volumes in 7. We consider net daily creation and redemption activity across USlisted, globallyexposed, equity ETF products with total of $. trillion and around 7% allocated to US stocks. We map the creation/redemption activity by ETF to the underlying stock portfolios then aggregate across ETFs to calculate the total valued traded in each stock. Over the past years, we identify trading dates with primary ETF activity greater than % of cash volumes exetps. Special ETF Research: A Stock Picker's Guide to ETFs. Jun. ETF & Markets: ETF Liquidity & Stock Impact. Jan. Note that we assume there is no crossing of singlestock flows, which means our estimate is likely conservative. For example an Authorized Participant who creates SPY and redeems QQQ may actually cross orders in PL instead of buying for the SPY creation and selling for the QQQ redemption. We could instead assume netting of all offsetting orders, however the reality is likely somewhere in between since primary ETF activity is dispersed across Authorized Participants. Page 7

8 November 7 Figure : Primary activity spiked on postelection inflows.%.%.%.9%.7%.%.%.%.9%.7% Aug7 May7 Feb7 Aug6 Nov6 Feb6 May6 Aug Nov Feb May Nov Aug Feb May Nov Aug Feb May Aug Nov Feb May.% Source: Deutsche Bank, Bloomberg Finance LP, Axioma Volumes attributed to primary ETF activity increased over the past years, as the product continues to grow. We look at the 6d rolling average of primary Equity ETF volumes as a percentage of total cash volumes exetps. This percentage peaked on February 8th, highlighting the impact of postelection ETF inflows on the cash market. However, the percentage of volume attributed to primary ETF activity had normalized by the end of Q. EM Case Study: Management fees are only one component of cost Management fees have been a key focus for ETF investors and issuers in 7. In our September monthly, we looked at the $weighted average TER of 7 inflows. The preference for lower cost products is particularly prominent for DM exus and EM equity products. For example, inflows to EM equity ETFs total $7bn, with 67% of those inflows to the lower management fee IEMG (ishares Core MSCI Emerging Markets, $7.7,.%) and VWO (Vangaurd FTSE Emerging Markets ETF, $.6,.%) products and only 9% to the highly liquid but higher management fee EEM (ishares MSCI Emerging Markets ETF, $7.7.%). However, management fees are only one component of total cost. This month we use our Efficient Investor framework to compare costs for the three largest broad EM equity ETFs. We find that while headline management fees are substantially lower for IEMG or VWO relative to EEM, the total cost for a benchmarked investor was lowest on EEM over the past Y. However, the total cost can change over time driven primarily by NAV slippage relative to the benchmark and creation/ redemption costs associated with the position. For benchmarked investors, EEM total costs were lower over past Y DB SYNDEX The Efficient Investor: A Delta Decision Maker's Guide. Ari Rajendra, Anusha Pai. 6Oct. Page 8

9 November 7 In our Efficient Investor analysis, we assume that investors are benchmarked to the MSCI Emerging Markets Net TR index (NDUEEGF). We then calculate a Y realized holding cost that includes:. Management fee. Slippage between ETF NAV and benchmark. Creation/redemption costs We look at the current Y realized costs and how these costs evolved over time. In the below analysis, we see that the total costs for EEM are relatively stable compared to the total costs for IEMG and VWO. Figure : ETF Cost Comparison: Long $mn benchmarked to MSCI EM Net TR ETF ETF ISHARES CORE MSCI EMERGING IEMG US Equity Name Ticker Underlying index MIMUEMRN (millions),8 Avg Daily Volume (d, millions) 9 Replication style Fund Securities Lending Cost breakdown (bps) Optimized Y Management Fee / TER y Performance Slippage, Net of TER Creation/Redemption Costs 9.7. Y Realized (in bps) Name Ticker Ticker FQEACR Underlying index (millions) 66,9 (millions) NDUEEGF 8, Avg Daily Volume (d, millions) 7 Avg Daily Volume (d, millions) Replication style Fund Securities Lending Cost breakdown (bps) Full Y Replication style Fund Securities Lending Cost breakdown (bps). Management Fee / TER y Performance Slippage, Net of TER Creation/Redemption Costs. Y Realized (in bps) Y Realized (in bps) 8.7.,8 Optimized Y Y Realized Cost ISHARES MSCI EMERGING MARKET EEM US Equity Name Underlying index Management Fee / TER y Performance Slippage, Net of TER Creation/Redemption Costs Current Realized Cost 7 ETF VANGUARD FTSE EMERGING MARKE VWO US Equity 7 Current Realized Cost 7 Y Realized Cost Jan6 Apr6 Jul Oct Jan Apr Jul Oct Jan Apr Oct Jul7 Oct7 Jan7 Apr7 Jul6 Oct6 Jan6 Apr6 Jul Oct Jan Apr Jul Oct Jan Apr Oct Jul7 Oct7 Jan7 Apr7 Jul6 Oct6 Jan6 Apr6 Jul Oct Y Realized Cost Jan Apr Jul Current Realized Cost Oct Jan Apr Oct Jul7 Oct7 Jan7 Apr7 Jul6 Oct6 Source: Deutsche Bank, Bloomberg Finance L.P. Benchmarked investors need to consider tracking risk, not just fees Our Efficient Investor analysis assume the investor is benchmarked, and therefore slippage can be a significant component of total cost. We see 7.% slippage over the past Y for VWO, as its FTSE benchmark includes a slightly different group of countries versus the MSCI benchmark. And despite 99.% daily correlation between EEM and IEMG, the use of slightly different MSCI benchmarks result in slippage over time. Over some time periods, for example in, ETF outperformance versus the benchmark actually results in lower total costs. Offsetting flows can mitigate creation/redemption costs In our Efficient Investor analysis, we assume that the investor will access $mn exposure through the primary ETF market incurring creation and redemption fees. Or, the investor may be able to source sufficient liquidity in the secondary market Page 9

10 November 7 to avoid these fees. In practice, brokerdealers source offsetting flows from one another to avoid highcost transactions in the underlying stocks so may only pass through some of the creation fee. This is particularly true for a product like EEM where there is often twoway flows. Whereas, investors in IEMG will likely pay the actual creation costs because flows are very onesided with no redemptions in the history of the product. 'Tis the season of TaxLossHarvesting ETFs being tax efficient and transparent instruments are viewed favorably by taxable accounts. For these investors, taxlossharvesting, or selling ETFs that have negative returns and replacing these positions with a similar and correlated ETFs, can be another source for tax efficiency. The capital loss from liquidated positions reduces the net capital gains for the year, while accounts still maintain market segment exposure with the new long positions. After strong US equity performance with record low volatility and low sector return correlations, we highlight candidates for taxloss harvesting from Energy, Mining, Retail, Biotech, Latam and Long Volatility categories. We pick liquid ETFs within each of these segments that have negative returns (< %), or negative drawdown (<%) from the highest price over the past year. This captures situations when investors held the ETFs from the start of the year, and also cases when investors entered a long position when the ETF was near its peak (as part of long momentum leg). A correlation matrix of ETFs within each segment is also included to choose likely replacement candidates for ETFs to be sold. Finally, we like to reiterate that data provided in these tables is for informational purposes only and not intended to provide specific tax advice. Tax advisors in your jurisdiction should be consulted for appropriate and specific tax implications. Page

11 November 7 Figure : Candidates for TaxLoss Harvesting in Long Vol, Energy, Mining, Biotech, LatAm Ticker VIXY VXX Long Vol PROSHARES VIX SHORTTERM FUT IPATH S&P VIX S/T FU ETN ($mn) $ 7 $,9 Return from W High 7% 7% Return 69% 69% VIXY.. VXX.. Ticker XOP IEO XES OIH IEZ Energy E&Ps and Services SPDR S&P OIL & GAS EXP & PR ISHARES U.S. OIL & GAS EXPLO SPDR OIL & GAS EQUIP & SERV VANECK VECTORS OIL SERVICES ISHARES U.S. OIL EQUIPMENT & ($mn) $,8 $ 87 $ 98 $,7 $ Return from W High % % % % % Return % 7% 9% 6% 7% XOP IEO XES OIH IEZ Ticker AMZA MLPA AMLP MLPX MLPI AMU AMJ ATMP Energy MLPs INFRACAP MLP ETF GLOBAL X MLP ETF ALERIAN MLP ETF GLOBAL X MLP & ENERGY INFRAS ETRACS ALERIAN INFRASTRUCTUR ETRACS ALERIAN MLP ETN JPMORGAN ALERIAN MLP INDEX BARCLAYS ETN+ SELECT MLP ETN ($mn) $ 98 $ 6 $ 8,96 $ 96 $,88 $ $, $ Return from W High % % % 9% 7% 6% % 6% Return % % 9% 9% 9% AMZA MLPA AMLP MLPX MLPI AMU AMJ Ticker RYE FXN FENY VDE IYE XLE IXC Energy Broad GUGG S&P EQ WGT ENERGY FIRST TRUST ENERGY ALPHADEX FIDELITY MSCI ENERGY ETF VANGUARD ENERGY ETF ISHARES U.S. ENERGY ETF ENERGY SELECT SECTOR SPDR ISHARES GLOBAL ENERGY ETF ($mn) $ $ $ 6 $,9 $,7 $ 6, $ 9 Return from W High 9% 8% % % % % % Return % % 9% 8% % RYE FXN FENY VDE IYE XLE IXC Ticker SIL GDXJ SGDJ RING SGDM GDX XME PICK Mining GLOBAL X SILVER MINERS ETF VANECK VECTORS JUNIOR GOLD M SPROTT JR. GOLD MINERS ETF ISHARES MSCI GLOBAL GOLD MIN SPROTT GOLD MINERS ETF VANECK VECTORS GOLD MINERS E SPDR S&P METALS & MINING ETF ISHARES MSCI GLOBAL METALS & ($mn) $ 69 $, $ $ $ 6 $ 7,97 $ 67 $ Return from W High 6% 6% % 6% 6% % % Return % % % % % 7% % % SIL GDXJ SGDJ RING GDX XME ($mn) Ticker Biotech PBE wershares Dynamic Biotechnology & Genome Po$ 6 BBH VanEck Vectors Biotech ETF $ 6 IBB ishares Nasdaq Biotechnology ETF $ 9,69 XBI SPDR S&P Biotech ETF $,86 Return from W High % 8% 8% 8% Return 7% 7% 8% 8% PBE BBH IBB XBI ($mn) $, $ 7 $ 7,7 $ $, Return from W High % % % % 9% Return 6% 8% 7% EWW ECH EWZ BRF Ticker EWW ECH EWZ BRF ILF Latam ISHARES MSCI MEXICO CAPPED ISHARES MSCI CHILE CAPPED ET ISHARES MSCI BRAZIL CAPPED E VANECK VECTORS BRAZIL SMALLISHARES LATIN AMERICA ETF SGDM ATMP PICK ILF Source: Deutsche Bank, Bloomberg Finance LP, Factset Page

12 November 7 Asset ocation Heatmaps Global Multi Asset ocator heatmaps Figure 6: Global Multi Asset Performance and Net Cash flow Trends Ticker Asset Class ACWI VTI SPY MDY IWM EFA VGK EZU EWJ EPP EEM ILF EEMA AFK FM BKF AGG GOVT SHV SHY IEI TLT TIP MUB MBB LQD HYG FLOT BKLN F CWB BWX WIP EMB EMLC EMCB HYEM DBC DBE USO UNG DBA DBB DBP GLD SLV PPLT PALL UUP FXY FXE Global Equities US Total Market S&P (Large Cap) S&P (Mid Cap) Russell (SM Cap) Intl DM Europe Eurozone Japan Pacific ex JP EM Latin America EM Asia Africa Frontier Market BRIC Fixed Income (Broad) US Treasury Very Short Short Intermediate Long US Inflation Municipal Securitized IG Corporates HY Corporates Corp. Floater Senior Loans Preferred Convertible Intl DM Debt Intl Inflation EM Gov Debt USD EM Gov Debt Local EM Corp USD EM HY Corp USD Commodities Energy Cmdty Crude Oil WTI Natural Gas Agriculture Industrial Metals Precious Metals Gold Physical Silver Physical Platinum Physical Palladium Physical Bull USD JPYUSD EURUSD M Chg.%.7%.6%.%.7%.68%.6%.8%.8%.99%.8%.8%.76%.9.%.6%..6%.%.9%.9%.%.%.9%.9%.9%.%.%.7%.69%.76%.8%.%.78%.%.7%.96% 6.86%.79% 8.98%.%.%.6%.7%.%.%.6%.6%.%.% M Chg.9%.8%.7%.7%.7%.%.76%.8% 7..6%.66%.9% 6.8%.7% %.%.9%.8%.%.97%.7%.6%.%.8%.7%.%.6%.9%.%.89%.%.%.6%.86%.68% 6.%.6% 6.%.8%.6%.8%.6%.7%.69%.%.6%.%.6%.8% Total Return 6M Chg Y Chg.9%.77% 8.89%.9% 9.7%.% 6.6%.96% 8.6% 7.7%.9%.66%.6% 8.%.6%.6%.8% 8.%.98% 8.% 6.7% 6.6% 9..7% 9.%.9%.78% 7.%.6% 9.% 9.96%.%.7%.8%.7%.%.%.%...7%.6.%.7%.%.7%.6%.6%.%.%.%..96% 8.7%.9%.76%.%.%.%.66% %.7%.99%.86%.%.9% 6.7%.6%.%.% 6.7%.9% 8.% 8.8% 7.%.6%. 6.7%.8..99%.%.6% 8.%.8%.%.%.8%.%.% 6.9%.% 6.7% 8.9% 7.8%.87%..% % Y Ann 8.%.9%.69%.9%.7%.7%.9% 8.% 8.%.98%.7%.% 8.8%..6% 7.6%.%.8%.%.%.9%.99%.6%.6.86%.87%.9%.%.8%.8% 8.%.%.%.%.6.78% 6.6%.8% 7.% 9.7%.% 8.8%.%.%.%.6% 9.9% 6.76%.%.8%.9% Y Ann.8%.9%.%.8%.% 8.9% 8.9% 9.98%.7%.7%.7%.97% 8.%.9% 7.%.%..%...7%.89%.9%.%.7%.7%.78%.87%.7%.%.%..6%.7%.%.67%.%.9%.9 9.%.7% 7.6%.% 8.6% 6.7%.77%.7 9.%.% 7.%.68% M.6%.%.7%..9%.6%..%.%.9%.%.9%.6%.%.% 6.%.8%.% 6.%.%.%..%.9%.%.%.7%.%.7%.%.%.%.%.8%.%. ETF Net Cash Flows as % of Initial M 6M Y Y Ann Y Ann. 6.%.%.6% 6.9%.%.6% 7..7% 6.%.9%.% 7.7%.%.9%.%.9%.8%.% 7.%.9%.9% 7.6% 6.8% 9..6%..6%.% 8.%.7%.6%.9%.9%.%.% 7.7%.% 7.6% 8.8%.%.%.%.% 6.%.8%.8%.%.%.%.6%.%.%.7% 7.%.7% 8.7% 7.6%.%.%.% 7.%.8%.% 7.%.%.%.7%.%.7%.8% 7.6% 9..6% 8.8%.%.%.%.%.%.7%.% 7.%.9% 8.6% 7..8% 7.7% 7.7% 9.%. 8.% 6.9%.% 7.% 6.8%.9%.9% 8.7%..7% 7.%.% 8..% 8.7% 7.9%.%.%.%.9% 6.% 8.%.9% 7.%.%..% 6.9% 9.%.%.9%..7%.6%.6% 8..8%.% 8.%.7% 9.%.%.%.7%.6% 9.%.%.6%.%.% 6.%.%.8%.% %.%.6%.6%.7% 6.6%.% 8.%.%.% 6.%.% 9.%.% 9.9%.7%.%.%.7%.%.%.% 7.%.% 7.%.8%.%.6% 9.%.6%.7%.7% 9.% 9.8%.%.%.% 9.%.6%.%..%.6% 9.6%.6% 7.%.9% 9.% 6.%.9% 7.%.% 6.% 7..%.% 9.%.7%.%.9%.9%.8%.% 7.7%.%.% 6.% 8.% 6.%.8%..9%.%.9%.% 7.% 7. 9.% 6.% 6.%.%.%.8%.% 6.% 7.9%.%..7%.%.%..8%.% 6.%.7% 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 USlisted ETFs and ETVs excluding leveraged, inverse products, and ETNs. Asset Classes that had less than $ million in 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 Y are annualized. The ETFs mentioned in this figure are provided as reference and have been selected as investable and representative vehicle for each asset class considering the product'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 products selection criteria depending on product usage. Page

13 November 7 Figure 7: Global Multi Asset Risk and Riskadjusted Performance Measures Ticker Asset Class ACWI VTI SPY MDY IWM EFA VGK EZU EWJ EPP EEM ILF EEMA AFK FM BKF AGG GOVT SHV SHY IEI TLT TIP MUB MBB LQD HYG FLOT BKLN F CWB BWX WIP EMB EMLC EMCB HYEM DBC DBE USO UNG DBA DBB DBP GLD SLV PPLT PALL UUP FXY FXE Global Equities US Total Market S&P (Large Cap) S&P (Mid Cap) Russell (SM Cap) Intl DM Europe Eurozone Japan Pacific ex JP EM Latin America EM Asia Africa Frontier Market BRIC Fixed Income (Broad) US Treasury Very Short Short Intermediate Long US Inflation Municipal Securitized IG Corporates HY Corporates Floater Senior Loans Preferred Convertible Intl DM Debt Intl Inflation EM Gov Debt USD EM Gov Debt Local EM Corp USD EM HY Corp USD Commodities Energy Cmdty Crude Oil WTI Natural Gas Agriculture Industrial Metals Precious Metals Gold Physical Silver Physical Platinum Physical Palladium Physical Bull USD JPYUSD EURUSD M.%.%. 6.% 8.%.9% 6. 6.% 7.% 7.%.% 7.% 9.6% 9.7% 7..%.%.%.%.%.8% 7.6%.%.%.9%...7%.7%.%.%.% 6.%.% 6.8%..%. 7.%.6%.% 7.%.6% 8.% 8.%.9%.7%.% 6.%.% 7.% Annualized Volatility 6M Y 6.6% 6.7% 7.% 7.% 7.% 7.6% 6.9% 6.9% 7.% 8.7% 9.%.%.%.. 6.9% 7.% 8.% 7.9% % 8.7%.%.8% 6.6% % 9.% 9.8%.%.9%.%..%..6%.%.%.%.6%.7% 6.% 8.% 8.7%.%...7%.%.%.%.6%.7%.%.%.%.%..8%.9%.%.%.8% %.8%.%.%.8%.6%.7%.8%.9%.%..6%.7%.6%.%.%.9%.6%.%.6%.9%.8%..%.%.% 6.8% 7.% 7.% 6.% 6.% 7.% 6.6% 6.6% 7.6%.%.9% 6.% 6.% 7.6%. 7.7% 6.% 7.8%.%.9%.8%.9%.%.% 8..%.%.% 7.% 7.8%. 7.8% 6.%.9%.9%.7% 6.9%. 7.%.%.%.9%.%..8% 6.7% 6.% 8.%.9%.% 7...%.% 6.% 6.% 6.8% 7.8% 7.9% 9.% 7.% 7.% 8. M Y.%.6%.%. 6..% % 6. 7.% 9.% 7.9% 8.%.%.8%.9%.%.8%.%.9%.%.%.7%.7%.%.% 6.8%.9%.%.% 9.% 7.7% 8.% 6.6%.6% 7.9% 6.6% 6.7% 8.7% 8.%.%.% 7.%.8%.%.9% 9.8% 7.% 8.%.% 9.6% Y.6%.%..8%.7%.%.9% 7.7% 6.7% 6.% 8.%.% 7.% 8.%.% 9.8%.%.%.%.8%..6%.9%.8%.8%.% 6.%.8%.9%.% 9.% 7.% 7.% % 6.7%.%.9%.7% 7.%.9% 6.6% 7.%.8%.6% 8.8%.% 7.%.% 8.6% Max Drawdown Y Y Y.% 9.% 9.%.7%.%.%.6%...% 9.% 9.% 6.%.7%.7%.8%..%.%.%.9%.%. 7.%.7%.6%.6%.9% 8..% 8.%.% 6.%.% 9.% 6.8% 7.%.%.% 8.9% 6.8%..%.7% 6.6% 8.% 9.% 9.%.%.%.%..9%.9%.%.%.%.8%...%.%.%.% 7.9% 7.9%..%.%.% 6.7% 9.7%.%.%.8%.% %.%.%.%.%.6%.6%.9% 7.% 7.%.% 7.% 8.7%.%.9%.9% 8.6%.7%.% 7.%.8% 9.% 6.% 7.6%.% 8.6%.%..%.9%.%.%.6%..% 6.8% 8.%.9% 6.% 7.%.9% % 7.9% 7.% 79.%.% 8.6% 7.% 8.% 6.7%.%.. 7.%.7% 9.7%.7% 6.%.8% 6.6%.% 6.%.6%.8%.6% 8.%.%.%.%.9%.% 7.% 6.8% 8.% 6.7% Sharpe (TR / Vol) Y Y Y (.) (.).... (.) (.) (.) (.).. (.).. (.). (.) (.) (.). (.) (.)..8.. (.) (.) (.6) (.7).6 (.6) (.). (.8) (.6) (.7) (.8) (.6) (.) (.8) (.7).8.. (.). (.) (.). (.) (.). (.) (.) (.) (.6)... (.).. (.9) (.) (.7).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 day factor; Sharpe ratio calculation assumes Risk free equal to zero. For Max DD and Sharpe calculation, green cells correspond to largest value, while red cells correspond to lowest values. For Volatility calculations, green cells are the least volatile (lowest values), while red cells are the most volatile (highest values). The ETFs mentioned in this figure are provided as reference and have been selected as investable and representative vehicle for each asset class considering the product's asset class representation, liquidity, size, cost, and ease to borrow for tactical or risk hedging purpose; however, they should not be seen as the only or best alternative for each asset class as finding the right 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

14 November 7 US Equity ocator heatmaps Figure 8: US Equity Performance and Net Cash Flow Trends Ticker Asset Class VTI SPY DIA QQQ IWF IWD MDY IWM VIG DVY VYM SDY XLY PEJ XHB ITB PBS XRT XLP PBJ XLE OIH XES IEZ XOP IEO AMLP XLF KBWB KRE KCE KIE XLV IBB BBH IHI IHF PPH XLI ITA IYT XLB XME VNQ VGT IGN FDN SMH IGV VOX XLU US Total Market S&P (Large Cap) DJI NASDAQ Russell Growth Russell Value S&P (Mid Cap) Russell (SM Cap) Div. Growth Div. Yield Div. Yield Div. Yield & Growth Cons. Discretionary Hotels, Rest & Leisure Home Builders Household Durables Media Retail Cons. Staples Food Products Energy Energy Eq. & Serv. Energy Eq. & Serv. Energy Eq. & Serv. Energy E&P Energy E&P MLPs Financials Large Banks Regional Banks Capital Markets Insurance Healthcare Biotech & Pharma Large Biotech HC Eq. & Supplies HC Providers & Serv Large Pharma Industrials Aerospace & Def Transportation Materials Metals & Mining Real Estate Technology Comm. Equipment Int. Software & Serv. Semiconductors Software Telecom Utilities M Chg.7%.6%.6%.6%.9%.7%.%.7%..7%.7%.6%.%.%.87% 8.8%.8%.6%.6%.6%.8% 7.% 6.8% 6.79%.6%.9%.6%.86%.9%.6%.87%.%.76%.8%.67%.9%.8%..7%.6%.7%.87%.8%.7% 7..6%.9% 8.88% 6.99%.7%.9 M Chg.8%.7% 7.9% 6.6% 7..%.7%.7%.%.9%.6%.6%.%.6% 8.% 7. 6.%.6%.%..8%.8%.%.%.6%.7% 8.96% 6.6% 6.%.%.8%.%.9..6%.%.68%.8%.9% 9.88% 6.% 8.6%.9%.%.6%.% 8.66% 8.7%..76%.6% Total Return 6M Chg Y Chg 8.89%.9% 9.7%.%.99%.9%.%.6%.% 9.7%.% 7.% 6.6%.96% 8.6% 7.7% 6.86%.%.8% 6.9% 7.9% 9.%. 7.8%.8% 9.6%.%.66% 9.8.8%.%.8%.7%.8% 7..6%.%.6%.87%.7%.%.9%.%.%.7%.8%.98% 9.8%.7%.%.%.%.78%.7.9% 6.9%.% 8.% 6.6%.%.96% 9.% 7.%.9% 8.%.%.66%.68%.7%.% 9.% 8.6% 8.77% 7.67%.97% % 7.% 8.%.% 7.76%..9% 8.7% 6.67%.%.7%.7% 8.6% 7.96%.% 6.7% 6.7%.6% 7.9%.% 9.8% 9.6% 6.7%.6% 8.9%.% Y Ann.9%.69%.6%.7%.98% 7.8%.9%.7% 9.7%.% 9.99%.7.% 7.6%.6% 8.67%.%.% 7.9%.%.7% 7.8%.% 6.% % 9.8.8%.%.8%.%.9% 8.%.7%. 8.% 9.76%.8%.% %.9%.76% 8.8%.%.7% 7.9%.79%.8%.% Y Ann.9%.%.96% 6.6%.6%.8%.%.8%.%.%.% 6.6%.%.%.8%.7% 6.%.%.76%.6% 7.%.8% 6.9% 7.%.%.6% 7.66% 7.9% 7.9%.9% 8.% 6.99% 9.%.%.9 7.% 9.8% 6.78%.%.8%.7%.% 9.%.8%.7%.% 8.7%.% 8.%.9% M.%.7%.7%.7%.7%.6%..9%.%.%.%.%.6% ETF Net Cash Flows as % of Initial M 6M Y Y Ann Y Ann.%.6% 7..7% 6.%.9%.% 7.7%.%.9%.9%.% 7.7%.%.9%.9%.% 7.7%.%.9%.%.9%.% 9.8%.9%.9%.% 9.%.6%.%.%.9%.8%.% 7.%.9%.9% 7.6% 6.8% 9...8% 7.9%.9%.%..8% 7.9%.9%.%..8% 7.9%.9%.%..8% 7.9%.9%.% 6.%.%..%.9%.%.%.%.%.%.%.%.%.%.% 9.% 9.%.% 6.9%.9%.%. 6.7%.%..6% 7.% 9.7%.%..%.%.%.%.%.%.%.%.%.8%.%.9%.8%.8%.%.%.7% 7.6%. 7.9% 8.%.%.7%.%.% 9.8% 9.8% 9.8% 8.9% 8.9% 6.8%.%.%.%.%.%.7%.8%.8%.6% 8.% 8.8%.7%.% 6.7%..9%.%.%.6% 8.% 8.% 8.%.%.% 8.9% 7.8%.6%.6%.6%.6%..%.% 7.8% 6.%.7%.% 8.7% 9.%.%.%.%.7%.% 9.% 9.% 9.%...7% 6. 9.% 9.% 9.9%..7% %.7%.6% 67.% 6.6%.%.7% 6.%.% 6.% 9.7% 9.% 9.% 9.%.9%.9% 8...%.%.8% 9.% 7..9%.9%..8%.8%..%.%.6%.8% 9.%.9%.%.6%.6%.6%.%.% 8.9%.% 7.% 7.%.%.9% 9.% %.%. 9.%.%.9% 6.% 6.%.7%.%.9% 6.7%.%.%.7%.6% 6.7%..6%.%.6%.8% 6.%.6%.% 6.% 77.9%.8% 6.%.9% 9..%.9% 7.9%.%.%.% 9. 7.%.% 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 USlisted ETFs and ETVs excluding leveraged, inverse products, and ETNs. Asset Classes that had less than $ million in 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 Y are annualized. The ETFs mentioned in this figure are provided as reference and have been selected as investable and representative vehicle for each asset class considering the product'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 products selection criteria depending on product usage. Page

15 November 7 Figure 9: US Equity Risk and Riskadjusted Performance Measure Ticker Asset Class VTI SPY DIA QQQ IWF IWD MDY IWM VIG DVY VYM SDY XLY PEJ XHB ITB PBS XRT XLP PBJ XLE OIH XES IEZ XOP IEO AMLP XLF KBWB KRE KCE KIE XLV IBB BBH IHI IHF PPH XLI ITA IYT XLB XME VNQ VGT IGN FDN SMH IGV VOX XLU US Total Market S&P (Large Cap) DJI NASDAQ Russell Growth Russell Value S&P (Mid Cap) Russell (SM Cap) Div. Growth Div. Yield Div. Yield Div. Yield & Growth Cons. Discretionary Hotels, Rest & Leisure Home Builders Household Durables Media Retail Cons. Staples Food Products Energy Energy Eq. & Serv. Energy Eq. & Serv. Energy Eq. & Serv. Energy E&P Energy E&P MLPs Financials Large Banks Regional Banks Capital Markets Insurance Healthcare Biotech & Pharma Large Biotech HC Eq. & Supplies HC Providers & Serv Large Pharma Industrials Aerospace & Def Transportation Materials Metals & Mining Real Estate Technology Comm. Equipment Int. Software & Serv. Semiconductors Software Telecom Utilities M.%..%. 6.%.% 6.% 8.%.%.6%..9% 7.9% 8.6% 8.9% 9.8% 9.%. 7.9% 6.% 6.%.8%..7% 8.%.7% 6.6% 8.8%.%. 9.8%.9% 9.%.7%.6% 9.%.7%.% 7.6% 8.%.% 8..7% 6.% 9.% 8.7%.% 9.% 8.8%.% 7.% M 7.% 6.9% 6.%.6% 8.% 6.6% 8.7%.% 6.6%.6% 6.% 6.% 8.7% 9.9%.%.%.%.8% 7.% 7.8% 9.7% 8.9%.6% 9.6%.9% 6.% 6.%.8%.% 8.%.%.8% 9.%.%.% 9.8%.9%.% 8.% 9.6%.% 9.% 6.% 9.%.%.%.9%.9%.%.% 8.8% Annualized Volatility 6M Y 7.% 7.6% 6.9% 7.% %.%. 8.% % 7.8% 9.%.%.. 6.8% 6.9% 6.% 7.6% 6.% 6.8% 6.8% 7.% 8.8% 8.9%.7%.%.%.7%.%.8%.%.% 7.% 7.9% 7.% 8.% 8.8% 9.9%.8%.6%.%.7%.%..%.8%.6% 7.% 9.6%.7%.8%.%.9%.6%.8% 7.8% 8.%.8%.%.9%.%.8% 8.9%.% 6.7% 9.9%.% 8.% 9.8%..%.6%.7%.% 8.% 9.8% 9.8%.%.%..%.7% 9.%.8% 9.8%.9%.%.%.%.7%.%. 6.7% 6.7%.%.%.%.8% 8.%.8% Y.6%.%.%.%.7%.9%. 6..%.%.9%.%.6% 6.% 7.% 9.6%.9% 8.%.%.8%.%.%.%.% 8. 9.% %.%.%.%.8%.9% 6.%..8% 7. 6.%.8%.% 7. 6.%.%.%.% 7.% 7.6%. 7..8%.8% Y.%..6%.%.%.%.8%.7%.%.%.%.%.%.9% 8.%.6%.% 6.9%.%.7% 9.8% 7.7%.% 7.9%..7%.7%.6% 9.%.% 9.%.%.%..8%..7%.7%.7%.% 6.7%.% 9.9%.%.7% 7.% 7.9% 9. 6.%.8%. Max Drawdown Y Y Y.7%.%.%.6%...%.9%.9%.9% 6.% 6.%.%.8%.8%.% 6.% 6.%.% 9.% 9.% 6.%.7%.7%.6%.%.%.%...%...9%.8%.8%.%.8%.8% 6.9%.7%.7%.8% 8.% 8.%.% 6.% 6.% 7.%.%.%.%.%.% 6.9%.%.% 8.%.. 8.9% 9.% 6.7% 7.8%.% 6.%.% 6.% 7.8% 7.%.% 6.8%.6% 6.% 7..6% 8.% 6.8% 8.%.7%.% 8.9%.%.%.% 9.% 9.%.9% % 6.% 6.% 8.9%.%.%.% 7.% 7.% 9.% 9.% 9.% 7.9%.8%.8%.7%.%.%.7% 6.% 6.% 9.8% 9.9% 9.9%..7%.7%.% 7.% 7.% 8.% 7.% 7.%.% 6.9% 6.9% 9.% 6.9% 7.9% 6.% 7.% 8..% 6.% 6.% 8.%.9%.9%..8%.8% 9.%.7%.7%.%.%.%.%.%.% 6.9%.7%.7% Sharpe (TR / Vol) Y Y Y (.) (.) (.). (.) (.) (.) (.) (.6) (.) (.) (.) (.) (.) (.) (.). (.). (.) (.) (.) (.) (.) (.) 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 day factor; Sharpe ratio calculation assumes Risk free equal to zero. For Max DD and Sharpe calculation, green cells correspond to largest value, while red cells correspond to lowest values. For Volatility calculations, green cells are the least volatile (lowest values), while red cells are the most volatile (highest values). The ETFs mentioned in this figure are provided as reference and have been selected as investable and representative vehicle for each asset class considering the product's asset class representation, liquidity, size, cost, and ease to borrow for tactical or risk hedging purpose; however, they should not be seen as the only or best alternative for each asset class as finding the right 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 November 7 International Equity ocator heatmaps Figure : International Equity Performance and Net ETF Cash Flow Trends Ticker Asset Class EFA EWC EIS VGK EDEN NORW EWD EWL EWU EZU EWO EWK EFNL EWQ EWG EIRL EWI EWN PGAL EWP EWJ EPP EWA EWH ENZL EWS EEM ILF EWZ ECH GXG EWW EPU EEMA FXI ASHR INDA EIDO EWM EPHE EWY EWT THD GREK EPOL RSX TUR QAT UAE EGPT EZA FM ARGT NGE PAK VNM BKF Intl DM Canada Israel Europe Denmark Norway Sweden Switzerland UK Eurozone Austria Belgium Finland France Germany Ireland Italy Netherlands Portugal Spain Japan Pacific ex JP Australia Hong Kong New Zealand Singapore EM Latin America Brazil Chile Colombia Mexico Peru EM Asia China H China A India Indonesia Malaysia Philippines South Korea Taiwan Thailand EM Europe & MEA Greece Poland Russia Turkey Qatar UAE Egypt South Africa Frontier Market Argentina Nigeria Pakistan Vietnam BRIC M Chg.68%.%.%.6%.7%.9%.8%.%.6.8%.8%.8%.8.9%.97%.%.8%.99%...8%.99%.6%.%.9%..8%.8%.6%.8% 7.% 7.8% 7.8%.76%.9%.9 7.9%.%.7%.% 8.%.%.% M Chg.%.9% 7..76%.9.6%.9%.7%.7%.8%.8%.7%.9% 6.6% 7.68%.9.%.% 6.%.8% 7..6%..6%.%.7%.66%.9% 6.7%.9%.% % 6.8% 7.97% 8.%.8%.6%.8%.6% 7.6%..96% Total Return 6M Chg Y Chg.9%.66%.%.6%.8% 8.%.6% 8.% 6.8%.%.%.77% 9.9.% 6..6% 8..%.6%.6%.9% 7.77%.8%.% 7.99%.9%.96%.%.9%.6%.%.% 9.8%.%.8%.77%.%. 7.% 7.66%.8% 8.%.98% 8.%.9% 7.% % 9.%.97%.% 8.76% 6.7% 6.6% 9..7% 8.98% 8.6%.6%.%.9%.8%.69%.7% 7.68%.% 9.%.9% 9.7% 7.69%.7%.6%.9%.8%.6%.7%.6 6.%.9%.%.9% %.7% 6.% 6.8%.%.%.%.%.69%. 7.86%.97%.%.6%.9% 6.89% 7.%.6% 8.9%.76% %.8%.6% 6.7% %.% 6.% 8.9% %.7%.6% 7.8% 7.6% 7.%.79%..6%.8%.%.%. 9.96% 9.8% % 7.%.9%.78%.% 9.%.9% 7.9% 9.%.%.% Y Ann.7%.7%.6%.9%.%.7% 6.%.6%.% 8.% 6.6%.7% 8.8% 9.8% 8.88%.67%.%.%.6%.7% 8.%.98%.8% 7.7% 9.%.9%.7%.%.% 8.% 6.6% 7.98% 9.8% 8.8% 7.8%.7%.6%.% 7.7%..7% 9.6%.9%.88%.86%.8%.9%.6%.77%.%.7%.6%.%.% 6.% 7.6% Y Ann 8.9%.7%.66% 8.9% 9.%. 8.8% 9..7% 9.98%..79%.7%.6 9.7% 7.66% 7.%.87% M.6%.% ETF Net Cash Flows as % of Initial M 6M Y Y Ann Y Ann.6%..6%.% 8.%.% 8.7%.%.7% 7.%..7%.6%.9%.9%.%.%.7%.%.8% 7.9%.%.%.% 7.7%.6%.%.%.8%.7% 7.6%.9% 6.8% 8.8%.%.6% 8.% 7.%.% 6.%.9%.%.%.% 7.7%.8% 6.7%.%.9%.%..%.%.8%.%.% 9.%.%.8% 6.9%.9% 6.7%.%.% 7.9% 9.%..%.%.% 6.%.% 6.%.%. 8.%..%.9%.9% 7.8%.%.6%.7% 7.% 6.8%.%.% 8.7%.%.7%..% 7.6% 8.8% 8.% 9.%.7%.% 7.% 8.8%.% 7.%.%...9%.%.6%.8%.6%.%.%.7% 8.%.%.%.7% 8..8% 7.8%.7% 9.%.7% 7.%..9%.9%.9% 7.% 6.%.%.8%.9%.6%. 7.8%.% 6.6%.%.%.%.%.9% 9.%.9%.6%.8% 7.%.6% 6..7%.8% 6.8%..7%.%.%.%.6% 7.%..9%.7%.9%.6% 9.%.6% 9.%.9%.%.7%.%.8%.6%.7%. 8.%.%.%.6%.%.%.8% % 7.%.6% 6.%.%.9%.8% 6.9% 7.6% 7.% 9..%.6%.% 8.8%.%.%.% 6.%.%.%.9%.% 9.7%.%.%.% 8.%.% 7.6%.7%.7%.6% 9.%.7%.8%.7%.97%..%.%.%.7 8.% 7.% 8.7%.%.%.89% 6.79%.6% 6.9% 9.7.9%.%.% 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 USlisted ETFs and ETVs excluding leveraged, inverse products, and ETNs. Asset Classes that had less than $ million in 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 Y are annualized. The ETFs mentioned in this figure are provided as reference and have been selected as investable and representative vehicle for each asset class considering the product'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 products selection criteria depending on product usage. Page 6

17 November 7 Figure : International Equity Risk and Riskadjusted Performance Measure Ticker Asset Class EFA EWC EIS VGK EDEN NORW EWD EWL EWU EZU EWO EWK EFNL EWQ EWG EIRL EWI EWN PGAL EWP EWJ EPP EWA EWH ENZL EWS EEM ILF EWZ ECH GXG EWW EPU EEMA FXI ASHR INDA EIDO EWM EPHE EWY EWT THD GREK EPOL RSX TUR QAT UAE EGPT EZA FM ARGT NGE PAK VNM BKF Intl DM Canada Israel Europe Denmark Norway Sweden Switzerland UK Eurozone Austria Belgium Finland France Germany Ireland Italy Netherlands Portugal Spain Japan Pacific ex JP Australia Hong Kong New Zealand Singapore EM Latin America Brazil Chile Colombia Mexico Peru EM Asia China H China A India Indonesia Malaysia Philippines South Korea Taiwan Thailand EM Europe & MEA Greece Poland Russia Turkey Qatar UAE Egypt South Africa Frontier Market Argentina Nigeria Pakistan Vietnam BRIC M.9% 7..8% %. 9.% 6.7% 6.7% 6.% 8.% 6.6% 6.%.%.% 7.%.%.9%.7%.% 7.% 7.% 9.% 9.%.8% 6.9%.% 7.%.9%.8%.% 6.%.8% 9.6% 8.%.9%.% 9.8% 7.%.7%.% 7.8%.% M 6.9% 7.7% 6.8% 7.9%.7%.9% 9.7% 7.% 7.9% 8.7%.% 8..9% 8. 9.% 8.%.8% 7.8% 9.8% 6.6% 6.6% 9.%.6%.%.% 7.6%.9%.%.9%..9%.9%.%.% 6.7%.9%.%.% 8.%.8%.7%.7%.%.8% 7.8%. 7..9% 7.7% 7.% 7.8% 7..% 8.7%.%.%.%. 8..6%.%.% 7.9%.6% 6.6% 8.% 6.%.9% 9.%.%. Annualized Volatility 6M Y 7.% 8.% 9.9%..%.9% %.%.%.%..%.% 8.9% 9.% 8.% 9..%.8%.%.%.%.%.%.%.%.%.%.% 9.8%.9%.9% 6.8% 8.9%.%.9%.7%.6% 6.% % 9.8%.%.6%.9% 9.%.%.%.7% 9..%.%...6%.8%.%..%.8% 6.6%.6%.9%.%..%.%..6%.8%.%.%.9%.7% %.%.% 6.6%.% 6..6%.% 9.%.%.% 8.% 6.7%.9%.%.6% 6.7%.% 8.7% 7.%.6%.9%...% 9.% 9.6% 6.% 9.%.8%.%.6%.% 6.8%.% 9.6%.%.7% Y.% 7.%.% 7. 6.%.6% 8.8%.9% % 8.7%.% 8.% 8.6% 8.% 7.%.% 6.9%.%.6% 6. 7.%.% 7..7%.8% 9.% 7.9%.9% 8.%.9%.%.7% 8.%.9% 6.% 9.%.% 9.6% 9.6% % 8.6%.%..%.%.%.7% 9.%..8%.%.7%.%.9% Y.%.%.%.9% 6.%.% 8.%.% % 7.9%.% 8.% 7.8% 7.% 7..7% 6..% 6.7% 6.% 8.8% 6.%.%.9% 8.%.%. 8.%.%.7% 9.% 7.%.%.% 6.% 7.8%.% 8.% 7.6%.%.6%.9%..% 7.9% 8.%.%.%.% 9.8% Max Drawdown Y Y Y.8%..% 7.% 7.7%.%.%.9%.9%.%.%.9% 8.9% 8.% 8.% 8.%.%.9%..%.6%.9%.%.%.6%.9% 9.%.%. 7.%.%.8%.6%.8%.%..% 6.7% 9.%.9%.7%.8%.7%. 6.6%.% 9.%.7% 7.6%.7%.%.% 9.6% 9.6% 7.8% 9.% 9.%.%.%.7%.6%.6%.9% 8..%.8%.%.% 9.9% 9.% 9.% 8.%.9%.% 6.%.%.% 8.%.% 6.%.% 9.% 6.8% % 67..%.8%.%.% 6.9% 68.%.6% 6.%.6%.9% 6.% 6.6% 7.%.%.% 8.%.6%.6% 9.8%.%. 8.7% 9.6%..6%.%.% 6.%.%.%.%.8% 8.% 9..8% 7.%.%.% 6.%.7% 8..9%.% 7.7% 9.7%.6%.8%.%..%.9% 8.% 9..% 8.% 66.7%.%.% 6.8% 8. 9.% 6.%..7%.% 69.8% 7.% 9.% 77.% 7. 6.% 7.9% 6.%. 6.6%..9% 9.% Sharpe (TR / Vol) Y Y Y (.) (.). (.) (.).. (.). (.6) (.6). (.) (.) (.). (.) (.). (.) (.9).9 (.) (.).. (.).. (.) (.6) (.) (.7) (.)..7 (.8) (.). (.). (.) (.) (.) 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 day factor; Sharpe ratio calculation assumes Risk free equal to zero. For Max DD and Sharpe calculation, green cells correspond to largest value, while red cells correspond to lowest values. For Volatility calculations, green cells are the least volatile (lowest values), while red cells are the most volatile (highest values). The ETFs mentioned in this figure are provided as reference and have been selected as investable and representative vehicle for each asset class considering the product's asset class representation, liquidity, size, cost, and ease to borrow for tactical or risk hedging purpose; however, they should not be seen as the only or best alternative for each asset class as finding the right 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 7

18 AGG GOVT TIP MUB MBB LQD HYG FLOT BKLN F CWB BWX WIP EMB EMLC EMCB DBC DBE DBA DBB DBP UUP FXY 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 : 6W Rolling Correlation for selected asset class pairs (Y) Global Equities 6W Rolling Correlation US Fixed Income 6W Rolling Correlation US Equities 6W Rolling Correlation Apr. Apr Apr US Agg Bond IG Apr Apr Commodities Apr Real Estate Apr6 Apr7 Bull USD Gold Apr Apr Apr DM Intl EM Apr Japan Apr Apr6 Pacific ex JP Apr7 Europe Apr US Treasury Apr Apr IG Corp Apr Apr6 HY Corp Apr7 Sr Loans Source: Deutsche Bank, FactSet. Correlations based on weekly total returns of USlisted ETFs: Global Equities (ACWI), US Agg Bond IG (AGG), Commodities (DBC), Real Estate (VNQ) and Gold (GLD). US Equity (VTI), DM Intl (EFA), EM (EEM), Japan (EWJ), Pacific ex JP (EPP), and Europe (VGK). US Fixed Income (AGG), US Treasury (GOVT), IG Corp (LQD), HY Corp (HYG), and Sr Loans (BKLN). November 7 Figure : Year Cross Asset Class Correlations of Weekly Total Returns Y Cross Asset Class Correlation of Weekly Total Returns ACWI VTI EFA EEM Category Ticker Global Equities ACWI US Total Market VTI Intl DM EFA EM EEM US Agg Bond IG AGG.7... US Treasury GOVT US Inflation TIP....9 Municipal MUB.7... MBS MBB....6 IG Corporates LQD HY Corporates HYG Floater FLOT.... Senior Loans BKLN Preferred F Convertible CWB Intl DM Debt BWX Intl Inflation WIP EM Gov Debt USD EMB EM Gov Debt Local EMLC EM Corp USD EMCB..8.. Commodities DBC Energy Cmdty DBE Agriculture DBA..7.. Industrial Metals DBB...8. Precious Metals DBP...6. Bull USD UUP JPYUSD FXY...8. EURUSD FXE.9... Page 8 Cross Asset Correlations

19 November 7 Month Relative Performance Monitor Figure : Selected relative performance pairs Global Equities Oct7 Sep7 Jul7 Aug7 Jun7 Apr7 Mar7 Jan7 May7 Aug7 Sep7 Oct7 Aug7 Sep7 Oct7 Jul7 Jun7 May7 Apr7 Mar7 Feb7 Jan7 Oct7 Sep7 Jul7 Aug7 Jun7 May7 Apr7 Mar7 Feb7 Jan7 Dec6 Oct6.8 Jul7 Jun7 May7 Apr7 Mar7. Feb7 Oct7 Sep7 Aug7 Jul7 Jun7 May7 Apr7.6 Jan7 Gold/Silver Gold/Platinum Gold/Palladium.7 Mar7 Oct7 Sep7 Aug7 Jul7 Jun7 May7 Apr7 Mar7 Feb7 Jan7 Dec6 Oct Feb7 HY Corporates/US Treasury HY Corporates/IG Corporates.. Jan7. China H/China A.6 Precious Metals UST Short/UST Long EM Gov Debt USD/EM Gov Debt Local Oct6. EM Asia/Latin America.7 Fixed Income duration and EM debt Dec6 Fixed Income Credit. Nov6 Oct7 Sep7 Jul7 Aug7 Jun7 May7 Apr7 Mar7 Feb7 Jan7 Dec6 Oct6 Nov6.6 Nov6.8.8 Dec6.8 Nov6 Feb7.9 Eurozone/Europe Japan/Pacific ex JP Dec6.8 Oct6.. Nov6.9.9 Dec Oct6 Oct7 Sep7 Jul7 Aug7 Jun7 Apr7 May7 Mar7 Jan7. Oct6.. Nov6.6 EM Equities Intl DM Equities Healthcare/Energy Technology/Industrials Financials/Real Estate Financials/Utilities.8 Feb7 Dec6.9 US Equity Sectors. S&P /Russell (SM Cap) Russell Growth/Russell Value.8 Oct6 Oct7 Sep7 Jul7 Aug7 Jun7 Apr7 May7 Mar7 Jan7 Feb7 Dec6 Oct6 Nov6.7.. Nov6 Global Equities/Fixed Income (Broad) Global Equities/Commodities.8 US Equity Size and Style. US Total Market/Intl DM US Total Market/EM. Nov6 Cross Asset Class. Source: Deutsche Bank, FactSet 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 Page 9

20 November 7 Business Intelligence New Listings There were thirty new ETFs during the previous month; eighteen were listed in the NYSE Arca, eight in the BAST; while, the remaining funds were listed in the NASDAQ. The new funds offer low volatility exposure to broad US, smallcap US, Intl exus, EM, EM HY equities; thematic exposure to US iconic brands, US largecap align to biblical values, US companies that benefit from Democratic policies, Republican policies, and Tax Reform, respectively; exposure to US megacap, US largecap focused on Value and Momentum, respectively; exposure to Global largecap, US largecap, EM technology sector, Chinese environmentfriendly companies, US largecap that may hold positions on Tbills, US largecap stocks focused on ESG, Global IG and HY bonds with a variety maturities, US HY corporate bonds with broad maturities, and US investmentgrade debt with medium maturities, to US IG ESGfocused bonds with broad maturities; actively managed exposure to Global stocks, US equity securities using artificial intelligence, US Municipal IG bonds with broad and mediummaturity, respectively; US IG debt with short and intermediateterm, respectively. Figure : Products listed during last month Ticker Name NUBD LFEQ CHGX SCHK USMC KEMQ VGFO DIAL KGRN DEMS GOP TAXR BRGL BERN LOGO AIEQ MMIN MMIT PVAL PMOM CEY USHY USVM USTB ULVM UIVM UITB UEVM GUDB BIBL NuShares ESG US Aggregate Bond ETF VanEck Vectors NDR G Long/Flat ocation ETF Change Finance Diversified Impact US Large Cap Fossil Fuel Free ETF Schwab Index ETF Principal US MegaCap MultiFactor Index ETF KraneShares Emerging Markets Consumer Technology Index ETF Virtus WMC Global Factor Opportunities ETF Columbia Diversified Fixed Income ocation ETF KraneShares MSCI China Environment Index ETF Democratic Policies Fund Republican Policies Fund US Tax Reform Fund Bernstein Global Research Fund Bernstein US Research Fund Global X Iconic US Brands ETF AI Powered IQ Mackay Shields Municipal Insured ETF IQ Mackay Shields Municipal Intermediate ETF Principal Contrarian Value Index ETF Principal Sustainable Momentum Index ETF VictoryShares Emerging Market High Dividend Volatility WTD Index ETF ishares Broad USD High Yield Corporate Bond ETF US MSCI USA Small Cap Value Momentum Blend Index ETF US Core ShortTerm Bond ETF US MSCI USA Value Momentum Blend Index ETF US MSCI International Value Momentum Blend Index ETF US Core IntermediateTerm Bond ETF US MSCI Emerging Markets Value Momentum Blend Index ETF Sage ESG Intermediate Credit ETF Inspire ETF Asset Class & Structure Fixed Income ETF Fixed Income ETF Fixed Income ETF Fixed Income ETF Fixed Income ETF Fixed Income ETF Fixed Income ETF Fixed Income ETF Listing Date TER Oct7 Oct7 Oct7 Oct7 Oct7 Oct7 Oct7 Oct7 Oct7 7Oct7 7Oct7 7Oct7 7Oct7 7Oct7 8Oct7 8Oct7 8Oct7 8Oct7 9Oct7 9Oct7 6Oct7 6Oct7 6Oct7 6Oct7 6Oct7 6Oct7 6Oct7 6Oct7 Oct7 Oct7..9%.7%.%.%.79%.9%.8%.79%.7%.7%.8%.6%..8%.7%...9%.9%..%.%.%..%..%.%.% 7 Source: Deutsche Bank, Bloomberg Finance LP. Page

21 November 7 Equity US made its debut in the ETF Market listing six new funds during October. Four of them are designed to provide exposure to broad US (ULVM), smallcap US (USVM), international markets excluding US (UIVM), and emerging markets (UEVM); focusing on value and momentum selectedfactors and finally weighted by volatility. ULVM tracks the MSCI USA Select Value Momentum Blend Index and comes with an annual expense ratio of.; USVM tracks the MSCI USA Small Cap Select Value Momentum Blend Index with an expense ratio of.%; while, UIVM tracks the MSCI World ex USA Select Value Momentum Blend Index and comes with a total expense ratio of.%. Finally, UEVM tracks the MSCI Emerging Markets Select Value Momentum Blend Index with a TER of.%. Active Weighting Advisors debuts in the ETF Market launching three new Politicalrelated ETFs. The first two funds are designed to provide actively managed exposure to a portfolio of US companies that expected to benefit from policies support by Democratic Party (DEMS) and Republican Party (GOP), respectively. Meanwhile, the third fund (TAXR) offers exposure to US companies that are positively impacted by the reform of the U.S. Tax Code system. DEMS and GOP come with an annual expense ratio of.7%; while, TAXR comes with an expense ratio of.8%. Nothern Lights debuts listing one new thematic ETF (BIBL) offering marketcap weighted exposure to US largecap stocks that align with the index provider s definition of biblical values and positive impact on the world. BIBL tracks the Inspire Index and comes with an annual expense ratio of.%. Change Finance debuts during October listing one new equity ETF (CHGX). The fund offers exposure to US largecap stocks that meet environmental, social, and governance standards. The ESGfocused ETF tracks the Change Finance Diversified Impact U.S. Large Cap Fossil Fuel Free Index and comes with an annual expense ratio of.7%. Principal Financial Group listed three new ETFs during October. The first fund (USMC) offers exposure to the largest US largecap companies. The tieredweighted ETF tracks the Nasdaq U.S. Mega Cap Select Leaders Index and comes with an annual expense ratio of.%. The remaining two funds offer exposure to US equity securities focused on sustainable price momentum (PMOM) and value (PVAL) factors, respectively. PMOM tracks the Nasdaq US Sustainable Momentum Index and PVAL tracks the Nasdaq US Contrarian Value Index; both ETFs come with an annual expense ratio.9%. KraneShares launched two new ETFs last month. The first one (KEMQ) offers exposure to emergingmarket technology sector. The main technologybusinesses included are: internet retail, internet software/ services, purchase, payment processing, or software for internet and ECommerce transactions. KEMQ tracks the Solactive Emerging Markets Consumer Technology Index. Meanwhile, the second fund (KGRN) offers exposure to Chinese companies that derive at least of their revenues from environmentally beneficial products and services, including: alternative energy, sustainable water, green building, pollution prevention and energy efficiency sectors, respectively. KGRN tracks the Page

22 November 7 MSCI China IMI Environment / Index. Both ETFs come with an annual expense ratio of.79%. Exchange Traded Concepts listed two new ETFs during October. The funds offer exposure to global (BRGL) and US (BERN) largecap equities, respectively. The securities are selected and ranked by a variety of fundamental and technical factors, including: valuation, earnings, quality, profitability, and growth dynamics. BRGL tracks the Bernstein Global Research Index and comes with an annual expense ratio of.6%; while, BERN tracks the Bernstein U.S. Research Index and comes with an expense ratio of.. VanEck Vectors listed one new smart beta ETF (LFEQ) during last month. LFEQ offers exposure to a strategy that use technical signals to determine the allocation between the S&P and Treasury bills. The funds tracks the Ned Davis Research G US Large Cap Long/Flat Index which may hold one of four equity positions:, 8,, and. LFEQ comes with an annual expense ratio of.9%. Charles Schwab listed one new ETF (SCHK), which offers exposure to of the largest US largecap equity stocks; tracking the Schwab Index, comes with an annual expense ratio of.%. Virtus Investment listed one new actively managed ETF (VGFO) which offers exposure to a portfolio of global equity securities. VGFO seeks to outperform the global equity market; while, applies active risk management. It comes with an annual expense ratio of.9%. Global X Funds listed one new ETF (LOGO) offering thematic exposure to US companies with significant brand loyalty and consumer recognition. LOGO tracks the Accuvest Iconic U.S. Brands Index and comes with an annual expense ratio of.8%. ETFMG listed one new ETF (AIEQ) during October. AIEQ offers actively managed exposure to a portfolio of to 7 US equity stocks selected by a quantitative model that incorporates artificial intelligence ( AI ). The AIETF comes with an annual expense ratio of.7%. Victory Capital Management listed one new ETF (CEY) which offers lowvolatility exposure to emerging market equity securities focused on high dividend yield. CEY tracks the CEMP Emerging Market High Dividend Volatility Weighted Index and comes with an annual expense ratio of.. Fixed Income IndexIQ Advisors listed two new fixed income ETFs during last month. The funds offers actively managed exposure to US municipal investment grade bonds with broadmaturities (MMIN) and intermediate maturity (MMIT), respectively. Both funds come with an annual expense ratio of.. Page US listed two new fixed income ETFs during October. The new products offer actively managed exposure to a portfolio of US investmentgrade debt with shortterm (USTB) and intermediateterm (UITB), respectively. USTB comes with an annual expense ratio of.%; while, UITB with an expense ratio of., respectively.

23 November 7 Nuveen listed one new ETF (NUBD) offering exposure to US investmentgrade bonds with broad maturities. NUBD holds debt that satisfy environmental, social, and governance ( ESG ) criteria. The ESGfocused ETF tracks the Bloomberg Barclays MSCI US Aggregate ESG Select Index and comes with an annual expense ratio of.. Columbia Management listed one new ETF (DIAL) which offers exposure to global investmentgrade and highyield bonds with a variety maturities. DIAL tracks the Advantage MultiSector Bond Index, which allocates fixed weights to each of the six sectors: to US highyield corporate bonds, to emergingmarkets sovereign debt, % to US investmentgrade corporate bonds, % to US mortgagebacked securities, to US Treasuries, and to global sovereign bonds exus. The fund comes with an annual expense ratio of.8%. BlackRock listed one new ETF (USHY) which offers exposure to US highyield corporate bonds with broad maturities. The USDdenominated ETF tracks the marketcap weighted BofA Merrill Lynch U.S. High Yield Constrained Index and comes with an annual expense ratio of.%. Sage listed one new ETF (GUDB) offering exposure to US investmentgrade debt with intermediate maturities. GUDB tracks the Sage ESG Intermediate Credit Index composed by bonds that satisfy environmental, social, and governance ( ESG ) criteria. The new ESGfocused fund comes with an annual expense ratio of.%. Page

24 November 7 Delistings Figure 6: Delisted products during last month Asset Class & Structure KWT VanEck Vectors Solar Energy ETF BRAZ Global X Brazil Mid Cap ETF BRAQ Global X Brazil Consumer ETF AND Global X FTSE Andean ETF PERM Global X Permanent ETF Multi Asset ETF MLPJ Global X Junior MLP ETF THHY VanEck Vectors TreasuryHedged High Yield Bond ETF Fixed Income ETF GYEN AdvisorShares Gartman Gold/Yen ETF Commodity ETF GEUR AdvisorShares Gartman Gold/Euro ETF Commodity ETF GURI Global X Guru International Index ETF TOFR Stock Split Index Fund ACTX Global X Guru Activist Index ETF BMLA BullMark LatAm Select Leaders ETF ITML VanEck Vectors AMTFree 7 Year Intermediate Municipal Index ETFFixed Income ETF ITMS VanEck Vectors AMTFree 68 Year Municipal Index ETF Fixed Income ETF MENU USCF Restaurant Leaders Fund Ticker Name Delisting date Oct7 9Oct7 9Oct7 9Oct7 9Oct7 9Oct7 Oct7 6Oct7 6Oct7 9Oct7 Oct7 9Oct7 6Oct7 Oct7 Oct7 Oct7 TER.6%.69%.77%.7%.9%.88%..6%.6%.7%.%.7%.7.%.%.6% at Delisting Source: Deutsche Bank, Bloomberg Finance LP. Page

25 November 7 Trends in products launched in the last months Figure 7: Main trends among those products launched in the last months Net Cash Flows Oct '7 M 8, 8,8 Total () By Asset Class Equity, Fixed Income, Commodities 6 Currency Multi Asset 66 Alternative By Management Strategy, + 6 Smart,67 Active,8 Net Cash Flows M Top by Geographic Focus (Equities) US US,6 DM Global ex US (reg),6 DM Global (reg) 7 Global Global (reg) EM China 8 Top by Category (Fixed Income) Corporates 869 Broad 7 US Treasury Preferred 7 Municipal 67 New Funds Asset Class Focus last M 8,7, 6 7,68 76,77,89 8 Oct '7 New Funds last M,76, Source: Deutsche Bank, Bloomberg Finance LP Figure 8: Top products by net cash flow raised in the last months Ticker Name IDEV ishares Core MSCI International Developed Markets ETF Net CF M.7% 7 CLTL GDVD DMRL HYLB USMC CSML DMRI SECT UWT GIGB DWT FLEU VNLA FFTI DMRM RBIN CCOR JPGB RBUS PowerShares Treasury Collateral Portfolio ETF Principal Active Global Dividend Income ETF Deltashares S&P Managed Risk ETF Xtrackers USD High Yield Corporate Bond ETF Principal US MegaCap MultiFactor Index ETF IQ Chaikin US Small Cap ETF Deltashares S&P International Managed Risk ETF Main Sector Rotation ETF VelocityShares x Long Crude Oil ETN Goldman Sachs Access Investment Grade Corporate Bond VelocityShares x Inverse Crude Oil ETN Barclays ETN+ FI Enhanced Europe ETN Series B Janus Henderson Short Duration Income ETF FormulaFolios Tactica Income ETF Deltashares S&P Managed Risk ETF Nationwide RiskBased International Cambria Core JPMorgan Global Bond Opportunities ETF Nationwide RiskBased US.8%.8%.%..%.%..88%..%..76%.%..%.%.%.%. Source: Deutsche Bank, Bloomberg Finance LP. Includes ETNs TER Figure 9: Top Issuers by inflows to products launched in the last months Top Issuers BlackRock Transamerica Principal Financial PowerShares IndexIQ Advisors Goldman Sachs Deutsche AM JPMorgan Davis Advisors Nuveen Blue Sky Asset Management First Trust Janus Henderson FormulaFolio Inv. Virtus Investment DirexionShares Cambria Funds Franklin Templeton Charles Schwab ClearBrook Global Advisors Net Cash Flows M Oct ' New Funds last M Source: Deutsche Bank, Bloomberg Finance LP Page

26 November 7 Popular Product Segments: Smart & Currency Hedged Figure : Summary statistics for Smart s Smart (Equities) Dividend Equal ESG Fundamental Low Risk Multifactor Singlefactor Style Other Total Net Cash Flows Oct '7,9 8,7 978,8 (9) 6 7,99 69,6,8,88 7,9,, 8,, Turnover Oct '7 MoM Chg %,98 8%,97 %,6 %,7 6%,87,69 6% 8,6 % 9 9% 9, % Mkt 6% 6% % 6% % % % Oct '7 MoM Chg % 67,6 %,7 %,77 %,8 % 9, %, % 8,9 7% 6,66 %, % 68,898 % # of Funds Mkt Oct '7 Mkt % 8% 7% 8 % % % % 6 9% 7% 68 6% 78 6% % 7% 7% 67 % 68 New Source: Deutsche Bank, Bloomberg Finance LP Figure : Summary statistics for CurrencyHedged s Net Cash Flows Currency Hedged (Equities) Oct '7 Multiple AUD BRL CAD CHF CNY EUR GBP JPY KRW MXN Total () () () Turnover Oct '7 MoM Chg % 7 (6) (,) (6) (69) () () (,7),,7 6,9 9, % 6% % 77% % 87% % 6% 7% 9% % % Mkt 6% % 9% Oct '7 MoM Chg % 9, 6,9,6,7 % % % 9% % % 8% 8% 6% % % # of Funds Mkt Oct '7 6% % 9% 8 Mkt % % % % % % 6% % 7% % % New Source: Deutsche Bank, Bloomberg Finance LP Figure : Top Issuers in Equity Smart Top Issuers (Equity Smart ) BlackRock Vanguard State Street WisdomTree PowerShares First Trust Charles Schwab Guggenheim Inv. FlexShares Goldman Sachs Source: Deutsche Bank, Bloomberg Finance LP Page 6 Oct '7 66,9,86 7,99,8 8,9,88 7,, 6,, Net Cash Flows M,98 9,76, ,9 8,,,,9 Figure : Top Issuers in Equity Currency hedged # of Funds Oct ' Top Issuers (Equity Currency Hedged) WisdomTree Deutsche AM BlackRock First Trust IndexIQ Advisors JPMorgan FlexShares O'Shares Investments Franklin Templeton PowerShares Oct '7 9,8,6 8, Net Cash Flows M (,6) (,9),896 7 () () (7) # of Funds Oct '7 Source: Deutsche Bank, Bloomberg Finance LP

27 November 7 Average Performance by Products Type and Size (Equity) Month Comparisons Figure : US s Month Total Returns Figure : US s # of Funds in M sample..9%.9%..8% Source: Deutsche Bank, FactSet. Total Return corresponds to last month. Size..9%.8%.7% 9 7 Large Cap Mid Cap Small Cap Broad Product Type Smart Active Source: Deutsche Bank. Figure 6: DM s Month Total Returns DM Equity, Broad sector, regional, non levered, M Total Return by Large Cap Mid Cap Small Cap Broad US Equity, Broad sector, non levered, # of funds by Size.6%.9%.%.%.% Product Type Smart Active.9%..9%.9%.%.9%.%.7%.% Product Type Smart Active.%.8%.6%.%.%.%.% Figure 7: DM s # of Funds in M sample.%.8%.7%.%.% Source: Deutsche Bank, FactSet. Total Return corresponds to last month. DM Equity, Broad sector, regional, non levered, # of funds by Large Cap Mid Cap Small Cap Broad Size Size US Equity, Broad sector, non levered, M Total Return by Large Cap Mid Cap Small Cap Broad Product Type Smart Active Source: Deutsche Bank. Figure 9: EM s # of Funds in M sample EM Equity, Broad sector, regional, non levered, M Total Return by Large Cap Mid Cap Small Cap Broad EM Equity, Broad sector, regional, non levered, # of funds by Large Cap Mid Cap Small Cap Broad Size.7%..9%. Product Type Smart Active.%.%..% Source: Deutsche Bank, FactSet. Total Return corresponds to last month..8%.8%.6%.%.%.% Size Figure 8: EM s Month Total Returns Product Type Smart Active Source: Deutsche Bank. Page 7

28 November 7 Year Comparisons Size US Equity, Broad sector, non levered, Y Total Return by Large Cap Mid Cap Small Cap Broad.%.% 7.%.8%.8% Product Type Smart Active.%.%.% 6.%.%.% 6..7%.9% Figure : US s # of Funds in Y sample.%.% 6.%.%.% Source: Deutsche Bank, FactSet. Total Return corresponds to last month. US Equity, Broad sector, non levered, # of funds by Size Figure : US s Year Total Returns Large Cap Mid Cap Small Cap Broad Product Type Smart Active Source: Deutsche Bank. DM Equity, Broad sector, regional, non levered, # of funds by Large Cap Mid Cap Small Cap Broad.8% 8.%.%.% Product Type Smart Active.7%.7% 9.%..7%.7%.9%.7% 8.8%.6%.% Source: Deutsche Bank, FactSet. Total Return corresponds to last month. Size Figure : DM s # of Funds in Y sample DM Equity, Broad sector, regional, non levered, Y Total Return by Large Cap Mid Cap Small Cap Broad Size Figure : DM s Year Total Returns 8 8 Product Type Smart Active Source: Deutsche Bank. EM Equity, Broad sector, regional, non levered, # of funds by Large Cap Mid Cap Small Cap Broad.%.%.8%.% Product Type Smart Active 6.% 8.9% 9. 9.% Source: Deutsche Bank, FactSet. Total Return corresponds to last month. Page 8 6.% 6.% 8.6%.7%.8%.9% Size Figure : EM s # of Funds in Y sample EM Equity, Broad sector, regional, non levered, Y Total Return by Large Cap Mid Cap Small Cap Broad Size Figure : EM s Year Total Returns 9 Product Type Smart Active 6 Source: Deutsche Bank.

29 November 7 Total Expense Ratio XRay Figure 6: Average TER analysis by asset class and management style TER By Equity Fixed Income Commodity Currency Multi Asset Alternative.%.6%.89%.7%.8.6%.% Simple Average Smart.6%.8%.8%.8.%.88%.%.6%.7% +.%.9.77%.% Active.86%.%.%.9%.9%.98%.7%.%.6%..6%.96%.6%.%.9%.9%.%.%.6%.6%. Weighted Average + Smart Active.%.6%.9.9%.8%.%.89%.88%.6.%.8..98%.86%.6%.68%.89%.%.7%.6.%.%.9%.6%.7%.7%.% Source: Source: Deutsche Bank, Bloomberg Finance LP. Figure 7: Selected TER averages for the top Issuers by Simple Average Top Issuers Oct '7 BlackRock Vanguard State Street PowerShares Charles Schwab First Trust WisdomTree Guggenheim Inv. VanEck Vectors ProShares FlexShares PIMCO ALPS Deutsche AM DirexionShares,96,9 8,77 76,698 6,79 9,8,8 6,87 8,69,7 9,,8,6,8,89, Equity Smart.6%.9%..%.6%.8%.7%.%.7%.%.6.67%.%.6%.6%.%.6.%.%.%.7%.%.9%.8%.9%.9%.9%.99% Weighted Average Fixed Income Active.%.9%.%.%.%..%.%..9%.%.6%.%..8%.7%.9%..%.%.%.%..%.%.7%.%.%.7.96%.8%.%.9%.%.% Equity Smart.6%.%.8%.7%.%.%.%.%.%.6%.%.66%.%..6%.8%.%..%.6%.6%.9%...%.6%.76% Fixed Income Active..7%.9%.%.%.%.6%..78%.%.7%.%.8%.%..8%..%.%..%.8%.8%.8%.9%.68%..%.%.88%.8%.9%.%..8% Source: Deutsche Bank, Bloomberg Finance LP. Page 9

30 November 7 ETF Statistics Global ETF Assets and Provider Ranking Figure 8: Historical Growth of Global ETP Asset* 6,,,, $billion,,,,,,,, ** 8 Asia Pacific ($) Europe ($) US ($) ,6,,678,979,,,8 US, Europe & Asia Pacific ($) 8 7,9,9,,88,6,6,9,7, Europe ( ) ,,666,,8,,9,79,,,77,69 Number of ETPs* Number of ETPs,, 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 9: Top Global ETP Provider Ranking and Summary Statics Issuer BlackRock Vanguard State Street PowerShares Nomura Asset Management Deutsche AM Charles Schwab Lyxor First Trust Nikko Asset Management Total Top Others Global Total Current Mkt. Share 6 6 Mkt. Share,66,9 8,8 6,98 66,7, 9, 9,8 7,,67,7,779,7 6,887,,97 7.% 9.%.%.8%.6%.%.%.7%.%.% 8.%.6%.,6,9 69,87 8,67,8 79,9 7, 9,7,66,,,96,686,68,7, 6.9% 8.7%.8%.9%.%.%.7%.6%.%. 8.%.7% ,,6,69 Current Month CF Current Month TO CF,,7,6,6,96,979, 79,6,,86 9,6,, 79,88,7 9,9 6, 8,8 6,89 9,866 6,9 6,8,7,,,9,8,96,866, 9,69 7,76,,67 7,7 9,8 9,9 7,6,86 Source: Deutsche Bank, Bloomberg Finance LP, FactSet. data as of the end of last month. Page

31 November 7 US Historical ETF Trends Figure : Monthly ETF Volume $ growth vs. VIX and ETF Volume,8,6,,, 8 6 Monthly ETF Turnover $billion * Source: Deutsche Bank, Bloomberg Finance LP. ETPs include ETFs and ETVs; ETVs represent about % of ETP assets and track mostly nonequity and nonfixed Income exposures. * data as of the end of last month. ETF CF ETF/MF % Net Cash Flows $million,,, %,, %,, Source: Deutsche Bank, ICI, Bloomberg Finance LP. *Data as of the end of Jul 7. Mutual Funds only include Long Term Mutual Funds., 6,,,, Source: Deutsche Bank, Bloomberg Finance LP. ETF Turnover excludes ETVs and ETNs. Data as of the end of last month. 6, Net Cash Flows $million % MF CF VIX Figure : Net Cash Flows and historical comparison between Active and Passive mgmt style* ETF as % of Mutual Fund Figure : Net Cash Flows and historical comparison between Mutual Funds and ETFs*, ETF % Cash Eqty Jan Aug Mar6 Oct6 May7 Dec7 Jul8 Feb9 Sep9 Apr Nov Jun Jan Aug Mar Oct May Dec Jul Feb6 Sep6 Apr7 7 ETF Turnover 6, Active MF+ETF, Passive / Active % Passive MF+ETF,,,,,,,, Passive as % of Active Others Fixed Income Equity # Funds ETF trading as % of all US Cash Equity trading and VIX Level (end of month),,,,,,8,6,,,,8,6,,, 8 6 Number of ETPs $billion Figure : Annual ETP historical growth in and # of funds Source: Deutsche Bank, ICI, Bloomberg Finance LP. *Data as of the end of Jul 7. Mutual Funds only include Long Term Mutual Funds. Page

32 November 7 ETF Issuer and Index Provider league tables Figure : ETP Issuer league table (excludes ETN assets) BlackRock Vanguard State Street PowerShares Charles Schwab First Trust WisdomTree Guggenheim Inv. VanEck Vectors ProShares FlexShares PIMCO ALPS Deutsche AM DirexionShares Fidelity Investments Global X Funds Goldman Sachs ETC US Commodity Funds IndexIQ Advisors ETF Securities JPMorgan OppenheimerFunds Victory Capital Mgt. ETFMG Principal Financial KraneShares Pacer Advisors Columbia Mgmt AdvisorShares Trust Millington Securities John Hancock Inv. Virtus Investment Transamerica Franklin Templeton Cambria Funds Highland Capital O'Shares Investments Legg Mason ARK Inv. Mgmt Nationwide Janus Henderson Hartford Funds Nuveen Empowered Funds Davis Advisors Horizons Management Blue Sky Asset Management Main Management Other Assets Under Management Oct '7 Mkt Fixed Total Equity Cmdty Income,96,9 9.9% 99,967 8,969 6,7 8,77.% 67,,9 76, % 9,6,,7 6,79.%,67 8,66,89 9,8.8% 8,68,,8.7%,8 8,7 8 6,87.%, ,69.% 6,7,8,7.,99, 9,.9%,7,7,89,8.%,78,7,6.% 7,7,8.%, 9,89.%, 79,.%,87 8,9.% 7, 8 7,.% 7,9 6,9.%, 999,7.%, 68,89.%,89,9.%,,6.%,6,7.%,6,68.%,68,.%,,6.,9 9,7.,,.,,97.,97,89.,9, ,9.%, 97 8 Total,7,669 Top Issuers,9,8 76, 6,99 Other,8,87,6 7,7 8,86 9, , Net Cash Oct '7 9,87,6,8,,, 69,6 (77) 79 9 (8) (8) 8 8 (6) (8) () 67 () Flows 77,98 7,76,8 8,, 7, 9,67,96,,77,869,68 (,6) 87,987,,68,69 (7) 796, (97) ,6 9,8 79,77 Turnover # of Funds Mkt Oct '7 Oct '7 New 8,9.% 7 76,87.9% 7 9,896.% 9, ,89.% 6,.% 6 8,6.7% 87,.% 79,.% 7,6.% 66.,8.%,86.%,.%,868.6% 7,6.%,6.%. 7.%,8.% % ,7,,8 9 Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month. Page

33 November 7 Figure : Index Provider league table (excludes ETN assets) Assets Under Management Oct '7 Mkt Fixed Equity Cmdty Income Top Index Providers S&P Dow Jones Total Other Net Cash Flows Turnover Oct '7 Oct '7 # of Funds Mkt Oct '7 New,6,8.%,,,6,,,6 8,7 6,9 8.6% 8 MSCI 9,8.% 9,8 7,7 77,6 76,.% 8 7 FTSE Russell 9,8.% 89,, 9, 6,9 9,8.7% 7 Barclays,8.%,8 7, 6,6,9.% CRSP, 7.%,,,67 6,.% Nasdaq OMX,986.8%,9 8,67 9,9 8,7 8.% 6 6 Markit iboxx 66,9. 66,9,,66,.% Commodity Physical,78.7%,78, 6,98.% WisdomTree,676.%,6 Active,8.% 6,996,9,77 ICE,9.%,9 Morningstar 6,9.8%,88 6 NYSE Euronext,78.7%, JPMorgan 6,68.% BofA Merrill Lynch,7.% 6 Market Vectors,88.%,96 Deutsche Bank 9,98.% Alerian 9,78.% 9,78 Accretive AM 9,8.% Other 8,7 Total,7,669 (6) ,9.6% 7,,978,69 6,988.% 9 6 (,) 7,68,7.% 7 8,9,88.% (,) 8,66.% 9 6,98,9,7.% 8, 7,,88.% 7 8 6,7,97. 9,, (),787.%,9,9.% 9,8,97 86.% 8.% 6,9 9,7 9 6,,8 8,7,96.% 8 6,9,8 76, 6,99 6, 9,8 79,77,7,,8 9 Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month. Page

34 November 7 Monthly Snapshot Figure 6: ETP Summary Statistics by Asset Class Asset Class Equity Fixed Income Commodities Currency Multi Asset Alternative Total Net Cash Flows Oct '7,7 6,,, (),6 7 () 6 77 (7),6 9,8 79,77 Turnover # of Funds MoM Mkt MoM Mkt Oct '7 Mkt Oct '7 Oct '7 Chg % Chg %,,6 % 86%,9,8 % 8, 7% 6,67 % 76, % 8% 8%,66 % % 6,99 % % 6 %,69 9%,6 % % 68 % 8, % 6 %,8 % %,8 % 9 %,7, %,7,669.%,8 New Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month. Figure 7: ETP Summary Statistics by Management Style (ActivePassive) Passive>Active + Smart Active Total Net Cash Flows Oct '7 9,8 8,879 (7),766 8,77 6,68,969,8 9,8 79,77 Turnover # of Funds MoM Mkt MoM Mkt Oct '7 Mkt Oct '7 Oct '7 Chg % New Chg %,, % 8%,6,9 % 76% 66 6% 8 87,897 % 7%,7 % 8 96,666 % 7% 76,77 % % 8 % 9 6,97 % %,8 % % 88,7, %,7,669.%,8 9 Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month. Figure 8: ETP Summary Statistics by Product Type Product Type Asset ocation Cash Management Pseudo Futures Leveraged & Inverse Total Net Cash Flows Oct '7, 96,8 7, 7,7 9,8, (7),76 9,8 79,77 Turnover # of Funds MoM Mkt MoM Mkt Oct '7 Mkt Oct '7 Oct '7 Chg % Chg % 6,9 % %,7,8 % 6%,8 8%, 6%,8,8 % 9% 6 % 8,89 6% 77, % % % 87,89 % 7%,68 % 8,7, %,7,669.%,8 New 76 9 Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month. Page

35 November 7 Equity Breakdowns Figure 9: ETP Summary Statistics by Geographic Focus Global and Developed Market Equities Geographic Focus (Equities) Global Markets Equities Global (reg) Global ex US (reg) Asia Pacific (reg) Asia Pacific ex JP (reg) Total GME Developed Market Equities Global (reg) Global ex US (reg) Global ex JP (reg) Europe & Middle East Europe (reg) Denmark Norway Sweden Switzerland UK Eurozone (Reg) Austria Belgium Finland France Germany Ireland Israel Italy Netherlands Portugal Spain North America North America (reg) Canada US Asia Pacific Pacific (reg) Japan Pacific ex JP (reg) Australia Hong Kong New Zealand Singapore Total DME Total Equities Net Cash Flows Oct '7 Turnover MoM Oct '7 Chg % Mkt MoM Oct '7 Chg % # of Funds Mkt Oct '7 Mkt New,,68,8 6,6,7 (),,8 7,68,8,997, % 67% % % % % 9, 6,9,,98 % % % 7% % % % % % % % 78,6 (), 8,986 (6), 9,6 % % % 8,9 7, 6 6% % % % % 9 % 7% () 7 (9) 7 9 () (7) (76) 8,68 6, (7) 7 () () 6,88 9,6, 6 6, ,88 % % 7% % % 6% 6% 8% 6 % % 7% % 7% 6% % 8% % %, ,7,78, , % % % % % 8% % 6% % % % % % % 8% % % 7 8 % % % % 6,79 6 (67),7 9,6 87,9 8% 7% % 76%,,9,8,6 % % % 7% 6 7 % (),7 8 (),988,7, (,7) 68 () (9) (),98 6, 987, 6 98, ,9,,6 8 % % % 8% % 6% % 8% % 6,,79,67,86,86 6 6,,,9,8 % 8% % % % % % % 87% % , % 7% Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month. Page

36 November 7 Figure : ETP Summary Statistics by Geographic Focus Emerging Market Equities Geographic Focus (Equities) Emerging Market Equities Global (reg) BRIC (reg) Asia Asia (reg) China China A India Indonesia Malaysia Philippines South Korea Taiwan Thailand Europe Europe (reg) Poland Russia Turkey Greece Middle East & Africa ME & Africa (reg) Middle East (reg) Africa (reg) Egypt South Africa Qatar UAE Latin America Latin America (reg) Brazil Chile Colombia Mexico Peru Frontier Markets Frontier (reg) Argentina Nigeria Pakistan Saudi Arabia Vietnam Total EME Total Equities Net Cash Flows Oct '7,,96 8 Turnover MoM Oct '7 Chg % Mkt MoM Oct '7 Chg % # of Funds Mkt Oct '7 Mkt New 68,689 % % 6% 68,7 9 % 9% 7% 67 % 8 6 % % % (8) (87) 6 () 8 6,7 6, ,7,6 7% 6% % 6% % % % % % % %,6 9,96,8 9, ,9,887 7% % 7% 7% % % 8% 6% 6% () (6) () (6) (),87 78 % % 67% % 7,98 9 % % % % % % 8% 6% 9% 6 % % 6% 6% 9 () () () () () 7 () 7 (),6 7 (87) (6), 7,766 7, % % 69% 6% %,689 7, 8, 7 9% % % 6% % 9% 8 % 88 () 7,6 6, ,8,,6 7% 98% % % 78% 6% 7% % % ,69,9,8 % % % % % 7% % 8% % 8, % 9,77,7 7 7 Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month. Page 6

37 November 7 Figure : ETP Summary Statistics by Size and Market Equities Market Cap Segment (Equities) US Equities Large Cap Mid Cap Small Cap Broad Total US Equities DM Intl Equities Large Cap Mid Cap Small Cap Broad Total DM Intl Equities EM Equities Large Cap Mid Cap Small Cap Broad Total EM Equities Total Equities Net Cash Flows Oct '7,6,,9,,79 Turnover MoM Oct '7 Chg % Mkt MoM Oct '7 Chg % # of Funds Mkt Oct '7 Mkt New 6, 9,6,8,,7 66,67 6,7 9,699,67 87,9 % % 7% % % 7% % 8% 76% 96, 6,7 7,,6,8,6 % % % % % 7% 6% 7% % 7% % % 7% 8% % (78) 68 6,8 6,6,86 68,86 7, 78,87, 8,887 8,7 86,67 % % % % % 7% 8%,8 9 8, 88,8 7,968 % % % % % % % 6% 7 % % 7% 8 (),,788,7 88 () 69 6,9 7,66 6, % % 8% 6% 7% % % 7,8,9 6,966 7,7,9,8 % % % %,78 69,7,97,,6 6% 7% % 8% % 8% % 7 8, Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month. Figure : ETP Summary Statistics by Style and Market Equities Style (Equities) US Equities Growth Value Dividend Blend Total US Equities DM Intl Equities Growth Value Dividend Blend Total DM Intl Equities EM Equities Dividend Blend Total EM Equities Total Equities Net Cash Flows Oct '7 Turnover MoM Oct '7 Chg % Mkt MoM Oct '7 Chg % # of Funds Mkt Oct '7 Mkt New,8,7 69,7,79 8,9,76,9,,7,7,97 7,66 8,77 87,9 8% % % % % % % % 7% 76%,6 7, 9,7,9,797,8,6 % % % % % 6% 6% % % 7% % % % % % 6 6,98 6,67 9,97 7,768 78, ,767 79, 86,677 % 6% 7% % % 7% 8%,,97,7 7, 8, % % % % % % % 6% 9 7 % 7% 69,69,788,7 8 6,8 7,66 6,,66,97,,6 9% 7% % 7% % %,9,7 7,7,9,8 % % 8% % 8% % 7 8, % % % Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month. Page 7

38 November 7 Figure : ETP Summary Statistics by Sectors US Equities Sector (US Equities) Consumer Discretionary Consumer Staples Energy Financials Healthcare Industrials Materials Real Estate Technology Telecom Utilities Theme Overall Total US Equities Net Cash Flows Oct '7 (99) (,) (86) 7,6,8 6,9 (89),6,9,7 68 (6), 87,8 () (76) (9) (88),98,,8,6 Turnover # of Funds MoM Mkt MoM Mkt Oct '7 Mkt Oct '7 Oct '7 Chg % Chg %,7 7% % 9,76 % % %,8 7% %, 8% % 6 %, % % 9,97 % % %, % % 8,9 % % 6 %,6 % %,69 % % % 7,7 % % 7,6 9% % % 7,8 9% % 9, % % % 7,8 6% %,9 % % %,7 % % 6,9 9% % % %,879 % %,97 6% %,98 % % % 886 %, % % 68 6, % 7%,78,88 % 8% 96 % 87,9 %,8,8 % 7 New 9 69 Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month. Commodity Breakdowns Figure : ETP Summary Statistics by Sectors and Sub Sectors Commodity Sector (Commodities) Diversified Broad Agriculture Energy Crude Oil Natural Gas Industrial Metals Precious Metals Gold Silver Platinum Palladium Total Commodities Net Cash Flows Oct '7 6 () 7 (8) (89) (6) (,69) 9 69 () (7),679 (8),96 () () 9 7 () (8) (),6 Turnover # of Funds MoM Mkt MoM Mkt Mkt Oct '7 Oct '7 Oct '7 Chg % Chg % 7 6% %,76 7% 8% % 9 % % 89 % % 7 % 7,79 % %,7 % 7% % 6, 7%,666 % 6% 9%,6 9% % 67 8% % 6% 9 % 9 % %, 9% 7%, % 8% 8 9% 9,98 % 6%,77 % 7% 9 %,7 % 8%,999 % 9% 8% % 6 7% % % 8% % %,66 % 6,99 % 6 New Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month. Page 8

39 November 7 Fixed Income Breakdowns Figure : ETP Summary Statistics by Category Fixed Income Categories (Fixed Income) Broad Convertible Corporates EM debt Inflation International Municipal Preferred Securitized Senior Loans US Treasury Total Fixed Income Net Cash Flows Oct '7,6,888 (9) 9, 8,678 7,8,7 () () 6,989 66,9 89, 69,88 (,), 9,969,97 Turnover # of Funds MoM Mkt MoM Mkt Oct '7 Mkt Oct '7 Oct '7 Chg % Chg % 8, % % 7,66 % 6 9% 98 %,8 % % 8,6 % 9% 79,89 % % 7 % 7,9 8% 6%,8 % % 8%,6 % % 7,7 % 6% % 8, % % %,69 % % 9,9 % % 6 %,6 % %,7 % 6% %,6 % % 8, % % 8 %,6 % %, % % %,99 7% 8% 6,9 % % 9 % 6,6 % 76, % 9 New Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month. Figure 6: ETP Summary Statistics by Credit Quality Fixed Income Credit Quality (Fixed Income) Investment Grade High Yield Mixed Total Fixed Income Net Cash Flows Oct '7 7,7 9,,7 9,88,6,9,,9 Turnover # of Funds MoM Mkt MoM Mkt Oct '7 Mkt Oct '7 Oct '7 Chg % New Chg % 87,87 % 7,787 % 76% 7 66% 6,6 8% % 68,88 % % 6 7% 6,7 % 9% 66,8 % % 7 7% 6,67 % 76, % 6 Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month. Figure 7: ETP Summary Statistics by Duration Fixed Income Duration (Fixed Income) Short Intermediate Long Broad Set Maturity Total Fixed Income Net Cash Flows Oct '7,7, 9 8,6 (9),9,67,,89,,9 Turnover # of Funds MoM Mkt MoM Mkt Oct '7 Mkt Oct '7 Oct '7 Chg % New Chg %,66 6% 6% 8,78 % 6% 8 % 9, % 6%,769 % 9% % 6,9 % 9%,6 % % 9 9% 7, 6% 8% 78,97 % 8% 6, 7% %,7 % % % 6,67 % 76, % 6 Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month. Page 9

40 November 7 Top ETFs (includes ETNs) Figure 8: Top by M Total Return Gain (nonlevered) Ticker Name JJN LD NINI JEM UBN SCIN COW UBC TAN SCIF FTXL UGA INXX LSTK PSI ipath Dow JonesUBS Nickel Subindex Total Return ipath Dow JonesUBS Lead Subindex Total Return ipath Pure Nickel ETN ipath GEMS Index ETN ETRACS CI Energy Total Return Columbia India Small Cap ETF ipath Dow JonesUBS Livestock Subindex Total ETRACS CI Livestock Total Return Guggenheim Solar ETF VanEck Vectors India SmallCap Index ETF First Trust Nasdaq Semiconductor ETF United States Gasoline Fund Columbia India Infrastructure ETF ipath Pure Livestock ETN PowerShares Dynamic Semiconductors Portfolio TER.7%.7.8%.89%.6%.86%.7%.6%.7%.78%.6.7%.86%.8%.6% Total Return.9% 7.7%.%.%.6%.7%.7%..8%.7%.6%.6%.% 9.% 9.% Source: Deutsche Bank, FactSet. Total Return corresponds to last month. IVV SPY QQQ IEFA IWM VOO IEMG VEA XLI AGG VWO XLF LQD EEM VEU ishares Core S&P ETF SPDR S&P ETF PowerShares QQQ ishares Core MSCI EAFE ETF ishares Russell ETF Vanguard S&P ETF ishares Core MSCI Emerging Markets ETF Vanguard FTSE Developed Markets ETF Industrial Select Sector SPDR Fund ishares Core U.S. Aggregate Bond ETF Vanguard FTSE Emerging Markets ETF Financial Select Sector SPDR Fund ishares iboxx $ Investment Grade Corporate Bond ishares MSCI Emerging Markets ETF Vanguard FTSE World exus ETF TER.%.9%..8%..%.%.7%.%.%.%.%.%.7.% SPDR S&P ETF ishares Core S&P ETF Vanguard Total Stock Market ETF ishares MSCI EAFE ETF Vanguard S&P ETF Vanguard FTSE Developed Markets ETF Vanguard FTSE Emerging Markets ETF PowerShares QQQ ishares Core U.S. Aggregate Bond ETF ishares Russell ETF ishares Core S&P MidCap ETF ishares Core MSCI Emerging Markets ETF ishares Core MSCI EAFE ETF ishares Russell Growth ETF ishares iboxx $ Investment Grade Corporate Bond Source: Deutsche Bank, Bloomberg Finance LP. as of the end of last month. Page.7%.%.9.89%.87%.89%.6%.7.9%.8%.%.89%.89%.87%.8% Ticker Name TLT XLP IEI IEUR IYR GLD EWP XLU IWB PBW IEF IVW XLV QLD ACWV TER ishares + Year Treasury Bond ETF Consumer Staples Select Sector SPDR Fund ishares 7 Year Treasury Bond ETF ishares Core MSCI Europe ETF ishares U.S. Real Estate ETF SPDR Gold Shares ishares MSCI Spain Capped ETF Utilities Select Sector SPDR Fund ishares Russell ETF PowerShares WilderHill Clean Energy Portfolio ishares 7 Year Treasury Bond ETF ishares S&P Growth ETF Health Care Select Sector SPDR Fund ProShares Ultra QQQ ishares Edge MSCI Min Vol Global ETF.%.%.%..%..8%.%.%.7.%.8%.%.9%. Outflows (,69) (99) (7) (7) (67) (6) (8) (9) (6) () (9) (66) () (76) (6) Source: Deutsche Bank, Bloomberg Finance LP. Outflows correspond to last month. Figure 6: Top by SPY IVV VTI EFA VOO VEA VWO QQQ AGG IWM IJH IEMG IEFA IWF LQD ipath Bloomberg Natural Gas Subindex Total Return VelocityShares x Long VSTOXX Futures ETN REX VolMAXX Long VIX Weekly Futures Strategy ETF ipath S&P VIX ShortTerm Futures ETN ProShares VIX ShortTerm Futures ETF VelocityShares Daily Long VIX ShortTerm ETN ipath Optimized Currency Carry ETN Global X Uranium ETF United States Natural Gas Fund LP Amplify Yieldshares Oil Hedged MLP Income ETF ipath Series B Bloomberg Natural Gas Subindex Total VelocityShares Daily Long VIX MediumTerm ETN ipath S&P VIX MidTerm Futures ETN ProShares VIX MidTerm Futures ETF ishares MSCI Mexico Capped ETF Total Return 7.6% 7.%.6%.%.%.%.9%.% % 8.% 8.% 8.% 8.% 7.8% Figure 6: Top by M Outflows Inflows,9,89,7,,,7,667,6,7,8, Source: Deutsche Bank, Bloomberg Finance LP. Inflows correspond to last month. Ticker Name GAZ EVIX VMAX VXX VIXY VIIX ICI URA UNG AMLX GAZB VIIZ VXZ VIXM EWW TER Source: Deutsche Bank, FactSet. Total Return corresponds to last month. Figure 6: Top by M Inflows Ticker Name Figure 9: Top by M Total Return Loss (nonlevered) Ticker Name Figure 6: Top by $ Volume traded last month TER.9%.%.%.%.%.7%.%..%..7%.%.8%..%,87, 86,98 8,8 77,968 6,69 6,97 7,,6,67,7,89 9,6 8,77 8,7 Ticker Name SPY QQQ IWM EEM XLF VXX TLT EFA IVV GDX EWZ XIV GLD LQD HYG TER SPDR S&P ETF PowerShares QQQ ishares Russell ETF ishares MSCI Emerging Markets ETF Financial Select Sector SPDR Fund ipath S&P VIX ShortTerm Futures ETN ishares + Year Treasury Bond ETF ishares MSCI EAFE ETF ishares Core S&P ETF VanEck Vectors Gold Miners ETF ishares MSCI Brazil Capped ETF VelocityShares Daily Inverse VIX ShortTerm ETN SPDR Gold Shares ishares iboxx $ Investment Grade Corporate Bond ishares iboxx $ High Yield Corporate Bond ETF.9%...7.%.89%.%.%.%.%.6%.%..%.9% Volume 7,8 8,7 69,98 7, 8,8,9,9 9,6 8,889 8,76 7,7 6,997 6,767,8,6 Source: Deutsche Bank, Bloomberg Finance LP. Volume $ corresponds to total traded last month.

41 November 7 Appendix A: ETN Snapshot Figure 6: ETN Summary by Asset Class ($ MM) End of Asset Class Oct7 Equity Fixed income Commodity Currency Multi Asset Alternative Total,887,9 8,,96,69,67 6,687,66 Cash Flow ($ MM) %Chg 9.%.%.%.%.9%.9%.6% Oct7 97 () () () 8 6 Sep7 () () () () (9) (6) (),78,768 Turnover ($ MM) Chg %.8%.%.%.%.6% 8.7%.8% Oct7 Sep7 %Chg,7 8,67 7,6 9,,9,768 6,9,6 9.%.9% 7.% 9.% 9.%.9% 7.% Oct # of ETNs End of %Chg.% 8.%.6%...%.6% Market Share % # of Turnover ETNs 6.%. 6.%.6%. 6.6%.9%.% 8.%.%..6%.%.%.6%.8% 7.7%.%... Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month. Figure 6: ETN Summary by Issuer ($ MM) Issuer Sep7 Barclays Bank UBS Credit Suisse JPMorgan Citigroup Deutsche Bank Swedish Export CC Goldman Sachs Morgan Stanley BMO Capital Markets VanEck Vectors Guggenheim RBC GAM Total 6,8 7,6,9, ,96 End of 6,8 6,8,, ,66 Cash Flow ($ MM) %Chg.% 9.% 66.%. 7.8% 8.6%.%. 6.7%.6% 9.%.7%..6% Oct7 6 7 (8) () () () 6 Sep7 8 (6) () () () (9) 797,8 6 8 () (8) () (),768 Turnover ($ MM) Chg %.7%.%.%.%.8% 7.6%.% %..%.8% Oct7 Sep7 %Chg, ,,,67 9,,6,8 988,77 8,6.7% 7.%.8%.9%.7%.% %.9%.%.%.7%. 7.% # of ETNs Oct End of Market Share % %Chg 8. 9.% % 8.6% 9.8%.%.%.9%.%.%.%.%.%.%... # of ETNs Turnover.9%.% 7.9%.% 6.%.%.% %.%.%..6%.%.6%.%.%.%..%.. Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month. Page

42 November 7 Appendix B: ETF List Figure 66: Global and US Equities Reference list Product Listing Date Type Global Equities ACWI ishares MSCI ACWI ETF 8Mar8 US Total Market VTI Vanguard Total Stock Market ETF May S&P (Large Cap) SPY SPDR S&P ETF 9Jan9 DJI DIA SPDR Dow Jones Industrial Average ETF Jan98 NASDAQ QQQ PowerShares QQQ Mar99 Russell Growth IWF ishares Russell Growth ETF May Russell Value IWD ishares Russell Value ETF May S&P (Mid Cap) MDY SPDR S&P MidCap ETF May9 Russell (SM Cap) IWM ishares Russell ETF May Div. Growth VIG Vanguard Dividend Appreciation ETF 7Apr6 Div. Yield DVY ishares Select Dividend ETF 7Nov Div. Yield VYM Vanguard High Dividend Yield ETF 6Nov6 Div. Yield & Growth SDY SPDR S&P Dividend ETF Nov Cons. Discretionary XLY Consumer Discretionary Select Sector SPDR Fund Dec98 Hotels, Rest & Leisure PEJ PowerShares Dynamic Leisure and Entertainment Por Jun Home Builders XHB SPDR S&P Homebuilders ETF Feb6 Household Durables ITB ishares U.S. Home Construction ETF May6 Media PBS PowerShares Dynamic Media Portfolio Jun Retail XRT SPDR S&P Retail ETF Jun6 Cons. Staples XLP Consumer Staples Select Sector SPDR Fund Dec98 Food Products PBJ PowerShares Dynamic Food & Beverage Portfolio Jun Energy XLE Energy Select Sector SPDR Fund Dec98 Energy Eq. & Serv. OIH Market Vectors Oil Services ETF 7Feb Energy Eq. & Serv. XES SPDR S&P Oil & Gas Equipment & Services ETF Jun6 Energy Eq. & Serv. IEZ ishares U.S. Oil Equipment & Services ETF May6 Energy E&P XOP SPDR S&P Oil & Gas Exploration & Production ETF Jun6 Energy E&P IEO ishares U.S. Oil & Gas Exploration & Production ETF May6 MLPs AMLP Alerian MLP ETF Aug Financials XLF Financial Select Sector SPDR Fund Dec98 Large Banks KBWB PowerShares KBW Bank Portfolio Nov Regional Banks KRE SPDR S&P Regional Banking ETF Jun6 Capital Markets KCE SPDR S&P Capital Markets ETF Nov Insurance KIE SPDR S&P Insurance ETF Nov Healthcare XLV Health Care Select Sector SPDR Fund Dec98 Biotech & Pharma IBB ishares Nasdaq Biotechnology ETF Feb Large Biotech BBH Market Vectors Biotech ETF Nov99 HC Eq. & Supplies IHI ishares U.S. Medical Devices ETF May6 HC Providers & Serv IHF ishares U.S. Healthcare Providers ETF May6 Large Pharma PPH Market Vectors Pharmaceutical ETF Feb Industrials XLI Industrial Select Sector SPDR Fund Dec98 Aerospace & Def ITA ishares U.S. Aerospace & Defense ETF May6 Transportation IYT ishares Transportation Average ETF Oct Materials XLB Materials Select Sector SPDR Fund Dec98 Metals & Mining XME SPDR S&P Metals and Mining ETF Jun6 Real Estate VNQ Vanguard REIT ETF 9Sep Technology VGT Vanguard Information Technology ETF Jan Comm. Equipment IGN ishares North American TechMultimedia Networking Jul Int. Software & Serv. FDN First Trust Dow Jones Internet Index Fund Jun6 Semiconductors SMH Market Vectors Semiconductor ETF May Software IGV ishares North American TechSoftware ETF Jul Telecom VOX Vanguard Telecommunication Services ETF 9Sep Utilities XLU Utilities Select Sector SPDR Fund Dec98 Asset Class Ticker ETF Name TER $M.%.%.9%.7%....%..8%.9%.8%.%.%.6%.%.%.6%.%.%.8%.%.%.%.%.%.%.%.%.%.%.%.%.%.7%.%.%.%.%.%.%.%.%.%.%..8%.%.6%.8%..% 7,97 88,6 7,7 9,67 8,69 9,66 8,9 9,7,6 6,8 7,7,9 6,6,6 6,,7 7 8,8 9 6,8,7 7 9,9 89 9, 9,87 96, , 9,7 6,9 6 6,,7 77,7 66,8 6,6,,8,,6 8,7 D ADV Implied Total $M Liq. $M Liq. $M ,,68 6,8 8,7,79 66,,87,9, 9,6 7 97,8 9,9,78 8,8,8,6 7,99 7,,68 6,97, ,9, ,9, , ,,9, ,, ,79, ,, , Avg. Bid/Ask Spreads Day $ Day bps Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of Nov7. Bid/Ask Spreads are provided only as reference, actual spreads are tradespecific. Product Type: Asset ocation (), Cash Management (), Pseudo Futures (). Page

43 November 7 Figure 67: International Equities Reference list Product Listing Date Type Asset Class Ticker ETF Name Intl DM Canada Israel Europe Denmark Norway Sweden Switzerland UK Eurozone Austria Belgium Finland France Germany Ireland Italy Netherlands Portugal Spain Japan Pacific ex JP Australia Hong Kong New Zealand Singapore EM Latin America Brazil Chile Colombia Mexico Peru EM Asia China H China A India Indonesia Malaysia Philippines South Korea Taiwan Thailand EM Europe Greece Poland Russia Turkey Middle East Qatar UAE Africa Egypt South Africa Frontier Market Argentina Nigeria Pakistan Vietnam BRIC EFA EWC EIS VGK EDEN NORW EWD EWL EWU EZU EWO EWK EFNL EWQ EWG EIRL EWI EWN PGAL EWP EWJ EPP EWA EWH ENZL EWS EEM ILF EWZ ECH GXG EWW EPU EEMA FXI ASHR INDA EIDO EWM EPHE EWY EWT THD ishares MSCI EAFE ETF ishares MSCI Canada ETF ishares MSCI Israel Capped ETF Vanguard FTSE Europe ETF ishares MSCI Denmark Capped ETF Global X FTSE Norway ETF ishares MSCI Sweden ETF ishares MSCI Switzerland Capped ETF ishares MSCI United Kingdom ETF ishares MSCI Eurozone ETF ishares MSCI Austria Capped ETF ishares MSCI Belgium Capped ETF ishares MSCI Finland Capped ETF ishares MSCI France ETF ishares MSCI Germany ETF ishares MSCI Ireland Capped ETF ishares MSCI Italy Capped ETF ishares MSCI Netherlands ETF Global X FTSE Portugal ETF ishares MSCI Spain Capped ETF ishares MSCI Japan ETF ishares MSCI Pacific ex Japan ETF ishares MSCI Australia ETF ishares MSCI Hong Kong ETF ishares MSCI New Zealand Capped ETF ishares MSCI Singapore ETF ishares MSCI Emerging Markets ETF ishares Latin America ETF ishares MSCI Brazil Capped ETF ishares MSCI Chile Capped ETF Global X FTSE Colombia ETF ishares MSCI Mexico Capped ETF ishares MSCI Peru Capped ETF ishares MSCI Emerging Markets Asia ETF ishares China LargeCap ETF Deutsche Xtrackers Harvest CSI China AShares ET ishares MSCI India ETF ishares MSCI Indonesia ETF ishares MSCI Malaysia ETF ishares MSCI Philippines ETF ishares MSCI South Korea Capped ETF ishares MSCI Taiwan ETF ishares MSCI Thailand Capped ETF GREK EPOL RSX TUR Global X FTSE Greece ETF ishares MSCI Poland Capped ETF Market Vectors Russia ETF ishares MSCI Turkey ETF QAT UAE AFK EGPT EZA FM ARGT NGE PAK VNM BKF ishares MSCI Qatar Capped ETF ishares MSCI UAE Capped ETF Market Vectors Africa Index ETF Market Vectors Egypt Index ETF ishares MSCI South Africa ETF ishares MSCI Frontier ETF Global X MSCI Argentina ETF Global X MSCI Nigeria ETF Global X MSCI Pakistan ETF Market Vectors Vietnam ETF ishares MSCI BRIC ETF D ADV Implied Total $M Liq. $M Liq. $M Avg. Bid/Ask Spreads TER $M Aug Mar96 8Mar8 Mar 6Jan Nov Mar96 Mar96 Mar96 Jul Mar96 Mar96 6Jan Mar96 Mar96 7May Mar96 Mar96 Nov Mar96 Mar96 Oct Mar96 Mar96 Sep Mar96 7Apr 6Oct Jul 6Nov7 9Feb9 Mar96 Jun9 9Feb 8Oct 6Nov Feb 7May Mar96 9Sep 9May Jun 8Mar8.%.8%.6%..%..8%.8%.8%.8%.8%.8%.%.8%.8%.8%.8%.8%.6%.8%.8%.9%.8%.8%.8%.8%.7.9%.6%.6%.6%.8%.6%.9%.7%.6%.7%.6%.8%.6%.6%.6%.6% 8,, 89 7,8 66 7,9,6, , ,8,6,78, ,9,89 6,868 9,9 9 8,666 67, ,,87, , , ,, , , ,6, , ,77 8, Dec 6May 6Apr7 8Mar8.6%.6%.6%.6%, May May Jul8 8Feb 7Feb Sep Mar Apr Apr Aug9 6Nov7.6%.6%.79%.%.6%.79%.9%..9%.66%.7% Day $ Day bps Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of Nov7. Bid/Ask Spreads are provided only as reference, actual spreads are tradespecific. Product Type: Asset ocation (), Cash Management (), Pseudo Futures (). Page

44 November 7 Figure 68: NonEquity Reference list Product Listing Date Type TER $M D ADV Implied $M Liq. $M Total Liq. $M Avg. Bid/Ask Spreads Asset Class Ticker ETF Name Fixed Income (Broad) AGG ishares Core U.S. Aggregate Bond ETF 6Sep.%, 9..9 US Treasury GOVT ishares Core U.S. Treasury Bond ETF 6Feb.%,7 8.. Day $ Day bps Very Short SHV ishares Short Treasury Bond ETF Jan7.% 6,67..9 Short SHY ishares Year Treasury Bond ETF 6Jul.%,8.. Intermediate IEI ishares 7 Year Treasury Bond ETF Jan7.% 7, Long TLT ishares + Year Treasury Bond ETF 6Jul.% 7, US Inflation TIP ishares TIPS Bond ETF Apr.,99..9 Municipal MUB ishares National AMTFree Muni Bond ETF 9Sep7.% 9,.. Securitized MBB ishares MBS ETF Mar7.9%, IG Corporates LQD ishares iboxx $ Investment Grade Corporate Bond ETF 6Jul.% 9, HY Corporates HYG ishares iboxx $ High Yield Corporate Bond ETF Apr7.9% 8,9,.. Floater FLOT ishares Floating Rate Bond ETF 7Jun. 6,.. Senior Loans BKLN PowerShares Senior Loan Portfolio Mar.6% 8,9.. Preferred F ishares U.S. Preferred Stock ETF Mar7.7% 7, Convertible CWB SPDR Barclays Convertible Securities ETF 6Apr9.,6 8.. Intl DM Debt BWX SPDR Barclays International Treasury Bond ETF Oct7.,96.. Intl Inflation WIP SPDR DB International Government InflationProtected 9Mar EM Gov Debt USD EMB ishares J.P. Morgan USD Emerging Markets Bond ETF Dec7.9%,79.. EM Gov Debt Local EMLC Market Vectors Emerging Markets Local Currency Bon Jul.%,9.. EM Corp USD EMCB WisdomTree Emerging Markets Corporate Bond Fund 8Mar.6.9. EM HY Corp USD HYEM Market Vectors Emerging Markets High Yield Bond ET 9May. 7.. Commodities DBC PowerShares DB Commodity Index Tracking Fund Feb6.89%,9. 6. Energy Cmdty DBE PowerShares DB Energy Fund Jan7.78% Crude Oil WTI USO United States Oil Fund LP Apr6.76%, Natural Gas UNG United States Natural Gas Fund LP 8Apr7.9% 7..8 Agriculture DBA PowerShares DB Agriculture Fund Jan7.89% 67.. Industrial Metals DBB PowerShares DB Base Metals Fund Jan7.8% Precious Metals DBP PowerShares DB Precious Metals Fund Jan7.78%.. Gold Physical GLD SPDR Gold Shares 8Nov., Silver Physical SLV ishares Silver Trust 7Apr6.,. 6. Platinum Physical PPLT ETFS Physical Platinum Shares 8Jan.6.. Palladium Physical PALL ETFS Physical Palladium Shares 8Jan.6..9 Bull USD UUP PowerShares DB US Dollar Index Bullish Fund Feb JPYUSD FXY CurrencyShares Japanese Yen Trust Feb EURUSD FXE CurrencyShares Euro Currency Trust Dec. 9.. Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of Nov7. Bid/Ask Spreads are provided only as reference, actual spreads are tradespecific. Product Type: Asset ocation (), Cash Management (), Pseudo Futures (). Page

45 November 7 Appendix C: Definitions ETP Universe Definitions ExchangeTraded Products (ETPs) We define an exchangetraded product (ETP) as a secure (funded or collateralized) openended exchangetraded equity with no embedded optionality and marketwide appeal to investors. This includes exchange traded funds (ETF), and exchangetraded vehicles (ETV). The vast majority of instruments are ETFs (~98% in ). ExchangeTraded Funds (ETFs) ETFs are openended 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 9. Only physical index replication techniques are permissible by this legislation while synthetic replication is not allowed. Exchangetraded 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 9 and not the Investment Company Act of 9, 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 Securities Act, and report under Corporate Act. Management Style or Product Strategy Definitions 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 plainvanilla ETFs. Some examples of indices falling within this category are: S&P, S&P, S&P 6, MSCI EAFE, MSCI EM, Russell, and Russell, to name a few. + 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 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. Enhanced (aka Smart ) 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: () Page

46 November 7 the selection criteria, and () 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 metricspecific 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 nontraditional selection methodology, a nontraditional weighting methodology, or a combination of both. Product Type Definitions Asset ocation 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 shortterm 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 6

47 November 7 Figure 69: Selection Criteria depending on intended ETF usage Criteria Secondary Liquidity (quantity) Secondary Liquidity (cost) Primary Liquidity Short Liquidity (quantity) Short Liquidity (cost) Size Ownership: Brokers+Hedge Funds Mutual Funds+Pension Funds Invest. Adviser+Private Bank/WM+Retail Flow Activity Cost Exposure/Benchmark Tracking efficiency to Index Tracking efficiency to NAV Product Provider Measured by Avg. Daily Value traded in $ Avg. Bid/Ask Spreads Implied liquidity of basket Short Interest/ s. Out. % Avg. Borrow Rate $ Source FactSet Bloomberg Finance LP Bloomberg Finance LP Bloomberg Finance LP Deutsche Bank Bloomberg Finance LP Pseudo Futures More Relevant More Relevant Less Relevant More Relevant More Relevant More Relevant Cash Mgmt More Relevant More Relevant Less Relevant Less Relevant Less Relevant More Relevant Asset ocation Less Relevant Less Relevant More Relevant Less Relevant Less Relevant Less Relevant Ownership % Ownership % Ownership % Abs(Daily Flows Median) $ Total Expense Ratio Investor's objective NAVIndex Performance dif. PriceNAV premium/discounts Assets, products, years FactSet FactSet FactSet Bloomberg Finance LP ETF Issuer Investor Bloomberg Finance LP Bloomberg Finance LP Combination of above More Relevant Relevant Less Relevant More Relevant Less Relevant Relevant Less Relevant Less Relevant Less Relevant Relevant More Relevant Less Relevant Less Relevant Relevant Relevant Relevant Relevant Less Relevant Less Relevant Relevant More Relevant Less Relevant More Relevant More Relevant More Relevant More Relevant Relevant Source: Deutsche Bank. Page 7

48 November 7 The authors of this report wish to acknowledge the contribution made by Alfonso Delgado Valdivia, employee of Evalueserve, a thirdparty provider of offshore research support services to Deutsche Bank. Page 8

49 November 7 Appendix Important Disclosures *Other information available upon request *Prices are current as of the end of the previous trading session unless otherwise indicated and are sourced 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 lookup page on our website at 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. 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. Hallie Martin, Srineel Jalagani Hypothetical Disclaimer Backtested, hypothetical or simulated performance results have inherent limitations. Unlike an actual performance record based on trading actual client portfolios, simulated results are achieved by means of the retroactive application of a backtested model itself designed with the benefit of hindsight. Taking into account historical events the backtesting of performance also differs from actual account performance because an actual investment strategy may be adjusted any time, for any reason, including a response to material, economic or market factors. The backtested performance includes hypothetical results that do not reflect the reinvestment of dividends and other earnings or the deduction of advisory fees, brokerage or other commissions, and any other expenses that a client would have paid or actually paid. No representation is made that any trading strategy or account will or is likely to achieve profits or losses similar to those shown. Alternative modeling techniques or assumptions might produce significantly different results and prove to be more appropriate. Past hypothetical backtest results are neither an indicator nor guarantee of future returns. Actual results will vary, perhaps materially, from the analysis. Equity Rating Key Equity rating dispersion and banking relationships Buy: Based on a current month view of total shareholder return (TSR = percentage change in share price from current price to projected target price plus projected dividend yield ), we recommend that investors buy the stock. Sell: Based on a current month view of total shareholder return, we recommend that investors sell the stock. Hold: We take a neutral view on the stock 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. Page 9