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

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1 Deutsche Bank Markets Research North America United States Synthetic Equity & Index Strategy US ETF Compass Date 9 December 2015 YTD Flows ahead of last year driven by strong $26bn inflows on November ETF Monthly 2.0: Evolving content for an evolving industry Find out the latest ETF developments in our monthly insights, navigate the markets with our asset allocation dashboards, get ideas for your product strategy from our business intelligence analysis, and get a clean industry picture from our ETF statistics. November saw very strong equity flows (+$25bn), despite weak performance across asset classes Although November was a weak month for most asset classes across equities, rates, credit, and commodities, ETPs still registered $26bn in inflows. At a broad asset class level, the dollar was the main winner with the bullish USD ETF (UUP) up 3.3% for the month. Small Caps (+3.3%) and Banks (4.6%-6.6%) in the US were also strong. Global equity markets were 0.5% down in the same period; however Equity ETFs received very strong inflows (+$25bn), mostly driven by ETFs with US (+$19.6bn) and Global ex-us regional (+$4.2bn) focus. As of Nov 30th, the industry reached $2.13 trillion in assets for an YTD growth of 7.6%. Smart Beta and Currency Hedge products continue to dominate new listings Last month launches were dominated by low risk, multi-factor, and currency hedged equity ETFs. Actually since the beginning of the year, Smart Beta and Currency Hedged Equity ETFs have raised $63bn and $46bn in cash, respectively. Low Risk ETFs organic growth has been six times faster than the rest of Equity ETFs in the last 12M During the last 12 months we have seen resurgence in the Low Risk theme with this group of ETFs recording a relative organic growth 6 times larger than the rest of Equity ETFs excluding Low Risk products. Moreover, on an absolute basis, Low Risk ETFs gathered $9.6bn of inflows in the same period, reaching a level of assets of $23.8bn as of the end of November. Expect big inflows from December s ETF Seasonal effect ETFs have exhibited clear seasonality patterns in the last 15 years, particularly in the case of SPY. Based on seasonal patterns and recent flow trends, we could easily see about $10bn-$15bn of inflows going into SPY, and another strong month of $20bn-$25bn inflows for ETFs in December The time of the Tax-Loss-Harvests has arrived Using capital losses to offset capital gains within the fund has been a common method used by investors to improve the tax-efficiency of a fund. We provide two lists of ETFs which can provide suitable implementation for stock-etf and ETF-ETF replacement strategies, respectively. Systemic risk from Leveraged & Inverse ETFs is misunderstood and overstated Even under the worst (and very unlikely) scenario in which Leveraged and Inverse ETFs would have to redeem their assets all at once, we believe that the impact would not pose a systemic risk for the following reasons: (1) Actual assets and levered notional are relatively small compared to the rest of the markets, (2) many exposures offset each other, reducing the actual market activity required to liquidate positions, and (3) assets are highly diversified across hundreds of securities which in most cases are highly liquid. Author Sebastian Mercado, CFA Strategist (+1) sebastian.mercado@db.com Team Contacts Hallie Martin Strategist (+1) hallie.martin@db.com Srineel Jalagani Strategist (+1) srineel.jalagani@db.com Recent research TAARSS says prefer US Equities into year-end Financials and The Fed through the ETF lens Position for USD Strength with Delta-1 Products Source: Deutsche Bank Deutsche Bank does and seeks to do business with companies covered in its research reports. Thus, investors should be aware that the firm may have a conflict of interest that could affect the objectivity of this report. Investors should consider this report as only a single factor in making their investment decision. DISCLOSURES AND ANALYST CERTIFICATIONS ARE LOCATED IN APPENDIX 1.MCI (P) 124/04/2015. Date 07 Dec Nov Nov 2015

2 Table Of Contents ETF Monthly Insights... 3 Monthly global market trends through the ETF lens... 3 The ETF barometer: strong inflows to Equity ETFs (+$25bn)... 3 Low Risk ETFs growing faster than the rest of Equity ETFs... 4 Expect big inflows from December s ETF Seasonal effect... 6 The time of the Tax-Loss-Harvest has arrived... 7 Is the systemic risk threat from Leveraged & Inverse ETFs real? Not so much.. 8 Asset Allocation dashboard Global Multi Asset Allocator heatmaps US Equity Allocator heatmaps International Equity Allocator heatmaps Cross Asset Correlations (3Y) Month Relative Performance Monitor House View Portfolio: Monthly Brief Business Intelligence New Listings Delistings Trends in products launched in the last 12 months Popular Product Segments: Smart Beta & Currency Hedged Average Performance by Product Type and Size (Equity) Total Expense Ratio X-ray ETF Statistics Global ETF Assets and Provider Ranking US Historical ETF trends ETF Issuer and Index Provider league tables Monthly Snapshot Top 15 ETFs (includes ETNs) Appendix A: ETN Snapshot Appendix B: ETF List Appendix C: Definitions ETP Universe Definitions Management Style or Product Strategy Definitions Product Type Definitions Page 2

3 ETF Monthly Insights Monthly global market trends through the ETF lens With Central Bank talk and expectations coming from both sides of the Atlantic, the US dollar took center stage during last month. November was a weak month for most asset classes across equities, rates, credit, and commodities. The dollar was the main winner with the bullish USD ETF (UUP) up 3.3% for the month. Within equities US small caps were particularly strong (+3.3%) reversing their previous month underperformance; while Japan was also on the positive side (+0.5%). However, other asset classes such as EM equities (-2.5%), US Treasuries (-0.4%), Corporate credit (-0.15% for IG and -2.5% for HY), and Commodities (-6.6%) were all on the weak side. Activity in the commodity space caught our attention. Energy, particularly Crude Oil (-12.7%), recorded a weak performance with strong inflows (>20% of AUM) while the largest ETF in the segment (USO) recorded some of the lowest level of short interest in the last 12 months. Therefore with such inconsistency and the price of oil near lows not seen since 2004 we can only infer that the picture for oil remains both challenging and speculative. Also within commodities, we saw significant divergence within the precious metals space with Gold outperforming Platinum and Palladium by more than 15%. Within US equity sectors and industries, Financial industries were particularly strong with Regional Banks (+6.6%), Large Banks (+4.6%), and Capital Markets (+4.9%) recording some of the strongest readings for November. In the meantime, commodity related segments such as MLPs (-7.7%) and Metals and Mining (-6.6%) were the weakest ones. Furthermore, healthy inflows continue to be seen across most of the sectors and industries with the exception of Utilities, and Healthcare which has recently began to turn negative. While in terms of volatility, Energy and Metals and Mining continue to be the most volatile segments. In international equity markets, developed markets continue to fare better compared to emerging markets recording better performance, healthier flows, and lower volatility. In terms of correlation trends, we observed that the correlation between US equities and other equities have been on the rise and stood in the positive range at the end of last month. For full details please refer to the information contained in Figure 12 through Figure 30 within the Asset Allocation dashboard section. The ETF barometer: strong inflows to Equity ETFs (+$25bn) November recorded a very strong month in terms of inflows for ETFs, which gathered $26bn of inflows driven by $25bn of inflows into Equity products. Within Equity, funds with US, and global ex-us regional focus received $19.6bn and $4.2bn of inflows, respectively. The strong flows pushed industry assets to $2.13 trillion or 7.6% growth YTD at the end of November. Page 3

4 Normalized Daily Cum. Net Cash Flows as % AUM 9 December 2015 Smart Beta products continue to gain traction among ETF investors. Last month they gathered $7.9bn in inflows, helping to take YTD inflows to $63bn or over 30% of the total inflows received by the industry in the period. In addition, Smart Beta ETFs represent about 50% of the 263 products and $7.8bn in assets raised in new products launched in the last 12 months. Another product trend which has seen significant interest from investors is currency hedged equity ETFs. As of the end of November, they had gathered $46bn in new money on an YTD basis with $1bn coming in during last month. Overall, assets in currency hedged products reached almost $70bn on last Nov 30th. Furthermore, new product activity has been very strong in the last 12 months with 53 products out of the total 82 ETFs launched during this period 1. Total ETP turnover was $1.32 trillion last month down 21% from the previous month as Volatility stabilized at lower levels relative to recent August highs. Furthermore, ETF turnover represented 24% of all cash equity traded in the US during November, slightly below its 12-month average of 26%. ETF organic growth continues to eclipse that of Mutual Funds. As of the end of October 2015, ETFs had gathered $170bn in inflows while Mutual Funds had experienced outflows of $16bn. Moreover, when we looked at the passive versus active breakdown by striping index mutual funds away from the mutual fund numbers the picture is even more decisive with passive ETFs and Mutual Funds receiving $309bn of inflows compared to outflows of $156bn for active ETFs and Mutual Funds. Additional details can be found in the Business Intelligence and ETF Statistics sections. Low Risk ETFs growing faster than the rest of Equity ETFs Low Risk ETFs aim to offer downside protection, while trying to capture as much of the upside in stock prices moves they can. They come in many different flavors. The most prominent ones are the ones following the MSCI Minimum Volatility (offered by ishares), and the S&P Low Volatility (offered by PowerShares) index families. Nevertheless, investors can find several variations adding currency hedging, high dividend, low beta, downside risk hedging using VIX futures, dynamic allocation using trend following systems, and defensive equities, just to name a few. Figure 1: Equity Low Risk vs Equity ex Low Risk ETFs organic growth during the last 12 months (10) Since the concept of low risk ETFs took shape back in 2011, this group of ETFs has been receiving significant Eq - Low Risk attention. Particularly, during the last 12 months we have Source: Deutsche Bank, Bloomberg Finance LP seen resurgence in the Low Risk theme with this group of ETFs recording a relative organic growth 6 times larger than the rest of Equity ETFs excluding Low Risk products (Figure 1). Moreover, on an absolute basis, Low Risk ETFs have gathered $742m, $2.0bn, and $9.6bn of inflows in the last 1-month, 3-month, and 12-month periods, respectively. Overall, we were tracking 43 Low Risk ETFs with assets of Equity ex Low Risk 1 See Martin, Hallie. Position for USD Strength with Delta-1 Products for more on FX hedged ETFs Page 4

5 $23.8bn as of the end of last month. Figure 2 presents a list of the top 15 Low Risk ETFs by assets. Figure 2: Top 15 Low Risk ETFs by AUM Investment Focus Ticker ETF Name Listing Date 5-Day $ 5-Day bps US Min Vol USMV ishares MSCI USA Minimum Volatility ETF 20-Oct % 6, US Low Vol SPLV PowerShares S&P 500 Low Volatility Portfolio 5-May % 5, DM Intl Min Vol EFAV ishares MSCI EAFE Minimum Volatility ETF 20-Oct % 3, EM Min Vol EEMV ishares MSCI Emerging Markets Minimum Volatility E 20-Oct % 2, Global Min Vol ACWV ishares MSCI All Country World Minimum Volatility ET 20-Oct % 2, US High Div Low Vol SPHD PowerShares S&P 500 High Dividend Low Volatility Po 18-Oct % US Downside Hedge PHDG PowerShares S&P 500 Downside Hedged Portfolio 6-Dec % US Equity/Cash Trend-based PTLC Pacer Trendpilot 750 ETF 12-Jun % ,943 4, DM Intl Low Vol IDLV PowerShares S&P International Developed Low Volati 13-Jan % US Defensive DEF Guggenheim Defensive Equity ETF 15-Dec % EU Fx hedged Low Vol FXEU PowerShares Europe Currency Hedged Low Volatility 7-May % EM Low Vol EELV PowerShares S&P Emerging Markets Low Volatility Po 13-Jan % US Small Cap Low Vol XSLV PowerShares S&P SmallCap Low Volatility Portfolio 15-Feb % US Mid Cap Low Vol XMLV PowerShares S&P MidCap Low Volatility Portfolio 15-Feb % DM Intl Low Beta Equal Wgt IDLB PowerShares FTSE International Low Beta Equal Weig 5-Nov % Source: Deutsche Bank, Bloomberg Finance LP. Data as of Dec 7, TER AUM 20D ADV $M $M Implied Liq. $M Total Liq. $M Avg. Bid/Ask Spreads Although they share a common objective (i.e. reduce risk), their different methodologies give origin to significant differences among them. Some of the most notorious differences are their sector or country allocation, while others relate to the level of cash the fund may hold. For example, MSCI s Minimum Volatility strategy employs the Barra factor model to optimize a portfolio for the minimum total volatility subject to sector/country, style, and single-stock concentration constraints relative to the standard market-cap weighted parent index; while S&P s Low Volatility strategy selects a sample of the stocks with the lowest realized volatility during the last 252 trading days, and then weights its constituents according to the inverse of their volatility giving the largest weight to the least volatile components. Figure 3 presents a comparison of these two popular strategies in their US-focused ETF versions (USMV-MSCI, SPLV-S&P). Figure 3: Low Volatility vs. Minimum Volatility Sector comparison USfocused ETFs Utilities Telecom Technology Materials Industrials Healthcare Financials Energy Cons. Stap. Cons. Disc SPLV USMV 0% 5% 10% 15% 20% 25% 30% Source: Deutsche Bank, Bloomberg Finance LP. For a more in depth discussion about Low Risk ETF/index methodologies, refer to our colleague Hallie Martin s work published previously. Her most recent paper on the subject discuses the significant risk/return profile differences exhibited by EEMV (MSCI EM Min Vol) compared to EEM (MSCI EM) Page 5

6 Avg. Monthly Net Cash Flows for ETPs ($MM) Avg. Monthly Net Cash Flows for SPY ($MM) Avg. Monthly Net Cash Flows for ETPs ex Pseudo Futures ETPs ($MM) 9 December 2015 Expect big inflows from December s ETF Seasonal effect ETP flows have presented a clear seasonality pattern over the last 15 years. Average monthly flows usually begin on the low end of their range in January and then tend to follow an uptrend towards the end of the year. Between January and December there is clearly a slowdown period during the summer, particularly in the month of August, however this has often been quickly leveled out in the month of September. In addition, we noticed that on average no month has experienced negative flows consistently which is partly due to ETFs being still a product on growth phase (Figure 4). The flow dynamics of the month of December are of particular interest to us. Actually, when we analyzed the average flows for all products, December registered the highest magnitude in all of the periods analyzed (5, 10, and 15 years). However, the real force driving these flows is far from being consensus and is more related to the way market participants use some ETFs around the year end. More specifically, the way investors use pseudo futures ETFs, like SPY, for non-asset allocation purposes such as tax loss harvesting, cash equitization, window dressing, etc. creates a clear disparity between pseudo futures ETF flows and the ETF flows of other products which are more asset allocation driven such as Asset Allocation and Cash Management ETFs. In the last 15 years, SPY, in average, has received its largest monthly flows during the month of December, after which those flows tend to leave the fund during the months of January and February. This dynamic determines the unique uptrend linear pattern from January to December for SPY. We should also note that SPY flows also exhibit a slowdown during the month of August (Figure 5). Figure 6 presents the average monthly flow trends for all ETPs excluding Pseudo Futures products such as SPY. The idea of this sample of products which includes Asset Allocation, Cash Management, and Leveraged and Inverse ETPs is to provide a sample of flows that better represents the behavior of asset allocators using ETFs for investment purposes rather than for other operational or short term purposes. The flow seasonality pattern is significantly different than that of SPY in this case. In fact, flows tend to start strong in the first months of the year as investors position their portfolios for the year and then trend lower towards the end of the year. Average flows have been positive for every month, and have clearly increased over the years. Nevertheless, this group of ETPs also exhibits signs of a summer slowdown. Figure 4: Avg. Monthly Net Cash Flows - ETPs 30,000 Figure 5: Avg. Monthly Net Cash Flows - SPY 15,000 Figure 6: Avg. Monthly Net Cash Flows ETPs ex Pseudo Futures 25,000 25,000 20,000 15,000 10,000 10,000 5,000 - (5,000) 20,000 15,000 10,000 5,000 5Y Avg 10Y Avg (10,000) 5Y Avg 10Y Avg 5,000 5Y Avg 10Y Avg - 15Y Avg Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec (15,000) 15Y Avg Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec - 15Y Avg Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Source: Deutsche Bank, Bloomberg Finance LP. Only completed periods are considered in the Monthly Averages Page 6

7 Based on seasonal patterns and recent flow trends, we could easily see about $10bn-$15bn of inflows going into SPY, and another strong month of $20bn- $25bn inflows for ETPs in December. A favorable market reading of the Fed s decision on the 16th, could boost inflows even further, while a less favorable reading could put some pressure on our estimate for flows. The time of the Tax-Loss-Harvest has arrived Using capital losses to offset capital gains within the fund (aka tax-loss harvesting) has been a common method used by investors to improve the taxefficiency of a fund. When engaging in tax-loss harvesting, investors look to replace their losing stock or security with a substantially different one which allows them to maintain the exposure to their objective or benchmark in the best possible way; while realizing the losses on the liquidated positions. Based on YTD total returns, most of the candidates for tax-loss harvesting within equities are related to either sectors or countries exhibiting commoditydependency. In Figure 7, we present a list of specific equity segment candidates given their YTD total return. Each of the ETFs mentioned represents a liquid and investable instrument for each respective asset class. This list can provide accessible and liquid tools for stock portfolio managers looking to replace some stocks while trying to maintain exposure to their sector or benchmark. Figure 7: Equity ETF segments with significant YTD losses YTD Investment Focus Ticker ETF Name Listing Date Return Avg. Bid/Ask Spreads 5-Day $ 5-Day bps Metals & Minig XME -50% SPDR S&P Metals and Mining ETF 22-Jun % Greece GREK -38% Global X FTSE Greece 20 ETF 8-Dec % MLPs AMLP -36% Alerian MLP ETF 25-Aug % 6, Brazil EWZ -35% ishares MSCI Brazil Capped ETF 10-Jul % 1, Peru EPU -34% ishares MSCI Peru Capped ETF 22-Jun % Turkey TUR -29% ishares MSCI Turkey ETF 28-Mar % Latin America ILF -29% ishares Latin America 40 ETF 26-Oct % Indonesia EIDO -25% ishares MSCI Indonesia ETF 7-May % Global Natural Resources GNR -25% SPDR S&P Global Natural Resources ETF 13-Sep % Global Natural Resources GUNR -24% FlexShares Mstar Global Upstream Natural Resourc 22-Sep % 1, Gold Miners GDX -23% Market Vectors Gold Miners ETF 22-May % 4, Canada EWC -23% ishares MSCI Canada ETF 12-Mar % 1, Malaysia EWM -21% ishares MSCI Malaysia ETF 12-Mar % Energy XLE -21% Energy Select Sector SPDR Fund 22-Dec % 11,018 1,219 1,449 2, Chile ECH -20% ishares MSCI Chile Capped ETF 16-Nov % Vietnam VNM -20% Market Vectors Vietnam ETF 14-Aug % Thailand THD -19% ishares MSCI Thailand Capped ETF 28-Mar % Singapore EWS -18% ishares MSCI Singapore ETF 12-Mar % EM EEM -16% ishares MSCI Emerging Markets ETF 7-Apr % 21,796 2, , EM VWO -15% Vanguard FTSE Emerging Markets ETF 3-Mar % 35, Australia EWA -14% ishares MSCI Australia ETF 12-Mar % 1, Mexico EWW -14% ishares MSCI Mexico Capped ETF 12-Mar % 1, India EPI -13% WisdomTree India Earnings Fund 22-Feb % 1, China FXI -12% ishares China Large-Cap ETF 8-Oct % 5, , Spain EWP -12% ishares MSCI Spain Capped ETF 12-Mar % 1, International Dividends IDV -12% ishares International Select Dividend ETF 15-Jun % 2, India INDA -11% ishares MSCI India ETF 2-Feb % 3, Taiwan EWT -11% ishares MSCI Taiwan ETF 20-Jun % 2, Pacific ex Japan EPP -11% ishares MSCI Pacific ex Japan ETF 25-Oct % 1, Philippines EPHE -11% ishares MSCI Philippines ETF 29-Sep % Materials XLB -8% Materials Select Sector SPDR Fund 22-Dec % 2, Source: Deutsche Bank, Bloomberg Finance LP., FactSet TER AUM $M 20D ADV $M Implied Liq. $M Total Liq. $M Page 7

8 Figure 8 presents different alternatives for product replacement for asset managers running ETF portfolios. We provide multiple investable alternatives for tax-loss harvesting across 7 different equity segments. Along with the ticker of the ETF we provide the YTD total return, total expense ratio, and the YTD correlation of the daily total returns to other ETF candidates. Equity segments were selected based on their YTD total returns and the availability of enough (4 or more) investable ETFs within each segment. ETFs were selected based on their asset size and liquidity characteristics; in addition to the correlation of their returns within each segment. Figure 8: Possible tax-loss harvesting equity segments and ETF candidates for replacement YTD YTD Daily Correlation of Total Returns YTD Category Ticker TER TER Ticker Category Return XME PICK SIL SGDM GDX HAP GDXJ MXI IYM VAW FXZ XLB Return Metals & Mining XME -50.3% 0.35% % -16.9% MXI Materials Metals & Mining PICK -43.2% 0.39% % -12.4% IYM Materials Metals & Mining SIL -32.1% 0.65% % -9.3% VAW Materials Metals & Mining SGDM -24.1% 0.57% % -8.8% FXZ Materials Metals & Mining GDX -23.4% 0.52% % -7.8% XLB Materials Metals & Mining HAP -20.1% 0.49% Metals & Mining GDXJ -19.3% 0.54% YTD YTD Category Ticker TER XOP FXN VDE IXC OIH IYE XLE YMLP ZMLP MLPA AMLP EMLP TER Ticker Category Return Return Energy XOP -31.8% 0.35% % -53.8% YMLP MLPs Energy FXN -30.8% 0.70% % -43.9% ZMLP MLPs Energy VDE -22.3% 0.14% % -39.1% MLPA MLPs Energy IXC -22.0% 0.47% % -35.5% AMLP MLPs Energy OIH -21.7% 0.35% % -29.0% EMLP MLPs Energy IYE -21.5% 0.43% Energy XLE -20.5% 0.14% YTD YTD Category Ticker TER PID DWX IDV FGD SDIV EPI INDY INDA PIN TER Ticker Category Return Return Intl Dividends PID -18.6% 0.56% % -12.9% EPI India Intl Dividends DWX -16.9% 0.45% % -12.0% INDY India Intl Dividends IDV -12.0% 0.50% % -11.4% INDA India Intl Dividends FGD -10.6% 0.60% % -11.0% PIN India Intl Dividends SDIV -9.5% 0.58% Category Ticker YTD Return TER PXH DEM FNDE SCHE EEM VWO DGS IEMG FEM EWX ECON EEMV EM PXH -21.3% 0.49% EM DEM -19.8% 0.63% EM FNDE -18.9% 0.46% EM SCHE -15.5% 0.15% EM EEM -15.5% 0.67% EM VWO -15.3% 0.15% EM DGS -15.1% 0.63% EM IEMG -13.8% 0.18% EM FEM -13.3% 0.80% EM EWX -13.2% 0.65% EM ECON -12.4% 0.85% EM EEMV -12.4% 0.25% Source: Deutsche Bank, FactSet. YTD data as of Dec 8, 2015 for both daily total returns utilized in correlation calculation and YTD return calculation. The information provided in this sub-section is provided for informational purposes and is not intended to provide specific tax advice. Specific tax implications should be consulted with a tax advisor. Is the systemic risk threat from Leveraged & Inverse ETFs real? Not so much Over the years, several segments of the ETF market have come under scrutiny following reports or speculation that ETF activity can pose systemic risks to the underlying markets, and therefore hurt investors. This has been the case with Small Cap, EM, High Yield, and Leveraged and Inverse ETFs (to name a few). However, no conclusive evidence of such claims has been found. Page 8

9 The main flaw when trying to assess the impact of ETFs in its underlying market is to understand what type of ETF activity actually impacts the underlying market (aka primary market) and which one doesn t. The two fundamental principles governing the impact on ETFs underlying securities are: Secondary ETF volume involving the exchange of ETF shares among investors does not impact the underlying ETF securities. Primary market activity (aka net cash flows or net creation/redemptions), however, happens at the underlying ETF securities level, and therefore this type of activity could potentially have an impact. Understanding the link between Leveraged and Inverse ETFs and their underlying primary markets Most Leveraged and Inverse ETFs deliver their stated return objective by holding a combination of securities (e.g. equities), cash equivalents, swaps with multiple counterparties, and futures contracts. In practice, we can assume that both equity and swap positions ultimately translate into primary market positions/activity, while the other two have no impact on the primary market. The assets of the fund usually correspond to the value of the securities and cash held in the portfolio, while the notional of the fund also includes the value of the derivatives positions and it is usually as many times larger than the assets of the fund as the leverage factor sought by the fund. For example, If a fund has $1bn in assets and a leverage factor of 2, then the notional value is $2bn. Because securities and swaps tend to be the main holdings on most ETFs we can say that the primary market exposure of a Leveraged or Inverse fund is very close to its notional amount. What is the potential primary market impact from Leveraged & Inverse ETFs? Let s assume a worst case scenario in which all investors decide to redeem the assets in Leveraged and Inverse ETFs. First, we need to look at the level of ETF assets and its notional. Assets in Leveraged and Inverse ETFs as of the end of November 2015 were $32.9bn, while notional assets were $72bn (Figure 9). Both of these numbers are fairly small compared to the sizes of the ETF industry (under 5%), the mutual fund industry (<1%), and let s not even mention the relevant security markets. Figure 9: Actual and Notional Assets for Leveraged and Inverse ETFs Actual Assets $MM Short Long Total Equity 3,646 2,795 2,951 9, ,265 7,866 15,136 24,528 Fixed Income 1,076 2, , ,863 Commodity , ,196 1,511 Currency Alternative ,112 Total 5,346 6,847 3,642 15, ,119 7,934 17,058 32,893 Notional Assets $MM Short Long Net Equity (3,646) (5,589) (8,853) (18,088) 6 14,530 23,599 38,135 20,047 Fixed Income (1,076) (5,830) (2,073) (8,979) (8,549) Commodity (21) (588) 0 (609) 0 2, ,392 1,783 Currency (18) (1,687) 0 (1,705) (1,671) Alternative (585) 0 0 (585) 0 1, , Total (5,346) (13,694) (10,926) (29,966) 6 18,238 23,802 42,047 Figure 10: Days to trade Net Notional based on ETP volume ETP ADV Net Notional Assets $MM Days to $MM ex per Asset Class Trade LevInv Equity 20,047 54, Fixed Income (8,549) 5, Commodity 1,783 1, Currency (1,671) Alternative Source: Deutsche Bank, Bloomberg Finance LP. Assets data as of the end of last month. ETP ADV ex LevInv is daily average for the month of November Page 9

10 Second, the right way to look at the primary market impact is to look at the Net Notional Assets instead of the absolute value of $72bn. In practice, some of the underlying short and long positions on Leveraged and Inverse ETFs can offset each other and reduce the actual activity passed onto the primary market. In most cases, the net notional values are not only small compared to the overall markets, but they are also small compared to the ETP s recent daily turnover (Figure 10). Therefore the ETF market liquidity and the liquidity of the underlying markets could easily absorb the demands from massive redemptions, reducing the systemic risk of such an event. Third, the majority of the assets of Leveraged and Inverse ETFs are concentrated on funds tracking some of the most liquid asset class benchmarks such as US Large Cap stocks or US Treasuries (Figure 11). Therefore primary market exposure is highly diversified across hundreds of liquid securities, which in turn reduces the risk of a systemic risk episode even further. Based on our analysis, we continue to believe that the main risk from Leveraged and Inverse ETFs to investors is lack of education and the wrong usage of them, and not the product in itself. Leveraged and Inverse ETFs are designed as trading tools, and should be used for short term periods. In this analysis we didn t include Leveraged and Inverse ETNs (such as the popular ones on the VIX), which are not considered Funds and therefore are not affected by the same set of rules or constraints. Figure 11: Top 15 Leverage and Inverse ETFs concentrating over 50% of assets Ticker Name AUM $MM TBT ProShares UltraShort 20+ Year Treasury 2,715 SSO ProShares Ultra S&P500 1,902 SH ProShares Short S&P500 1,732 SDS ProShares UltraShort S&P500 1,518 TQQQ ProShares UltraPro QQQ 1,402 FAS Direxion Daily Financial Bull 3x Shares 1,393 UPRO ProShares UltraPro S&P500 1,086 QLD ProShares Ultra QQQ 1,039 TNA Direxion Daily Small Cap Bull 3x Shares 964 UCO ProShares Ultra DJ-UBS Crude Oil 871 TBF ProShares Short 20+ Year Treasury 827 UYG ProShares Ultra Financials 800 BIB ProShares Ultra Nasdaq Biotechnology 780 NUGT Direxion Daily Gold Miners Index Bull 3x Shares 651 SPXL Direxion Daily S&P 500 Bull 3x Shares 616 Source: Deutsche Bank, Bloomberg Finance LP Page 10

11 Asset Allocation dashboard Global Multi Asset Allocator heatmaps Figure 12: Global Multi Asset Performance and Net ETF Cash Flow Trends Ticker Asset Class Total Return ETF Net Cash Flows as % of Initial AUM 1M Chg 3M Chg 6M Chg 1Y Chg 3Y Ann 5Y Ann 1M 3M 6M 1Y 3Y Ann 5Y Ann ACWI Global Equities -0.53% 3.40% -5.34% -2.47% 9.29% 8.04% 1.5% 3.2% 4.7% 11.6% 17.2% 15.7% VTI US Total Market 0.60% 5.39% -1.03% 2.50% 15.98% 14.13% 1.7% 3.6% 5.1% 7.1% 15.7% 15.5% SPY S&P 500 (Large Cap) 0.37% 6.13% -0.15% 2.76% 15.99% 14.29% 1.4% 3.8% 5.1% 1.9% 12.0% 12.5% MDY S&P 400 (Mid Cap) 1.34% 3.55% -3.48% 2.61% 14.86% 12.72% 1.3% 3.6% 4.8% 13.9% 17.1% 11.9% IWM Russell 2000 (SM Cap) 3.26% 3.69% -3.17% 3.50% 14.94% 12.04% 3.7% 5.4% 8.5% 13.3% 15.8% 10.2% EFA Intl DM -0.75% 1.13% -7.45% -2.69% 6.41% 5.44% 1.7% 3.8% 9.7% 43.6% 39.4% 28.9% VGK Europe -1.25% 0.26% -7.42% -4.03% 6.66% 6.40% 0.6% 3.2% 15.4% 41.8% 56.8% 40.5% EZU Eurozone -0.79% 1.50% -5.08% -3.56% 7.31% 5.31% 0.4% 4.1% 12.4% 116.1% 87.4% 72.9% EWJ Japan 0.49% 2.15% -4.66% 7.71% 11.38% 5.41% 0.6% 1.8% 8.5% 34.4% 85.8% 53.1% EPP Pacific ex JP -0.46% 2.80% % % -1.65% 1.58% -1.8% -4.0% -12.3% -12.5% -8.6% -7.0% EEM EM -2.52% 0.44% % % -4.85% -3.51% -0.8% -0.3% -7.3% -5.2% -0.7% 2.3% ILF Latin America -3.50% -6.69% % % % % 0.9% 3.0% -11.1% -27.7% -12.9% -6.4% EEMA EM Asia -2.88% 4.18% % % 0.03% -3.2% -6.0% -13.4% 5.0% 10.9% 4.8% GUR EM Europe -3.77% -3.42% % % % -9.10% -1.5% 4.3% -0.8% 12.5% 18.9% 10.9% MES Middle East -7.86% % % % 5.27% 2.26% AFK Africa -7.84% -9.01% % % % -7.94% 0.8% 5.3% 1.7% -3.0% 1.0% -2.3% FM Frontier Market -5.57% -4.68% % % 3.46% -1.4% -2.4% -2.2% 3.6% 48.2% 30.2% BKF BRIC -1.72% 0.78% % % -4.72% -6.08% -1.3% -4.8% -12.6% -27.9% -29.5% -20.1% AGG Fixed Income (Broad) -0.39% 0.49% -0.07% 0.82% 1.43% 3.03% 0.1% 6.4% 9.8% 20.1% 13.9% 20.6% GOVT US Treasury -0.40% 0.22% 0.32% 0.99% 0.88% -9.1% 0.0% 25.7% 24.0% 17.5% 13.9% SHV Very Short -0.01% -0.01% -0.01% 0.01% 0.02% 0.03% -14.6% -7.1% 39.5% -22.4% 8.6% 1.9% SHY Short -0.26% -0.11% -0.08% 0.28% 0.42% 0.56% -10.6% -3.6% 26.0% 41.0% 13.8% 9.2% IEI Intermediate -0.41% 0.19% 0.35% 1.55% 0.92% 2.21% -8.1% -0.3% 23.8% 31.1% 20.2% 23.8% TLT Long -0.87% 0.67% 0.27% 1.71% 1.94% 7.54% -7.7% 10.3% 20.5% 16.7% 19.4% 17.0% TIP US Inflation -0.14% -0.37% -1.80% -1.79% -2.28% 2.26% 0.8% 2.8% 2.1% 12.2% -4.1% -0.4% MUB Municipal 0.50% 1.73% 2.41% 2.69% 1.57% 4.50% 2.2% 6.7% 8.8% 26.2% 13.4% 17.8% MBB Securitized -0.22% 0.44% 0.33% 1.47% 1.84% 2.57% 1.0% 4.1% 16.1% 28.8% 11.8% 30.5% LQD IG Corporates -0.15% 1.61% -0.30% -0.19% 1.81% 4.98% 0.7% 7.4% 9.4% 20.1% 13.2% 23.4% HYG HY Corporates -2.50% -2.35% -6.12% -3.87% 1.93% 5.06% -1.6% 11.1% 1.5% 11.2% 9.1% 24.6% FLOT Corp. Floater 0.09% -0.16% -0.23% -0.03% 0.44% -1.0% -2.2% 11.8% -13.1% 110.5% BKLN Senior Loans -1.00% -1.93% -4.10% -3.14% 1.27% -6.7% -5.0% -11.8% -14.4% 65.2% PFF Preferred 0.66% 2.14% 1.72% 4.25% 5.78% 6.49% 4.0% 9.0% 11.0% 29.6% 12.4% 18.2% CWB Convertible -0.67% 1.28% -4.88% -1.40% 10.15% 7.46% 4.3% -4.0% -3.7% 5.5% 46.5% 42.8% BWX Intl DM Debt -2.41% -1.51% -2.63% -8.76% -4.61% -0.33% -2.1% -2.0% -7.1% -12.6% 3.6% 14.5% WIP Intl Inflation -1.56% -1.14% -5.92% % -4.42% 0.90% -9.1% -15.6% -15.7% -17.4% -14.8% 0.3% EMB EM Gov Debt USD 0.30% 1.64% -1.18% -0.20% 0.35% 4.85% 7.7% 13.8% 2.9% 6.4% -1.0% 21.2% EMLC EM Gov Debt Local -1.65% -0.89% -9.48% % -8.54% -2.86% 1.5% 1.7% -1.1% 10.8% -0.5% 44.0% EMCB EM Corp USD -0.95% -0.10% -5.47% -5.63% -0.81% -9.3% -20.0% -23.2% -23.8% 46.8% HYEM EM HY Corp USD 0.70% 2.16% -3.03% 0.04% 1.61% DBC Commodities -6.64% -9.56% % % % % -0.7% -0.5% -1.5% 1.5% -9.6% -4.9% DBE Energy Cmdty -7.78% % % % % % 23.6% 19.8% 48.2% 207.1% 20.7% 6.3% USO Crude Oil WTI % % % % % % 26.2% 20.7% 57.1% 342.3% 31.4% 15.1% UNG Natural Gas % % % % % % 14.5% 21.0% 22.8% 50.0% -9.4% -7.4% DBA Agriculture -3.62% -1.77% -6.05% % % -6.75% -0.2% -4.4% -4.7% -14.6% -9.0% -9.4% DBB Industrial Metals -7.33% % % % % % DBP Precious Metals -7.32% -6.01% % -9.69% % -8.19% -3.4% -3.1% -5.9% -6.6% -12.0% -6.8% GLD Gold Physical -6.75% -6.34% % -9.09% % -5.53% -4.4% -3.2% -6.9% -5.9% -14.1% -8.0% SLV Silver Physical -9.19% -3.93% % -9.37% % % 1.2% -2.4% 0.7% -8.2% 1.4% -1.1% PPLT Platinum Physical % % % % % % 0.0% -7.5% -5.5% -10.3% -0.4% 6.8% PALL Palladium Physical % -9.60% % % -7.94% -5.53% 3.4% -9.3% -19.4% -30.1% -22.4% -15.5% UUP Bull USD 3.29% 4.07% 2.44% 11.12% 5.96% 2.11% 10.0% -6.2% -20.7% 12.4% 15.3% 2.4% FXY JPYUSD -2.00% -1.62% 0.63% -3.99% % -7.80% FXE EURUSD -3.96% -5.96% -4.10% % -7.10% -4.31% Source: Deutsche Bank, FactSet, Bloomberg Finance LP. Note: Data as of the end of last month; performance is Total Returns; Cash flows are based on US-listed ETFs and ETVs excluding leveraged, inverse products, and ETNs. Asset Classes that had less than $500 million in AUM at the beginning of all periods are excluded from the Net Cash Flow calculations. Green cells correspond to largest values, while red cells correspond to lowest values. Figures over 1Y are annualized. The ETFs mentioned in this figure are provided as reference and have been selected as investable and representative vehicles for each asset class considering the product s asset class representation, liquidity, size, cost, and ease to borrow for tactical or risk hedging purposes; however, they should not be seen as the only or best alternative for each asset class as finding the right product will depend on the specific investor s objective and intended usage. Please refer to Product Type Definitions on Appendix C for further details on product selection criteria depending on product usage. Page 11

12 Figure 13: Global Multi Asset Risk and Risk-adjusted Performance Measures Ticker Asset Class Annualized Volatility Max Drawdown Sharpe (TR / Vol) 1M 3M 6M 1Y 3Y 5Y 1Y 3Y 5Y 1Y 3Y 5Y ACWI Global Equities 10.9% 17.3% 17.5% 15.4% 12.9% 16.7% -15.1% -15.1% -24.1% (0.2) VTI US Total Market 12.4% 16.7% 17.0% 15.0% 12.6% 15.6% -12.1% -12.1% -20.3% SPY S&P 500 (Large Cap) 12.1% 16.5% 17.1% 15.2% 12.5% 15.2% -11.9% -11.9% -18.6% MDY S&P 400 (Mid Cap) 14.3% 16.9% 16.7% 15.0% 13.7% 17.9% -12.5% -12.5% -26.2% IWM Russell 2000 (SM Cap) 15.0% 19.4% 18.0% 16.6% 15.6% 20.1% -16.1% -16.1% -28.9% EFA Intl DM 10.6% 17.9% 18.3% 16.6% 14.2% 19.2% -16.4% -16.6% -25.9% (0.2) VGK Europe 12.6% 18.0% 18.7% 17.7% 15.3% 22.2% -16.1% -18.0% -30.2% (0.2) EZU Eurozone 12.9% 18.3% 20.7% 20.0% 17.5% 24.8% -15.8% -20.4% -37.6% (0.2) EWJ Japan 9.7% 21.0% 20.8% 18.0% 17.8% 18.7% -15.6% -15.6% -23.9% EPP Pacific ex JP 16.4% 22.0% 24.1% 19.9% 16.5% 20.7% -25.6% -28.0% -28.8% (0.6) (0.1) 0.1 EEM EM 20.2% 23.9% 24.0% 21.0% 18.5% 22.2% -28.4% -30.2% -31.8% (0.8) (0.3) (0.2) ILF Latin America 27.6% 29.0% 27.7% 27.2% 23.5% 24.3% -38.0% -49.6% -55.5% (1.3) (0.7) (0.5) EEMA EM Asia 15.3% 23.3% 26.4% 21.8% 17.8% -31.5% -31.5% (0.5) 0.0 GUR EM Europe 24.4% 24.0% 26.8% 28.7% 24.0% 27.7% -28.7% -45.3% -54.6% (0.8) (0.5) (0.3) MES Middle East 16.1% 20.2% 23.5% 25.6% 20.8% 20.5% -25.0% -33.5% -33.5% (1.0) AFK Africa 18.1% 20.2% 19.6% 19.2% 16.2% 18.3% -32.5% -43.8% -43.8% (1.7) (0.8) (0.4) FM Frontier Market 14.5% 15.8% 16.5% 16.1% 13.7% -19.4% -28.1% (1.1) 0.3 BKF BRIC 18.5% 25.5% 27.3% 24.6% 20.5% 23.3% -30.2% -30.2% -38.6% (0.6) (0.2) (0.3) AGG Fixed Income (Broad) 2.4% 3.3% 3.6% 3.8% 3.4% 3.4% -2.9% -5.1% -5.1% GOVT US Treasury 2.9% 3.6% 3.9% 4.3% 3.5% -3.5% -4.6% SHV Very Short 0.2% 0.2% 0.2% 0.2% 0.1% 0.2% -0.1% -0.1% -0.1% SHY Short 0.7% 1.0% 1.0% 1.0% 0.8% 0.8% -0.6% -0.6% -0.6% IEI Intermediate 2.2% 3.0% 3.3% 3.6% 3.1% 3.3% -2.2% -4.2% -4.2% TLT Long 8.2% 12.5% 14.7% 15.5% 13.2% 15.2% -15.8% -17.2% -20.5% TIP US Inflation 2.7% 4.4% 4.8% 5.7% 5.4% 5.7% -4.8% -11.1% -11.1% (0.3) (0.4) 0.4 MUB Municipal 1.9% 2.4% 2.6% 2.9% 4.3% 5.0% -2.9% -9.7% -9.7% MBB Securitized 1.9% 2.2% 2.7% 2.7% 3.0% 2.8% -1.7% -4.8% -4.8% LQD IG Corporates 3.5% 4.9% 5.4% 5.9% 5.4% 5.5% -6.0% -8.6% -8.6% (0.0) HYG HY Corporates 5.4% 6.8% 6.2% 6.5% 5.8% 7.8% -7.5% -7.5% -10.1% (0.6) FLOT Floater 0.6% 0.7% 1.1% 1.0% 0.9% -0.5% -0.6% (0.0) 0.5 BKLN Senior Loans 2.4% 2.7% 3.0% 3.4% 2.7% -4.4% -4.4% (0.9) 0.5 PFF Preferred 4.1% 3.8% 4.6% 4.5% 4.7% 8.0% -3.0% -8.7% -15.2% CWB Convertible 7.2% 10.7% 10.7% 10.2% 9.3% 10.4% -9.8% -9.8% -17.1% (0.1) BWX Intl DM Debt 7.2% 6.9% 7.6% 8.3% 7.2% 7.4% -9.7% -15.4% -15.4% (1.0) (0.6) (0.0) WIP Intl Inflation 7.5% 7.2% 7.2% 8.7% 7.3% 7.7% -12.2% -17.0% -17.0% (1.3) (0.6) 0.1 EMB EM Gov Debt USD 4.2% 6.1% 6.1% 7.4% 7.5% 7.1% -6.5% -14.5% -14.5% (0.0) EMLC EM Gov Debt Local 9.4% 11.0% 9.9% 10.3% 9.5% 10.1% -20.4% -30.3% -30.3% (1.7) (0.9) (0.3) EMCB EM Corp USD 7.0% 8.4% 8.3% 9.0% 7.8% -10.4% -11.8% (0.6) (0.1) HYEM EM HY Corp USD 5.3% 5.7% 6.0% 8.6% 7.6% -9.8% -14.0% DBC Commodities 15.5% 16.6% 17.8% 17.8% 13.4% 15.5% -32.1% -50.5% -55.7% (1.7) (1.5) (0.7) DBE Energy Cmdty 26.4% 30.0% 30.8% 31.9% 21.9% 22.3% -41.5% -59.9% -62.7% (1.3) (1.1) (0.6) USO Crude Oil WTI 30.6% 38.0% 39.4% 42.5% 28.8% 29.0% -52.5% -68.3% -72.3% (1.2) (0.9) (0.6) UNG Natural Gas 35.6% 31.9% 31.9% 39.4% 35.7% 37.7% -59.0% -68.5% -83.0% (1.5) (0.7) (0.8) DBA Agriculture 11.7% 10.7% 12.5% 11.8% 10.8% 12.8% -21.4% -30.9% -42.7% (1.7) (1.0) (0.5) DBB Industrial Metals 15.8% 20.2% 19.1% 18.3% 16.3% 19.4% -32.2% -42.7% -55.6% (1.7) (1.0) (0.6) DBP Precious Metals 10.8% 14.2% 13.3% 16.5% 18.8% 20.0% -21.0% -45.6% -53.3% (0.6) (1.0) (0.4) GLD Gold Physical 11.5% 13.1% 12.4% 14.8% 17.0% 17.5% -19.1% -39.1% -45.1% (0.6) (0.9) (0.3) SLV Silver Physical 9.5% 20.4% 20.2% 24.6% 26.5% 31.9% -23.7% -58.7% -71.6% (0.4) (1.0) (0.4) PPLT Platinum Physical 14.5% 20.3% 18.8% 18.5% 17.9% 18.7% -35.7% -53.0% -57.6% (1.7) (1.1) (0.7) PALL Palladium Physical 38.8% 36.0% 34.7% 28.7% 24.3% 27.5% -36.3% -41.7% -41.7% (1.2) (0.3) (0.2) UUP Bull USD 6.9% 7.7% 8.6% 9.4% 7.2% 7.6% -7.9% -7.9% -10.9% FXY JPYUSD 5.7% 6.6% 8.6% 8.8% 9.7% 9.1% -7.6% -35.5% -40.6% (0.5) (1.3) (0.9) FXE EURUSD 7.9% 9.7% 11.0% 11.7% 8.7% 9.3% -16.4% -25.1% -30.1% (1.3) (0.8) (0.5) Source: Deutsche Bank Factset. Note: Data as of the end of last month; Calculations based on total returns; Volatility based on daily total returns annualized using a 252 day factor; Sharpe ratio calculation assumes Risk Free rate equal to zero. For Max DD and Sharpe calculations, green cells correspond to largest values, while red cells correspond to lowest values. For Volatility calculations, green cells are the least volatile (lowest values), while red cells are the most volatile (highest values). The ETFs mentioned in this figure are provided as reference and have been selected as investable and representative vehicles for each asset class considering the product s asset class representation, liquidity, size, cost, and ease to borrow for tactical or risk hedging purposes; however, they should not be seen as the only or best alternative for each asset class as finding the right product will depend on the specific investor s objective and intended usage. Please refer to Product Type Definitions on Appendix C for further details on product selection criteria depending on product usage. Page 12

13 US Equity Allocator heatmaps Figure 14: US Equity Performance and Net ETF Cash Flow Trends Ticker Asset Class Total Return ETF Net Cash Flows as % of Initial AUM 1M Chg 3M Chg 6M Chg 1Y Chg 3Y Ann 5Y Ann 1M 3M 6M 1Y 3Y Ann 5Y Ann VTI US Total Market 0.60% 5.39% -1.03% 2.50% 15.98% 14.13% 1.7% 3.6% 5.1% 7.1% 15.7% 15.5% SPY S&P 500 (Large Cap) 0.37% 6.13% -0.15% 2.76% 15.99% 14.29% 1.4% 3.8% 5.1% 1.9% 12.0% 12.5% DIA DJI 0.74% 7.91% -0.35% 1.82% 13.40% 12.65% 1.4% 3.8% 5.1% 1.9% 12.0% 12.5% QQQ NASDAQ % 9.58% 4.10% 8.72% 21.70% 18.30% 1.4% 3.8% 5.1% 1.9% 12.0% 12.5% IWF Russell 1000 Growth 0.31% 6.19% 1.31% 5.94% 17.18% 14.87% 2.6% 4.4% 6.6% 15.2% 15.4% 13.5% IWD Russell 1000 Value 0.45% 4.68% -3.11% -1.27% 14.48% 13.25% 1.5% 4.3% 5.0% 9.5% 17.6% 15.4% MDY S&P 400 (Mid Cap) 1.34% 3.55% -3.48% 2.61% 14.86% 12.72% 1.3% 3.6% 4.8% 13.9% 17.1% 11.9% IWM Russell 2000 (SM Cap) 3.26% 3.69% -3.17% 3.50% 14.94% 12.04% 3.7% 5.4% 8.5% 13.3% 15.8% 10.2% VIG Div. Growth 0.27% 5.06% -1.53% -0.98% 12.13% 11.87% 0.5% 0.3% -2.6% -1.5% 11.8% 27.6% DVY Div. Yield 0.10% 5.66% -0.12% 0.79% 13.81% 13.85% 0.5% 0.3% -2.6% -1.5% 11.8% 27.6% VYM Div. Yield 0.22% 6.96% -0.74% 0.18% 14.48% 14.65% 0.5% 0.3% -2.6% -1.5% 11.8% 27.6% SDY Div. Yield & Growth 0.21% 6.49% 0.62% 1.13% 14.42% 13.05% 0.5% 0.3% -2.6% -1.5% 11.8% 27.6% XLY Cons. Discretionary -0.23% 8.15% 6.62% 14.13% 21.09% 19.24% 1.5% 3.5% 4.7% 44.7% 20.7% 23.3% PEJ Hotels, Rest & Leisure -3.20% 5.05% 1.83% 7.22% 18.73% 16.30% XHB Home Builders 1.71% 0.43% 1.33% 9.09% 11.92% 19.48% -3.7% -1.9% 6.3% 15.3% -7.6% 12.0% ITB Household Durables 5.04% 2.99% 7.45% 10.44% 12.10% 20.83% -3.7% -1.9% 6.3% 15.3% -7.6% 12.0% PBS Media -0.79% 8.25% -3.91% 2.51% 17.78% 15.57% XRT Retail -2.88% -4.53% -8.40% -4.51% 13.32% 14.84% 18.4% -14.0% -25.1% -3.9% -3.9% -11.0% XLP Cons. Staples -0.92% 5.14% 2.58% 2.87% 14.12% 14.89% -3.7% 5.0% 10.1% -2.5% 11.7% 20.0% PBJ Food Products -2.85% 3.14% 1.89% 7.39% 18.64% 14.27% XLE Energy -0.01% 3.17% % % 0.72% 3.65% 2.3% 3.4% 5.8% 35.9% 27.6% 21.0% OIH Energy Eq. & Serv. 1.80% -1.08% % % -5.61% -5.30% 3.1% 15.0% 22.4% 42.0% 2.3% -0.5% XES Energy Eq. & Serv. 3.36% -4.61% % % % -8.88% 3.1% 15.0% 22.4% 42.0% 2.3% -0.5% IEZ Energy Eq. & Serv. 2.15% -2.00% % % -5.27% -3.66% 3.1% 15.0% 22.4% 42.0% 2.3% -0.5% XOP Energy E&P 0.13% -2.35% % % % -4.04% 5.4% -1.8% 31.0% 79.0% 36.9% 23.7% IEO Energy E&P 0.35% 3.52% % % 1.53% 2.55% 5.4% -1.8% 31.0% 79.0% 36.9% 23.7% AMLP MLPs -7.72% % % % -2.84% 1.34% 5.2% 7.3% 4.3% 12.0% 33.3% 92.7% XLF Financials 1.99% 5.35% 0.78% 2.50% 17.98% 13.07% 3.8% 2.4% 10.9% 10.3% 23.9% 22.6% KBWB Large Banks 4.62% 5.00% 1.27% 5.99% 17.90% 5.9% 7.9% 23.3% 16.0% 21.3% 25.1% KRE Regional Banks 6.58% 11.66% 9.27% 17.15% 20.37% 17.19% 5.9% 7.9% 23.3% 16.0% 21.3% 25.1% KCE Capital Markets 4.88% 4.19% -6.98% -3.81% 14.79% 8.58% -7.3% -17.8% -11.5% -8.4% 74.1% 21.7% KIE Insurance 1.71% 6.18% 7.51% 10.89% 20.31% 15.17% 3.2% 18.1% 94.3% 66.8% 45.8% 23.3% XLV Healthcare -0.32% 1.25% -4.43% 3.55% 22.80% 20.73% -1.1% -4.1% 1.6% 20.3% 33.5% 29.5% IBB Biotech & Pharma 2.74% -2.23% -8.38% 10.04% 34.21% 30.97% -1.2% -0.2% 6.5% 31.4% 42.1% 28.4% BBH Large Biotech 0.54% -1.23% -7.57% 6.29% 31.88% 33.75% -1.2% -0.2% 6.5% 31.4% 42.1% 28.4% IHI HC Eq. & Supplies 2.83% 3.48% 2.91% 9.29% 22.65% 18.31% 0.8% -11.0% -4.6% -14.4% 13.7% 3.4% IHF HC Providers & Serv -0.88% -6.85% % 6.70% 23.03% 19.51% -6.6% -9.4% 3.0% 35.1% 44.8% 45.3% PPH Large Pharma -0.25% -4.44% % -0.38% 20.12% 18.77% -3.1% -14.7% -15.3% -6.7% 20.2% 13.6% XLI Industrials 0.87% 7.32% -0.88% -1.81% 16.14% 13.22% 1.9% 5.9% -5.7% -20.2% 20.0% 11.4% ITA Aerospace & Def 1.45% 5.95% -0.90% 6.20% 23.08% 17.95% 18.4% 20.4% 14.2% 63.1% 86.9% 29.5% IYT Transportation -0.13% 3.64% -1.64% % 18.17% 11.91% -8.0% 0.5% -16.7% -45.1% 11.5% 1.5% XLB Materials 0.99% 6.06% -8.71% -5.08% 9.98% 7.70% 2.1% -2.6% -11.7% -17.8% -11.5% -5.9% XME Metals & Mining -6.62% % % % % % 1.6% 10.3% 4.3% 17.9% -15.9% -4.5% VNQ Real Estate -0.63% 8.31% 2.33% 2.48% 11.64% 12.37% 2.3% 4.7% 4.0% 3.2% 11.5% 18.3% VGT Technology 1.19% 10.28% 2.06% 6.57% 18.74% 15.09% 5.7% 10.4% 4.6% 2.4% 15.4% 14.8% IGN Comm. Equipment -0.10% 3.88% -4.06% 5.43% 12.53% 5.02% FDN Int. Software & Serv. 2.53% 11.47% 13.76% 22.73% 26.04% 18.08% 16.2% 29.2% 50.3% 96.5% 87.7% 57.5% SMH Semiconductors 2.93% 12.61% -6.70% 1.60% 22.28% 15.22% 16.8% 4.7% -8.5% -1.0% 2.4% -12.1% IGV Software 2.09% 10.94% 4.71% 13.83% 20.02% 14.15% -4.7% 10.7% -19.7% -24.1% -3.4% 7.4% VOX Telecom -1.01% 4.33% -0.74% -0.26% 10.65% 10.23% 7.8% 8.6% -16.7% 2.1% 9.7% 3.2% XLU Utilities -2.13% 1.81% -1.97% -3.58% 10.65% 11.04% -9.0% -9.3% -4.0% -4.1% -1.4% 5.1% Source: Deutsche Bank, FactSet, Bloomberg Finance LP. Note: Data as of the end of last month; performance is Total Returns; Cash flows are based on US-listed ETFs and ETVs excluding leveraged, inverse products, and ETNs. Asset Classes that had less than $500 million in AUM at the beginning of all periods are excluded from the Net Cash Flow calculations. Green cells correspond to largest values, while red cells correspond to lowest values. Figures over 1Y are annualized. The ETFs mentioned in this figure are provided as reference and have been selected as investable and representative vehicles for each asset class considering the product s asset class representation, liquidity, size, cost, and ease to borrow for tactical or risk hedging purposes; however, they should not be seen as the only or best alternative for each asset class as finding the right product will depend on the specific investor s objective and intended usage. Please refer to Product Type Definitions on Appendix C for further details on product selection criteria depending on product usage. Page 13

14 Figure 15: US Equity Risk and Risk-adjusted Performance Measures Ticker Asset Class Annualized Volatility Max Drawdown Sharpe (TR / Vol) 1M 3M 6M 1Y 3Y 5Y 1Y 3Y 5Y 1Y 3Y 5Y VTI US Total Market 12.4% 16.7% 17.0% 15.0% 12.6% 15.6% -12.1% -12.1% -20.3% SPY S&P 500 (Large Cap) 12.1% 16.5% 17.1% 15.2% 12.5% 15.2% -11.9% -11.9% -18.6% DIA DJI 11.7% 16.0% 16.8% 15.1% 12.1% 14.2% -13.9% -13.9% -16.0% QQQ NASDAQ % 18.8% 20.1% 17.5% 14.7% 16.9% -13.9% -13.9% -16.1% IWF Russell 1000 Growth 12.1% 16.5% 17.4% 15.3% 12.9% 15.5% -11.7% -11.7% -18.3% IWD Russell 1000 Value 12.4% 16.8% 17.1% 15.1% 12.5% 15.7% -13.4% -13.4% -21.4% (0.1) MDY S&P 400 (Mid Cap) 14.3% 16.9% 16.7% 15.0% 13.7% 17.9% -12.5% -12.5% -26.2% IWM Russell 2000 (SM Cap) 15.0% 19.4% 18.0% 16.6% 15.6% 20.1% -16.1% -16.1% -28.9% VIG Div. Growth 11.0% 15.0% 15.9% 14.3% 11.8% 14.0% -12.1% -12.1% -16.9% (0.1) DVY Div. Yield 12.8% 15.0% 14.6% 13.6% 11.5% 13.2% -12.0% -12.0% -15.6% VYM Div. Yield 11.2% 16.0% 16.7% 14.8% 11.8% 13.4% -13.0% -13.0% -15.1% SDY Div. Yield & Growth 12.4% 14.9% 15.2% 13.7% 11.6% 13.8% -10.8% -10.8% -16.1% XLY Cons. Discretionary 15.9% 17.5% 18.0% 16.0% 14.0% 16.4% -11.4% -11.4% -18.4% PEJ Hotels, Rest & Leisure 15.8% 19.8% 19.5% 18.4% 16.2% 19.0% -13.2% -13.4% -23.9% XHB Home Builders 17.0% 21.8% 19.8% 18.8% 19.3% 24.0% -13.7% -17.7% -33.8% ITB Household Durables 19.6% 24.2% 22.4% 21.9% 23.2% 27.5% -13.5% -21.2% -40.3% PBS Media 12.1% 17.3% 17.7% 15.8% 15.7% 18.8% -16.9% -16.9% -27.7% XRT Retail 25.5% 21.3% 19.8% 17.5% 15.6% 19.3% -16.6% -16.6% -22.2% (0.3) XLP Cons. Staples 13.0% 15.0% 15.1% 13.4% 11.5% 11.8% -10.1% -10.1% -11.9% PBJ Food Products 17.1% 17.8% 16.6% 14.6% 13.1% 14.5% -9.5% -9.5% -15.7% XLE Energy 25.5% 27.0% 26.6% 24.6% 19.1% 22.0% -28.1% -40.1% -40.1% (0.5) OIH Energy Eq. & Serv. 33.0% 36.1% 36.0% 33.3% 25.3% 28.4% -31.8% -52.9% -52.9% (0.5) (0.2) (0.2) XES Energy Eq. & Serv. 43.5% 46.3% 44.2% 40.7% 29.3% 31.8% -41.3% -63.8% -63.8% (0.7) (0.5) (0.3) IEZ Energy Eq. & Serv. 33.8% 37.1% 35.9% 33.1% 25.2% 29.0% -33.6% -53.0% -53.0% (0.6) (0.2) (0.1) XOP Energy E&P 37.4% 42.2% 41.2% 40.5% 31.4% 33.4% -42.5% -61.3% -61.3% (0.6) (0.3) (0.1) IEO Energy E&P 28.2% 31.9% 31.2% 29.4% 23.5% 26.8% -32.0% -45.1% -45.1% (0.4) AMLP MLPs 26.8% 35.7% 28.9% 23.4% 16.2% 14.6% -32.9% -36.0% -36.0% (1.1) (0.2) 0.1 XLF Financials 12.9% 18.6% 19.0% 17.0% 14.7% 20.4% -12.7% -12.7% -33.7% KBWB Large Banks 16.7% 22.9% 22.8% 20.6% 17.3% -15.5% -15.5% KRE Regional Banks 18.1% 23.5% 22.3% 21.1% 18.1% 23.5% -15.0% -15.0% -31.7% KCE Capital Markets 18.7% 24.2% 21.6% 19.5% 18.2% 23.3% -21.9% -21.9% -40.5% (0.2) KIE Insurance 12.2% 14.8% 15.8% 14.6% 13.1% 18.8% -9.4% -9.4% -34.0% XLV Healthcare 17.0% 21.8% 20.8% 18.3% 14.9% 15.3% -16.4% -16.4% -17.3% IBB Biotech & Pharma 24.5% 36.0% 32.3% 28.7% 24.9% 23.8% -27.3% -27.3% -27.3% BBH Large Biotech 21.9% 32.1% 30.1% 27.2% 24.7% 22.9% -24.0% -24.0% -24.0% IHI HC Eq. & Supplies 14.0% 19.5% 18.2% 16.4% 14.0% 17.5% -14.2% -14.2% -22.0% IHF HC Providers & Serv 24.0% 26.6% 22.9% 19.8% 15.8% 18.4% -18.9% -18.9% -27.2% PPH Large Pharma 14.1% 21.8% 20.0% 17.2% 14.0% 14.3% -17.5% -17.5% -17.5% (0.0) XLI Industrials 10.8% 17.7% 17.7% 16.0% 14.2% 17.8% -15.0% -15.0% -25.8% (0.1) ITA Aerospace & Def 13.9% 17.5% 17.5% 15.9% 14.8% 17.9% -14.1% -14.1% -23.2% IYT Transportation 13.5% 19.2% 19.6% 17.9% 16.6% 19.7% -18.4% -18.4% -28.1% (0.6) XLB Materials 13.7% 20.2% 20.2% 18.1% 15.4% 19.9% -24.2% -24.2% -29.5% (0.3) XME Metals & Mining 32.8% 38.3% 37.8% 32.6% 27.0% 31.2% -53.1% -65.1% -78.2% (1.6) (1.0) (0.7) VNQ Real Estate 19.0% 16.6% 17.3% 16.8% 14.5% 18.2% -17.2% -18.0% -22.6% VGT Technology 13.4% 18.5% 19.6% 17.7% 14.7% 17.4% -14.0% -14.0% -19.6% IGN Comm. Equipment 16.2% 19.0% 19.2% 17.2% 16.9% 22.1% -13.6% -13.6% -39.5% FDN Int. Software & Serv. 15.9% 20.4% 21.5% 18.9% 18.5% 20.9% -12.8% -19.5% -26.0% SMH Semiconductors 18.6% 23.2% 23.6% 21.7% 18.7% 21.1% -23.7% -23.7% -25.1% IGV Software 12.6% 18.3% 19.3% 17.9% 16.2% 20.2% -13.0% -13.0% -26.3% VOX Telecom 10.8% 16.8% 16.4% 15.2% 13.2% 15.1% -12.3% -12.3% -19.8% (0.0) XLU Utilities 18.2% 16.7% 17.0% 17.1% 14.3% 14.0% -15.7% -15.7% -15.7% (0.2) Source: Deutsche Bank Factset. Note: Data as of the end of last month; Calculations based on total returns; Volatility based on daily total returns annualized using a 252 day factor; Sharpe ratio calculation assumes Risk Free rate equal to zero. For Max DD and Sharpe calculations, green cells correspond to largest values, while red cells correspond to lowest values. For Volatility calculations, green cells are the least volatile (lowest values), while red cells are the most volatile (highest values). The ETFs mentioned in this figure are provided as reference and have been selected as investable and representative vehicles for each asset class considering the product s asset class representation, liquidity, size, cost, and ease to borrow for tactical or risk hedging purposes; however, they should not be seen as the only or best alternative for each asset class as finding the right product will depend on the specific investor s objective and intended usage. Please refer to Product Type Definitions on Appendix C for further details on product selection criteria depending on product usage. Page 14

15 International Equity Allocator heatmaps Figure 16: International Equity Performance and Net ETF Cash Flow Trends Ticker Asset Class Total Return ETF Net Cash Flows as % of Initial AUM 1M Chg 3M Chg 6M Chg 1Y Chg 3Y Ann 5Y Ann 1M 3M 6M 1Y 3Y Ann 5Y Ann EFA Intl DM -0.75% 1.13% -7.45% -2.69% 6.41% 5.44% 1.7% 3.8% 9.7% 43.6% 39.4% 28.9% EWC Canada -2.23% -4.12% % % -3.98% -2.47% -1.2% 2.6% -10.8% -10.7% -18.5% -7.8% EIS Israel 0.38% 0.60% -0.74% 6.56% 7.86% 0.58% VGK Europe -1.25% 0.26% -7.42% -4.03% 6.66% 6.40% 0.6% 3.2% 15.4% 41.8% 56.8% 40.5% EDEN Denmark 4.06% 2.13% 0.67% 14.12% 22.94% NORW Norway 0.11% -1.28% % % -6.99% -1.34% EWD Sweden 0.40% -0.21% -7.73% -5.86% 5.71% 5.02% EWL Switzerland -2.77% -2.92% % -4.71% 8.08% 8.85% 1.8% 0.2% 6.0% 30.9% 23.1% 23.3% EWU UK -1.66% 0.70% -9.50% -6.26% 3.30% 5.19% 0.0% -15.1% 0.4% 5.3% 32.5% 27.3% EZU Eurozone -0.79% 1.50% -5.08% -3.56% 7.31% 5.31% 0.4% 4.1% 12.4% 116.1% 87.4% 72.9% EWO Austria -1.56% 1.16% -5.17% -2.09% -0.24% -1.44% EWK Belgium 1.48% 4.84% 1.33% 8.81% 13.99% 11.31% EFNL Finland 0.67% 4.89% -0.74% 0.54% 13.09% EWQ France -2.33% 0.68% -4.88% -1.77% 6.74% 5.23% EWG Germany 0.52% 3.45% -4.76% -3.71% 6.96% 6.18% -6.1% -14.9% -7.9% 65.5% 27.3% 36.6% EIRL Ireland 2.31% -0.39% 3.14% 16.99% 21.81% 19.08% EWI Italy -2.84% -2.77% -5.89% -0.91% 6.56% 1.75% -0.3% 22.1% 41.0% 48.6% 58.8% 74.1% EWN Netherlands -1.08% 1.06% -5.83% 0.79% 9.82% 7.83% PGAL Portugal -5.56% -3.04% % % EWP Spain -3.18% -4.93% % % 5.78% 2.76% -3.5% -5.4% -0.8% 6.0% 109.0% 66.5% EWJ Japan 0.49% 2.15% -4.66% 7.71% 11.38% 5.41% 0.6% 1.8% 8.5% 34.4% 85.8% 53.1% EPP Pacific ex JP -0.46% 2.80% % % -1.65% 1.58% -1.8% -4.0% -12.3% -12.5% -8.6% -7.0% EWA Australia 0.90% 2.36% % % -3.72% 0.80% -1.9% 7.9% -2.6% -6.9% -8.5% -8.9% EWH Hong Kong -2.05% 4.20% % -5.25% 4.67% 4.19% -1.6% -8.7% -16.0% -8.8% -0.5% 6.6% ENZL New Zealand -1.55% 11.02% -3.74% -5.71% 5.86% 10.12% EWS Singapore -5.49% -0.66% % % -4.61% -1.00% -0.3% -4.3% -13.0% -15.7% -19.5% -17.5% EEM EM -2.52% 0.44% % % -4.85% -3.51% -0.8% -0.3% -7.3% -5.2% -0.7% 2.3% ILF Latin America -3.50% -6.69% % % % % 0.9% 3.0% -11.1% -27.7% -12.9% -6.4% EWZ Brazil -1.53% -9.49% % % % % -0.2% -1.0% -10.9% -26.8% -18.6% -6.4% ECH Chile -7.02% -7.39% % % % % -10.6% -5.2% -9.5% -22.5% -5.8% -7.3% GXG Colombia % % % % % % EWW Mexico -2.07% 1.40% -7.76% % -5.99% -0.55% -3.1% 2.2% -19.7% -40.5% 8.2% 2.5% EPU Peru -6.11% -6.88% % % % % 0.0% -8.9% -13.2% -31.2% -10.5% -6.5% EEMA EM Asia -2.88% 4.18% % % 0.03% -3.2% -6.0% -13.4% 5.0% 10.9% 4.8% FXI China H -2.14% 4.29% % -6.12% 2.47% -0.67% -2.8% -5.2% -6.6% 11.9% 2.8% 1.7% ASHR China A 1.13% 12.14% % 18.89% -15.7% -10.9% -43.9% -50.9% 172.1% 61.6% INDA India -3.58% -2.24% -9.74% % 2.78% -1.2% -1.1% -11.1% 35.2% 52.6% 27.7% EIDO Indonesia 1.34% 2.46% % % % -4.72% -1.9% -2.6% -23.8% -35.9% -6.3% -6.4% EWM Malaysia 3.01% 4.02% % % -7.56% -1.84% -7.6% -1.1% -18.7% -39.8% -23.7% -16.9% EPHE Philippines -2.44% -1.58% % % 1.63% 9.42% EWY South Korea -2.87% 10.41% -8.62% -6.02% -2.94% 0.52% 0.3% -5.8% -10.8% -14.5% 11.2% 0.8% EWT Taiwan -2.66% 1.27% % % 1.88% 1.57% -10.2% -13.1% -17.4% 1.4% 4.8% 1.7% THD Thailand -1.69% -0.65% % % -3.64% 2.99% -1.4% -2.6% -27.3% -42.1% -21.8% -18.2% GUR EM Europe -3.77% -3.42% % % % -9.10% -1.5% 4.3% -0.8% 12.5% 18.9% 10.9% GREK Greece % -5.33% % % % EPOL Poland -9.06% % % % -9.30% -6.35% RSX Russia -0.12% -0.77% % % % % -0.9% 8.6% 0.1% 13.1% 20.8% 12.7% TUR Turkey -4.84% 0.18% % % % -8.69% -3.6% -12.7% -12.5% 7.5% -4.3% -3.4% MES Middle East -7.86% % % % 5.27% 2.26% QAT Qatar % % % % UAE UAE -6.32% % % % AFK Africa -7.84% -9.01% % % % -7.94% 0.8% 5.3% 1.7% -3.0% 1.0% -2.3% EGPT Egypt % -9.71% % % -6.49% % EZA South Africa -6.27% -7.15% % % -3.89% -1.64% 4.2% 13.0% 8.0% -0.4% -0.9% -5.3% FM Frontier Market -5.57% -4.68% % % 3.46% -1.4% -2.4% -2.2% 3.6% 48.2% 30.2% ARGT Argentina -5.36% 4.69% % -8.59% 6.13% NGE Nigeria -4.73% -9.59% % % PAK Pakistan -6.77% % % VNM Vietnam -8.25% -4.42% % % 2.64% -7.20% -0.5% 0.7% 3.8% 5.8% 24.4% 25.2% BKF BRIC -1.72% 0.78% % % -4.72% -6.08% -1.3% -4.8% -12.6% -27.9% -29.5% -20.1% Source: Deutsche Bank, FactSet, Bloomberg Finance LP. Note: Data as of the end of last month; performance is Total Returns; Cash flows are based on US-listed ETFs and ETVs excluding leveraged, inverse products, and ETNs. Asset Classes that had less than $500 million in AUM at the beginning of all periods are excluded from the Net Cash Flow calculations. Green cells correspond to largest values, while red cells correspond to lowest values. Figures over 1Y are annualized. The ETFs mentioned in this figure are provided as reference and have been selected as investable and representative vehicles for each asset class considering the product s asset class representation, liquidity, size, cost, and ease to borrow for tactical or risk hedging purposes; however, they should not be seen as the only or best alternative for each asset class as finding the right product will depend on the specific investor s objective and intended usage. Please refer to Product Type Definitions on Appendix C for further details on product selection criteria depending on product usage. Page 15

16 Figure 17: International Equity Risk and Risk-adjusted Performance Measures Ticker Asset Class Annualized Volatility Max Drawdown Sharpe (TR / Vol) 1M 3M 6M 1Y 3Y 5Y 1Y 3Y 5Y 1Y 3Y 5Y EFA Intl DM 10.6% 17.9% 18.3% 16.6% 14.2% 19.2% -16.4% -16.6% -25.9% (0.2) EWC Canada 15.6% 21.4% 20.0% 18.8% 14.8% 18.0% -24.0% -30.8% -30.8% (1.1) (0.3) (0.1) EIS Israel 12.1% 16.8% 17.6% 15.7% 14.3% 19.3% -15.2% -15.2% -40.3% VGK Europe 12.6% 18.0% 18.7% 17.7% 15.3% 22.2% -16.1% -18.0% -30.2% (0.2) EDEN Denmark 12.4% 13.8% 17.9% 17.1% 16.2% -8.9% -17.2% NORW Norway 16.0% 23.9% 25.5% 25.9% 21.3% 27.0% -28.3% -42.9% -42.9% (0.6) (0.3) (0.0) EWD Sweden 12.3% 19.8% 20.5% 19.4% 18.0% 26.3% -17.2% -19.6% -36.2% (0.3) EWL Switzerland 11.0% 15.1% 15.6% 15.1% 13.3% 17.3% -15.4% -15.4% -25.5% (0.3) EWU UK 15.7% 21.6% 19.9% 18.6% 14.8% 19.1% -18.0% -21.9% -22.9% (0.3) EZU Eurozone 12.9% 18.3% 20.7% 20.0% 17.5% 24.8% -15.8% -20.4% -37.6% (0.2) EWO Austria 16.2% 17.5% 19.1% 19.5% 17.6% 24.9% -18.3% -29.2% -45.9% (0.1) (0.0) (0.1) EWK Belgium 12.5% 14.8% 16.7% 16.7% 15.3% 20.5% -11.1% -15.0% -33.3% EFNL Finland 13.0% 17.7% 19.8% 19.0% 18.6% -14.6% -17.1% EWQ France 13.8% 19.0% 21.1% 20.3% 17.8% 25.1% -14.3% -21.6% -36.2% (0.1) EWG Germany 15.2% 20.1% 21.7% 20.7% 17.6% 25.1% -19.2% -21.9% -37.8% (0.2) EIRL Ireland 11.1% 14.8% 16.2% 17.0% 16.4% 21.9% -7.9% -22.7% -27.3% EWI Italy 15.9% 21.5% 25.8% 24.7% 23.3% 30.8% -13.4% -29.1% -51.1% (0.0) EWN Netherlands 14.0% 18.1% 19.7% 19.0% 16.0% 22.0% -15.3% -15.3% -33.9% PGAL Portugal 19.7% 23.2% 26.0% 26.4% -23.9% (0.5) EWP Spain 13.6% 18.8% 21.8% 22.7% 21.8% 29.3% -21.5% -30.4% -50.9% (0.8) EWJ Japan 9.7% 21.0% 20.8% 18.0% 17.8% 18.7% -15.6% -15.6% -23.9% EPP Pacific ex JP 16.4% 22.0% 24.1% 19.9% 16.5% 20.7% -25.6% -28.0% -28.8% (0.6) (0.1) 0.1 EWA Australia 19.7% 25.0% 27.3% 23.4% 19.0% 22.9% -27.2% -32.9% -32.9% (0.6) (0.2) 0.0 EWH Hong Kong 14.5% 21.9% 25.6% 21.6% 17.5% 19.1% -24.6% -24.6% -29.7% (0.2) ENZL New Zealand 10.7% 15.6% 17.2% 16.5% 15.5% 18.4% -22.9% -23.2% -23.2% (0.3) EWS Singapore 17.3% 20.2% 19.8% 16.8% 14.4% 18.2% -26.6% -27.0% -27.0% (1.1) (0.3) (0.1) EEM EM 20.2% 23.9% 24.0% 21.0% 18.5% 22.2% -28.4% -30.2% -31.8% (0.8) (0.3) (0.2) ILF Latin America 27.6% 29.0% 27.7% 27.2% 23.5% 24.3% -38.0% -49.6% -55.5% (1.3) (0.7) (0.5) EWZ Brazil 45.1% 42.9% 37.5% 35.2% 29.4% 28.8% -49.1% -61.1% -70.4% (1.3) (0.7) (0.6) ECH Chile 16.3% 21.7% 22.6% 19.8% 19.2% 21.5% -26.7% -50.8% -57.2% (1.1) (0.9) (0.7) GXG Colombia 30.6% 30.7% 29.9% 29.7% 21.3% 21.0% -48.3% -64.9% -64.9% (1.6) (1.3) (0.8) EWW Mexico 16.0% 18.0% 19.0% 19.9% 18.8% 21.3% -23.9% -33.6% -33.6% (0.8) (0.3) (0.0) EPU Peru 13.0% 18.3% 23.1% 20.1% 17.9% 22.1% -37.5% -55.1% -55.1% (1.7) (1.1) (0.6) EEMA EM Asia 15.3% 23.3% 26.4% 21.8% 17.8% -31.5% -31.5% (0.5) 0.0 FXI China H 19.4% 29.8% 33.2% 30.0% 24.1% 25.7% -36.0% -36.0% -36.0% (0.2) 0.1 (0.0) ASHR China A 42.2% 46.7% 64.8% 54.5% -45.4% 0.3 INDA India 16.6% 21.4% 23.5% 22.7% 23.1% -20.1% -29.6% (0.6) 0.1 EIDO Indonesia 30.4% 37.7% 36.3% 29.8% 29.6% 29.9% -40.6% -52.1% -52.1% (0.8) (0.4) (0.2) EWM Malaysia 25.5% 29.9% 27.7% 23.6% 18.4% 18.1% -33.1% -40.2% -40.2% (1.1) (0.4) (0.1) EPHE Philippines 21.5% 23.3% 24.1% 20.1% 22.5% 22.1% -24.2% -31.8% -31.8% (0.5) EWY South Korea 19.8% 23.0% 21.7% 18.6% 17.5% 23.2% -29.0% -32.8% -34.7% (0.3) (0.2) 0.0 EWT Taiwan 20.2% 22.4% 24.7% 21.0% 17.4% 20.3% -29.6% -29.6% -29.6% (0.6) THD Thailand 22.0% 24.2% 23.3% 21.8% 23.7% 24.9% -27.6% -33.7% -33.7% (1.0) (0.2) 0.1 GUR EM Europe 24.4% 24.0% 26.8% 28.7% 24.0% 27.7% -28.7% -45.3% -54.6% (0.8) (0.5) (0.3) GREK Greece 33.1% 37.7% 58.4% 62.2% 47.1% -49.7% -65.8% (0.7) (0.4) EPOL Poland 21.7% 22.0% 23.4% 23.3% 22.8% 29.2% -29.8% -38.1% -45.7% (1.2) (0.4) (0.2) RSX Russia 34.9% 35.9% 36.3% 45.8% 33.7% 34.3% -30.9% -53.9% -65.3% (0.2) (0.4) (0.3) TUR Turkey 43.5% 36.1% 35.0% 33.0% 31.4% 32.5% -40.1% -52.6% -52.6% (1.0) (0.4) (0.3) MES Middle East 16.1% 20.2% 23.5% 25.6% 20.8% 20.5% -25.0% -33.5% -33.5% (1.0) QAT Qatar 19.9% 22.2% 23.6% 23.8% -23.7% (1.0) UAE UAE 22.4% 23.4% 28.4% 30.1% -27.5% (0.8) AFK Africa 18.1% 20.2% 19.6% 19.2% 16.2% 18.3% -32.5% -43.8% -43.8% (1.7) (0.8) (0.4) EGPT Egypt 26.4% 27.5% 31.0% 29.2% 26.5% 29.7% -45.7% -51.5% -53.8% (1.6) (0.2) (0.4) EZA South Africa 31.9% 34.7% 30.8% 28.9% 25.7% 27.8% -28.6% -28.6% -28.6% (0.7) (0.2) (0.1) FM Frontier Market 14.5% 15.8% 16.5% 16.1% 13.7% -19.4% -28.1% (1.1) 0.3 ARGT Argentina 19.0% 28.1% 29.2% 25.4% 23.9% -31.1% -34.0% (0.3) 0.3 NGE Nigeria 17.8% 21.4% 23.6% 33.7% -34.5% (1.0) PAK Pakistan 12.7% 12.7% 14.1% VNM Vietnam 17.6% 25.5% 28.2% 24.7% 24.7% 27.7% -28.4% -37.7% -51.1% (0.9) 0.1 (0.3) BKF BRIC 18.5% 25.5% 27.3% 24.6% 20.5% 23.3% -30.2% -30.2% -38.6% (0.6) (0.2) (0.3) Source: Deutsche Bank Factset. Note: Data as of the end of last month; Calculations based on total returns; Volatility based on daily total returns annualized using a 252 day factor; Sharpe ratio calculation assumes Risk Free rate equal to zero. For Max DD and Sharpe calculations, green cells correspond to largest values, while red cells correspond to lowest values. For Volatility calculations, green cells are the least volatile (lowest values), while red cells are the most volatile (highest values). The ETFs mentioned in this figure are provided as reference and have been selected as investable and representative vehicles for each asset class considering the product s asset class representation, liquidity, size, cost, and ease to borrow for tactical or risk hedging purposes; however, they should not be seen as the only or best alternative for each asset class as finding the right product will depend on the specific investor s objective and intended usage. Please refer to Product Type Definitions on Appendix C for further details on product selection criteria depending on product usage. Page 16

17 Page 17 Cross Asset Correlations (3Y) Figure 18: 3-Year Cross Asset Class Correlations of Weekly Total Returns Category Ticker ACWI VTI EFA EEM AGG GOVT TIP MUB MBB LQD HYG FLOT BKLN PFF CWB BWX WIP EMB EMLC EMCB DBC DBE DBA DBB DBP UUP FXY FXE Global Equities ACWI US Total Market VTI Intl DM EFA EM EEM US Agg Bond IG AGG US Treasury GOVT US Inflation TIP Municipal MUB MBS MBB IG Corporates LQD HY Corporates HYG Floater FLOT Senior Loans BKLN Preferred PFF Convertible CWB Intl DM Debt BWX Intl Inflation WIP EM Gov Debt USD EMB EM Gov Debt Local EMLC EM Corp USD EMCB Commodities DBC Energy Cmdty DBE Agriculture DBA Industrial Metals DBB Precious Metals DBP Bull USD UUP JPYUSD FXY EURUSD FXE Source: Deutsche Bank, FactSet. Data as of the end of last month. Green cells denote highest correlations, while red cells denote lowest correlations. Figure 19: 26W Rolling Correlation for Global Equities vs. Other Asset Classes (5Y) Global Equities - 26W Rolling Correlation Dec-10 Dec-11 Dec-12 Dec-13 Dec-14 US Agg Bond IG Commodities Real Estate Bull USD Gold Source: Deutsche Bank, FactSet. Correlations based on weekly total returns of US-listed ETFs: Global Equities (ACWI), US Agg Bond IG (AGG), Commodities (DBC), Real Estate (VNQ), and Gold (GLD). Figure 20: 26W Rolling Correlation for US Equities vs. Other Equities (5Y) US Equities - 26W Rolling Correlation Dec-10 Dec-11 Dec-12 Dec-13 Dec-14 DM Intl EM Japan Pacific ex JP Europe Source: Deutsche Bank, FactSet. Correlations based on weekly total returns of US-listed ETFs: US Equity (VTI), DM Intl (EFA), EM (EEM), Japan (EWJ), Pacific ex JP (EPP), and Europe (VGK). Figure 21: 26W Rolling Correlation for US Fixed Income vs. Other Fixed Income segments (5Y) US Fixed Income - 26W Rolling Correlation Dec-10 Dec-11 Dec-12 Dec-13 Dec-14 US Treasury IG Corp HY Corp Sr Loans Source: Deutsche Bank, FactSet. Correlations based on weekly total returns of US-listed ETFs: US Fixed Income (AGG), US Treasury (GOVT), IG Corp (LQD), HY Corp (HYG), and Sr Loans (BKLN)

18 Nov-14 Dec-14 Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Nov-14 Dec-14 Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Nov-14 Dec-14 Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Nov-14 Dec-14 Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Nov-14 Dec-14 Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Nov-14 Dec-14 Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Nov-14 Dec-14 Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Nov-14 Dec-14 Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Nov-14 Dec-14 Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 9 December Month Relative Performance Monitor 2 Figure 22: Cross Asset Class Figure 23: Global Equities Figure 24: US Equity Size and Style Global Equities/Fixed Income (Broad) Global Equities/Commodities US Total Market/Intl DM US Total Market/EM S&P 500/Russell 2000 (SM Cap) Russell 1000 Growth/Russell 1000 Value Source: Deutsche Bank, FactSet. Total Returns as of 30-nov-15 Source: Deutsche Bank, FactSet. Total Returns as of 30-nov-15 Source: Deutsche Bank, FactSet. Total Returns as of 30-nov-15 Figure 25: US Equity Sectors Figure 26: Intl DM Equities Figure 27: EM Equities Healthcare/Energy Technology/Industrials Financials/Real Estate Financials/Utilities Eurozone/Europe Japan/Pacific ex JP EM Asia/Latin America China H/China A Source: Deutsche Bank, FactSet. Total Returns as of 30-nov-15 Source: Deutsche Bank, FactSet. Total Returns as of 30-nov-15 Source: Deutsche Bank, FactSet. Total Returns as of 30-nov-15 Figure 28: Fixed Income Credit HY Corporates/US Treasury HY Corporates/IG Corporates Figure 29: Fixed Income duration and EM debt UST Short/UST Long EM Gov Debt USD/EM Gov Debt Local Figure 30: Precious Metals Gold/Silver Gold/Platinum Gold/Palladium Source: Deutsche Bank, FactSet. Total Returns as of 30-nov-15 Source: Deutsche Bank, FactSet. Total Returns as of 30-nov-15 Source: Deutsche Bank, FactSet. Total Returns as of 30-nov-15 2 Performance for each asset class is based on the ETFs mentioned in the heatmaps presented earlier in this section. Page 18

19 Bnchmrk Normalized Level (100) House View Port. 9 December 2015 House View Portfolio: Monthly Brief Our House View Portfolio (HVP) was up by 1.09% in November outperforming Global Equities (ACWI) and its benchmark which were down by 0.53% and 1.67% during the same period, respectively. YTD the HVP was up by 5.8% as of the end of last month compared to losses of 0.11% and 4.5% for Global Equities and its benchmark on a YTD basis, respectively. Figure 31: House View Portfolio ETF TER Target Actual Position Asset Weight Weight Direction Type Class Exposure QQQ 0.20% 15% 15.7% Long Core Equity US Large Caps XLU 0.14% 5% 4.8% Long Satellite Equity US Utilities DXJ 0.48% 15% 15.5% Long Core Equity Japan DBEU 0.45% 25% 25.2% Long Core Equity Europe EPI 0.83% 5% 4.6% Long Satellite Equity India FXI 0.74% 5% 4.7% Long Satellite Equity China LQD 0.15% 10% 9.7% Long Core Credit Inv. Grade IEF 0.15% 10% 9.6% Long Satellite Rates Intermediate UST UUP 0.80% 10% 10.2% Long Core FX Long USD The HVP was up by 1.09% in November with major contributions from the currency hedged positions in European and Japanese equities; in addition to its long USD position. Source: Deutsche Bank. Actual weights as of the end of last month. Last rebalance as of 7-Oct-15. Figure 32: Portfolio performance vs. Global Equities and Benchmark since inception (10/01/2012) 150 House View Port. ACWI Bnchmk Oct-12 Apr-13 Oct-13 Apr-14 Oct-14 Apr-15 Oct-15 Figure 33: Monthly performance of portfolio and benchmark positions Eq. US Large Caps (QQQ) Eq. US Utilities (XLU) Eq. Japan (DXJ) Eq. Eurozone (DBEU) Eq. India (EPI) Eq. China (FXI) Intermediate UST (IEF) Inv. Grade (LQD) FX Long USD (UUP) Equity (ACWI) Comdty (DBC) Fixed Income (BND) Performance -8% -6% -4% -2% 0% 2% 4% Source: Deutsche Bank, FactSet. Benchmark is 50% Global Equities (ACWI), 30% Fixed Income (BND), and 20% Commodities (DBC) rebalanced at the end of each calendar quarter. Source: Deutsche Bank, FactSet. Data as of last month. Figure 34: Asset Class allocation Figure 35: Global Equity Allocation Figure 36: Regional Equity Allocation 80% 70% 60% 50% 40% 30% 20% 10% 0% Target Actual Equity Fixed Income Alternatives 45% 40% 35% 30% 25% 20% 15% 10% 5% 0% Target Actual US DM Intl EM 30% 25% 20% 15% 10% 5% 0% North America Target Actual Europe Japan Asia ex JP Source: Deutsche Bank, FactSet. Source: Deutsche Bank, FactSet. Source: Deutsche Bank, FactSet. Page 19

20 Business Intelligence New Listings There were twenty one new ETFs listed during the previous month; eight of these were listed in the NYSE Arca; eight were listed in the BATS, while the remaining five were listed in the NASDAQ. The new products offer FX hedged exposure to Global Markets, EAFE DM, EM, and Europe; exposure to Europe Small-Cap, FX hedged exposure to EM and DM ex-us, respectively, applying a tilt to small cap and value stocks using a multi-factor modeling approach; exposure to real assets investing in ETFs, DM ex-us, Global ex-us companies in which hedge funds and institutional investors have disclosed significant exposure through ADRs, the Russell 1000 Index and the FTSE Developed ex US Index focused on five factors (Quality, Value, Momentum, Low Volatility, and Size), high dividend yielding Global Small-Cap stocks, including a FX hedged version; exposure to the companies in the Russell 1000 Index and the FTSE Developed ex US Index with low beta characteristics, respectively; two thematic funds, one offering exposure to Israeli technology companies and the other to US companies with low carbon impact; two actively managed ETFs offering exposure to US and non-us Real Estate securities and a portfolio of US and non-us convertible securities, respectively; and Global ex-us dollar denominated IG bonds. Figure 37: Products listed during last month Ticker Name Asset Class & Listing AUM TER Structure Date $MM ALFI AlphaClone International ETF Equity ETF 10-Nov % 2 ITEQ BlueStar TA-BIGTech Israel Technology ETF Equity ETF 3-Nov % 3 DEEF Deutsche X-Trackers FTSE Developed EX US Enhanced Beta ETF Equity ETF 26-Nov % 2 DEUS Deutsche X-Trackers Russell 1000 Enhanced Beta ETF Equity ETF 25-Nov % 3 ETHO Etho Climate Leadership US ETF Equity ETF 19-Nov % 3 PRME First Trust Heitman Global Prime Real Estate ETF Equity ETF 12-Nov % 2 FCVT First Trust SSI Strategic Convertible Securities ETF Fixed Income ETF 4-Nov % 5 TLDH FlexShares Currency Hedged Morningstar DM ex-us Factor Tilt Index Fund Equity ETF 10-Nov % 3 TLEH FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund Equity ETF 10-Nov % 2 ASET FlexShares Real Assets Allocation Index Fund Equity ETF 24-Nov % 2 GSIE Goldman Sachs ActiveBeta International Equity ETF Equity ETF 10-Nov % 35 HACV ishares Currency Hedged MSCI ACWI Minimum Volatility ETF Equity ETF 2-Nov % 2 HEFV ishares Currency Hedged MSCI EAFE Minimum Volatility ETF Equity ETF 2-Nov % 4 HEMV ishares Currency Hedged MSCI EM Minimum Volatility ETF Equity ETF 2-Nov % 2 HEUV ishares Currency Hedged MSCI Europe Minimum Volatility ETF Equity ETF 2-Nov % 3 HEUS ishares Currency Hedged MSCI Europe Small-Cap ETF Equity ETF 2-Nov % 3 IAGG ishares International Aggregate Bond Fund Fixed Income ETF 12-Nov % 53 IDLB PowerShares FTSE International Low Beta Equal Weight Portfolio Equity ETF 5-Nov % 2 USLB PowerShares Russell 1000 Low Beta Equal Weight Portfolio Equity ETF 5-Nov % 3 HGSD WisdomTree Global Hedged SmallCap Dividend Fund Equity ETF 19-Nov % 2 GSD WisdomTree Global SmallCap Dividend Fund Equity ETF 12-Nov % 3 Source: Deutsche Bank, Bloomberg Finance LP Equity BlackRock listed five new FX hedged ETFs during November. Four of them offer minimum volatility exposure to Global Markets (HACV), EAFE Developed Markets (HEFV), Emerging Markets (HEMV), and Europe Developed Markets (HEUV), respectively. HACV and HEFV come with an Page 20

21 annual expense ratio of 0.23%; while, HEMV and HEUV come with an expense ratio of 0.28%. The remaining fund (HEUS) offers exposure to Europe Small-Cap companies and comes with a total expense ratio of 0.83%. FlexShares listed three new ETFs during last month. Two of them offer FX hedged exposure to Emerging Markets (TLEH) and Developed Markets ex- US (TLDH), respectively, applying a tilt to small cap and value stocks using a multi-factor modeling approach. TLEH tracks the Morningstar Emerging Markets Factor Tilt Hedged Index and comes with an annual expense ratio of 0.70%; while, TLDH tracks the Morningstar Developed Markets ex-us Factor Tilt Hedged and comes with an annual expense ratio of 0.47%. The remaining product (ASET) is a fund of funds and offers exposure to real assets by investing in three ETFs tracked by the Northern Trust Real Assets Allocation Index. The fund comes with a total expense ratio of 0.58%. Deutsche AWM entered both the multi-factor and US equity arena with two new ETFs during the past month. The first one (DEUS) offers exposure to US equities based on five factors: Quality, Value, Momentum, Low Volatility and Size. DEUS tracks the Russell 1000 Comprehensive Factor Index and comes with an annual expense ratio of 0.25%. In the meantime, the second one (DEEF) is designed to provide exposure to Developed Markets ex-us based on the same five factors previously mentioned. DEEF tracks the FTSE Developed ex US Comprehensive Factor Net Tax (US RIC) Index and comes with a total expense ratio of 0.35%. WisdomTree listed two new ETFs during November. The first one (GSD) offers exposure to Global Small-Cap equity securities based on annual cash dividend paid; while, the second fund (HGSD) is designed to provide the same exposure hedging foreign currencies. Both funds come with an annual expense ratio of 0.43%. PowerShares listed two new ETFs during last month. The first fund (USLB) offers equally-weighted exposure to equities from the Russell 1000 Index with low beta characteristics. USLB tracks the Russell 1000 Low Beta Equal Weight Index and comes with an annual expense ratio of 0.35%. Meanwhile, the second one (IDLB) offers equally-weighted exposure to stocks in the FTSE Developed ex US Index which exhibit low beta characteristics. IDLB comes with an annual expense ratio of 0.45%. ETFMG listed two new thematic ETFs. The funds offer exposure to 60 Israeli technology companies in the TASA - BlueStar Israel Technology Index (ITEQ), and US companies with a carbon impact at least 50% better than the average carbon impact for a given company s industry (ETHO) as determined in the American Climate Leadership Index, respectively. Both funds come with an annual expense ratio of 0.75%. First Trust listed one new actively managed ETF (PRME) which offers exposure to US and non-us Real Estate securities as common stocks and investment trusts. PRME comes with an annual expense ratio of 0.95%. Goldman Sachs listed its third ETF (GSIE) during this year, which offers exposure to Developed Markets ex-us. GSIE tracks the Goldman Sachs ActiveBeta International Equity Index, designed to capture common sources of active returns including value, momentum, quality, and volatility. The fund comes with an annual expense ratio of 0.35%. Page 21

22 Exchange Traded Concepts launched one new ETF (ALFI) designed to offer exposure of Global ex-us companies in which hedge funds and institutional investors have disclosed significant exposure through ADRs. ALFI tracks the AlphaCone International Downside Hedged Index and comes with an annual expense ratio of 0.95%. Fixed Income First Trust listed one new fixed income ETF during November. The actively managed fund (FCVT) offers exposure to a portfolio of US and non-us Convertible Securities. FCVT comes with an annual expense ratio of 0.95%. BlackRock listed one new ETF (IAGG) which is designed to provide exposure to Global non USD denominated Investment Grade Bonds while at the same time reducing the fluctuations between the original bonds currencies and the USD. IAGG tracks the Barclays Global Aggregate ex USD 10% Issuer Capped (Hedged) Index and comes with an annual expense ratio of 0.15%. Delistings Figure 38: Delisted products during last month Ticker Name Asset Class & Delisting AUM at TER Structure date Delisting $MM BRXX EGShares Brazil Infrastructure ETF Equity ETF 2-Nov % 9 BCHP EGShares Blue Chip ETF Equity ETF 2-Nov % 4 Source: Deutsche Bank, Bloomberg Finance LP. Page 22

23 Trends in products launched in the last 12 months Figure 39: Main trends among those products launched in the last 12 months Product segment Net Cash Flows 12M $MM AUM Nov '15 $MM Net Cash New Funds last 12M Asset Class Focus Flows 12M $MM AUM Nov '15 $MM New Funds last 12M Total (All) 7,794 7, Top 5 by Geographic Focus (Equities) By Asset Class US - US 2,323 2, Equity 5,311 5, Global - Global (reg) 1,191 1, Fixed Income 2,257 2, DM - Eurozone (Reg) Commodities EM - Global (reg) Currency EM - China A Multi Asset Top 5 by Category (Fixed Income) Alternative Broad 1,767 1,749 6 By Management Strategy Corporates Beta 1,186 1, Municipal Beta EM debt Smart Beta 3,726 3, Convertible Active 2,219 2, Source: Deutsche Bank, Bloomberg Finance LP Figure 40: Top 20 products by net cash flow raised in the last 12 months Net CF Ticker Name TER 12M $MM TOTL SPDR Doubleline Total Return Tactical ETF 0.55% 1,477 XT ishares Exponential Technologies ETF 0.47% 698 PTLC Pacer Trendpilot 750 ETF 0.60% 309 EUSC Wisdomtree Europe Hedged SmallCap Equity Fund 0.58% 255 CRBN ishares MSCI ACWI Low Carbon Target ETF 0.20% 222 GSLC Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF 0.09% 204 LABU Direxion Daily S&P Biotech Bull 3X Shares 0.95% 198 GEM Goldman Sachs ActiveBeta Emerging Markets Equity ETF 0.45% 182 SBIO ALPS Medical Breakthroughs ETF 0.50% 181 FXEU PowerShares Europe Currency Hedged Low Volatility Portfolio 0.25% 170 NFLT Virtus Newfleet Multi-Sector Unconstrained Bond ETF 0.80% 152 CHAD Direxion Daily CSI 300 China A Share Bear 1X Shares 0.80% 141 EQAL PowerShares Russell 1000 Equal Weight Portfolio 0.20% 126 MLPO Credit Suisse S&P MLP Index ETN 0.95% 120 HEWI ishares Currency Hedged MSCI Italy ETF 0.48% 118 PTMC Pacer Trendpilot 450 ETF 0.60% 118 CHAU Direxion Daily CSI 300 China A Share Bull 2X Shares 0.95% 113 XRLV PowerShares S&P 500 Ex-Rate Sensitive Low Volatility Portfolio 0.25% 109 CIBR First Trust NASDAQ CEA Cybersecurity ETF 0.60% 108 VTEB Vanguard Tax-Exempt Bond Index ETF 0.12% 105 Source: Deutsche Bank, Bloomberg Finance LP Figure 41: Top 20 Issuers by inflows to products launched in the last 12 months Net Cash AUM New Top 20 Issuers Flows Nov '15 Funds 12M $MM $MM last 12M BlackRock 1,616 1, State Street 1,532 1, DirexionShares PowerShares Pacer Advisors Goldman Sachs Etfis Capital WisdomTree ALPS ProShares Deutsche AWM First Trust IndexIQ Advisors Vanguard John Hancock Inv Lattice Strategies Innovator Mgmt JPMorgan ETC Compass EMP Source: Deutsche Bank, Bloomberg Finance LP Page 23

24 Popular Product Segments: Smart Beta & Currency Hedged Figure 42: Summary statistics for Smart Beta Equity ETFs Net Cash Flows Turnover AUM # of Funds Smart Beta Nov '15 YTD Nov '15 MoM Mkt Nov '15 MoM Mkt Nov '15 Mkt YTD (Equities) $MM $MM $MM Chg % Shr $MM Chg % Shr All Shr New Dividend ,577 18,925-8% 21% 134,249 1% 29% % 31 Equal 457 5,171 30,613-21% 34% 36,433 4% 8% 68 13% 5 ESG % 0% 1,820 1% 0% 14 3% 1 Fundamental 175 2,829 3,179 0% 4% 16,546 1% 4% 56 11% 16 Low Risk 752 8,268 4,353-15% 5% 23,800 2% 5% 44 8% 16 Multi-factor 702 7,131 4,569-23% 5% 32,660 3% 7% % 38 Single-factor 386 2,739 1,406-29% 2% 8,954 5% 2% 40 8% 12 Style 4,436 19,279 27,563-11% 30% 208,835 3% 45% 63 12% - Other 6 (46) 75-7% 0% 535 2% 0% 5 1% - Total 7,777 62,032 90,821-15% 100% 463,832 2% 100% % 119 Source: Deutsche Bank, Bloomberg Finance LP Figure 43: Summary statistics for Currency-Hedged Equity ETFs Net Cash Flows Turnover AUM # of Funds Currency Hedged Nov '15 YTD Nov '15 MoM Mkt Nov '15 MoM Mkt Nov '15 Mkt YTD (Equities) $MM $MM $MM Chg % Shr $MM Chg % Shr All Shr New Multiple ,277 4,094-6% 25% 24,304 3% 35% 38 46% 29 AUD % 0% 6-1% 0% 2 2% 2 BRL 0 (2) 1-45% 0% 4 12% 0% 1 1% - CAD % 0% 3 0% 0% 1 1% 1 CHF % 0% 6 27% 0% 1 1% 1 CNY % 0% 6 1% 0% 2 2% 2 EUR ,187 5,910 4% 35% 24,283 5% 35% 13 16% 8 GBP % 0% 47 0% 0% 3 4% 1 JPY 127 5,856 6,508-16% 39% 20,034 2% 29% 16 20% 7 KRW % 1% 145-2% 0% 3 4% 1 MXN % 0% 7-2% 0% 2 2% 1 Total ,497 16,691-7% 100% 68,845 4% 100% % 53 Source: Deutsche Bank, Bloomberg Finance LP Figure 44: Top 10 Issuers in Equity Smart Beta Top 10 Issuers (Equity Smart Beta) AUM Nov '15 $MM Net Cash Flows 12M $MM # of Funds Nov '15 BlackRock 175,262 18, Vanguard 94,696 10, WisdomTree 57,894 21, State Street 33,782 3, First Trust 32,928 9, PowerShares 27,593 2, Guggenheim Inv. 18,041 1, Charles Schwab 10,298 4,139 9 FlexShares 3, ALPS 1, Source: Deutsche Bank, Bloomberg Finance LP Figure 45: Top 10 Issuers in Equity Currency hedged Top 10 Issuers (Equity Currency Hedged) AUM Nov '15 $MM Net Cash Flows 12M $MM # of Funds Nov '15 WisdomTree 40,307 22, Deutsche AWM 20,391 18, BlackRock 7,775 7, PowerShares IndexIQ Advisors ProShares State Street O'Shares Investments DirexionShares CSOP AM Source: Deutsche Bank, Bloomberg Finance LP Page 24

25 Size Size Size Size Size Size 9 December 2015 Average Performance by Product Type and Size (Equity) 1 Month Comparisons Figure 46: US Equity ETFs - 1 Month Total Returns US Equity, Broad sector, Product Type non levered, 1M Total Smart Beta Return by Beta Active All Large Cap 0.4% 0.2% 0.5% 0.3% Mid Cap 0.9% 0.8% 0.8% Small Cap 2.8% 2.7% 1.8% 2.7% Broad 0.8% 0.1% 0.7% 0.2% All 1.1% 0.7% 0.7% 0.8% Source: Deutsche Bank, FactSet. Total Return corresponds to last month. Figure 47: US Equity ETFs - # of Funds in 1M sample Product Type US Equity, Broad sector, Smart non levered, # of funds by Beta Active All Beta Large Cap Mid Cap Small Cap Broad All Source: Deutsche Bank Figure 48: DM Equity ETFs - 1 Month Total Returns DM Equity, Broad sector, Product Type regional, non levered, 1M Smart Beta Total Return by Beta Active All Large Cap -0.7% -1.0% -0.9% -0.9% Mid Cap 0.0% -1.2% -0.8% Small Cap 0.5% 0.7% -0.2% 0.5% Broad 0.2% -0.8% -0.4% All 0.1% -0.7% -0.5% -0.4% Source: Deutsche Bank, FactSet. Total Return corresponds to last month. Figure 49: DM Equity ETFs - # of Funds in 1M sample DM Equity, Broad sector, Product Type regional, non levered, # of Smart Beta Active All funds by Beta Large Cap Mid Cap Small Cap Broad All Source: Deutsche Bank Figure 50: EM Equity ETFs - 1 Month Total Returns EM Equity, Broad sector, Product Type regional, non levered, 1M Smart Beta Total Return by Beta Active All Large Cap -1.8% -3.3% -2.3% Mid Cap Small Cap -1.3% -2.3% -1.8% Broad -3.5% -3.2% -3.4% All -3.2% -3.2% -3.2% Source: Deutsche Bank, FactSet. Total Return corresponds to last month. Figure 51: EM Equity ETFs - # of Funds in 1M sample EM Equity, Broad sector, Product Type regional, non levered, # of Smart Beta funds by Beta Active All Large Cap Mid Cap Small Cap Broad All Source: Deutsche Bank Page 25

26 Size Size Size Size Size Size 9 December Year Comparisons Figure 52: US Equity ETFs - 1 Year Total Returns US Equity, Broad sector, Product Type non levered, 1Y Total Smart Beta Return by Beta Active All Large Cap 2.9% 1.2% 4.3% 1.9% Mid Cap 2.3% 0.9% 1.2% Small Cap 3.5% 2.8% 1.4% 2.9% Broad 2.7% 0.9% -0.8% 1.1% All 2.9% 1.4% 2.4% 1.8% Source: Deutsche Bank, FactSet. Total Return corresponds to last month. Figure 53: US Equity ETFs - # of Funds in 1Y sample Product Type US Equity, Broad sector, Smart non levered, # of funds by Beta Active All Beta Large Cap Mid Cap Small Cap Broad All Source: Deutsche Bank Figure 54: DM Equity ETFs - 1 Year Total Returns DM Equity, Broad sector, Product Type regional, non levered, 1Y Smart Beta Total Return by Beta Active All Large Cap -5.2% -6.7% 0.7% -5.1% Mid Cap 4.1% 1.5% 2.3% Small Cap 4.7% 5.6% 6.0% 5.2% Broad -1.0% -3.8% -2.7% All -0.8% -2.9% 3.4% -1.8% Source: Deutsche Bank, FactSet. Total Return corresponds to last month. Figure 55: DM Equity ETFs - # of Funds in 1Y sample DM Equity, Broad sector, Product Type regional, non levered, # of Smart Beta Active All funds by Beta Large Cap Mid Cap Small Cap Broad All Source: Deutsche Bank Figure 56: EM Equity ETFs - 1 Year Total Returns EM Equity, Broad sector, Product Type regional, non levered, 1Y Smart Beta Total Return by Beta Active All Large Cap -17.4% -20.2% -18.3% Mid Cap Small Cap -12.0% -16.7% -14.3% Broad -21.2% -20.4% -20.8% All -20.2% -20.0% -20.1% Source: Deutsche Bank, FactSet. Total Return corresponds to last month. Figure 57: EM Equity ETFs - # of Funds in 1Y sample EM Equity, Broad sector, Product Type regional, non levered, # of Smart Beta funds by Beta Active All Large Cap Mid Cap Small Cap Broad All Source: Deutsche Bank Page 26

27 Total Expense Ratio X-ray Figure 58: Average TER analysis by asset class and product type Simple Average AUM-Weighted Average TER By Beta Beta+ Smart Beta Active All Beta Beta+ Smart Beta Active All Equity 0.46% 0.93% 0.48% 0.87% 0.55% 0.22% 0.94% 0.31% 0.91% 0.25% Fixed Income 0.27% 0.88% 0.29% 0.55% 0.37% 0.22% 0.94% 0.32% 0.50% 0.24% Commodity 0.80% 0.95% 0.78% 0.71% 0.82% 0.42% 0.95% 0.82% 0.69% 0.48% Currency 0.45% 0.95% 0.75% 0.49% 0.59% 0.56% 0.95% 0.75% 0.48% 0.63% Multi Asset 0.52% 0.69% 0.90% 0.72% 0.48% 0.77% 0.84% 0.56% Alternative 1.86% 0.95% 0.81% 1.18% 1.20% 2.63% 0.95% 0.70% 0.97% 1.15% All 0.45% 0.93% 0.48% 0.74% 0.54% 0.23% 0.94% 0.31% 0.59% 0.26% Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month Figure 59: Selected TER averages for the top 15 Issuers by AUM Top 15 Issuers AUM Nov Equity Fixed Income Equity Fixed Income Smart All '15 $MM Smart Beta Beta Active Beta Beta Active Beta Beta All BlackRock 827, % 0.29% 0.24% 0.24% 0.37% 0.32% 0.24% 0.23% 0.26% 0.28% Vanguard 483, % 0.15% 0.13% 0.14% 0.11% 0.10% 0.11% 0.11% State Street 416, % 0.30% 0.28% 0.48% 0.33% 0.14% 0.34% 0.30% 0.60% 0.18% PowerShares 98, % 0.51% 0.42% 0.51% 0.25% 0.48% 0.53% 0.40% WisdomTree 59, % 0.50% 0.33% 0.54% 0.49% 0.43% 0.52% 0.43% 0.56% 0.52% First Trust 43, % 0.69% 0.79% 0.71% 0.60% 0.61% 0.92% 0.63% Charles Schwab 38, % 0.27% 0.08% 0.16% 0.07% 0.16% 0.07% 0.09% Guggenheim Inv. 29, % 0.50% 0.27% 0.47% 0.56% 0.42% 0.27% 0.41% ProShares 26, % 0.44% 0.51% 0.50% 0.88% 0.30% 0.35% 0.48% 0.50% 0.90% Deutsche AWM 20, % 0.43% 0.30% 0.50% 0.40% 0.43% 0.30% 0.40% Van Eck Funds 19, % 0.53% 0.35% 0.69% 0.52% 0.49% 0.35% 0.51% PIMCO 11, % 0.51% 0.39% 0.39% 0.44% 0.42% ALPS 9, % 0.59% 0.22% 0.57% 0.84% 0.49% 0.22% 0.74% DirexionShares 9, % 0.85% 0.62% 0.93% FlexShares 8, % 0.46% 0.20% 0.25% 0.39% 0.48% 0.39% 0.20% 0.25% 0.36% Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month Simple Average AUM-Weighted Average Page 27

28 AUM $billion Number of ETPs 9 December 2015 ETF Statistics Global ETF Assets and Provider Ranking Figure 60: Historical Growth of Global ETP Assets* 3,000 2,500 2,000 1,500 1, '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15* Asia Pacific ($) Europe ($) US ($) ,046 1,333 1,678 1,979 2,130 US, Europe & Asia Pacific ($) ,091 1,390 1,436 1,839 2,263 2,640 2,880 Europe ( ) Number of ETPs** ,213 1,666 2,042 2,582 3,127 3,494 3,713 4,019 4,389 5,000 4,500 4,000 3,500 3,000 2,500 2,000 1,500 1, Source: Deutsche Bank, Bloomberg Finance LP. *These figures don t include the ETF markets in the Americas ex US and in the Middle East and Africa regions. Data as of the end of last month. Figure 61: Top 10 Global ETP Provider Ranking and Summary Statistics Rank Issuer Current AUM Mkt. Share 2014 AUM 2014 Mkt. Share Nu. Current Month CF Current Month TO YTD CF 1 BlackRock 1,069, % 987, % , , ,448 2 Vanguard 505, % 443, % 96 7,025 67,826 71,798 3 State Street 445, % 481, % ,203-28,356 4 PowerShares 100, % 98, % , Deutsche AWM 83, % 60, % ,258 26,997 6 Nomura Asset Management 62, % 43, % 49-1,302 29,557 14,853 7 WisdomTree 59, % 39, % ,279 20,451 8 Lyxor 52, % 45, % ,172 9,129 9 First Trust 43, % 33, % 104 1,575 7,046 10, Charles Schwab 38, % 26, % 21 1,261 4,941 12,261 Total Top 10 2,460, % 2,259, % 1,926 25,295 1,219, ,887 Others 419, % 380, % 2, ,415 58,830 Global Total 2,879, % 2,640, % 4,389 25,680 1,471, ,717 Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month. Page 28

29 Net Cash Flows $billion ETF AUM as % of Mutual Fund AUM Net Cash Flows $billion Passive AUM as % of Active AUM Jan-05 Aug-05 Mar-06 Oct-06 May-07 Dec-07 Jul-08 Feb-09 Sep-09 Apr-10 Nov-10 Jun-11 Jan-12 Aug-12 Mar-13 Oct-13 May-14 Dec-14 Jul-15 AUM $billion Number of ETPs Monthly ETF Turnover $billion ETF trading as % of all US Cash Equity trading and VIX Level (end of month) 9 December 2015 US Historical ETF trends Figure 62: Annual ETP historical growth in AUM and # of funds 2,200 2,000 1,800 1,600 1,400 1,200 1, Others Fixed Income Equity # Funds 1,800 1,600 1,400 1,200 1, Figure 63: Monthly ETF Volume $ growth vs. VIX and ETF Volume 3,500 70% ETF Turnover ETF % Cash Eqty VIX 3,000 60% 2,500 50% 2,000 40% 1,500 30% 1,000 20% % - 0% Source: Deutsche Bank, Bloomberg Finance LP. ETPs include ETFs and ETVs; ETVs represent about 2% of ETP assets and track mostly non-equity and non-fixed Income exposures. Data as of the end of last month. Source: Deutsche Bank, Bloomberg Finance LP. ETF Turnover excludes ETVs and ETNs. Data as of the end of last month. Figure 64: Net Cash Flows and AUM historical comparison between Mutual Funds and ETFs 500,000 MF CF ETF CF ETF/MF % AUM 400, , , , , , ,000 18% 16% 14% 12% 10% 8% 6% 4% 2% 0% Figure 65: Net Cash Flows and AUM historical comparison between Active and Passive mgmt style 500,000 45% 400,000 Active MF+ETF Passive MF+ETF 40% Passive / Active % 300,000 35% 200,000 30% 25% 100,000 20% 0 15% -100,000 10% -200,000 5% -300,000 0% Source: Deutsche Bank, ICI, Bloomberg Finance LP. *Data as of the end of October Mutual Funds only include Long Term Mutual Funds. Source: Deutsche Bank, ICI, Bloomberg Finance LP. *Data as of the end of October Mutual Funds only include Long Term Mutual Funds. Page 29

30 ETF Issuer and Index Provider league tables Figure 66: ETP Issuer league table (excludes ETN assets) Assets Under Management Nov '15 $MM Net Cash Flows Turnover # of Funds Top 50 Issuers Total Mkt Fixed Nov '15 YTD Nov '15 Mkt Equity Cmdty Other Nov '15 YTD Shr Income $MM $MM $MM Shr New BlackRock 827, % 627, ,054 10,843 1,959 13,092 85, , % Vanguard 483, % 401,519 82, ,538 66,630 67, % 68 1 State Street 416, % 356,551 37,302 22, (1,247) (33,171) 614, % PowerShares 98, % 77,078 15,342 4,034 2, , % WisdomTree 59, % 57, ,029 14, % First Trust 43, % 40,290 1, ,574 10,634 7, % 97 4 Charles Schwab 38, % 34,517 4, ,261 12,261 4, % 21 0 Guggenheim Inv. 29, % 20,345 7,355-2, ,201 5, % 75 4 ProShares 26, % 17,427 4,463 1,490 2, ,416 62, % Deutsche AWM 20, % 20, ,152 4, % Van Eck Funds 19, % 13,829 5, ,871 33, % 55 3 PIMCO 11, % - 11, (199) (219) 1, % 14 0 ALPS 9, % 9, ,245 2, % 21 4 DirexionShares 9, % 8, ,735 35, % FlexShares 8, % 5,518 2, (28) % 22 5 US Commodity Funds 4, % 6-4,614-1,022 3,010 8, % 12 0 Fidelity Investments 3, % 3, ,052 1, % 15 1 Global X Funds 3, % 2, % ETC 2, % 1, (2) % 20 6 ETF Securities 1, % 17-1, (218) % 10 4 Millington Securities 1, % (18) % 10 0 IndexIQ Advisors 1, % ,246 (2) % 17 6 AdvisorShares Trust 1, % (32) (24) % 21 1 ETFMG 1, % 1, (14) 1, % 7 5 Revenue Shares 1, % 1, % 8 1 EGShares 1, % 1, (10) (404) % 9 1 Pacer Advisors % % 3 3 Goldman Sachs % % 3 3 Etfis Capital % % 7 4 Compass EMP % % 10 5 Cambria Funds % (0) % 6 1 Highland Capital % (4) % 4 3 GreenHaven Funds % % 2 1 JPMorgan % % 4 2 KraneShares % (13) (91) % 5 1 Franklin Templeton % % 1 0 ArrowShares % (9) % 3 1 Teucrium Trading % (17) % 5 0 John Hancock Inv % % 6 6 Lattice Strategies % % 4 4 Innovator Mgmt % % 1 1 Empowered Funds % % 2 0 U.S. Global Investors % % 1 1 Precidian % (10) (48) 8 0.0% 1 0 O'Shares Investments % % 5 5 ARK Inv. Mgmt % % 4 0 Recon Capital % % 3 1 Columbia Mgmt % % 5 0 Reality Shares % % 1 0 Principal Financial Group % % 1 1 Other % (31) % Total 2,130, % 1,707, ,913 45,746 13,783 26, ,227 1,322, % 1, Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month Page 30

31 Figure 67: Index Provider league table (excludes ETN assets) Assets Under Management Nov '15 $MM Net Cash Flows Turnover # of Funds Top 20 Index Providers Total Mkt Fixed Nov '15 YTD Nov '15 Mkt Equity Cmdty Other Nov '15 YTD Shr Income $MM $MM $MM Shr New S&P Dow Jones 730, % 697,748 28,334 1,764 3,138 7,370 (8,674) 715, % MSCI 309, % 309, ,755 66, , % FTSE Russell 308, % 307, ,423 30, , % Barclays 243, % - 243, (1,077) 37,214 68, % CRSP 151, % 151, ,892 20,880 12, % 13 - Nasdaq OMX 85, % 84, (2,139) 90, % 47 4 WisdomTree 57, % 57, ,403 14, % Markit iboxx 43, % - 43, ,792 20, % 15 1 Commodity - Physical 38, % ,529 - (367) , % 21 - NYSE Euronext 25, % 24, ,904 28, % 39 2 Active 21, % 3,251 16, , ,175 3, % Morningstar 13, % 13, (113) (182) 1, % 26 4 Dorsey Wright 9, % 9, ,246 1, % 17 1 BofA Merrill Lynch 9, % 140 9, (62) 86 1, % 24 - Market Vectors 8, % 8, , % 35 3 Deutsche Bank 8, % - 3,457 4,028 1, (368) 2, % 16 - Alerian 7, % 7, , % 2 - Accretive AM 6, % - 6, , % 20 2 J.P. Morgan 6, % - 6, ,014 2, % 4 - STOXX 5, % 5, , % 6 1 Other 37, % 26,597 3, ,493 1,111 5,680 10, % Total 2,130, % 1,707, ,913 45,746 13,783 26, ,227 1,322, % 1, Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month Page 31

32 Monthly Snapshot Figure 68: ETP Summary Statistics by Asset Class Net Cash Flows Turnover AUM # of Funds Asset Class Nov '15 YTD Nov '15 MoM Mkt Nov '15 MoM Mkt Nov '15 Mkt YTD $MM $MM $MM Chg % Shr $MM Chg % Shr All Shr New Equity 25, ,954 1,167,195-21% 88% 1,707,569 1% 80% 1,187 73% 204 Fixed Income , ,702-21% 8% 362,913 0% 17% % 30 Commodities (178) 1,660 28,240-23% 2% 45,746-8% 2% 53 3% 1 Currency ,022 27% 0% 4,452 20% 0% 25 2% - Multi Asset % 0% 5,462 2% 0% 35 2% 6 Alternative (37) ,865-9% 1% 3,869-2% 0% 36 2% 9 Total 26, ,203 1,322,954-21% 100% 2,130,011 1% 100% 1, % 250 Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month. Figure 69: ETP Summary Statistics by Management Style (Active-Passive) Net Cash Flows Turnover AUM # of Funds Passive-->Active Nov '15 YTD Nov '15 MoM Mkt Nov '15 MoM Mkt Nov '15 Mkt YTD $MM $MM $MM Chg % Shr $MM Chg % Shr All Shr New Beta 17, ,629 1,129,075-21% 85% 1,595,500 1% 75% % 56 Beta+ 46 4,335 96,743-25% 7% 32,893 0% 2% % 31 Smart Beta 7,850 63,065 93,297-15% 7% 479,955 2% 23% % 142 Active 562 6,173 3,839-12% 0% 21,663 2% 1% 133 8% 21 Total 26, ,203 1,322,954-21% 100% 2,130,011 1% 100% 1, % 250 Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month. Figure 70: ETP Summary Statistics by Product Type Net Cash Flows Turnover AUM # of Funds Product Type Nov '15 YTD Nov '15 MoM Mkt Nov '15 MoM Mkt Nov '15 Mkt YTD $MM $MM $MM Chg % Shr $MM Chg % Shr All Shr New Asset Allocation 15, , ,128-8% 10% 713,094 2% 33% 1,326 82% 219 Cash Management 5,754 84, ,320-14% 14% 834,700 0% 39% 64 4% - Pseudo Futures 5,112 (40,060) 905,762-24% 68% 549,325 0% 26% 41 3% - Leveraged & Inverse 46 4,335 96,743-25% 7% 32,893 0% 2% % 31 Total 26, ,203 1,322,954-21% 100% 2,130,011 1% 100% 1, % 250 Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month. Page 32

33 Equity Breakdowns Figure 71: ETP Summary Statistics by Geographic Focus Global and Developed Market Equities Net Cash Flows Turnover AUM Nov '15 $MM YTD $MM Nov '15 $MM MoM Chg % Mkt Shr Nov '15 $MM MoM Chg % # of Funds Nov '15 Mkt All Shr Geographic Focus (Equities) Mkt Shr YTD New Global Markets Equities Global (reg) 702 4,684 36,306-36% 3% 34,570-1% 2% % 23 Global ex US (reg) 679 7,631 5,050 0% 0% 30,075 1% 2% 30 3% 7 Asia Pacific (reg) % 0% 25-1% 0% 1 0% - Asia Pacific ex JP (reg) (39) 103 1,035-11% 0% 3,020-5% 0% 7 1% - Total GME 1,342 12,418 42,392-33% 4% 67,690 0% 4% % 30 Developed Market Equities Global (reg) 251 1,752 1,045-7% 0% 10,091 2% 1% 23 2% 6 Global ex US (reg) 4,155 40,835 39,195 0% 3% 152,152 2% 9% 84 7% 24 Global ex JP (reg) - (154) % 0% 311 0% 0% 1 0% - Europe & Middle East Europe (reg) 145 9,439 5,730-2% 0% 25,550 0% 1% 30 3% 11 Denmark % 0% 72 42% 0% 1 0% - Norway (8) % 0% 88-8% 0% 2 0% - Sweden (2) % 0% 375-1% 0% 1 0% - Switzerland % 0% 1,372-1% 0% 3 0% 1 UK % 0% 2,971-2% 0% 8 1% 2 Eurozone (Reg) ,105 11,151-16% 1% 41,721 3% 2% 12 1% 5 Austria (2) % 0% 62-4% 0% 1 0% - Belgium % 0% % 0% 1 0% - Finland % 0% 25 1% 0% 1 0% - France % 0% 403-1% 0% 1 0% - Germany (523) 3,753 2,806-1% 0% 8,120-5% 0% 8 1% - Ireland (2) % 0% 168 1% 0% 1 0% - Israel (1) % 0% 173-1% 0% 3 0% 1 Italy (4) % 0% 1,395-3% 0% 3 0% 2 Netherlands % 0% 168-2% 0% 1 0% - Portugal (2) % 0% 34-10% 0% 1 0% - Spain (59) % 0% 1,566-7% 0% 4 0% 2 North America North America (reg) % 0% 953-4% 0% 3 0% 1 Canada (25) (303) % 0% 1,978-3% 0% 6 1% 1 US 19,614 36, ,142-23% 80% 1,225,128 2% 72% % 80 Asia Pacific Pacific (reg) % 0% 3,612 1% 0% 5 0% 2 Japan ,655 14,214-26% 1% 41,228 1% 2% 32 3% 10 Pacific ex JP (reg) (47) (410) 282 9% 0% 1,936-3% 0% 4 0% 1 Australia (27) (33) % 0% 1,402-1% 0% 7 1% 2 Hong Kong (47) 164 1,134-24% 0% 2,710-5% 0% 2 0% - New Zealand 0 (46) 21 29% 0% 68-1% 0% 1 0% - Singapore (2) (105) % 0% 576-6% 0% 1 0% - Total DME 24, ,379 1,009,958-22% 87% 1,526,577 2% 89% % 151 Total Equities 25, ,954 1,167,195-21% 100% 1,707,569 1% 100% 1, % 204 Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month. Page 33

34 Figure 72: ETP Summary Statistics by Geographic Focus Emerging Market Equities Net Cash Flows Turnover AUM Nov '15 $MM YTD $MM Nov '15 $MM MoM Chg % Mkt Shr Nov '15 $MM MoM Chg % # of Funds Nov '15 Mkt All Shr Geographic Focus (Equities) Mkt Shr YTD New Emerging Market Equities Global (reg) 45 (4,062) 62,545-17% 5% 78,268-4% 5% 59 5% 12 BRIC (reg) (5) (140) 27-3% 0% 358-3% 0% 3 0% - Asia Asia (reg) 1 (8) % 0% 817-2% 0% 4 0% - China (318) 1,121 19,082-13% 2% 9,443-6% 1% 26 2% 1 China A (121) (360) 2,326-9% 0% % 0% 12 1% 6 India (84) 1,937 3,424-2% 0% 6,953-5% 0% 10 1% - Indonesia (7) (259) % 0% 347-4% 0% 3 0% - Malaysia (22) (159) % 0% 268-6% 0% 1 0% - Philippines (12) (90) % 0% 241-8% 0% 1 0% - South Korea 11 (514) 3,265-14% 0% 3,420-3% 0% 8 1% 1 Taiwan (335) 17 2,345 0% 0% 2,840-13% 0% 3 0% - Thailand (3) (186) % 0% 227-4% 0% 1 0% - Europe Europe (reg) - (179) 3-13% 0% 42-4% 0% 1 0% - Poland (8) % 0% % 0% 2 0% - Russia (11) 353 5,695 0% 0% 2,442-1% 0% 6 1% - Turkey (13) (5) 328 0% 0% 326-9% 0% 1 0% - Greece (6) % 0% % 0% 1 0% - Middle East & Africa ME & Africa (reg) - (13) 6 74% 0% 33-8% 0% 1 0% - Middle East (reg) (1) (16) 5 58% 0% 34-10% 0% 2 0% - Africa (reg) (6) (3) % 0% 64-15% 0% 1 0% - Egypt (7) % 0% 26-30% 0% 1 0% - South Africa % 0% 390-3% 0% 1 0% - Qatar % 0% 42-13% 0% 1 0% - UAE - (17) 6 131% 0% 25-9% 0% 1 0% - Latin America Latin America (reg) % 0% % 0% 6 1% - Brazil (3) (842) 10,358-2% 1% 1,961-3% 0% 10 1% - Chile (26) (16) 229 0% 0% % 0% 1 0% - Colombia % 0% 70-14% 0% 2 0% - Mexico (41) (848) 2,494-3% 0% 1,260-6% 0% 6 1% 1 Peru - (54) 45-45% 0% 112-7% 0% 1 0% - Frontier Markets Frontier (reg) (18) % 0% 606-7% 0% 3 0% - Argentina % 0% 19 25% 0% 1 0% - Nigeria (0) % 0% 23-8% 0% 1 0% - Pakistan % 0% 5-7% 0% 1 0% 1 Saudi Arabia % 0% 5 2% 0% 1 0% 1 Vietnam (2) % 0% 429-8% 0% 1 0% - Total EME (862) (3,815) 114,845-13% 10% 113,302-4% 7% % 23 Total Equities 25, ,954 1,167,195-21% 100% 1,707,569 1% 100% 1, % 204 Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month. Page 34

35 Figure 73: ETP Summary Statistics by Size and Market Equities Net Cash Flows Turnover AUM Nov '15 $MM YTD $MM Nov '15 $MM MoM Chg % Mkt Shr Nov '15 $MM MoM Chg % # of Funds Nov '15 Mkt All Shr Market Cap Segment (Equities) Mkt Shr YTD New US Equities Large Cap 8,351 (16,413) 697,474-23% 60% 625,928 2% 37% % 30 Mid Cap 1,341 12,172 18,715-5% 2% 109,338 2% 6% 43 4% 3 Small Cap 3,530 8,906 93,221-23% 8% 104,786 6% 6% 75 6% 7 Broad 6,392 31, ,732-22% 10% 385,076 2% 23% % 40 Total US Equities 19,614 36, ,142-23% 80% 1,225,128 2% 72% % 80 DM Intl Equities Large Cap 46 1,677 1,529-13% 0% 8,145-1% 0% 22 2% 7 Mid Cap % 0% 347-1% 0% 3 0% - Small Cap 83 2,850 1,523 0% 0% 10,183 1% 1% 23 2% 5 Broad 4,836 87,563 78,734-9% 7% 282,774 1% 17% % 59 Total DM Intl Equities 4,965 92,136 81,816-9% 7% 301,449 1% 18% % 71 EM Equities Large Cap (272) 1,122 18,194-14% 2% 7,287-8% 0% 15 1% 1 Mid Cap - (2) 0-14% 0% 3-1% 0% 1 0% - Small Cap (41) (413) 497-8% 0% 2,073-4% 0% 14 1% - Broad (549) (4,522) 96,154-13% 8% 103,939-4% 6% % 22 Total EM Equities (862) (3,815) 114,845-13% 10% 113,302-4% 7% % 23 Total Equities 25, ,954 1,167,195-21% 100% 1,707,569 1% 100% 1, % 204 Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month. Figure 74: ETP Summary Statistics by Style and Market Equities Net Cash Flows Turnover AUM Nov '15 $MM YTD $MM Nov '15 $MM MoM Chg % Mkt Shr Nov '15 $MM MoM Chg % # of Funds Nov '15 Mkt All Shr Style (Equities) Mkt Shr YTD New US Equities Growth 2,835 11,771 14,031-12% 1% 112,598 3% 7% 39 3% - Value 1,419 6,900 13,258-12% 1% 95,313 2% 6% 42 4% 1 Dividend 433 (2,893) 6,084-10% 1% 80,140 1% 5% 43 4% 8 Blend 14,927 20, ,769-23% 77% 937,077 2% 55% % 71 Total US Equities 19,614 36, ,142-23% 80% 1,225,128 2% 72% % 80 DM Intl Equities Growth % 0% 2,133 8% 0% 1 0% - Value % 0% 2,776 0% 0% 1 0% - Dividend ,491 12,313-8% 1% 50,111 3% 3% 40 3% 14 Blend 4,224 70,707 68,801-10% 6% 246,429 1% 14% % 57 Total DM Intl Equities 4,965 92,136 81,816-9% 7% 301,449 1% 18% % 71 EM Equities Dividend (55) (866) % 0% 2,952-6% 0% 11 1% 2 Blend (807) (2,927) 114,421-13% 10% 110,351-4% 6% % 21 Total EM Equities (862) (3,815) 114,845-13% 10% 113,302-4% 7% % 23 Total Equities 25, ,954 1,167,195-21% 100% 1,707,569 1% 100% 1, % 204 Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month. Page 35

36 Figure 75: ETP Summary Statistics by Sectors US Equities Net Cash Flows Turnover AUM # of Funds Sector Nov '15 YTD Nov '15 MoM Mkt Nov '15 MoM Mkt Nov '15 Mkt YTD (US Equities) $MM $MM $MM Chg % Shr $MM Chg % Shr All Shr New Consumer Discretionary 363 3,117 21,215-8% 2% 23,859 2% 2% 23 4% 6 Consumer Staples (590) (961) 10,390-20% 1% 15,364-4% 1% 13 2% - Energy 685 7,297 43,289-22% 5% 31,014 0% 3% 32 5% 4 Financials 1,347 (325) 30,900-10% 3% 39,393 6% 3% 39 7% 4 Healthcare (483) 7,330 37,933-51% 4% 48,082 1% 4% 34 6% 7 Industrials 234 (3,325) 15,674-19% 2% 12,738 3% 1% 15 3% - Materials 86 (868) 7,688-26% 1% 4,299 2% 0% 12 2% - Real Estate ,810 3% 3% 41,474 2% 3% 20 3% 3 Technology 1, ,908-19% 2% 37,739 7% 3% 32 5% 1 Telecom 109 (26) % 0% 1,489 7% 0% 5 1% - Utilities (862) (3,111) 11,830-1% 1% 8,487-11% 1% 9 2% 1 Theme (38) (206) 1,424-7% 0% 9,330-1% 1% 36 6% 2 Overall 15,846 26, ,720-22% 76% 951,860 2% 78% % 52 Total US Equities 19,614 36, ,142-23% 100% 1,225,128 2% 100% % 80 Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month. Commodity Breakdowns Figure 76: ETP Summary Statistics by Sectors and Sub Sectors Commodity Net Cash Flows Turnover AUM # of Funds Sector Nov '15 YTD Nov '15 MoM Mkt Nov '15 MoM Mkt Mkt YTD Nov '15 (Commodities) $MM $MM $MM Chg % Shr $MM Chg % Shr Shr New Diversified Broad 21 (539) 856-3% 3% 4,205-6% 9% 10 19% - Agriculture (2) (103) 144-7% 1% 887-4% 2% 7 13% - Energy 1,149 4,437 12,138-26% 43% 5,696 8% 12% 15 28% 1 Crude Oil 1,072 4,243 10,901-26% 39% 4,936 9% 11% 7 13% - Natural Gas ,170-31% 4% 572 1% 1% 4 8% - Industrial Metals 5 (25) 28-33% 0% 138-4% 0% 2 4% - Precious Metals (1,351) (2,109) 15,075-21% 53% 34,819-11% 76% 19 36% - Gold (1,425) (1,672) 13,332-20% 47% 28,952-11% 63% 9 17% - Silver 51 (177) 1,555-32% 6% 5,037-9% 11% 5 9% - Platinum - (42) 63 22% 0% % 1% 1 2% - Palladium 8 (100) 43-4% 0% % 0% 1 2% - Total Commodities (178) 1,660 28,240-23% 100% 45,746-8% 100% % 1 Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month. Page 36

37 Fixed Income Breakdowns Figure 77: ETP Summary Statistics by Category Fixed Income Net Cash Flows Turnover AUM # of Funds Categories Nov '15 YTD Nov '15 MoM Mkt Nov '15 MoM Mkt Nov '15 Mkt YTD (Fixed Income) $MM $MM $MM Chg % Shr $MM Chg % Shr All Shr New Broad 3,295 19,435 17,711 1% 17% 105,059 3% 29% 43 15% 6 Convertible % 1% 2,815 4% 1% 3 1% 2 Corporates (43) 17,304 36,569-28% 35% 115,229-1% 32% 91 32% 14 EM debt 507 1,138 3,618-8% 3% 11,203 4% 3% 23 8% 2 Inflation 87 2,066 2,552 11% 2% 22,262 0% 6% 17 6% - International (65) (602) 694 6% 1% 2,966-5% 1% 13 5% 1 Municipal 394 3,469 1,985-13% 2% 18,536 2% 5% 36 13% 4 Preferred 798 4,597 3,102 14% 3% 21,039 4% 6% 9 3% - Securitized 99 1,847 1,365-50% 1% 10,321 1% 3% 9 3% - Senior Loans (422) (663) 1,328-12% 1% 5,795-8% 2% 4 1% - US Treasury (4,423) 9,217 34,012-27% 33% 47,689-9% 13% 39 14% 1 Total Fixed Income , ,702-21% 100% 362,913 0% 100% % 30 Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month. Figure 78: ETP Summary Statistics by Credit Quality Fixed Income Net Cash Flows Turnover AUM # of Funds Credit Quality Nov '15 YTD Nov '15 MoM Mkt Nov '15 MoM Mkt Nov '15 Mkt YTD (Fixed Income) $MM $MM $MM Chg % Shr $MM Chg % Shr All Shr New Investment Grade (314) 44,964 70,973-21% 68% 279,803 0% 77% % 18 High Yield (1,110) 4,093 25,153-28% 24% 46,171-5% 13% 46 16% 4 Mixed 1,766 8,826 7,576 2% 7% 36,939 5% 10% 44 15% 8 Total Fixed Income , ,702-21% 100% 362,913 0% 100% % 30 Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month. Figure 79: ETP Summary Statistics by Duration Fixed Income Net Cash Flows Turnover AUM # of Funds Duration Nov '15 YTD Nov '15 MoM Mkt Nov '15 MoM Mkt Nov '15 Mkt YTD (Fixed Income) $MM $MM $MM Chg % Shr $MM Chg % Shr All Shr New Short (2,525) 10,252 19,411-12% 19% 94,563-3% 26% 70 24% 7 Intermediate (1,454) 13,409 31,621-29% 30% 73,643-3% 20% 41 14% 1 Long (726) 1,317 19,618-31% 19% 18,307-4% 5% 29 10% 2 Broad 4,958 31,091 32,147-11% 31% 168,086 3% 46% % 9 Set Maturity 89 1, % 1% 8,314 1% 2% 45 16% 11 Total Fixed Income , ,702-21% 100% 362,913 0% 100% % 30 Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month. Page 37

38 Top 15 ETFs (includes ETNs) Figure 80: Top 15 by 1M Total Return Gain (non-levered) Ticker Name TER Total Return BBC BioShares Biotechnology Clinical Trials Fund 0.85% 15.7% CNCR Loncar Cancer Immunotherapy ETF 0.79% 11.4% XPH SPDR S&P Pharmaceuticals ETF 0.35% 10.5% XBI SPDR S&P Biotech ETF 0.35% 8.5% SBIO ALPS Medical Breakthroughs ETF 0.50% 8.5% PSCH PowerShares S&P SmallCap Health Care Portfolio 0.29% 8.3% BIZD Market Vectors BDC Income ETF 9.17% 8.0% BDCZ ETRACS Linked to the Wells Fargo Business 0.85% 7.7% Development Company Index ETN Series B FBT First Trust NYSE Arca Biotechnology Index Fund 0.60% 7.7% DXJH WisdomTree Japan Hedged Health Care Fund 0.43% 7.5% BDCS ETRACS Linked to the Wells Fargo Business Development Company Index ETN 0.85% 7.3% KWEB KraneShares CSI China Internet ETF 0.68% 7.3% AIRR First Trust RBA American Industrial Renaissance ETF 0.70% 7.2% KBWR PowerShares KBW Regional Banking Portfolio 0.35% 7.0% QABA First Trust NASDAQ ABA Community Bank Index 0.60% 7.0% Source: Deutsche Bank, FactSet. Total Return corresponds to last month. Figure 81: Top 15 by 1M Total Return Loss (non-levered) Ticker Name TER Total Return GAZ ipath Dow Jones-UBS Natural Gas Subindex Total 0.75% -20.3% Return ETN PALL ETFS Physical Palladium Shares 0.60% -19.6% PGM ipath Dow Jones-UBS Platinum Subindex Total 0.75% -17.5% Return ETN GREK Global X FTSE Greece 20 ETF 0.65% -17.0% PTM ETRACS CMCI Long Platinum Total Return 0.65% -16.9% COPX Global X Copper Miners ETF 0.65% -16.5% CU First Trust ISE Global Copper Index Fund 0.70% -16.0% PPLT ETFS Physical Platinum Shares 0.60% -15.6% ICOL ishares MSCI Colombia Capped ETF 0.61% -15.5% GXG Global X FTSE Colombia 20 ETF 0.68% -14.6% YMLP Yorkville High Income MLP 0.82% -14.5% PLTM First Trust ISE Global Platinum Index Fund 0.70% -13.9% JJC ipath Dow Jones-UBS Copper Subindex Total Return 0.75% -13.1% ETN WITE ETFS White Metals Basket Trust 0.60% -13.1% SILJ PureFunds ISE Junior Silver ETF 0.69% -12.7% Source: Deutsche Bank, FactSet. Total Return corresponds to last month. Figure 82: Top 15 by 1M Inflows Ticker Name TER Inflows $MM AGG ishares Core U.S. Aggregate Bond ETF 0.08% 2,645 IWB ishares Russell 1000 ETF 0.15% 2,525 IWM ishares Russell 2000 ETF 0.24% 2,401 IEFA ishares Core MSCI EAFE ETF 0.14% 1,635 EFA ishares MSCI EAFE ETF 0.33% 1,017 VOO Vanguard S&P 500 ETF 0.05% 930 USO United States Oil Fund LP 0.45% 890 VEA Vanguard FTSE Developed Markets ETF 0.10% 831 IWF ishares Russell 1000 Growth ETF 0.20% 825 QQQ PowerShares QQQ 0.20% 702 XLF Financial Select Sector SPDR Fund 0.14% 683 FDN First Trust Dow Jones Internet Index Fund 0.60% 670 XLK Technology Select Sector SPDR Fund 0.14% 623 HEDJ WisdomTree Europe Hedged Equity Fund 0.58% 617 PFF ishares U.S. Preferred Stock ETF 0.47% 559 Source: Deutsche Bank, Bloomberg Finance LP. Inflows correspond to last month. Figure 83: Top 15 by 1M Outflows Ticker Name TER Outflows $MM SHY ishares 1-3 Year Treasury Bond ETF 0.15% (1,516) GLD SPDR Gold Shares 0.40% (1,316) XLU Utilities Select Sector SPDR Fund 0.14% (891) IEF ishares 7-10 Year Treasury Bond ETF 0.15% (868) JNK SPDR Barclays High Yield Bond ETF 0.40% (761) EEM ishares MSCI Emerging Markets ETF 0.67% (585) BIL SPDR Barclays 1-3 Month T-Bill ETF 0.13% (567) TLT ishares 20+ Year Treasury Bond ETF 0.15% (540) BKLN PowerShares Senior Loan Portfolio 0.65% (497) XLP Consumer Staples Select Sector SPDR Fund 0.14% (460) IEI ishares 3-7 Year Treasury Bond ETF 0.15% (407) XLV Health Care Select Sector SPDR Fund 0.14% (352) SHV ishares Short Treasury Bond ETF 0.15% (342) EWT ishares MSCI Taiwan ETF 0.62% (332) EWG ishares MSCI Germany ETF 0.48% (288) Source: Deutsche Bank, Bloomberg Finance LP. Outflows correspond to last month. Figure 84: Top 15 by AUM Ticker Name TER AUM $MM SPY SPDR S&P 500 ETF 0.09% 180,509 IVV ishares Core S&P 500 ETF 0.07% 70,428 EFA ishares MSCI EAFE ETF 0.33% 58,436 VTI Vanguard Total Stock Market ETF 0.05% 58,084 QQQ PowerShares QQQ 0.20% 43,059 VOO Vanguard S&P 500 ETF 0.05% 39,510 VWO Vanguard FTSE Emerging Markets ETF 0.15% 35,852 IWF ishares Russell 1000 Growth ETF 0.20% 31,124 AGG ishares Core U.S. Aggregate Bond ETF 0.08% 30,099 IWM ishares Russell 2000 ETF 0.24% 29,239 VEA Vanguard FTSE Developed Markets ETF 0.10% 28,940 BND Vanguard Total Bond Market ETF 0.08% 27,257 IJH ishares Core S&P Mid-Cap ETF 0.15% 27,217 IWD ishares Russell 1000 Value ETF 0.21% 27,056 VNQ Vanguard REIT ETF 0.12% 26,907 Source: Deutsche Bank, Bloomberg Finance LP. AUM as of the end of last month. Figure 85: Top 15 by $ Volume traded last month Ticker Name TER Volume $MM SPY SPDR S&P 500 ETF 0.09% 407,755 IWM ishares Russell 2000 ETF 0.24% 70,128 QQQ PowerShares QQQ 0.20% 62,027 EEM ishares MSCI Emerging Markets ETF 0.67% 43,987 EFA ishares MSCI EAFE ETF 0.33% 23,793 XLE Energy Select Sector SPDR Fund 0.14% 22,766 VXX ipath S&P 500 VIX Short-Term Futures ETN 0.89% 20,335 XLF Financial Select Sector SPDR Fund 0.14% 19,409 DIA SPDR Dow Jones Industrial Average ETF 0.17% 18,721 FXI ishares China Large-Cap ETF 0.74% 17,323 GDX Market Vectors Gold Miners ETF 0.52% 16,636 XLV Health Care Select Sector SPDR Fund 0.14% 16,622 IVV ishares Core S&P 500 ETF 0.07% 16,220 IYR ishares U.S. Real Estate ETF 0.43% 16,218 TLT ishares 20+ Year Treasury Bond ETF 0.15% 16,035 Source: Deutsche Bank, Bloomberg Finance LP. Volume $ corresponds to total traded last month. Page 38

39 Appendix A: ETN Snapshot Figure 86: ETN Summary by Asset Class AUM ($ MM) Cash Flow ($ MM) Turnover ($ MM) # of ETNs Market Share % Asset Class Nov 2015 End of 2014 %Chg Nov 2015 Oct 2015 YTD YTD Chg Nov % AUM 2015 Oct 2015 %Chg Nov 2015 End of 2014 %Chg AUM Turnover # of ETNs Equity 13,225 16, % (1) % 3,232 3, % % 59.0% 6.2% 27.4% Fixed income % (11) (1) (133) -29.8% % % 1.3% 0.1% 9.5% Commodity 5,366 5, % , % 11,132 15, % % 24.0% 21.3% 44.8% Currency % (5) 5 (34) -28.2% % % 0.3% 0.0% 5.5% Multi Asset 585 1, % (43) (25) (318) -30.5% % % 2.6% 0.2% 3.5% Alternative 2,860 2, % % 37,756 49, % % 12.8% 72.2% 9.5% Total 22,404 26, % , % 52,295 67, % % 100% 100% 100% Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month. Figure 87: ETN Summary by Issuer AUM ($ MM) Cash Flow ($ MM) Turnover ($ MM) # of ETNs Market Share % Issuer Nov 2015 End of 2014 %Chg Nov 2015 Oct 2015 YTD YTD Chg Nov % AUM 2015 Oct 2015 %Chg Nov 2015 End of 2014 %Chg AUM Turnover # of ETNs Barclays Bank 6,836 8, % (46) 267 (388) -4.3% 21,569 28, % % 30.5% 41.2% 40.3% UBS 5,024 5, % , % 1,075 1, % % 22.4% 2.1% 22.4% Credit Suisse 4,959 3, % 523 (45) 3, % 27,356 35, % % 22.1% 52.3% 12.9% JPMorgan 3,726 5, % % 1,954 2, % % 16.6% 3.7% 0.5% Deutsche Bank % 12 (10) (79) -9.0% % % 3.6% 0.4% 14.4% Swedish Export CC % (5) 15 (68) -8.9% % % 2.4% 0.2% 3.5% Citigroup % % % % 1.0% 0.0% 1.5% Goldman Sachs % % % % 0.5% 0.1% 0.5% Van Eck Funds % (3) 5 (4) -4.5% % % 0.3% 0.0% 2.0% Morgan Stanley % - - (8) -7.0% % % 0.3% 0.0% 0.5% HSBC USA Inc % % % % 0.1% 0.0% 0.5% RBC Global Asset Manage % % % % 0.1% 0.0% 0.5% Guggenheim Investments % % % % 0.0% 0.0% 0.5% Total 22,404 26, % , % 52,295 67, % % 100% 100% 100% Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month. Page 39

40 Appendix B: ETF List Figure 88: Global and US Equities Reference list Product Asset Class Ticker ETF Name Listing Date TER Type AUM $M 20D ADV $M Avg. Bid/Ask Spreads 5-Day $ 5-Day bps Global Equities ACWI ishares MSCI ACWI ETF CM 28-Mar % 6, US Total Market VTI Vanguard Total Stock Market ETF CM 31-May % 58, ,063 3, S&P 500 (Large Cap) SPY SPDR S&P 500 ETF PF 29-Jan % 182,186 20,251 7,437 27, DJI DIA SPDR Dow Jones Industrial Average ETF PF 14-Jan % 12, ,204 2, NASDAQ-100 QQQ PowerShares QQQ PF 10-Mar % 42,990 3,127 2,163 5, Russell 1000 Growth IWF ishares Russell 1000 Growth ETF PF 22-May % 31, ,064 1, Russell 1000 Value IWD ishares Russell 1000 Value ETF PF 22-May % 27, ,417 4, S&P 400 (Mid Cap) MDY SPDR S&P MidCap 400 ETF PF 4-May % 15, , Russell 2000 (SM Cap) IWM ishares Russell 2000 ETF PF 22-May % 28,802 3, , Div. Growth VIG Vanguard Dividend Appreciation ETF CM 27-Apr % 19, , Div. Yield DVY ishares Select Dividend ETF CM 7-Nov % 13, Div. Yield VYM Vanguard High Dividend Yield ETF CM 16-Nov % 11, ,534 3, Div. Yield & Growth SDY SPDR S&P Dividend ETF CM 15-Nov % 13, Cons. Discretionary XLY Consumer Discretionary Select Sector SPDR Fund PF 22-Dec % 11, ,476 2, Hotels, Rest & Leisure PEJ PowerShares Dynamic Leisure and Entertainment Port AA 23-Jun % Home Builders XHB SPDR S&P Homebuilders ETF PF 2-Feb % 1, Household Durables ITB ishares U.S. Home Construction ETF CM 5-May % 2, Media PBS PowerShares Dynamic Media Portfolio AA 23-Jun % Retail XRT SPDR S&P Retail ETF PF 22-Jun % Cons. Staples XLP Consumer Staples Select Sector SPDR Fund PF 22-Dec % 7, ,060 1, Food Products PBJ PowerShares Dynamic Food & Beverage Portfolio AA 23-Jun % Energy XLE Energy Select Sector SPDR Fund PF 22-Dec % 11,989 1,100 1,479 2, Energy Eq. & Serv. OIH Market Vectors Oil Services ETF PF 7-Feb % 1, Energy Eq. & Serv. XES SPDR S&P Oil & Gas Equipment & Services ETF AA 22-Jun % Energy Eq. & Serv. IEZ ishares U.S. Oil Equipment & Services ETF AA 5-May % Energy E&P XOP SPDR S&P Oil & Gas Exploration & Production ETF PF 22-Jun % 1, Energy E&P IEO ishares U.S. Oil & Gas Exploration & Production ETF AA 5-May % MLPs AMLP Alerian MLP ETF CM 25-Aug % 6, Financials XLF Financial Select Sector SPDR Fund PF 22-Dec % 19, ,232 2, Large Banks KBWB PowerShares KBW Bank Portfolio AA 1-Nov % Regional Banks KRE SPDR S&P Regional Banking ETF PF 22-Jun % 2, Capital Markets KCE SPDR S&P Capital Markets ETF AA 15-Nov % Insurance KIE SPDR S&P Insurance ETF AA 15-Nov % Healthcare XLV Health Care Select Sector SPDR Fund PF 22-Dec % 13, ,677 2, Biotech & Pharma IBB ishares Nasdaq Biotechnology ETF PF 5-Feb % 8, Large Biotech BBH Market Vectors Biotech ETF AA 23-Nov % HC Eq. & Supplies IHI ishares U.S. Medical Devices ETF AA 5-May % HC Providers & Serv IHF ishares U.S. Healthcare Providers ETF AA 5-May % Large Pharma PPH Market Vectors Pharmaceutical ETF AA 1-Feb % Industrials XLI Industrial Select Sector SPDR Fund PF 22-Dec % 7, ,704 2, Aerospace & Def ITA ishares U.S. Aerospace & Defense ETF AA 5-May % Transportation IYT ishares Transportation Average ETF AA 10-Oct % Materials XLB Materials Select Sector SPDR Fund PF 22-Dec % 2, Metals & Mining XME SPDR S&P Metals and Mining ETF PF 22-Jun % Real Estate VNQ Vanguard REIT ETF CM 29-Sep % 26, Technology VGT Vanguard Information Technology ETF AA 30-Jan % 8, ,848 1, Comm. Equipment IGN ishares North American Tech-Multimedia Networking AA 10-Jul % Int. Software & Serv. FDN First Trust Dow Jones Internet Index Fund AA 23-Jun % 4, Semiconductors SMH Market Vectors Semiconductor ETF PF 5-May % Software IGV ishares North American Tech-Software ETF AA 10-Jul % 1, Telecom VOX Vanguard Telecommunication Services ETF AA 29-Sep % Utilities XLU Utilities Select Sector SPDR Fund PF 22-Dec % 5, , Implied Liq. $M Total Liq. $M Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of 3-Dec-15. Bid/Ask Spreads are provided only as reference, actual spreads are trade-specific. Product Type: Asset Allocation (AA), Cash Management (CM), Pseudo Futures (PF). Page 40

41 Figure 89: International Equities Reference list Product Asset Class Ticker ETF Name Listing Date TER Type AUM $M 20D ADV $M Avg. Bid/Ask Spreads 5-Day $ 5-Day bps Intl DM EFA ishares MSCI EAFE ETF CM 14-Aug % 58,750 1,227 1,626 2, Canada EWC ishares MSCI Canada ETF CM 12-Mar % 1, Israel EIS ishares MSCI Israel Capped ETF AA 28-Mar % Europe VGK Vanguard FTSE Europe ETF CM 3-Mar % 15, Denmark EDEN ishares MSCI Denmark Capped ETF AA 26-Jan % Norway NORW Global X FTSE Norway 30 ETF AA 10-Nov % Sweden EWD ishares MSCI Sweden ETF AA 12-Mar % Switzerland EWL ishares MSCI Switzerland Capped ETF AA 12-Mar % 1, UK EWU ishares MSCI United Kingdom ETF CM 12-Mar % 2, ,207 1, Eurozone EZU ishares MSCI Eurozone ETF CM 25-Jul % 13, ,305 1, Austria EWO ishares MSCI Austria Capped ETF AA 12-Mar % Belgium EWK ishares MSCI Belgium Capped ETF AA 12-Mar % Finland EFNL ishares MSCI Finland Capped ETF AA 26-Jan % France EWQ ishares MSCI France ETF AA 12-Mar % Germany EWG ishares MSCI Germany ETF CM 12-Mar % 5, Ireland EIRL ishares MSCI Ireland Capped ETF AA 7-May % Italy EWI ishares MSCI Italy Capped ETF CM 12-Mar % 1, Netherlands EWN ishares MSCI Netherlands ETF AA 12-Mar % Portugal PGAL Global X FTSE Portugal 20 ETF AA 13-Nov % Spain EWP ishares MSCI Spain Capped ETF CM 12-Mar % 1, Japan EWJ ishares MSCI Japan ETF CM 12-Mar % 20, ,142 1, Pacific ex JP EPP ishares MSCI Pacific ex Japan ETF AA 25-Oct % 1, Australia EWA ishares MSCI Australia ETF CM 12-Mar % 1, Hong Kong EWH ishares MSCI Hong Kong ETF CM 12-Mar % 2, New Zealand ENZL ishares MSCI New Zealand Capped ETF AA 2-Sep % Singapore EWS ishares MSCI Singapore ETF CM 12-Mar % EM EEM ishares MSCI Emerging Markets ETF PF 7-Apr % 22,174 2, , Latin America ILF ishares Latin America 40 ETF AA 26-Oct % Brazil EWZ ishares MSCI Brazil Capped ETF PF 10-Jul % 1, Chile ECH ishares MSCI Chile Capped ETF AA 16-Nov % Colombia GXG Global X FTSE Colombia 20 ETF AA 9-Feb % Mexico EWW ishares MSCI Mexico Capped ETF PF 12-Mar % 1, Peru EPU ishares MSCI Peru Capped ETF AA 22-Jun % EM Asia EEMA ishares MSCI Emerging Markets Asia ETF AA 9-Feb % China H FXI ishares China Large-Cap ETF PF 8-Oct % 5, , China A ASHR Deutsche X-trackers Harvest CSI 300 China A-Shares AA 6-Nov % ,379 1, India INDA ishares MSCI India ETF AA 2-Feb % 3, Indonesia EIDO ishares MSCI Indonesia ETF AA 7-May % Malaysia EWM ishares MSCI Malaysia ETF CM 12-Mar % Philippines EPHE ishares MSCI Philippines ETF AA 29-Sep % South Korea EWY ishares MSCI South Korea Capped ETF CM 9-May % 3, Taiwan EWT ishares MSCI Taiwan ETF PF 20-Jun % 2, Thailand THD ishares MSCI Thailand Capped ETF AA 28-Mar % EM Europe GUR SPDR S&P Emerging Europe ETF AA 23-Mar % Greece GREK Global X FTSE Greece 20 ETF AA 8-Dec % Poland EPOL ishares MSCI Poland Capped ETF AA 26-May % Russia RSX Market Vectors Russia ETF PF 26-Apr % 1, Turkey TUR ishares MSCI Turkey ETF AA 28-Mar % Middle East MES Market Vectors Gulf States Index ETF AA 25-Jul % Qatar QAT ishares MSCI Qatar Capped ETF AA 1-May % UAE UAE ishares MSCI UAE Capped ETF AA 1-May % Africa AFK Market Vectors Africa Index ETF AA 14-Jul % Egypt EGPT Market Vectors Egypt Index ETF AA 18-Feb % South Africa EZA ishares MSCI South Africa ETF AA 7-Feb % Frontier Market FM ishares MSCI Frontier 100 ETF AA 13-Sep % Argentina ARGT Global X MSCI Argentina ETF AA 3-Mar % Nigeria NGE Global X MSCI Nigeria ETF AA 3-Apr % Pakistan PAK Global X MSCI Pakistan ETF AA 23-Apr % Vietnam VNM Market Vectors Vietnam ETF AA 14-Aug % BRIC BKF ishares MSCI BRIC ETF AA 16-Nov % Implied Liq. $M Total Liq. $M Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of 3-Dec-15. Bid/Ask Spreads are provided only as reference, actual spreads are trade-specific. Product Type: Asset Allocation (AA), Cash Management (CM), Pseudo Futures (PF). Page 41

42 Figure 90: Non-Equity Reference list Product Asset Class Ticker ETF Name Listing Date TER Type AUM $M 20D ADV $M Avg. Bid/Ask Spreads 5-Day $ 5-Day bps Fixed Income (Broad) AGG ishares Core U.S. Aggregate Bond ETF CM 26-Sep % 30, n.a. n.a US Treasury GOVT ishares Core U.S. Treasury Bond ETF AA 16-Feb % 1, n.a. n.a Very Short SHV ishares Short Treasury Bond ETF CM 12-Jan % 3, n.a. n.a Short SHY ishares 1-3 Year Treasury Bond ETF CM 26-Jul % 11, n.a. n.a Intermediate IEI ishares 3-7 Year Treasury Bond ETF CM 12-Jan % 4, n.a. n.a Long TLT ishares 20+ Year Treasury Bond ETF PF 26-Jul % 5, n.a. n.a US Inflation TIP ishares TIPS Bond ETF CM 12-Apr % 13, n.a. n.a Municipal MUB ishares National AMT-Free Muni Bond ETF AA 9-Sep % 5, n.a. n.a Securitized MBB ishares MBS ETF AA 15-Mar % 7, n.a. n.a IG Corporates LQD ishares iboxx $ Investment Grade Corporate Bond ETF CM 26-Jul % 24, n.a. n.a HY Corporates HYG ishares iboxx $ High Yield Corporate Bond ETF PF 10-Apr % 15, n.a. n.a Floater FLOT ishares Floating Rate Bond ETF AA 17-Jun % 3, n.a. n.a Senior Loans BKLN PowerShares Senior Loan Portfolio CM 3-Mar % 4, n.a. n.a Preferred PFF ishares U.S. Preferred Stock ETF CM 30-Mar % 14, n.a. n.a Convertible CWB SPDR Barclays Convertible Securities ETF AA 16-Apr % 2, n.a. n.a Intl DM Debt BWX SPDR Barclays International Treasury Bond ETF AA 5-Oct % 1, n.a. n.a Intl Inflation WIP SPDR DB International Government Inflation-Protected AA 19-Mar % n.a. n.a EM Gov Debt USD EMB ishares J.P. Morgan USD Emerging Markets Bond ETF CM 12-Dec % 4, n.a. n.a EM Gov Debt Local EMLC Market Vectors Emerging Markets Local Currency Bon AA 23-Jul % 1,240 9 n.a. n.a EM Corp USD EMCB WisdomTree Emerging Markets Corporate Bond Fund AA 8-Mar % 75 2 n.a. n.a EM HY Corp USD HYEM Market Vectors Emerging Markets High Yield Bond ET AA 9-May % n.a. n.a ,055.4 Commodities DBC PowerShares DB Commodity Index Tracking Fund CM 3-Feb % 2, n.a. n.a Energy Cmdty DBE PowerShares DB Energy Fund AA 5-Jan % n.a. n.a Crude Oil WTI USO United States Oil Fund LP PF 3-Apr % 3, n.a. n.a Natural Gas UNG United States Natural Gas Fund LP PF 18-Apr % n.a. n.a Agriculture DBA PowerShares DB Agriculture Fund CM 5-Jan % n.a. n.a Industrial Metals DBB PowerShares DB Base Metals Fund AA 5-Jan % n.a. n.a Precious Metals DBP PowerShares DB Precious Metals Fund AA 5-Jan % 97 1 n.a. n.a ,014.6 Gold Physical GLD SPDR Gold Shares PF 18-Nov % 21, n.a. n.a Silver Physical SLV ishares Silver Trust PF 27-Apr % 4, n.a. n.a Platinum Physical PPLT ETFS Physical Platinum Shares AA 8-Jan % n.a. n.a Palladium Physical PALL ETFS Physical Palladium Shares AA 8-Jan % n.a. n.a Bull USD UUP PowerShares DB US Dollar Index Bullish Fund CM 20-Feb % 1, n.a. n.a JPYUSD FXY CurrencyShares Japanese Yen Trust PF 13-Feb % n.a. n.a EURUSD FXE CurrencyShares Euro Currency Trust PF 12-Dec % n.a. n.a Implied Liq. $M Total Liq. $M Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of 3-Dec-15. Bid/Ask Spreads are provided only as reference, actual spreads are trade-specific. Product Type: Asset Allocation (AA), Cash Management (CM), Pseudo Futures (PF). Page 42

43 Appendix C: Definitions ETP Universe Definitions Exchange-Traded Products (ETPs) We define an exchange-traded product (ETP) as a secure (funded or collateralized) open-ended exchange-traded equity with no embedded optionality and market-wide appeal to investors. This includes exchange traded funds (ETF), and exchange-traded vehicles (ETV). The vast majority of instruments are ETFs (~98% in AUM). Exchange-Traded Funds (ETFs) ETFs are open-ended funds which are listed on an exchange and offer intraday dual liquidity to access diversified investments in a transparent, cheap, and tax efficient way. ETFs indexed to equity and fixed income benchmarks are registered under the investment company act of Only physical index replication techniques are permissible by this legislation while synthetic replication is not allowed. Exchange-traded vehicles (ETVs) This terminology typically refers to grantor trusts that exist in the US market. These instruments track primarily commodity benchmarks. They differ from ETFs in that they are registered under the Securities Act of 1933 and not the Investment Company Act of 1940, hence they are not classed as funds. Vehicles that replicate commodity benchmarks, more often known as pools, and funds targeting alternative index returns are formed under the Commodities Exchange Act and are listed under the 33 Securities Act, and report under 34 Corporate Act. Management Style or Product Strategy Definitions Beta This is the main group with the largest number of products and assets. Within this category we account for all those ETFs that track an index which employs a market capitalization weighting methodology, and a simple selection methodology usually involving screenings such as minimum market cap and liquidity levels, or profitability levels. ETFs in this group are also referred to as plain-vanilla ETFs. Some examples of indices falling within this category are: S&P 500, S&P 400, S&P 600, MSCI EAFE, MSCI EM, Russell 2000, and Russell 1000, to name a few. Beta+ In this group we include every product that offers any level of leverage or inverse implementation. For example, an ETF offering access to twice the daily returns of the S&P 500 on either direction (long or short) would be classified under this category. Active Classifying products in this group is still easy; basically if the ETF doesn t track any index then we classify the fund as active. Page 43

44 Enhanced Beta (aka Smart Beta) This category is reserved for those ETFs that also track an index, but which follow more elaborated strategies. After defining an index universe, there are two main levers that determine most of the risk/return profile of the index: (1) the selection criteria, and (2) the weighting criteria. In their selection process, enhanced beta ETFs usually employ additional screening processes and scoring systems involving multiple factors beyond just minimum market cap and liquidity levels. For example, they could include growth or value scores, dividends paid or dividend yield, earnings, volatility, or momentum screens, to name a few. The weighting methodology of enhanced beta ETFs is usually anything but market cap weighted, it can include simple equal weighting or variations of it, optimized weights, and other metric-specific weights such as those based on dividends paid, inverse volatility, dividend yield, fundamental multi factor scores, earnings, and revenues, to name a few. An enhanced beta ETF will either have a non-traditional selection methodology, a non-traditional weighting methodology, or a combination of both. Product Type Definitions Asset Allocation ETFs This group covers all ETFs with exception of levered and inverse products. These are usually good products for market access strategies, portfolio completion, and core positions. They are also efficient building blocks for multi asset strategies. When selecting these products, major emphasis should be set on the desired exposure, tracking efficiency, primary liquidity (i.e. the liquidity of the underlying basket), and cost. Cash Management ETFs This group covers a more selected group of ETFs which in addition to being good asset allocation tools, also serves a series of cash management portfolio needs. For example, these products are very good for equitizing cash between transitions, around reporting periods (window dressing), and during tax loss harvesting. These ETFs usually have good liquidity, large fund size, and low cost, all of which makes it easier to execute sizeable short-term transactions, therefore secondary market liquidity and fund size tend to be a more relevant factor compared to asset allocation ETFs. The most popular asset allocation usage of these funds is as core building blocks. Pseudo Futures ETFs This group covers an even more selected sample of ETFs which in addition to being good asset allocation and cash management tools can also be used for fulfilling risk management functions such as risk hedging, portable alpha strategies, or tactical shorts. Many times they also trade at a cheaper level than their underlying basket, and offer large amounts of liquidity which can make them attractive for market making activities as well. Secondary and short liquidity (ease to borrow), and fund size tend to be more relevant characteristics at the moment of selecting this type of ETFs. There is usually no more than one pseudo futures ETF per asset class. The most popular asset allocation usage of these funds is among portfolios that require more liquidity given their size or more tactical nature. Page 44

45 Figure 91: Selection criteria depending on intended ETF usage Criteria Measured by Source Pseudo Futures Cash Mgmt Asset Allocation Secondary Liquidity (quantity) Avg. Daily Value traded in $ FactSet More Relevant More Relevant Less Relevant Secondary Liquidity (cost) Avg. Bid/Ask Spreads Bloomberg Finance LP More Relevant More Relevant Less Relevant Primary Liquidity Implied liquidity of basket Bloomberg Finance LP Less Relevant Less Relevant More Relevant Short Liquidity (quantity) Short Interest/ Shrs. Out. % Bloomberg Finance LP More Relevant Less Relevant Less Relevant Short Liquidity (cost) Avg. Borrow Rate Deutsche Bank More Relevant Less Relevant Less Relevant Size AUM $ Bloomberg Finance LP More Relevant More Relevant Less Relevant Ownership: Brokers+Hedge Funds Ownership % FactSet More Relevant Relevant Less Relevant Mutual Funds+Pension Funds Ownership % FactSet Relevant More Relevant Relevant Invest. Adviser+Private Bank/WM+Retail Ownership % FactSet Less Relevant Less Relevant More Relevant Flow Activity Abs(Daily Flows Median) $ Bloomberg Finance LP More Relevant Less Relevant Less Relevant Cost Total Expense Ratio ETF Issuer Less Relevant Relevant More Relevant Exposure/Benchmark Investor's objective Investor Relevant Relevant More Relevant Tracking efficiency to Index NAV-Index Performance dif. Bloomberg Finance LP Less Relevant Relevant More Relevant Tracking efficiency to NAV Price-NAV premium/discounts Bloomberg Finance LP Less Relevant Relevant More Relevant Product Provider Assets, products, years Combination of above Less Relevant Less Relevant Relevant Source: Deutsche Bank Page 45

46 The authors of this report wish to acknowledge the contribution made by Alfonso Delgado Valdivia, employee of Evalueserve, a third-party provider of offshore research support services to Deutsche Bank. Page 46

47 Appendix 1 Important Disclosures Additional information available upon request *Prices are current as of the end of the previous trading session unless otherwise indicated and are sourced from local exchanges via Reuters, Bloomberg and other vendors. Other information is sourced from Deutsche Bank, subject companies, and other sources. For disclosures pertaining to recommendations or estimates made on securities other than the primary subject of this research, please see the most recently published company report or visit our global disclosure look-up page on our website at Analyst Certification The views expressed in this report accurately reflect the personal views of the undersigned lead analyst(s). In addition, the undersigned lead analyst(s) has not and will not receive any compensation for providing a specific recommendation or view in this report. Sebastian Mercado Equity rating key Buy: Based on a current 12- month view of total share-holder return (TSR = percentage change in share price from current price to projected target price plus pro-jected dividend yield ), we recommend that investors buy the stock. Sell: Based on a current 12-month view of total shareholder return, we recommend that investors sell the stock Hold: We take a neutral view on the stock 12-months out and, based on this time horizon, do not recommend either a Buy or Sell. Notes: 1. Newly issued research recommendations and target prices always supersede previously published research. 2. Ratings definitions prior to 27 January, 2007 were: Buy: Expected total return (including dividends) of 10% or more over a 12-month period Hold: Expected total return (including dividends) between -10% and 10% over a 12- month period Sell: Expected total return (including dividends) of -10% or worse over a 12-month period Equity rating dispersion and banking relationships % 49 % 53 % 40 % Buy Hold Sell Companies Covered North American Universe 2 % 37 % Cos. w/ Banking Relationship Page 47

48 Regulatory Disclosures 1.Additional Information Information on ETFs is provided strictly for illustrative purposes and should not be deemed an offer to sell or a solicitation of an offer to buy shares of any fund that is described in this document. Consider carefully any fund's investment objectives, risk factors, and charges and expenses before investing. This and other information can be found in the fund's prospectus. Prospectuses about db X-trackers funds and Powershares DB funds can be obtained by calling or by visiting Read prospectuses carefully before investing. Past performance is not necessarily indicative of future results. Investing involves risk, including possible loss of principal. To better understand the similarities and differences between investments, including investment objectives, risks, fees and expenses, it is important to read the products' prospectuses. Shares of ETFs may be sold throughout the day on an exchange through any brokerage account. However, shares may only be redeemed directly from an ETF by authorized participants, in very large creation/redemption units. Transactions in shares of ETFs will result in brokerage commissions and will generate tax consequences. ETFs are obliged to distribute portfolio gains to shareholders. Deutsche Bank may be an issuer, advisor, manager, distributor or administrator of, or provide other services to, an ETF included in this report, for which it receives compensation. db X-trackers and Powershares DB funds are distributed by ALPS Distributors, Inc. The opinions expressed are those of the authors and do not necessarily reflect the views of DB, ALPS or their affiliates. Aside from within this report, important conflict disclosures can also be found at under the "Disclosures Lookup" and "Legal" tabs. Investors are strongly encouraged to review this information before investing. 2. Short-Term Trade Ideas Deutsche Bank equity research analysts sometimes have shorter-term trade ideas (known as SOLAR ideas) that are consistent or inconsistent with Deutsche Bank's existing longer term ratings. These trade ideas can be found at the SOLAR link at Page 48

49 Additional Information The information and opinions in this report were prepared by Deutsche Bank AG or one of its affiliates (collectively "Deutsche Bank"). Though the information herein is believed to be reliable and has been obtained from public sources believed to be reliable, Deutsche Bank makes no representation as to its accuracy or completeness. Deutsche Bank may consider this report in deciding to trade as principal. It may also engage in transactions, for its own account or with customers, in a manner inconsistent with the views taken in this research report. Others within Deutsche Bank, including strategists, sales staff and other analysts, may take views that are inconsistent with those taken in this research report. Deutsche Bank issues a variety of research products, including fundamental analysis, equity-linked analysis, quantitative analysis and trade ideas. Recommendations contained in one type of communication may differ from recommendations contained in others, whether as a result of differing time horizons, methodologies or otherwise. Deutsche Bank and/or its affiliates may also be holding debt securities of the issuers it writes on. Analysts are paid in part based on the profitability of Deutsche Bank AG and its affiliates, which includes investment banking revenues. Opinions, estimates and projections constitute the current judgment of the author as of the date of this report. They do not necessarily reflect the opinions of Deutsche Bank and are subject to change without notice. Deutsche Bank has no obligation to update, modify or amend this report or to otherwise notify a recipient thereof if any opinion, forecast or estimate contained herein changes or subsequently becomes inaccurate. This report is provided for informational purposes only. It is not an offer or a solicitation of an offer to buy or sell any financial instruments or to participate in any particular trading strategy. Target prices are inherently imprecise and a product of the analyst s judgment. The financial instruments discussed in this report may not be suitable for all investors and investors must make their own informed investment decisions. Prices and availability of financial instruments are subject to change without notice and investment transactions can lead to losses as a result of price fluctuations and other factors. If a financial instrument is denominated in a currency other than an investor's currency, a change in exchange rates may adversely affect the investment. Past performance is not necessarily indicative of future results. Unless otherwise indicated, prices are current as of the end of the previous trading session, and are sourced from local exchanges via Reuters, Bloomberg and other vendors. Data is sourced from Deutsche Bank, subject companies, and in some cases, other parties. Macroeconomic fluctuations often account for most of the risks associated with exposures to instruments that promise to pay fixed or variable interest rates. For an investor who is long fixed rate instruments (thus receiving these cash flows), increases in interest rates naturally lift the discount factors applied to the expected cash flows and thus cause a loss. The longer the maturity of a certain cash flow and the higher the move in the discount factor, the higher will be the loss. Upside surprises in inflation, fiscal funding needs, and FX depreciation rates are among the most common adverse macroeconomic shocks to receivers. But counterparty exposure, issuer creditworthiness, client segmentation, regulation (including changes in assets holding limits for different types of investors), changes in tax policies, currency convertibility (which may constrain currency conversion, repatriation of profits and/or the liquidation of positions), and settlement issues related to local clearing houses are also important risk factors to be considered. The sensitivity of fixed income instruments to macroeconomic shocks may be mitigated by indexing the contracted cash flows to inflation, to FX depreciation, or to specified interest rates these are common in emerging markets. It is important to note that the index fixings may -- by construction -- lag or mis-measure the actual move in the underlying variables they are intended to track. The choice of the proper fixing (or metric) is particularly important in swaps markets, where floating coupon rates (i.e., coupons indexed to a typically short-dated interest rate reference index) are exchanged for fixed coupons. It is also important to acknowledge that funding in a currency that differs from the currency in which coupons are denominated carries FX risk. Naturally, options on swaps (swaptions) also bear the risks typical to options in addition to the risks related to rates movements. Derivative transactions involve numerous risks including, among others, market, counterparty default and illiquidity risk. The appropriateness or otherwise of these products for use by investors is dependent on the investors' own circumstances including their tax position, their regulatory environment and the nature of their other assets and liabilities, and as such, investors should take expert legal and financial advice before entering into any transaction similar Page 49

50 to or inspired by the contents of this publication. The risk of loss in futures trading and options, foreign or domestic, can be substantial. As a result of the high degree of leverage obtainable in futures and options trading, losses may be incurred that are greater than the amount of funds initially deposited. Trading in options involves risk and is not suitable for all investors. Prior to buying or selling an option investors must review the "Characteristics and Risks of Standardized Options, at If you are unable to access the website please contact your Deutsche Bank representative for a copy of this important document. Participants in foreign exchange transactions may incur risks arising from several factors, including the following: ( i) exchange rates can be volatile and are subject to large fluctuations; ( ii) the value of currencies may be affected by numerous market factors, including world and national economic, political and regulatory events, events in equity and debt markets and changes in interest rates; and (iii) currencies may be subject to devaluation or government imposed exchange controls which could affect the value of the currency. Investors in securities such as ADRs, whose values are affected by the currency of an underlying security, effectively assume currency risk. Unless governing law provides otherwise, all transactions should be executed through the Deutsche Bank entity in the investor's home jurisdiction. United States: Approved and/or distributed by Deutsche Bank Securities Incorporated, a member of FINRA, NFA and SIPC. Non-U.S. analysts may not be associated persons of Deutsche Bank Securities Incorporated and therefore may not be subject to FINRA regulations concerning communications with subject company, public appearances and securities held by the analysts. Germany: Approved and/or distributed by Deutsche Bank AG, a joint stock corporation with limited liability incorporated in the Federal Republic of Germany with its principal office in Frankfurt am Main. Deutsche Bank AG is authorized under German Banking Law (competent authority: European Central Bank) and is subject to supervision by the European Central Bank and by BaFin, Germany s Federal Financial Supervisory Authority. United Kingdom: Approved and/or distributed by Deutsche Bank AG acting through its London Branch at Winchester House, 1 Great Winchester Street, London EC2N 2DB. Deutsche Bank AG in the United Kingdom is authorised by the Prudential Regulation Authority and is subject to limited regulation by the Prudential Regulation Authority and Financial Conduct Authority. Details about the extent of our authorisation and regulation are available on request. Hong Kong: Distributed by Deutsche Bank AG, Hong Kong Branch. Korea: Distributed by Deutsche Securities Korea Co. South Africa: Deutsche Bank AG Johannesburg is incorporated in the Federal Republic of Germany (Branch Register Number in South Africa: 1998/003298/10). Singapore: by Deutsche Bank AG, Singapore Branch or Deutsche Securities Asia Limited, Singapore Branch (One Raffles Quay #18-00 South Tower Singapore , ), which may be contacted in respect of any matters arising from, or in connection with, this report. Where this report is issued or promulgated in Singapore to a person who is not an accredited investor, expert investor or institutional investor (as defined in the applicable Singapore laws and regulations), they accept legal responsibility to such person for its contents. Japan: Approved and/or distributed by Deutsche Securities Inc.(DSI). Registration number - Registered as a financial instruments dealer by the Head of the Kanto Local Finance Bureau (Kinsho) No Member of associations: JSDA, Type II Financial Instruments Firms Association and The Financial Futures Association of Japan. Commissions and risks involved in stock transactions - for stock transactions, we charge stock commissions and consumption tax by multiplying the transaction amount by the commission rate agreed with each customer. Stock transactions can lead to losses as a result of share price fluctuations and other factors. Transactions in foreign stocks can lead to additional losses stemming from foreign exchange fluctuations. We may also charge commissions and fees for certain categories of investment advice, products and services. Recommended investment strategies, products and services carry the risk of losses to principal and other losses as a result of changes in market and/or economic trends, and/or fluctuations in market value. Before deciding on the purchase of financial products and/or services, customers should carefully read the relevant disclosures, prospectuses and other documentation. "Moody's", "Standard & Poor's", and "Fitch" mentioned in Page 50

51 this report are not registered credit rating agencies in Japan unless Japan or "Nippon" is specifically designated in the name of the entity. Reports on Japanese listed companies not written by analysts of DSI are written by Deutsche Bank Group's analysts with the coverage companies specified by DSI. Some of the foreign securities stated on this report are not disclosed according to the Financial Instruments and Exchange Law of Japan. Malaysia: Deutsche Bank AG and/or its affiliate(s) may maintain positions in the securities referred to herein and may from time to time offer those securities for purchase or may have an interest to purchase such securities. Deutsche Bank may engage in transactions in a manner inconsistent with the views discussed herein. Qatar: Deutsche Bank AG in the Qatar Financial Centre (registered no ) is regulated by the Qatar Financial Centre Regulatory Authority. Deutsche Bank AG - QFC Branch may only undertake the financial services activities that fall within the scope of its existing QFCRA license. Principal place of business in the QFC: Qatar Financial Centre, Tower, West Bay, Level 5, PO Box 14928, Doha, Qatar. This information has been distributed by Deutsche Bank AG. Related financial products or services are only available to Business Customers, as defined by the Qatar Financial Centre Regulatory Authority. Russia: This information, interpretation and opinions submitted herein are not in the context of, and do not constitute, any appraisal or evaluation activity requiring a license in the Russian Federation. Kingdom of Saudi Arabia: Deutsche Securities Saudi Arabia LLC Company, (registered no ) is regulated by the Capital Market Authority. Deutsche Securities Saudi Arabia may only undertake the financial services activities that fall within the scope of its existing CMA license. Principal place of business in Saudi Arabia: King Fahad Road, Al Olaya District, P.O. Box , Faisaliah Tower - 17th Floor, Riyadh, Saudi Arabia. United Arab Emirates: Deutsche Bank AG in the Dubai International Financial Centre (registered no ) is regulated by the Dubai Financial Services Authority. Deutsche Bank AG - DIFC Branch may only undertake the financial services activities that fall within the scope of its existing DFSA license. Principal place of business in the DIFC: Dubai International Financial Centre, The Gate Village, Building 5, PO Box , Dubai, U.A.E. This information has been distributed by Deutsche Bank AG. Related financial products or services are only available to Professional Clients, as defined by the Dubai Financial Services Authority. Australia: Retail clients should obtain a copy of a Product Disclosure Statement (PDS) relating to any financial product referred to in this report and consider the PDS before making any decision about whether to acquire the product. Please refer to Australian specific research disclosures and related information at Australia and New Zealand: This research, and any access to it, is intended only for "wholesale clients" within the meaning of the Australian Corporations Act and New Zealand Financial Advisors Act respectively. Additional information relative to securities, other financial products or issuers discussed in this report is available upon request. This report may not be reproduced, distributed or published by any person for any purpose without Deutsche Bank's prior written consent. Please cite source when quoting. Copyright 2015 Deutsche Bank AG Page 51

52 David Folkerts-Landau Chief Economist and Global Head of Research Raj Hindocha Global Chief Operating Officer Research Michael Spencer Regional Head Asia Pacific Research Marcel Cassard Global Head FICC Research & Global Macro Economics Ralf Hoffmann Regional Head Deutsche Bank Research, Germany Steve Pollard Global Head Equity Research Andreas Neubauer Regional Head Equity Research, Germany International Locations Deutsche Bank AG Deutsche Bank Place Level 16 Corner of Hunter & Phillip Streets Sydney, NSW 2000 Australia Tel: (61) Deutsche Bank AG Große Gallusstraße Frankfurt am Main Germany Tel: (49) Deutsche Bank AG Filiale Hongkong International Commerce Centre, 1 Austin Road West,Kowloon, Hong Kong Tel: (852) Deutsche Securities Inc Nagatacho Sanno Park Tower Chiyoda-ku, Tokyo Japan Tel: (81) Deutsche Bank AG London 1 Great Winchester Street London EC2N 2EQ United Kingdom Tel: (44) Wall Street New York, NY United States of America Tel: (1)