US ETPs continued on strong pace by experiencing 2.1% asset growth in May Sebastian Mercado, CFA

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1 Deutsche Bank Markets Research North America Date Synthetic Equity & Index Strategy 9 June US ETPs continued on strong pace by experiencing.% asset growth in May Sebastian Mercado, CFA ETFs reflected strong international markets during May Global Equities were up by.% during last month, mainly boosted by Intl DM and EM equities with returns of.% and., respectively; similarly, US equities were up by.%. Fixed Income registered gains by.69%, led by Intl DM Debt (.9%) and followed by EM Gov Debt Local with returns of.%. Again, Commodities registered losses of.%, dragged by Energy commodity and Industrial Metals losses of.% and.%, respectively; meanwhile, Agriculture registered returns of.%. On the currency side, the USD weakened against most major foreign currencies, as suggested by the.9% drop in UUP. Strategist +869 Hallie Martin Strategist +99 Srineel Jalagani, CFA Strategist Equity and Fixed Income inflows boosts ETP assets by.% ETPs received $.8bn in new cash, helping assets rise by.% from one month earlier, reaching a total of $.9 trillion at the end of May. Equity and Fixed Income attracted inflows of $.bn and $.8bn, respectively, while, Commodity ETPs posted outflows of $.6bn. Among the most relevant inflows trends, we saw DM exus Equities with $.bn (6.% of DM Equity total flows), Europe with $.bn, and Eurozonefocused ETPs with $.bn. Meanwhile, on the fixed income space, Broad and Corporates exposure recorded $.bn and $.8bn in positive flows, respectively. On the outflow side, US and Canadafocused ETPs posted negative flows of $.bn and $.bn, respectively. +6 China A and Argentina await MSCI's EM country fate On June th, MSCI will communicate to the markets the results of their country classification review. China AShares and Argentina are under review and could potentially experience a country upgrade to Emerging Markets from not being recognized in the case of China A, and to Emerging Markets from Frontier Markets, in the case of Argentina. What does this mean for ETFs? We provide additional details for relevant ETFs within our report. How much FNMG is there in your ETFs? Recently there has been significant attention directed to the FANG or FMG stocks. The stocks alluded by this new acronym are Facebook (F), Apple (A), Amazon (A), Netflix (N), Microsoft (M), and Alphabet (G Google parent). In general, ETFs tracking the Tech sector, market capweighted, Mega Cap, and Growth indices tend to present the highest allocation to these stocks; while ETFs employing Smart strategies, or tracking dividend payers, or value indices, exhibit the lowest name concentration. ocations can range from to, depending on the index/etf. Distributed on: 9/6/ 9:: GMT Deutsche Bank does and seeks to do business with companies covered in its research reports. Thus, investors should be aware that the firm may have a conflict of interest that could affect the objectivity of this report. Investors should consider this report as only a single factor in making their investment decision. DISCLOSURES AND ANALYST CERTIFICATIONS ARE LOCATED IN APPENDIX.MCI (P) 8//. bedb6cfc

2 9 June Table Of Contents ETF Monthly Insights... ETFs reflected strong international markets during May... Equity and Fixed Income inflows boosts ETP assets by.%... China A and Argentina await MSCI's EM country fate... How much FNMG is there in your ETFs?... Asset ocation Heatmaps... 8 Global Multi Asset ocator heatmaps... 8 US Equity ocator heatmaps... International Equity ocator heatmaps... Cross Asset Correlations... Month Relative Performance Monitor... House View Portfolio: Monthly Brief... 6 Business Intelligence... New Listing... Delistings... Trends in products launched in the last months... Popular Product Segments: Smart & Currency Hedged... Average Performance by Products Type and Size (Equity)... Total Expense Ratio XRay... 9 ETF Statistics... Global ETF Assets and Provider Ranking... US Historical ETF Trends... ETF Issuer and Index Provider league tables... Monthly Snapshot... Top ETFs (includes ETNs) Appendix A: ETN Snapshot... 6 Appendix B: ETF List... Appendix C: Definitions... ETP Universe Definitions... Management Style or Product Strategy Definitions... Product Type Definitions... Page

3 9 June ETF Monthly Insights ETFs reflected strong international markets during May May recorded a positive month for risky assets; however, it was weak for safe haven assets and commodity ETPs registering mostly negative returns. Global Equities were up by.% during last month, mainly boosted by Intl DM and EM equities with returns of.% and., respectively; similarly, US equities recorded total returns by.%. Fixed Income registered gains by.69%, led by Intl DM Debt (.9%) and followed by EM Gov Debt Local with returns of.%. Again, Commodities registered losses of.%, dragged by Energy commodity and Industrial Metals losses of.% and.%, respectively; meanwhile, Agriculture registered returns of.%. On the currency side, the USD weakened against most major foreign currencies, as suggested by the.9% drop in UUP. Returns and flows were mostly consistent across the different asset classes. Flow and performance were positive for Intl DM ETFs registering inflows of. of assets; meanwhile, Europe and the Eurozone recorded inflows of.% and 8.% of their assets, respectively; and gains of.9% each one. In the meantime, EM ETFs received inflows by.9% of assets, highlighting EM Asia which recorded returns of.6 and inflows by. of their assets. Furthermore, Frontier Market registered inflows by. of their assets; while, BRIC recorded outflows of.% of assets. In the fixed income space, most of the sectors registered positive or flat returns during May; while, the flow side was led by EM Gov Debt USD (+6.% of assets), followed by Intl DM Debt (+.%), and Corp. Floater (+.%). Meanwhile, HY Corporates registered the largest outflows amounting to.% of their assets. On the other hand, Crude Oil WTI and Palladium recorded outflows of.% and.% of their assets; while, Silver posted inflows of. of their assets and gains of.%. Within US equities, performance was mixed with moderate inflows across most sectors and industries during last month; while, Energy and Financials ETFs registered mostly negative returns and outflows. Consumer Discretionary and Technology posted inflows of.% and.% of their assets, respectively; while, Telecom and Materials experienced the largest outflows losing.9% of their assets each one. On the other hand, at the industry level, Software and Semiconductors led the inflows gaining.% and. of their assets, respectively; meanwhile, Metals & Mining and Insurance registered outflows of 9. and. of their assets, respectively. In international equity markets, for second consecutive month, we saw mixed flows and mostly positive returns across most exposures. In the positive side, Portugal led with returns of., followed by South Korea (+9.%) and Austria (+8.%); while, the most negative performances were Brazil and Russia which registered losses of over.% each one. On the flow side, Spain registered the largest inflows with.% of their assets, followed by Malaysia and Singapore which experienced inflows of over. of their assets; meanwhile, Mexico and Peru saw the largest outflows, registering losses of.9% and 8.% of their assets. In terms of correlation trends, there was a significant increase in correlations between US equities and other foreign equity markets during May. Page

4 9 June Equity and Fixed Income inflows boosts ETP assets by.% May flows were led by Equity and followed by Fixed Income ETPs; while, Commodity products registered a negative month. ETPs received $.8bn in new cash, helping assets rise by.% from one month earlier, reaching a total of $.9 trillion at the end of May. Equity and Fixed Income attracted inflows of $.bn and $.8bn, respectively, while, Commodity ETPs posted outflows of $.6bn. Among the most relevant inflows trends, we saw DM exus Equities with $.bn (6.% of DM Equity total flows), Europe with $.bn, and Eurozonefocused ETPs with $.bn. Meanwhile, on the fixed income space, Broad and Corporates exposure recorded $.bn and $.8bn in positive flows, respectively. On the outflow side, US and Canadafocused ETPs posted negative flows of $.bn and $.bn, respectively., Smart, Active, and + (leveraged and inverse) products experienced inflows of $.8bn $.bn, $.bn, and $.bn, respectively. Within Equity Smart products, Multifactor and Dividend ETFs were the most popular categories in May, attracting $.bn and $.bn in fresh new cash, respectively. In the negative side, Equal and Singlefactor ETFs posted outflows by $.bn each one. Currency Hedged ETFs attracted $.bn in fresh new cash; while, the largest outflows were experienced by ETFs offering FX hedged exposure to GBP ($6.6mm), the inflows were led by FX hedged exposure to Multiple currencies which registered flows of $.bn. In term of products types, Asset ocation, Cash Management, and Leveraged & Inverse posted inflows by $.bn, $.bn, and $.bn, respectively; while, Pseudo Futures experienced outflows of $.bn. Total ETP turnover was $. trillion last month, up % from the previous month. Furthermore, ETF turnover represented.% of all cash equity traded in the US during May, under its month average of.%. China A and Argentina await MSCI's EM country fate For over three years MSCI has been consulting with market participants and evaluating the potential classification of the mainland Chinese equity market (China AShares) as an EM country. Such classification would involve the inclusion of the China AShare market in the MSCI Emerging Market index and any subfamily therein. Initially there were several obstacles for such classification; however since then there have been some significant advances, particularly on the access to the market given the connect programs between mainland and HK exchanges. Although not yet a sure thing, the probability of the China AShare market being designated and included in the MSCI EM index is definitely higher than in past reviews. Furthermore, in the case that MSCI announces an inclusion on June th, such inclusion would be limited to % of the China Ashare market cap, and therefore the immediate impact in the affected indices would be limited (between and % depending the index). Argentina is also being considered for a potential upgrade from Frontier Market to Emerging Market country. The news on Argentina will be released on the same date, June th. Page

5 9 June Currently there are investable ETFs listed in the US for both China AShares and Argentina. In the case of the China AShare ETFs the main ETFs are ASHR, and KBA. ASHR tracks the CSI index, while KBA tracks the MSCI China A International index. Although these ETFs offer similar exposure, there are some significant differences at the sector level, such as in the case of Financials where ASHR allocates % compared to only in the case of KBA. In the case of Argentina, both products track practically the same index, however ARGT is a seasoned product with almost $m in assets, while AGT is a fairly new product. Figure : Sector exposure of largest USlisted China AShare ETFs Utilities 9 Telecom Sector Exposure 8 Real Estate Materials 6 Technology Industrials Health Care Financials Energy Cons. Staples Cons. Disc. KBA ASHR Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of jun The following table provides some details for those ETFs related to the China AShare market, Argentinean equities, and the largest ETFs tracking MSCI indices which may be affected by a potential inclusion of the China AShare market as an EM country. Figure : Select list of ETFs for MSCI country classification Investment Focus China Ashr CSI MSCI China A Leverage x Inverse x Argentina MSCI MSCI EM and China EM Std EM IMI EM Min. Vol. MSCI China EM Asia Ticker ETF Name ASHR KBA CHAU CHAD Listing Date TER $M D ADV $M Deutsche Xtrackers Harvest CSI China ASh 6Nov. KraneShares Bosera MSCI China A ETF Mar. Direxion Daily CSI China A Share Bull X Shar 6Apr.9% Direxion Daily CSI China A Share Bear X Sh Jun ARGT Global X MSCI Argentina ETF Mar.9% AGT ishares MSCI Argentina and Global Exposure ETF Apr.9% MSCI ETFs EEM ishares MSCI Emerging Markets ETF Apr.% IEMG ishares Core MSCI Emerging Markets ETF Oct.% EEMV ishares Edge MSCI Min Vol Emerging Markets ET Oct.% MCHI ishares MSCI China ETF Mar. EEMA ishares MSCI Emerging Markets Asia ETF 9Feb.9%,6,8,86, Implied Liq. $M Total Liq. $ Avg. Bid/Ask Avg. Options Spreads Day Day Notional Value $ bps Traded , , , 6,6 Options Open Interest 89 Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of jun How much FNMG is there in your ETFs? Recently there has been significant attention directed to what some analysts and media have coined as the FANG or FMG stocks, particularly following a recent selloff of the space. The stocks alluded by this new acronym are Facebook Page

6 9 June (F), Apple (A), Amazon (A), Netflix (N), Microsoft (M), and Alphabet (G Google parent). Following the ability of this group to influence the market (given their size and revenue generation capacity), we decided to take a deeper dive into ETF holdings among a sample of over ETFs with mostly exposure to US equity. As expected, Technology ETFs present the highest concentration to these six stocks with usually more than and as much as of their assets invested in these companies. However, we also noticed that most of the Technology ETFs miss Amazon and Netflix which are usually part of the Consumer Discretionary sector. Moreover, the concentration in these companies is more evident on ETFs employing marketcap weighted methodologies compared to other Tech sector ETFs which employ alternative methodologies such as equal weighting, or multi factor approaches. Figure : Tech sector ETFs Plain Vanilla Figure : Tech sector ETFs Smart Multi Factor (TCHF) Tech (FTEC) Multi Factor (JHMT) Tech+Internet Retail (IGM) Multi Factor (FXL) Equal (RYT) Tech (IYW) Momentum (PTF) Tech (VGT) Equal (QTEC) Tech+Telecom (XLK) Equal (MTK) Facebook Apple Amazon Exposure Netflix Microsoft Source: Deutsche Bank, Bloomberg Finance LP, Data as of Jun Alphabet Facebook Apple Amazon Exposure Netflix Microsoft Alphabet Source: Deutsche Bank, Bloomberg Finance LP, Data as of Jun Among Blue Chip indices we noticed that the QQQ which tracks the NASDAQ has a clear bias towards this six companies with more than invested in them. However, in other traditional market capweighted ETFs the exposure to FNMG is more limited (~). Although, the exposure becomes more relevant among Mega Cap funds. On the other hand, Smart ETFs tracking US Broad or Large equities employing multi factor, equal, or other alternative methodologies have a relative low concentration on these six names (<). Furthermore, Dividend and Value ETFs have very limited exposure to these names (~% or less); while Growth ETFs have a more significant exposure with over allocated to these companies. Moving to other product categories, Single factor ETFs also exhibit limited exposure to these six names with most single factors exhibiting allocations of less than ; meanwhile other Techrelated themed ETFs are mixed in terms of exposure to these companies, with some having as little as % and others with over invested in these names. Page 6

7 9 June Figure : Blue Chip Indices Plain Vanilla Figure 6: US Broad/Large equities Smart Multi Factor (FEX) NASDAQ (QQQ) Multi Factor (GSLC) DJIA (DIA) Multi Factor (TILT) Multi Factor (LRGF) S&P (OEF) Moat (MOAT) Revenue (RWL) S&P (SPY) Equal (RSP) R (IWB) Fundamental (PRF) Exposure Facebook Apple Amazon Netflix Microsoft Exposure Alphabet Facebook Apple Amazon Netflix Microsoft Alphabet Source: Deutsche Bank, Bloomberg Finance LP, Data as of Jun Source: Deutsche Bank, Bloomberg Finance LP, Data as of Jun Figure : Dividend ETFs Figure 8: Style (Growth and Value) ETFs Div. Growth & Yield (DVY) Div. Growth & Yield (SDY) Growth (Mega Cap) (MGK) Growth (S&P ) (IVW) Div. Yield (VYM) Growth (R) (IWF) Div. Growth (NOBL) Div. Growth (DGRO) Value (Mega Cap) (MGV) Div. Growth (VIG) Value (S&P ) (IVE) Div. Payers (DLN) Value (R) (IWD) Facebook Apple Amazon Exposure Netflix Microsoft Alphabet Facebook Source: Deutsche Bank, Bloomberg Finance LP, Data as of Jun Apple Amazon Exposure Netflix Microsoft Alphabet Source: Deutsche Bank, Bloomberg Finance LP, Data as of Jun Figure 9: Single Factor ETFs Figure : Techrelated themed ETFs Internet (XWEB) Quality (QUAL) Internet (PNQI) Value (VLUE) Internet (FDN) Momentum (MTUM) Social Media (SOCL) Min Vol (USMV) Innovative Tech (XITK) Low Vol (SPLV) Web x. (ARKW) Cloud Computing (SKYY) High Quality (SPHQ) Facebook Apple Amazon Exposure Netflix Microsoft Source: Deutsche Bank, Bloomberg Finance LP, Data as of Jun Alphabet Facebook Apple Amazon Exposure Netflix Microsoft Alphabet Source: Deutsche Bank, Bloomberg Finance LP, Data as of Jun Page

8 9 June Asset ocation Heatmaps Global Multi Asset ocator heatmaps Figure : Global Multi Asset Performance and Net Cash flow Trends Ticker Asset Class ACWI VTI SPY MDY IWM EFA VGK EZU EWJ EPP EEM ILF EEMA GUR AFK FM BKF AGG GOVT SHV SHY IEI TLT TIP MUB MBB LQD HYG FLOT BKLN F CWB BWX WIP EMB EMLC EMCB HYEM DBC DBE USO UNG DBA DBB DBP GLD SLV PPLT PALL UUP FXY FXE Global Equities US Total Market S&P (Large Cap) S&P (Mid Cap) Russell (SM Cap) Intl DM Europe Eurozone Japan Pacific ex JP EM Latin America EM Asia EM Europe Africa Frontier Market BRIC Fixed Income (Broad) US Treasury Very Short Short Intermediate Long US Inflation Municipal Securitized IG Corporates HY Corporates Corp. Floater Senior Loans Preferred Convertible Intl DM Debt Intl Inflation EM Gov Debt USD EM Gov Debt Local EM Corp USD EM HY Corp USD Commodities Energy Cmdty Crude Oil WTI Natural Gas Agriculture Industrial Metals Precious Metals Gold Physical Silver Physical Platinum Physical Palladium Physical Bull USD JPYUSD EURUSD M Chg.%.%.%.%.9%.%.9%.9%..%..%.6.9%.89%.9%..69%...%.%.89%.%.%.%.%.%.%..%.9.9%.6..%.%.%.%.%.% 8.9%.%.%.%.%.%..%.9%.9%. M Chg.%.%.%.% %.%. 8.%.%.9% 6..% 6.9%..%.%.%.%.%..%.%.%.%.%..%.....%....9% 8.%.%.%.9%...%..% 6..9%.%. Total Return 6M Chg Y Chg.%..%.%.6.% %..% %.% 6.%.9 8.%.%.%.%.9% %.% %.%.9%.99%..8.% 8..6.%...%.9%.%.%.9%.%...6.%.99%...%..% 6.%.%.9%..%.%.%.%.%.9%.%.%.9%.9% 8.% 9.%.9%..9% 9.99% %.69% %.9%.%. 6.%.% 6. 6.%..9%.9%.6.9.9%.% 6.% 8...9%.%.%..% Y Ann.% 9.6.% 9. 8.%..%. 6.%...%.%..99%.9%.%..9%.9%..89%.9%.9%.9.%.%.%.8.%.9% 6.%.%.9%.%..%..% 6.%...%.9%.%.%.%..%.%.9% 6. Y Ann..%....%.%.%...9%.%.9%..%.9..%.%.%..9%.%...% 6..% %..6.% % 6.%.9%.8 6..% 9.% 8.%.%...% M.9%.%..%...% 8.%.%.%.9%.%..%.%..%.%.%.9%..%.%.%.%.%..%.%.%..%.%.% 6.%.%.% ETF Net Cash Flows as % of Initial M 6M Y Y Ann Y Ann.%.% 9.% %. 6.%.% 8.% 8.9%..%.% 8. 8.%.%.%.% % 8.%.%...9%.%.% 6.%..%..%...%.%.%. 6.%.%.9%..%.9%.%.% 8.%.....% 9.%.9% 6..%.%..% 6.%.% 6. 6.%..%..%.%.%.%.% 6. 6.%.9%.%.%. 8.%.%.%.% 6.%.% 6.%.% 8.% 8.%.% 9.% 9..%. 6.%.%.9%.%.% 9.%.% 8..% 8.% 6.%.% 8.%.%.%..%.%.%..%.. 6.%.%.%..9%.%.%.% 8..%. 8.%.%.%.% 9.%...% 8..%.% 9.% 89.% % % 6.%.%.. 9.%.%.% 8.%...% 6..%. 8.%.%.9%.% 8.9%.9% 8..9% 6.%.%.%..9% 66.% 9..%.%.%.%...%.%.9%.%..%.%..%.%.%.%.%.%.%.%.% 6..%. 9.% 9.%..%.%.9%. 8.%..%.%...%.9%.9%..%..%.%.%.9%.% %.%.%..9%.%....%.9%.%.%..%.% 6.%.% Source: Deutsche Bank, FactSet, Bloomberg Finance LP. Note: Data as of the end of last month; performance is Total Returns; Cash flows are based on USlisted ETFs and ETVs excluding leveraged, inverse products, and ETNs. Asset Classes that had less than $ million in at the beginning of all periods are excluded from the Net Cash flow calculations. Green cells correspond to largest values, while red cells correspond to lowest values. Figures over Y are annualized. The ETFs mentioned in this figure are provided as reference and have been selected as investable and representative vehicle for each asset class considering the product's asset class representation, liquidity, size, cost, and ease to borrow for tactical or risk hedging purposes; however, they should not be seen as the only or best alternative for each asset class as finding the right product will depend on the specific investor's objective and intended usage. Please refer to "Product Type Definitions" on Appendix C for further details on products selection criteria depending on product usage. Page 8

9 9 June Figure : Global Multi Asset Risk and Riskadjusted Performance Measures Ticker Asset Class ACWI VTI SPY MDY IWM EFA VGK EZU EWJ EPP EEM ILF EEMA GUR AFK FM BKF AGG GOVT SHV SHY IEI TLT TIP MUB MBB LQD HYG FLOT BKLN F CWB BWX WIP EMB EMLC EMCB HYEM DBC DBE USO UNG DBA DBB DBP GLD SLV PPLT PALL UUP FXY FXE Global Equities US Total Market S&P (Large Cap) S&P (Mid Cap) Russell (SM Cap) Intl DM Europe Eurozone Japan Pacific ex JP EM Latin America EM Asia EM Europe Middle East Africa Frontier Market BRIC Fixed Income (Broad) US Treasury Very Short Short Intermediate Long US Inflation Municipal Securitized IG Corporates HY Corporates Floater Senior Loans Preferred Convertible Intl DM Debt Intl Inflation EM Gov Debt USD EM Gov Debt Local EM Corp USD EM HY Corp USD Commodities Energy Cmdty Crude Oil WTI Natural Gas Agriculture Industrial Metals Precious Metals Gold Physical Silver Physical Platinum Physical Palladium Physical Bull USD JPYUSD EURUSD M.%.9%.% %..%.%.% Annualized Volatility 6M Y..%.% 8..% 9.9%..% 9.%.%.9%.9%.%.%.% 9.% 8..%.9%.% 8.%.%.% 9.%.% 9..%.%..%.9%.%..%.% 8..%.%. 8.% 6..% Y.%.%.9%.% 6.%..% 9.% 6..% 9.% 8.9% 8.%.% Y.%.%.%.% 6.%.%. 9.%.% %..% %.%..% 8.%...%..%..%.9%. 6.%..9%.% 6.%.%.%.%.%..% 6..%.%.% 9.%.% 6.% 9.%..% 9.%.%.%.%.%.9%. 9..%.%.%.%...%.% 6.%.%.% %..% 9.%.% 8.9%.% 6.%.%.%.%.%.% 6.% %.%.%.%..%.9%.%.%....%...%.% 9.%. 8.% 6.%..9% 6. 6.% 8.%...%.% 6..%. 9.%. 8..% 9.% 8.% M 8.%..%.%.%.%.9%..%.%.%.%..%.%..% % %.% 8.%.%.%.%.9%.%.%. 8.%.%.%. 8.%.%..%.%.%.%.9%..%.%.%.. 6.%..% 6. 8.% %.9% 8...9%..%.%.9%..%.%.% 9.9%.%.%. 8.%.%.%..% % 6.%.9%..% 9.%.%.%.%.%.%.%..%. 9.%.%..% 6.%.% 9.%.%.%.% 8.% Max Drawdown Y Y Y.% 9.% 9.%.9%.%.%.%...% 9.% 9.% 8.%.%.%.%.%.%..9%.9%.%.%.%.%...%.%.%.% 6.% 6.%.% 6.% 6..%.%.% 9.% 8.9%.%.%.%..%.9%.%..%.9%. 6.%.%.9%.%.%.%.%.%.%.%. 9.9%...% 6..9%.% 6.% 8.% 9...9%.%. 6.%.% 9.% %.%.9%.%..%.9%.% 6.%.% 6..%..%.%.9%.% 9.%...%..9%.% 9..9% %. 6.% 6.% 8.% 9.% 9.%.%. 9.%.%.9%.%..%.%.% 9.%. 8..%..% 8.%.9%.% 9.%.%..%. 6..% 9. 9.%..% 8.%.% 6.%. 8.% 9.% 9. 6.% Sharpe (TR / Vol) Y Y Y (.) (.).8... (.) (.)... (.) (.) (.) (.). (.6).6... (.).9. (.). (.) (.) (.) (.). (.).. (.) (.9) (.) (.9) (.9) (.) (.). (.) (.) (.). (.) (.) (.) (.) (.) (.6) (.) (.) (.) (.) (.) (.) (.) (.).. (.) (.) Source: Deutsche Bank FactSet. Note: Data as of the end of last month; Calculations based on total returns; Volatility based on daily total returns annualized using a day factor; Sharpe ratio calculation assumes Risk free equal to zero. For Max DD and Sharpe calculation, green cells correspond to largest value, while red cells correspond to lowest values. For Volatility calculations, green cells are the least volatile (lowest values), while red cells are the most volatile (highest values). The ETFs mentioned in this figure are provided as reference and have been selected as investable and representative vehicle for each asset class considering the product's asset class representation, liquidity, size, cost, and ease to borrow for tactical or risk hedging purpose; however, they should not be seen as the only or best alternative for each asset class as finding the right product will depend on the specific investor's objective and intended usage. Please refer to "Product Type Definitions" on Appendix C for further details on product selection criteria depending on product usage. Page 9

10 9 June US Equity ocator heatmaps Figure : US Equity Performance and Net Cash Flow Trends Ticker Asset Class VTI SPY DIA QQQ IWF IWD MDY IWM VIG DVY VYM SDY XLY PEJ XHB ITB PBS XRT XLP PBJ XLE OIH XES IEZ XOP IEO AMLP XLF KBWB KRE KCE KIE XLV IBB BBH IHI IHF PPH XLI ITA IYT XLB XME VNQ VGT IGN FDN SMH IGV VOX XLU US Total Market S&P (Large Cap) DJI NASDAQ Russell Growth Russell Value S&P (Mid Cap) Russell (SM Cap) Div. Growth Div. Yield Div. Yield Div. Yield & Growth Cons. Discretionary Hotels, Rest & Leisure Home Builders Household Durables Media Retail Cons. Staples Food Products Energy Energy Eq. & Serv. Energy Eq. & Serv. Energy Eq. & Serv. Energy E&P Energy E&P MLPs Financials Large Banks Regional Banks Capital Markets Insurance Healthcare Biotech & Pharma Large Biotech HC Eq. & Supplies HC Providers & Serv Large Pharma Industrials Aerospace & Def Transportation Materials Metals & Mining Real Estate Technology Comm. Equipment Int. Software & Serv. Semiconductors Software Telecom Utilities M Chg.%.%.%.9.9%.%.%.9%.%...9%....%.%...%.% 6.9% 9.% %..%...%.99%..9%.8.89%...9.%.9%.%.%.%.6.89% 6.%..% M Chg.%.%.% 8.89% 6.%.%.%..%.69%.%..%.%.% %.9%.% 9.% %.%.9%. 9.% %.%.9..%.9%.% %..%. Total Return 6M Chg Y Chg.%.%.6.%..%. 9.%..%.%.% %..9 6.% %.9 6.%.%.% 6.9%...9%.% 8..9%.%.%..%.%.%.%..9%.% 9.% 6.% %.%.....%.%.9%...% 6.%.%.% 8..%.% 8.%.%.% 8.% 6.%.%.%.9% % %.%.% 6.6.%.%.6.%..% %.9%.% %. Y Ann 9.6.%.% 6.9%.%.% 9. 8.% 8.%.% 9...% %.%.%.%.9% 9.9% % 9.8.%.9%..%.%.%.6.% 9.99% 6.% %.. 9.9%.%..% 8....% 8.%.% 9... Y Ann.%..9% 9.%.%.%...9%.6.9%.%.9.9.% 6..% 8.%.8.%.89%.%.%.% 6..%..9%.% 6.%.89% 9.%.9% 8...9% 8.9% %..8..% 8.% %.%. M.%....9%.%.%..%.%.%.%.% ETF Net Cash Flows as % of Initial M 6M Y Y Ann Y Ann.. 8.%. 6.%.% 8.% 8.9%..%.% 8.% 8.9%..%.% 8.% 8.9%..%..%.%.9%.%.9% 9.9%.%..%.% 8. 8.%.%.%.% % 8.%..9% 8.%.% 6...9% 8.%.% 6...9% 8.%.% 6...9% 8.%.% 6..%..% 9.% 8.%...%.% 6.% 6.%.%.%.%.%.%.%.%. 9..9%.%.% 9.9%.%. 6.% 9.%.%.%.%.%.%.%.%..9%...9%..%.%.%.%.%...%.%.9% 9..%.%.%.%.%.%.%.% 6.%..%.%.% 9.%.%...%.%..%. 8.%.% 8.%.. 8..%.%.%.. 9.% 8....%.%..%.%..% 6.%.%.9% 8.9%.%.%.%..%.%.%.%.%.% 8.%.9%.. 8.% 8.% 9..%.%.% 8. 8.% 6.%.%.%..%.%.%.%.%.%.%.%.% 9.%.%.%.%.%.9% 8.%.%.%.%.%. 6.9% 88.%. 8.%.%.% 6...%.%.%.%.% 6.% 6.% 9.% 9.%.%.%.%.%.%.% 6.%.9% 8.% 8..%.%..%.%.%..%.9%..%.%.% 6..% 6.% 6.% 9.%.9%.% %.%.9%..%.. 9.% 8.% 9.% 9.%.%.%.% Source: Deutsche Bank, FactSet, Bloomberg Finance LP. Note: Data as of the end of last month; performance is Total Returns; Cash flows are based on USlisted ETFs and ETVs excluding leveraged, inverse products, and ETNs. Asset Classes that had less than $ million in at the beginning of all periods are excluded from the Net Cash flow calculations. Green cells correspond to largest values, while red cells correspond to lowest values. Figures over Y are annualized. The ETFs mentioned in this figure are provided as reference and have been selected as investable and representative vehicle for each asset class considering the product's asset class representation, liquidity, size, cost, and ease to borrow for tactical or risk hedging purposes; however, they should not be seen as the only or best alternative for each asset class as finding the right product will depend on the specific investor's objective and intended usage. Please refer to "Product Type Definitions" on Appendix C for further details on products selection criteria depending on product usage. Page

11 9 June Figure : US Equity Risk and Riskadjusted Performance Measure Ticker Asset Class VTI SPY DIA QQQ IWF IWD MDY IWM VIG DVY VYM SDY XLY PEJ XHB ITB PBS XRT XLP PBJ XLE OIH XES IEZ XOP IEO AMLP XLF KBWB KRE KCE KIE XLV IBB BBH IHI IHF PPH XLI ITA IYT XLB XME VNQ VGT IGN FDN SMH IGV VOX XLU US Total Market S&P (Large Cap) DJI NASDAQ Russell Growth Russell Value S&P (Mid Cap) Russell (SM Cap) Div. Growth Div. Yield Div. Yield Div. Yield & Growth Cons. Discretionary Hotels, Rest & Leisure Home Builders Household Durables Media Retail Cons. Staples Food Products Energy Energy Eq. & Serv. Energy Eq. & Serv. Energy Eq. & Serv. Energy E&P Energy E&P MLPs Financials Large Banks Regional Banks Capital Markets Insurance Healthcare Biotech & Pharma Large Biotech HC Eq. & Supplies HC Providers & Serv Large Pharma Industrials Aerospace & Def Transportation Materials Metals & Mining Real Estate Technology Comm. Equipment Int. Software & Serv. Semiconductors Software Telecom Utilities M.9%.%..9% 8.%.%...%.% 6.% %.%.%.%.%.%.% 8.%. 9.9% 8. 9.%.%.%.%.%. 9.%.% 8.%.% % 9...%.% 9.% 9.9%.%.%.%.%...% M %.% 8.%.%.%.%..%.% 8.%..%.%.% 6..%.%.%.%..% 6.%...% 8..%.9%.%.%.%. 9.% 9..%..%.9%. 6.%.% 9.9%.%.%.%.%.% 9. Annualized Volatility 6M Y.% 9.9%.% 9.%.% 9.% 8..%. 9.% 8.%.%.9%.9%.%.% 6.% 8..9% 9.9% 6.9% 9..% 9.% 8.%..%..9% %.%.% 8..%.% %.%. 8.%..% 9.% 6..% %.%.9%.%.% 6.% 8...9%.%.% 9.% 9.%. 8.% %.%.%..%.% %.%..%.%.%.%.9%...%..%.%.% 6.% 8.%.%.%..%.%.% Y.%.9%.%.%.%.%.% 6.%...%.. 6.%.9%.%.%.%..%.9%.% 9.%.% 8. 9.%. 6.%.%.%.%.%.% 6...%.% 6.%.%.%.% 6.%..%..% 8..%.%..% Y.%.%.....% 6.%.%.%..%. 6.% 9..%. 6.9%.%.9%.%.9%.% 8..% 6.%.% 6. 9.%.% 9.9%.%.%.%.. 6..%.%.. 6.%...% 8.% 8.% 9.%.%.. Max Drawdown Y Y Y.9%.%.%.%....9%.9%.% 6.% 6.%.%... 6.% 6.%.% 9.% 9.% 8.%.%.%.%.%.%....%.. 6.%.. 6.%.. 9.%.%.%.% 8.% 8.%.% 6.% 6.% 8.%.%.%..%.% 9.%.%.%.9%... 6.% 6.% 6.% 6.% 6.%.%.. 6.% %.. 9.% %.%.% 9..%.%.% 9.% 9.% % 6.% 6.% 8..%.%.%.%.%.% 9.% 9.% 6.%....%.%.% 6.% 6.%. 9.9% 9.9% 6..%.% 6.%.%.%.%.%.%. 6.9% 6.9% 8...%.%.% 8..% 6.% 6.%.%.9%.9%.%.. 8.%.%.%.9%.%.%.%.%.%.%.%.% Sharpe (TR / Vol) Y Y Y (.) (.). (.) (.6) (.) (.) (.) (.) (.) (.6) (.) (.) (.6) (.) (.) (.).. (.) (.) (.) (.) Source: Deutsche Bank, FactSet. Note: Data as of the end of last month; Calculations based on total returns; Volatility based on daily total returns annualized using a day factor; Sharpe ratio calculation assumes Risk free equal to zero. For Max DD and Sharpe calculation, green cells correspond to largest value, while red cells correspond to lowest values. For Volatility calculations, green cells are the least volatile (lowest values), while red cells are the most volatile (highest values). The ETFs mentioned in this figure are provided as reference and have been selected as investable and representative vehicle for each asset class considering the product's asset class representation, liquidity, size, cost, and ease to borrow for tactical or risk hedging purpose; however, they should not be seen as the only or best alternative for each asset class as finding the right product will depend on the specific investor's objective and intended usage. Please refer to "Product Type Definitions" on Appendix C for further details on product selection criteria depending on product usage. Page

12 9 June International Equity ocator heatmaps Figure : International Equity Performance and Net ETF Cash Flow Trends Ticker Asset Class EFA EWC EIS VGK EDEN NORW EWD EWL EWU EZU EWO EWK EFNL EWQ EWG EIRL EWI EWN PGAL EWP EWJ EPP EWA EWH ENZL EWS EEM ILF EWZ ECH GXG EWW EPU EEMA FXI ASHR INDA EIDO EWM EPHE EWY EWT THD GUR GREK EPOL RSX TUR QAT UAE AFK EGPT EZA FM ARGT NGE PAK VNM BKF Intl DM Canada Israel Europe Denmark Norway Sweden Switzerland UK Eurozone Austria Belgium Finland France Germany Ireland Italy Netherlands Portugal Spain Japan Pacific ex JP Australia Hong Kong New Zealand Singapore EM Latin America Brazil Chile Colombia Mexico Peru EM Asia China H China A India Indonesia Malaysia Philippines South Korea Taiwan Thailand EM Europe Greece Poland Russia Turkey Middle East Qatar UAE Africa Egypt South Africa Frontier Market Argentina Nigeria Pakistan Vietnam BRIC M Chg.%..%.9%..%....9% 8.%.%.9%.89%.%..%.8..%..%.%..69%.9%..%..% 6.9%.%..6..%.%..6.9% 9.%...9%....6 M Chg 9..99%.%. 6.9%.%.%.% %..% 8.%.9.%.%..%..%.%.. 9.%.% 6.% 8.%.% 6.9% %.%.%.9%..% 9.% 8.% 8.% 9.%. 6.%.% 6. 9.%.%.%.% Total Return 6M Chg Y Chg.% %.%.%.69%.% % %.9% 6.%.% 6.% %.89% %.9%..% 8.69% 9.% 9.% 6.%.. 9.% 6..% 8.%.%.%.%.9%.%.9%. 8.%.% 6.% 8.9%.9% % 6.%.%..% 6..%.%.. 8.9%.% %.9%.%.%.% 8.8..% % 8.69%.%.9%.9% 9.99% 8.% 6.%.% 8.69%.9%.8.%.% 9.% %.89%.%.69%.9%.6..%.....%.% 8.% 6.9%.%.%.9% %.9%.9% 8.% 8.%...%.%..%.%.%.99%..% %.% 8. Y Ann...9%.%.% 9.%.9%.%.%..9% 6.6.%.%..%. 6.69%.%. 6.% %.%..% 6..9% 8.% 6.%.%.%.%.%..% 8.9%.9%.9% %. 8.% 9.%.%.99%.%.%.9%.. 8..% Y Ann.%. 9..%.9%...% 6..%.% %.% 8.69% 9..%.%...%.%.%.%.9%.%...%..9%.9% % %..%.6.9..%.%.% M. 6. ETF Net Cash Flows as % of Initial M 6M Y Y Ann Y Ann.%...9%.%.%.%.9%.% 8.%.%.% 6.%..%..% 6.% 8.%.9%.9%.%.% %..%.%.%.9% 9.%.%.9% 9.%.9%.9% 6.%.%. 6.%. 9.% 9.%.%.%.%.%.%.% 68..% %.%.%.% 6.%.9%.%.%..%.%.%.% 69.9%.9%.% 6...%.9%.% 8.9% 8.%.9% 8.%.%..%.. 9.%..%.%..9% 8.% %.% 6...%.%.%.9% 8.%...%..9%.%..%.%.%. 9...%.%...%.9%..%. 8...% 9..%.%.9% 6. 6.%.% 6.%.9%.% %.%.% 86.% 8.%.9% 6.9%.%.%.%.%.9%.9% %.%.9% 6.%.. 9.%..%.%..%.%....%.9% 8.%.% 6.%.% 6.%..%..%.%.%.%.%.%.%.%.%..% %..9%.%.%..%.%.%.%.. 8.%.%.%.%.% 6..%.%.%.9 Source: Deutsche Bank, FactSet, Bloomberg Finance LP. Note: Data as of the end of last month; performance is Total Returns; Cash flows are based on USlisted ETFs and ETVs excluding leveraged, inverse products, and ETNs. Asset Classes that had less than $ million in at the beginning of all periods are excluded from the Net Cash flow calculations. Green cells correspond to largest values, while red cells correspond to lowest values. Figures over Y are annualized. The ETFs mentioned in this figure are provided as reference and have been selected as investable and representative vehicle for each asset class considering the product's asset class representation, liquidity, size, cost, and ease to borrow for tactical or risk hedging purposes; however, they should not be seen as the only or best alternative for each asset class as finding the right product will depend on the specific investor's objective and intended usage. Please refer to "Product Type Definitions" on Appendix C for further details on products selection criteria depending on product usage. Page

13 9 June Figure 6: International Equity Risk and Riskadjusted Performance Measure Ticker Asset Class EFA EWC EIS VGK EDEN NORW EWD EWL EWU EZU EWO EWK EFNL EWQ EWG EIRL EWI EWN PGAL EWP EWJ EPP EWA EWH ENZL EWS EEM ILF EWZ ECH GXG EWW EPU EEMA FXI ASHR INDA EIDO EWM EPHE EWY EWT THD GUR GREK EPOL RSX TUR QAT UAE AFK EGPT EZA FM ARGT NGE PAK VNM BKF Intl DM Canada Israel Europe Denmark Norway Sweden Switzerland UK Eurozone Austria Belgium Finland France Germany Ireland Italy Netherlands Portugal Spain Japan Pacific ex JP Australia Hong Kong New Zealand Singapore EM Latin America Brazil Chile Colombia Mexico Peru EM Asia China H China A India Indonesia Malaysia Philippines South Korea Taiwan Thailand EM Europe Greece Poland Russia Turkey Middle East Qatar UAE Africa Egypt South Africa Frontier Market Argentina Nigeria Pakistan Vietnam BRIC M 8..%.%..% 8.%.%. 8.9%. 6..%....% 9.%..%.%..%.%.%.% 8...% 66.9%.9%.9%.%.9%.%.%..%..%.% 6.%. 6.%.% 8.%..%. M 9.%.%.%.9%. 6...% 9.%.%..9%.%.%...%.%.% 9.%.%.%.9% 9.%.% 9.9%.9%.%.9%.%. 8.9%.%.%.%..% 6. 9.%. 6.%.% 9.% 8.%.%.%.%..%.%.%.. 9..% 8.%. 9.9%. 8.%.%.%.% 6.% 9.% 8.%.% 6.%..% Annualized Volatility 6M Y 8..%.%...%.% 8.%.%.%.%.%.9% 9. 9.%.% 8.9% 8.9%.% 9.%.% 9.%. 6.%.% 8..% 9..%...% 9.% 6..% 6.9%.% 9.9%..% 9..%..%. 6..%.%..%..9%.%..% %.%. 9.%..%.9%.%..%.%.9%.%.% % 9.%.9% 6.% 9.9%.% 9.%..%.9% 6.% 6..% 6.%.%.%.%.%.% 8.% 9.9% 8..% 8.% 8..%. 6.%..%.%.% 8..9%.%..%. 8.%.% 6.% 6..% Y..%..% 6.%.% 9.%.% 8.% 9.% 9..% 8.% 9.% 8.9%.9%.%.%..% 6..%..%.9%.9% 9.% 8.9%.% 8.% 6...% 8.%. 6.% 9..% 9.% % 9.%.% 6.%.%..%...% 9.%.%.%...%.% Y.%.9%.%...% 9.%.9% 6. 9.% 9.% 6.%. 9.% 8.% 8.% 6..%..% 6. 9.% 6.% 6..% 9...% 8..%.9% 9.%.9%..9%. 8.%.% 9. 8.%....9%.9%.% 8.% 9.% 8..%.%.% Max Drawdown Y Y Y.%.%.%.%.%.%..9%.9%..9%.9% 8.% 8.% 8.%.%.9%.9%.%.%. 9.%.%.%.% 9.% 9.%.%.%.%.%....%.. 9.% 9.%.% % 9.%.%.%.%.%.% % 6.%.%.%.%...%.%.% 8..%.%.% 9.% 9.%.%.9%.% 9.%.%.%.% 6.% 6.%.% 6.% % 6..%.%.% 8.% %.%.%..%. 6..%.%.%.%.. 9..%.% 8.% 9. 6.%..% 6.%.%.%.%.%.....%.%.%.%.% 8. 9.% 8.9%.%. 6.%.%....%. 6.% 9.% 8..9%.%..%.% 9.%.% 9.%.%.%.%. 9.% 6.%. 6.%. 6...%.9% 9.%. 6.%...9% 9.% Sharpe (TR / Vol) Y Y Y....6 (.) (.) (.) (.) (.). (.) (.) (.)..... (.) (.). (.) (.). (.) (.).9 (.) (.). (.)... (.) (.) (.) (.) (.).. (.) (.). (.)..8 (.) (.). (.) (.)...6 (.8)...6 (.).8.. (.) (.) (.) (.8) (.) (.). (.) (.). (.) (.).. (.). Source: Deutsche Bank FactSet. Note: Data as of the end of last month; Calculations based on total returns; Volatility based on daily total returns annualized using a day factor; Sharpe ratio calculation assumes Risk free equal to zero. For Max DD and Sharpe calculation, green cells correspond to largest value, while red cells correspond to lowest values. For Volatility calculations, green cells are the least volatile (lowest values), while red cells are the most volatile (highest values). The ETFs mentioned in this figure are provided as reference and have been selected as investable and representative vehicle for each asset class considering the product's asset class representation, liquidity, size, cost, and ease to borrow for tactical or risk hedging purpose; however, they should not be seen as the only or best alternative for each asset class as finding the right product will depend on the specific investor's objective and intended usage. Please refer to "Product Type Definitions" on Appendix C for further details on product selection criteria depending on product usage. Page

14 AGG GOVT TIP MUB MBB LQD HYG FLOT BKLN F CWB BWX WIP EMB EMLC EMCB DBC DBE DBA DBB DBP UUP FXY FXE Source: Deutsche Bank, FactSet. Data as of the end of last month. Green cells denote highest correlations, while red cells denote lowest correlations. Figure 8: 6W Rolling Correlation for selected asset class pairs (Y) Global Equities 6W Rolling Correlation US Fixed Income 6W Rolling Correlation US Equities 6W Rolling Correlation Apr. Apr Apr US Agg Bond IG Apr Apr Commodities Apr Real Estate Apr6 Bull USD Apr Gold Apr Apr Apr Apr DM Intl EM Japan Apr Apr6 Pacific ex JP Apr Europe Apr US Treasury Apr Apr IG Corp Apr HY Corp Apr6 Apr Sr Loans Source: Deutsche Bank, FactSet. Correlations based on weekly total returns of USlisted ETFs: Global Equities (ACWI), US Agg Bond IG (AGG), Commodities (DBC), Real Estate (VNQ) and Gold (GLD). US Equity (VTI), DM Intl (EFA), EM (EEM), Japan (EWJ), Pacific ex JP (EPP), and Europe (VGK). US Fixed Income (AGG), US Treasury (GOVT), IG Corp (LQD), HY Corp (HYG), and Sr Loans (BKLN). 9 June Figure : Year Cross Asset Class Correlations of Weekly Total Returns Y Cross Asset Class Correlation of Weekly Total Returns ACWI VTI EFA EEM Category Ticker Global Equities ACWI US Total Market VTI.9.8. Intl DM EFA EM EEM US Agg Bond IG AGG...8. US Treasury GOVT US Inflation TIP Municipal MUB MBS MBB IG Corporates LQD.... HY Corporates HYG Floater FLOT Senior Loans BKLN Preferred F.6... Convertible CWB Intl DM Debt BWX..6.. Intl Inflation WIP...8. EM Gov Debt USD EMB EM Gov Debt Local EMLC.... EM Corp USD EMCB..9.. Commodities DBC....8 Energy Cmdty DBE Agriculture DBA Industrial Metals DBB....6 Precious Metals DBP..9.. Bull USD UUP JPYUSD FXY.... EURUSD FXE.... Page Cross Asset Correlations

15 9 June Month Relative Performance Monitor Figure 9: Selected relative performance pairs Apr May Mar Jan Feb Dec6 Oct6 China H/China A Mar Apr May May Feb Jan Dec6 Nov6 Oct6 Apr. Sep6 Precious Metals. UST Short/UST Long EM Gov Debt USD/EM Gov Debt Local. Aug6 Jul6 Jun6.6 Fixed Income duration and EM debt.. Nov6 EM Asia/Latin America. May6 May Apr Mar Feb Jan Dec6 Oct6 Nov6 Aug6 Jul6.8 Mar Fixed Income Credit. Sep6 Jul6 Aug6 Jun6.9 Eurozone/Europe Japan/Pacific ex JP May6 May Apr Mar Feb Jan Dec6 Nov6.6 Oct6 May6..8 Sep6 Apr..9.8 Aug6 May...8 Jul6 Mar..9 Jun6 Jan.. May6 Feb. Jun6. EM Equities Intl DM Equities Healthcare/Energy Technology/Industrials Financials/Real Estate Financials/Utilities. Dec6.8 US Equity Sectors.6 S&P /Russell (SM Cap) Russell Growth/Russell Value.8 Oct6 Apr May Mar Jan Feb Dec6 Oct6 Nov6 Sep6 Jul6 Aug6 Jun6 May6. Sep6.8.9 Nov6 Global Equities/Fixed Income (Broad) Global Equities/Commodities.9 Sep6.9.. Jul6. US Equity Size and Style. US Total Market/Intl DM US Total Market/EM Aug6. Global Equities Jun6. May6 Cross Asset Class..... Gold/Silver Gold/Platinum Gold/Palladium.6 Feb Jan Dec6 Jun6. May6 May Apr Mar Feb Jan Dec6 Nov6 Oct6 Sep6 Aug6 Jul6 Jun6 May Apr Mar Feb Jan Dec6 Nov6 Oct6 Sep6 Aug6 Jul6 Jun6 May6 May6.8.8 Nov Oct Sep6 HY Corporates/US Treasury HY Corporates/IG Corporates Aug6.9 Jul6. Source: Deutsche Bank, FactSet Performance for each asset class is based on the ETFs mentioned in the heatmaps presented earlier in this section. Total return data is as of the end of last month Page

16 9 June House View Portfolio: Monthly Brief Our House View Portfolio (HVP) was up by.%, outperforming its benchmark (.) and underperforming Global Equities (ACWI) which was up by.% during the same period. Figure : House View Portfolio Weight Target Position Actual Direction Type Asset Class Exposure DIA.% 9.9% Long Core Equity Mega Cap QQQ.%.% Long Core Equity Mega Cap Tech Tilt XLF.% %. Long Satellite Equity US Financials VGK. %. Long Core Equity Europe EEMA.%.% Long Satellite Equity EM Asia Short High Yield SJNK.% %. Long Core Credit TIP. %. Long Satellite Inflation US TIPs UUP.8 9. Long Core FX Long USD Source: Deutsche Bank. Actual weights as of the end of last month. Last rebalance as of May Figure : Portfolio performance vs. Global Equities and Benchmark since inception (//) Figure : Monthly performance of portfolio and benchmark positions House View Port. ACWI Inflation (TIP) Bnchmk Eq. EM Asia (EEMA) Eq. Europe (VGK) Eq. US Mega Cap Tech (IBB) Eq. US Mega Cap (DIA) Eq. US Financials (XLF) Short HY Credit (QQQ) FX Long USD (UUP) Equity (ACWI) Comdty (DBC) Fixed Income (BND) 9 Performance Source: Deutsche Bank, FactSet. Benchmark is Global Equities (ACWI), Fixed Income (BND), and Commodities (DBC) rebalanced at the end of each calendar quarter. Data as of the end of last month. Bnchmk Normalized Level () House View Port. 6 % % % % % % % % % % Source: Deutsche Bank, FactSet. Data as of the end o last month. Performance only applicable while positions help in the portfolio. Figure : Portfolio ocations Asset Class 8 6 Equity Target Actual Fixed Income Global Equity Alternatives US Intl Source: Deutsche Bank, FactSet. Actual data as of the end of last month. Page 6

17 9 June Business Intelligence New Listing There were eighteen new ETFs and two new ETNs listed during the previous month; eight were listed in the BATS; eight in the NYSE Arca; while the remaining four products were listed in the Nasdaq. The new funds offer exposure to US smallcap companies, US stocks focused on Growth, DM equity stocks focused on value and momentum factors, IG shortterm bonds, IG ultrashortterm debt, lowvolatility exposure to International and US companies, respectively; IG shortterm bonds, IG ultrashortterm debt; x leveraged exposure to Mexico and the US Sectors including Aerospace &Defense, Transportation, Utilities, and Industrials; actively managed exposure to a portfolio of Global dividendpaying companies, Global largecap equity stocks focused on Value and Dividend, respectively; direct and inverse exposure to futures tracking the Euro STOXX volatility index, and actively manage exposure in Broad commodity indexes. Figure : Products listed during last month Ticker Name VMOT EVIX EXIV DFEN UTSL TPOR MEXX DUSL CACG GDVD LVIN LVUS CSML SHAG JPST COMG Alpha Architect Value Momentum Trend ETF VelocityShares x Long VSTOXX Futures ETN VelocityShares x Daily Inverse VSTOXX Futures ETN Direxion Daily Aerospace & Defense Bull X Shares Direxion Daily Utilities Bull x Shares Direxion Daily Transportation Bull x Shares Direxion Daily MSCI Mexico Bull x Shares Direxion Daily Industrials Bull x Shares ClearBridge Cap Growth ETF Principal Active Global Dividend Income ETF Hartford Multifactor Low Volatility International Equity ETF Hartford Multifactor Low Volatility US Equity ETF IQ Chaikin US Small Cap ETF WisdomTree Barclays Yield Enhanced US ShortTerm Aggregate Bond Fund JPMorgan UltraShort Income ETF GraniteShares S&P GSCI Commodity Broad Strategy no K ETF Asset Class & Structure Alternative ETF Alternative ETN Alternative ETN Equity ETF Equity ETF Equity ETF Equity ETF Equity ETF Equity ETF Equity ETF Equity ETF Equity ETF Equity ETF Fixed Income ETF Fixed Income ETF Commodity ETF Listing Date TER May May May May May May May May May May May May 6May 8May 9May May.%.%.%.9%.9%.9%.9%.9%.%..9%.9%..%..% Source: Deutsche Bank, Bloomberg Finance LP. Equity DirexionShares listed five new Equity ETFs during May. The funds offer x leveraged exposure to the following US sectors: Aerospace & Defense (DFEN), Transportation (TPOR), Utilities (UTSL), and Industrials (DUSL); while, the remaining product offers x leveraged exposure to Mexico (MEXX). DFEN and TPOR track the Dow Jones U.S. Select Aerospace & Defense and the Dow Jones Transportation Average Indexes, respectively; meanwhile, UTSL and DUSL track the Utilities and the Industrial Select Sector Indexes, respectively. Finally, MEXX tacks the MSCI Mexico IMI / Index. of them come with an annual expense ratio of.9%. Hartford Funds listed two new ETFs last month. The funds offer lowvolatility exposure to Global exus (LVIN) and US (LVUS) companies. The stocks for both funds are selected and weighted within sector, size, and countrybased risk parameters with additional neutral or positive exposure to three investment factors: value, momentum, and quality. LVIN Page

18 9 June tracks the Hartford Multifactor Low Volatility International Equity Index and comes with an annual expense ratio of.9%; meanwhile, LVUS tracks the Hartford Multifactor Low Volatility US Equity Index and comes with an annual expense ratio of.9%. Legg Mason GAM listed three new ETFs during May. The first fund (CACG) offers actively managed exposure to Global large, mid, and smallcap companies focused on longterm potential earnings and/or cash flow growth; while, holdings are allocated across the following three growth buckets with unique risk/return characteristics: cyclical, stable, and select. CACG comes with an annual expense ratio of.%. The second product (YLDE) offers actively managed exposure to Global largecap dividend payment equities with positive environment, social, and governance attributes. Meanwhile, the last fund (LRGE) offers actively managed exposure to Global largecap equity stocks with positive ESG attributes and potential high future earnings growth. Both ESGfocused funds come with an annual expense ratio of.9%. Principal Financial Group launched one new ETF (GDVD) which offers actively managed exposure to Global dividendpaying equities. GDVD comes with an annual expense ratio of.. IndexIQ Advisors listed one new ETF (CSML) which offers equallyweighted exposure to US smallcap equity securities selected by four factors: value, growth, technical, and sentiment. CSML tracks the Nasdaq Chaikin Power US Small Cap Index and comes with an annual expense ratio of.%. Cambria Funds listed one new ETF (CCOR) which offers actively managed exposure to a portfolio of US largecap dividendpayment equity securities with the ability to sell index put and call options to reduce the volatility. CCOR comes with annual expense ratio of.%. Fixed Income WisdomTree listed one new fixed income ETF (SHAG) which offers exposure to USDdenominated investment grade shortterm bonds. The fund tracks the Bloomberg Barclays U.S. Short Aggregate Enhanced Yield Index which invests in securities with year to maturity allocated on marketvalue weighted buckets based on sector, credit quality, and maturity. SHAG comes with an annual expense ratio of.%. JPMorgan listed one new ETF (JPST) which offers actively managed exposure to a portfolio of USDdenominated broad market bonds with or less year to maturity. The ultrashort term ETF comes with an annual expense ratio.. Commoditiy GraniteShares made its debut in the ETF market listing two new commodity funds during May. The products offer actively managed exposure to a portfolio of future contracts based on two Broad commodity indexes. Both funds are Schedule K Tax form free; while, the first of them (COMB) tracks the Bloomberg Commodity Index and comes with an annual expense ratio of.%; the second one (COMG) tracks the S&P GSCI Index and comes with an annual expense ratio of.%. Alternative Page 8

19 9 June UBS listed two new alternative ETNs during May. The notes offer direct (EVIX) and inverse (EXIV) exposure to futures on the Euro STOXX Volatility Index. Both ETNs come with an annual expense ratio of.%. Empowered Funds listed one new alternative ETF (VMOT) offering equalriskweighted exposure to Development Market equities focused on value and momentum factors; in addition, the fund can mitigate its equity exposure during a downtrending market. The fund of funds ETF tracks the Alpha Architect Value Momentum Trend Index and comes with a management fee of.%. Delistings Figure : Delisted products during last month Ticker CSLS GT GIVE DBIF DBRE DBSP Asset Class & Structure Credit Suisse XLinks Long/Short Equity ETN Alternative ETN AdvisorShares Morgan Creek Global Tactical ETF Multi Asset ETF AdvisorShares Global Echo ETF Multi Asset ETF Deutsche Xtrackers S&P Hedged Global Infrastructure ETF Equity ETF Deutsche Xtrackers Dow Jones Hedged International Real Estate ETF Equity ETF Deutsche Xtrackers MSCI Spain Hedged Equity ETF Equity ETF Name Delisting date 6May May May 6May 6May 6May TER.%.%..%..% at Delisting 6 Source: Deutsche Bank, Bloomberg Finance LP. Page 9

20 9 June Trends in products launched in the last months Figure 6: Main trends among those products launched in the last months Net Cash Flows M 6, Total () By Asset Class Equity,96 Fixed Income, Commodities 96 Currency Multi Asset 6 Alternative 98 By Management Strategy,99 + Smart,6 Active,69 May ' 6,6 Net Cash Flows M Top by Geographic Focus (Equities) US US,6 DM Global (reg) EM Global (reg) Global Global (reg) DM Global ex US (reg) 6 Top by Category (Fixed Income) Broad 6 Corporates US Treasury 6 Municipal EM debt New Funds Asset Class Focus last M 8,9, ,6,6, May ' New Funds last M, Source: Deutsche Bank, Bloomberg Finance LP Figure : Top products by net cash flow raised in the last months Ticker Name FTXO UWT GDVD CLTL FLQE PSC HYLB BLHY FLQL ESGD BOTZ FDRR LVHB JPGB CCOR GBIL JPHF FLEU QXTR VNLA First Trust Nasdaq Bank ETF VelocityShares x Long Crude Oil ETN Principal Active Global Dividend Income ETF PowerShares Treasury Collateral Portfolio ETF Franklin LibertyQ Emerging Markets ETF Principal US Small Cap Index ETF Deutsche XTrackers USD High Yield Corporate Bond ETF Virtus Newfleet Dynamic Credit ETF Franklin LibertyQ US Equity ETF ishares MSCI EAFE ESG Optimized ETF Global X Robotics & Artificial Intelligence Thematic ETF Fidelity Dividend ETF for Rising Rates Elkhorn Lunt Low Vol/High Tactical ETF JPMorgan Global Bond Opportunities ETF Cambria Core Equity ETF Goldman Sachs Treasury Access Year ETF JPMorgan Diversified Alternatives ETF Barclays ETN+ FI Enhanced Europe ETN Series B QuantX Risk Managed MultiAsset Total Return ETF Janus Short Duration Income ETF Source: Deutsche Bank, Bloomberg Finance LP. Includes ETNs TER.6....%..%.6.%..6.9%.9%.%.%.%.8..%.% Net CF M, Figure 8: Top Issuers by inflows to products launched in the last months Top Issuers First Trust Principal Financial Franklin Templeton PowerShares BlackRock Fidelity Investments JPMorgan Global X Funds Deutsche AM Virtus Investment Elkhorn Inv. Janus Capital Nuveen State Street IndexIQ Advisors Cambria Funds DirexionShares Goldman Sachs ALPS ArrowShares Net Cash Flows M May ', , New Funds last M Source: Deutsche Bank, Bloomberg Finance LP Page

21 9 June Popular Product Segments: Smart & Currency Hedged Figure 9: Summary statistics for Smart Equity ETFs Smart (Equities) Dividend Equal ESG Fundamental Low Risk Multifactor Singlefactor Style Other Total Net Cash Flows May ' YTD 989,8 (), ,86 6,6,8 () 9 9, 66,,8 Turnover May ' Chg % 8, % 9,6 % %, % 6, 9%, %,69,8 % %,66 % % % % % 9% May ' Chg % 6,88 %, %,6 %,6 %,9 % 6,6 %, 88,86 % 96 66,8 % # of Funds May ' % 9% % 8 % % 8 % % 9% % 8 9% 6 % 9 % 6 % 69 YTD New 6 9 Source: Deutsche Bank, Bloomberg Finance LP Figure : Summary statistics for CurrencyHedged Equity ETFs Net Cash Flows Currency Hedged (Equities) May ' YTD 6 () 8 (6),8 () (9) (6) () () (), Multiple AUD BRL CAD CHF CNY EUR GBP JPY KRW MXN Total Turnover May ' Chg %,6,9 86,6,88 % % 9% % 9% 6 % % % % % % % % May ' Chg % 9,,,6 6, % % % % % % % % % % % % # of Funds May ' % 8 YTD New % % % % % % % % % % Source: Deutsche Bank, Bloomberg Finance LP Figure : Top Issuers in Equity Smart Top Issuers (Equity Smart ) BlackRock Vanguard State Street WisdomTree PowerShares First Trust Charles Schwab Guggenheim Inv. FlexShares Goldman Sachs Source: Deutsche Bank, Bloomberg Finance LP May ',9,,9,8,9,68,,8,68, Net Cash Flows M,8,8, (,9),6 6,6,6,,9 Figure : Top Issuers in Equity Currency hedged # of Funds May ' Top Issuers (Equity Currency Hedged) WisdomTree Deutsche AM BlackRock IndexIQ Advisors First Trust JPMorgan FlexShares State Street O'Shares Investments Franklin Templeton May ' 9,69,68 8,6 6 6 Net Cash Flows M (6,) (,8) # of Funds May ' Source: Deutsche Bank, Bloomberg Finance LP Page

22 9 June Average Performance by Products Type and Size (Equity) Month Comparisons Figure : US Equity ETFs Month Total Returns..... Source: Deutsche Bank, FactSet. Total Return corresponds to last month. Size.... Product Type Smart Active Size.... Product Type Smart Active.... Source: Deutsche Bank, FactSet. Total Return corresponds to last month. Page DM Equity, Broad sector, regional, non levered, # of funds by Large Cap Mid Cap Small Cap Broad 6 8 Product Type Smart Active Source: Deutsche Bank. Figure : EM Equity ETFs Month Total Returns 9 Large Cap Mid Cap Small Cap Broad Figure 6: DM Equity ETFs # of Funds in M sample Source: Deutsche Bank, FactSet. Total Return corresponds to last month. EM Equity, Broad sector, regional, non levered, M Total Return by Large Cap Mid Cap Small Cap Broad Product Type Smart Active 9 8 Source: Deutsche Bank. Figure : DM Equity ETFs Month Total Returns DM Equity, Broad sector, regional, non levered, M Total Return by Large Cap Mid Cap Small Cap Broad US Equity, Broad sector, non levered, # of funds by Size..... Figure : US Equity ETFs # of Funds in M sample Size Product Type Smart Active Figure 8: EM Equity ETFs # of Funds in M sample.... EM Equity, Broad sector, regional, non levered, # of funds by Large Cap Mid Cap Small Cap Broad Size Size US Equity, Broad sector, non levered, M Total Return by Large Cap Mid Cap Small Cap Broad 9 Product Type Smart Active 8 6 Source: Deutsche Bank.

23 9 June Year Comparisons Figure : US Equity ETFs # of Funds in Y sample..... Source: Deutsche Bank, FactSet. Total Return corresponds to last month. Size.... Product Type Smart Active Size Source: Deutsche Bank, FactSet. Total Return corresponds to last month. 8 8 DM Equity, Broad sector, regional, non levered, # of funds by Large Cap Mid Cap Small Cap Broad Product Type Smart Active 8 8 Source: Deutsche Bank. Figure : EM Equity ETFs Year Total Returns Product Type Smart Active. 9 Large Cap Mid Cap Small Cap Broad Figure : DM Equity ETFs # of Funds in Y sample Source: Deutsche Bank, FactSet. Total Return corresponds to last month. EM Equity, Broad sector, regional, non levered, Y Total Return by Large Cap Mid Cap Small Cap Broad Product Type Smart Active Source: Deutsche Bank. Figure : DM Equity ETFs Year Total Returns DM Equity, Broad sector, regional, non levered, Y Total Return by Large Cap Mid Cap Small Cap Broad US Equity, Broad sector, non levered, # of funds by Size..... Product Type Smart Active Figure : EM Equity ETFs # of Funds in Y sample.... EM Equity, Broad sector, regional, non levered, # of funds by Large Cap Mid Cap Small Cap Broad Size Size US Equity, Broad sector, non levered, Y Total Return by Large Cap Mid Cap Small Cap Broad Size Figure 9: US Equity ETFs Year Total Returns 9 Product Type Smart Active 6 69 Source: Deutsche Bank. Page

24 9 June Total Expense Ratio XRay Figure : Average TER analysis by asset class and management style TER By Equity Fixed Income Commodity Currency Multi Asset Alternative..%.%.%..9%. Simple Average Smart.% %.% +.9%..9%.9% Active.8.%..9%.%.%..%..8...%.%.9%..%.%.%.. Weighted Average + Smart Active.9%.%.89%.9%..%.9%.89%..9%.8..%.8.9%.6.9%.9%.%.9%.%.%...%.%.% Source: Source: Deutsche Bank, Bloomberg Finance LP. Figure 6: Selected TER averages for the top Issuers by Simple Average Top Issuers BlackRock Vanguard State Street PowerShares Charles Schwab First Trust WisdomTree Guggenheim Inv. VanEck Vectors ProShares Deutsche AM ALPS FlexShares PIMCO DirexionShares May ',9,88,8,88,9,96,9,,6,,689,,9,6,, Equity Smart..%..%.%.9%.%...%..6.%...9%..%.9%.%.%.%....%. Weighted Average Fixed Income Active.%.9%.%..%.%.%.%...%.9%.%.%...%.%..%..%.%.%..%.%.%.6.8.%.6.9%.%. Equity Smart.%.%..%.%.%.%.%..9%.6..%..%.%.%.9%.9%...%.....% Fixed Income Active.%.%..%..%.6...% %.%..% %...%.9%.9%.9% Source: Deutsche Bank, Bloomberg Finance LP. Page

25 9 June ETF Statistics Global ETF Assets and Provider Ranking Figure : Historical Growth of Global ETP Asset* 6,,, $billion,,,,,,,,, ' '8 '9 ' ' ' ' ' ' '6 '* 69 Asia Pacific ($) Europe ($) US ($) ,6,,68,99,,,98 US, Europe & Asia Pacific ($) 8,9,9,,88,6,6,9,,96 Europe ( ) ,,666,,8,,9,,9,6,,9 Number of ETPs** Number of ETPs,, Source: Deutsche Bank, Bloomberg Finance LP. *These figures don't include the ETF markets in the Americas ex US and in the Middle East and Africa regions. data as of the end of last month. Figure 8: Top Global ETP Provider Ranking and Summary Statics Issuer BlackRock Vanguard State Street PowerShares Nomura Asset Management Deutsche AM Charles Schwab Lyxor First Trust Nikko Asset Management Total Top Others Global Total Current. Share 6 6. Share,,6,,88 9,9 98, 8,6,96 66,6 8,9,8,,88 6,9,99,9.% 9.%.%.%.%.%.9%.%.%.% 8.%.%.,6,9 69,8 8,6,8 9,9, 9,,66,,,89,9,66,,9 6.9% 8.%..%.%.%.%..%. 8.%.%. Current Month CF ,9,,9,, 6,6,6 8,,,86 6 9,89,9,6 Current Month TO YTD CF 8,, 88,96 66,9 89,9, 86,6 6,,6,,,,,8,9 6, 6,9, 6 6,9,,9 8,,99 6,6,6,89, Source: Deutsche Bank, Bloomberg Finance LP, FactSet. data as of the end of last month. Page

26 9 June US Historical ETF Trends Figure : Monthly ETF Volume $ growth vs. VIX and ETF Volume, Source: Deutsche Bank, Bloomberg Finance LP. ETPs include ETFs and ETVs; ETVs represent about % of ETP assets and track mostly nonequity and nonfixed Income exposures. *YTD data as of the end of last month. Net Cash Flows $million, %,, %,, Source: Deutsche Bank, ICI, Bloomberg Finance LP. *Data as of the end of March. Mutual Funds only include Long Term Mutual Funds. Page 6 ETF trading as % of all US Cash Equity trading and VIX Level (end of month) Apr Sep6 Jul Feb6 Dec Oct May Mar Jan Aug Jun Apr 6 6,, Active MF+ETF, Passive / Active % Passive MF+ETF,,,,,,,, Passive as % of Active ETF/MF %,, Source: Deutsche Bank, Bloomberg Finance LP. ETF Turnover excludes ETVs and ETNs. Data as of the end of last month. Net Cash Flows $million % ETF CF Figure : Net Cash Flows and historical comparison between Active and Passive mgmt style* ETF as % of Mutual Fund Figure : Net Cash Flows and historical comparison between Mutual Funds and ETFs* MF CF Nov *, Jan, Sep9, Jul8 Feb9 8 6, Dec, VIX, Oct6,, ETF % Cash Eqty 6 May,6 ETF Turnover, Mar6,8 Monthly ETF Turnover $billion, Others Fixed Income Equity # Funds Aug,,,8,6,,,,8,6,,, 8 6 Number of ETPs $billion Figure 9: Annual ETP historical growth in and # of funds Source: Deutsche Bank, ICI, Bloomberg Finance LP. *Data as of the end of March. Mutual Funds only include Long Term Mutual Funds.

27 9 June ETF Issuer and Index Provider league tables Figure : ETP Issuer league table (excludes ETN assets) Assets Under Management May ' Fixed Top Issuers Total Equity Cmdty Income BlackRock,9,88 9.% 8,66 6,,6 Vanguard,8. 9,66,68 State Street,88 8.%,8,6, PowerShares,9.% 9,98 6,88,9 Charles Schwab,96. 6,8 8,98 First Trust,9. 9,9 6, WisdomTree,.%, Guggenheim Inv.,6.%,6 9,6 VanEck Vectors,.%, 9,88 9 ProShares,689. 9,9,,6 Deutsche AM,.%,6 8 ALPS,9.%,88 FlexShares,6.%,989, PIMCO,.%, DirexionShares,.%,6 Fidelity Investments 6,68.% 6,9 Global X Funds,96.%,96 Goldman Sachs,.%, 8 US Commodity Funds,88.%,8 ETC,96.%, IndexIQ Advisors,6.% 9 ETF Securities,9.%,9 OppenheimerFunds,9.%,9 JPMorgan,.%, 6 Victory Capital Mgt.,98.%,98 ETFMG,., 9 Columbia Mgmt,9.,6 AdvisorShares Trust,. 6 6 Principal Financial,. Millington Securities Pacer Advisors Virtus Investment 96. John Hancock Inv Franklin Templeton. 6 6 KraneShares 6. 9 O'Shares Investments. Cambria Funds. 8 Highland Capital 9. 9 Empowered Funds. 8 Hartford Funds Legg Mason Blue Sky Asset Management 89. ARK Inv. Mgmt 8. 8 ArrowShares Elkhorn Inv Horizons Management 6. 6 Teucrium Trading 9. 9 Janus Capital Davis Advisors. Nuveen. 6 9 Other () Total,9,96,,88, 6,8 Net Cash May ' Other,,99, 9 (6,),8,6,,, 6 69,8 (6) 9 (,68), (), () 86 () (9) (6) 6 9,6,8 Flows YTD 9,8 6,9 (,) 6,,8, 6,89,6, 8,6,8 9 8,6,6, () () 8 () ,69 Turnover May ' 8,9.% 8,6 6.% 8,.% 86, 6.%,.% 6,6.% 9,9.%,8.%,8.%,99.9%,8.%,.% 89.%,.% 8,9.%,9.%,8.% 8. 8, ,, # of Funds YTD May New ' ,8 6 Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month. Page

28 9 June Figure : Index Provider league table (excludes ETN assets) Top Index Providers S&P Dow Jones Assets Under Management May ' Fixed Total Equity Cmdty Income Net Cash Flows Turnover YTD May ' May ' Other # of Funds YTD May New ',8,89.% 96,,9,999,6 (,),86 66, 8.% MSCI,.9%,,69 6,8 9,.% 9 FTSE Russell 6,.%,9,8,86, 6,6. 6 Bloomberg Barclays,.%,,868, 9,. CRSP 9,.% 9,,, 6,9.% Nasdaq OMX,.,8 89,99,9 96, 6.9% 6 Markit iboxx 8,86. 8,86,66 6,8,9.% Commodity Physical,9.9%,9 WisdomTree,9.%,9 ICE 8,.% Active,99 NYSE Euronext,6 Morningstar J.P. Morgan BofA Merrill Lynch 8,.%,6 8, 89.,9,8.,6,9.%,68.% 6 Market Vectors,98.%,9 Alerian (86),9 8,.% 8,,,6.% 88,6,9.% 99,96.% 9 (8),86,.% Accretive AM. 6 8,8,66,6 8, 6.9%, 69.% 6.,,.% 9,,86.%,6 6,.%, 6 (,),8 9,,9, (,8) Deutsche Bank 6 998,98.% () (),6.% 8 86.% 9,8 Other 66,98.%,8 6,69, 6,6,, 6,6.% Total,9,96,,88, 6,8,6,8 9,69,,,8 6 Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month. Page 8

29 9 June Monthly Snapshot Figure : ETP Summary Statistics by Asset Class Asset Class Equity Fixed Income Commodities Currency Multi Asset Alternative Total Net Cash Flows YTD May ',6 9,8,, (9) 6 (6) () 6 89,8 9,69 Turnover May ' Chg %,8, % 9,96 % 9% 8,8 % %,6 6 9, %,,8 % # of Funds May ' YTD May ' New Chg %,,88 % 9%,8 %, % % 6,8 % % 6 % 9, %, % 8 %, %,9,96.%,8 6 Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month. Figure 6: ETP Summary Statistics by Management Style (ActivePassive) Passive>Active + Smart Active Total Net Cash Flows YTD May ',8 6,6 9,6,6 9,89,,89,8 9,69 Turnover May ' Chg %,8,, % % 8,9 %,669 %,,8 % # of Funds May ' YTD May ' New Chg %,99,6 % 689,6 % 98 % 9 69,98 % % % 6,9 %,9,96.%,8 6 Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month. Figure : ETP Summary Statistics by Product Type Product Type Asset ocation Cash Management Pseudo Futures Leveraged & Inverse Total Net Cash Flows YTD May ',96,, 9,9 (,) (6,6) 8.,6,8 9,69 Turnover May ' Chg %,98 % %, % 99,8 6,6 % %,,8 % # of Funds May ' May ' Chg %,,8 % %,,,89 % 6 % 69,99 % % %,6 % 96 %,9,96.%,8 YTD New Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month. Page 9

30 9 June Equity Breakdowns Figure 8: ETP Summary Statistics by Geographic Focus Global and Developed Market Equities Geographic Focus (Equities) Global Markets Equities Global (reg) Global ex US (reg) Asia Pacific (reg) Asia Pacific ex JP (reg) Total GME Developed Market Equities Global (reg) Global ex US (reg) Global ex JP (reg) Europe & Middle East Europe (reg) Denmark Norway Sweden Switzerland UK Eurozone (Reg) Austria Belgium Finland France Germany Ireland Israel Italy Netherlands Portugal Spain North America North America (reg) Canada US Asia Pacific Pacific (reg) Japan Pacific ex JP (reg) Australia Hong Kong New Zealand Singapore Total DME Total Equities Net Cash Flows YTD May ' Turnover May ' Chg % May ' Chg % # of Funds May ' YTD New (,8), (),6 6,9 8,8 69,,99,9 6,9 % % % %, 6,,96, % % % % % % % 69 % % %,,6,,9,9,98 % % %,6,66 6 9% % 9 % % 9,9 () (9), 86 6 () () () 8 96,8 (6) (9) 6,6 () () 969 () () (),88 9 6,, , % % % % % 9% % % % % % 9% % % 6,696 6,,8 8, , ,6 % % % % % % % % % % 9% % % 8 % % % % 8 (8) (,98) 9 (6) 6,886, 9,69 % %,66,98,66,89 % % % % 6 (8) (8) 9 () 6,,6 (8) (8) () 6 (8),9 9,8 9,,9,8 8,8,9,8, 9% % % 9% % % % %, 8,,9,88, 9,6,96,,88 % % % % % % 8 % ,8 % % Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month. Page

31 9 June Figure 9: ETP Summary Statistics by Geographic Focus Emerging Market Equities Net Cash Flows YTD Geographic Focus May ' (Equities) Emerging Market Equities Global (reg),6 8, BRIC (reg) (8) Asia Asia (reg) 6 China () China A 8 66 India 8 Indonesia (9) () Malaysia 8 Philippines South Korea 8 (98) Taiwan 8 Thailand () Europe Europe (reg) Poland Russia (6) (6) Turkey () () Greece 9 Middle East & Africa ME & Africa (reg) () Middle East (reg) () Africa (reg) () Egypt South Africa (6) () Qatar () (6) UAE () Latin America Latin America (reg) () (88) Brazil 8,66 Chile () () Colombia () Mexico () (896) Peru (9) () Frontier Markets Frontier (reg) Argentina 6 6 Nigeria Pakistan Saudi Arabia Vietnam (9) Total EME,6,99 Total Equities,6 9,8 Turnover May ' Chg % May ' Chg % # of Funds May ' YTD New,6 8 % 8, 9% 66 % 6, 8, 9,9,66 % % % 9% % % % 9% % 96, , ,69,9 % % % % % % % % 6 % % % 8 6,6 6 % % 9% 6,96 8 % % % % % % % % 9% 8 6 % % % % %,,,6 6 % % % % %,98 6,8 6, % % 9% % % 6 % % % % % % % % % ,6,,88 % % 9% % % % 88,8 % 99 6,89,8, Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month. Page

32 9 June Figure 6: ETP Summary Statistics by Size and Market Equities Market Cap Segment (Equities) US Equities Large Cap Mid Cap Small Cap Broad Total US Equities DM Intl Equities Large Cap Mid Cap Small Cap Broad Total DM Intl Equities EM Equities Large Cap Mid Cap Small Cap Broad Total EM Equities Total Equities Net Cash Flows YTD May ' Turnover May ' Chg % May ' Chg % # of Funds May ' YTD New 6 (8) (,9), (,98),,6,66,6 6,889 6,6,6,6,69 9,68 % % % % % % 9% % 89,6, 9,86,6,66,8 % % % % % % % % % % % 8 9 8, 6,8, 6,8,9,6,6, 96,9,8 % % % 9% 9, 9, 8,9 6, % 9% % % 8 % % % %,88,6, ,,99 9,8, 6 8,,89,8, % % % % 9% % %,896,9,8 8,6,,88 % % % % % % % 9 88,8 % % % % 8 Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month. Figure 6: ETP Summary Statistics by Style and Market Equities Style (Equities) US Equities Growth Value Dividend Blend Total US Equities DM Intl Equities Growth Value Dividend Blend Total DM Intl Equities EM Equities Dividend Blend Total EM Equities Total Equities Net Cash Flows YTD May ' Turnover May ' Chg % May ' Chg % # of Funds May ' YTD New,88 (6) (6) (,96) (,98),6,,9 9, 6,889,9 6,99 9,99 86, 9,68 % % % % % % % % %,8,,,6,6,66,8 % % % % % % % % 6 69 % % % % % ,8,9 6,8 6 9,8,6,9,9 9,, 9% % %,9,,6, 6,8 % 9% % % 8 % % % 9,98,6,6 9,88,99 9,8,96,89,8, % % % %,8 6,8 8,6,,88 % % % % 88,8 % % % 6 8 Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month. Page

33 9 June Figure 6: ETP Summary Statistics by Sectors US Equities Sector (US Equities) Consumer Discretionary Consumer Staples Energy Financials Healthcare Industrials Materials Real Estate Technology Telecom Utilities Theme Overall Total US Equities Net Cash Flows YTD May ' 8 (8) (6), (,), (6), 6,99 (8) () (9),8, (9) () (99) 6 9 (), (,) 6,8 Turnover May ' Chg %,8 % 9,6 9% %,8 % %,,98 % %,6 % %,66 %,99 %,86 % 66 %, % % 9 % 6,6 % % 9,6 % # of Funds May ' May ' Chg %,6 % % %,96 % % 8,6 % % %,88 % %, % % %,9 % % % 8,8 %,8 % % %,9 % %, %,99 % % % 9, % % 6 9%,,8 % 8 6 %,66,88 % 69 YTD New Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month. Commodity Breakdowns Figure 6: ETP Summary Statistics by Sectors and Sub Sectors Commodity Sector (Commodities) Diversified Broad Agriculture Energy Crude Oil Natural Gas Industrial Metals Precious Metals Gold Silver Platinum Palladium Total Commodities Net Cash Flows YTD May ' (9) (9) () () () () () () () (6) (),8 (6), (6) () 9 () () (9) 6 Turnover May ' Chg %, % % 8 %,99 %,9 %, 9% % 9 %,6,98 %,9 9% 6 % 8,8 % # of Funds May ' May ' Chg %, % % 8 % % %,86 % 8, % % 6 % % % %, 9 %,69 % % 6,8 % % % % % % % 6,8 % 6 YTD New 9 Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month. Page

34 9 June Fixed Income Breakdowns Figure 6: ETP Summary Statistics by Category Fixed Income Categories (Fixed Income) Broad Convertible Corporates EM debt Inflation International Municipal Preferred Securitized Senior Loans US Treasury Total Fixed Income Net Cash May ',8,8, , Flows YTD,6 6,8,6, (9),6,,8, 6,, Turnover May ' Chg % 6,9 % 8 % 8,88 6,9,96 % %,98 9% %, % %,9 %,9 % %,9 % 9,96 % # of Funds May ' May ' Chg %, % 6,98 % % %,998 % 96 %, % %,89 % % %,96 % %,8 % % % 9, % % 6, % % 9 %,8 % % %,96 % % %, % YTD New 8 Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month. Figure 6: ETP Summary Statistics by Credit Quality Fixed Income Credit Quality (Fixed Income) Investment Grade High Yield Mixed Total Fixed Income Net Cash Flows YTD May ' 9,89 6,98 (,),6,,68,, Turnover May ' Chg %,8 %,9 9%,89 % 9% 9,96 % # of Funds May ' YTD May ' New Chg % 9, % 6 6,9 % % % 6,99 % % %, % Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month. Figure 66: ETP Summary Statistics by Duration Fixed Income Duration (Fixed Income) Short Intermediate Long Broad Set Maturity Total Fixed Income Net Cash May ',8 (8),6 6, Flows YTD,66 6,,,,, Turnover May ' Chg % 8,99 % 8,68 %, % 8, %,8 % % 9,96 % # of Funds May ' May ' Chg %, % 8,8 9% %,69 % % 9 9%, % 9%, % % %, % YTD New 8 Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month. Page

35 9 June Top ETFs (includes ETNs) Figure 6: Top by M Total Return Gain (nonlevered) Ticker Name ARKW ARKK NIB GAMR PGAL CHOC EDOM FKO UBC KOR CXSE EWY SOXX XSD EWGS ARK Web x. ETF ARK Innovation ETF ipath Dow JonesUBS Cocoa Subindex Total Return PureFunds Video Game Tech ETF Global X MSCI Portugal ETF ipath Pure Cocoa ETN WisdomTree Europe Domestic Economic Fund First Trust South Korea AlphaDEX Fund ETRACS CI Livestock Total Return AdvisorShares KIM Korea Equity ETF WisdomTree China exstateowned Enterprises Fund ishares MSCI South Korea Capped ETF ishares PHLX Semiconductor ETF SPDR S&P Semiconductor ETF ishares MSCI Germany SmallCap ETF TER.9%.9%.%.%..% %.%..%.%.9% Total Return 6.%..%..%..%.%.% 9.% 9.% 9. 8.% 8.% 8. Source: Deutsche Bank, FactSet. Total Return corresponds to last month. EFA LQD IEMG VOO IVV IEFA VGK VEA EZU VWO QQQ VTI AGG EMB IEI ishares MSCI EAFE ETF ishares iboxx $ Investment Grade Corporate Bond ETF ishares Core MSCI Emerging Markets ETF Vanguard S&P ETF ishares Core S&P ETF ishares Core MSCI EAFE ETF Vanguard FTSE Europe ETF Vanguard FTSE Developed Markets ETF ishares MSCI Eurozone ETF Vanguard FTSE Emerging Markets ETF PowerShares QQQ Vanguard Total Stock Market ETF ishares Core U.S. Aggregate Bond ETF ishares J.P. Morgan USD Emerging Markets Bond ishares Year Treasury Bond ETF TER.%.%.%.%.%...%..%..%.%..% SPDR S&P ETF ishares Core S&P ETF Vanguard Total Stock Market ETF ishares MSCI EAFE ETF Vanguard S&P ETF Vanguard FTSE Emerging Markets ETF Vanguard FTSE Developed Markets ETF PowerShares QQQ ishares Core U.S. Aggregate Bond ETF ishares Core S&P MidCap ETF ishares Russell Value ETF ishares Russell Growth ETF ishares Russell ETF SPDR Gold Shares Vanguard Total Bond Market ETF Source: Deutsche Bank, Bloomberg Finance LP. as of the end of last month. REX VolMAXX Long VIX Weekly Futures Strategy ETF ipath Bloomberg Natural Gas Subindex Total Return PowerShares S&P SmallCap Energy Portfolio ipath S&P VIX ShortTerm Futures ETN ProShares VIX ShortTerm Futures ETF VelocityShares Daily Long VIX ShortTerm ETN SPDR S&P Oil & Gas Equipment & Services ETF PowerShares Dynamic Oil & Gas Services Portfolio Elkhorn S&P MidCap Energy Portfolio ipath Dow JonesUBS Sugar Subindex Total Return United States Natural Gas Fund LP Loncar Cancer Immunotherapy ETF IQ Global Oil Small Cap ETF ALPS Medical Breakthroughs ETF First Trust ISERevere Natural Gas Index Fund.9%.%.9%.89%..89%.%..9%.%.%.%.%..6 Total Return.%..%.%.%.% 9.% 9.% 9.% % 8.%.% Ticker Name IWM SPY HYG GDX DIA MDY XLF IYR IEF XLK JNK GDXJ IVE SPHB HDV ishares Russell ETF SPDR S&P ETF ishares iboxx $ High Yield Corporate Bond ETF VanEck Vectors Gold Miners ETF SPDR Dow Jones Industrial Average ETF SPDR S&P MidCap ETF Financial Select Sector SPDR Fund ishares U.S. Real Estate ETF ishares Year Treasury Bond ETF Technology Select Sector SPDR Fund SPDR Bloomberg Barclays High Yield Bond ETF VanEck Vectors Junior Gold Miners ETF ishares S&P Value ETF PowerShares S&P High Portfolio ishares Core High Dividend ETF TER..9%..%.%.%.%.%.%.%..%..%. Outflows (,66) (,66) (,) (,) (,88) () (699) () (9) (8) () () (89) () () Source: Deutsche Bank, Bloomberg Finance LP. Outflows correspond to last month. Figure : Top by SPY IVV VTI EFA VOO VWO VEA QQQ AGG IJH IWD IWF IWM GLD BND VMAX GAZ PSCE VXX VIXY VIIX XES PXJ XE SGG UNG CNCR IOIL SBIO FCG TER Figure : Top by M Outflows Inflows,,,96,89,8,86,8,8,,, Source: Deutsche Bank, Bloomberg Finance LP. Inflows correspond to last month. Ticker Name Ticker Name Source: Deutsche Bank, FactSet. Total Return corresponds to last month. Figure 69: Top by M Inflows Ticker Name Figure 68: Top by M Total Return Loss (nonlevered) Figure : Top by $ Volume traded last month TER.9%.%.%.%.%.%.%..%.%.....%,, 9,9 6,9 68,,,6,9,6 9,9 6,99 6,,886,88, Ticker Name SPY IWM QQQ EEM XLF EFA GDX XLE XIV EWZ HYG VXX TLT GLD IVV SPDR S&P ETF ishares Russell ETF PowerShares QQQ ishares MSCI Emerging Markets ETF Financial Select Sector SPDR Fund ishares MSCI EAFE ETF VanEck Vectors Gold Miners ETF Energy Select Sector SPDR Fund VelocityShares Daily Inverse VIX ShortTerm ETN ishares MSCI Brazil Capped ETF ishares iboxx $ High Yield Corporate Bond ETF ipath S&P VIX ShortTerm Futures ETN ishares + Year Treasury Bond ETF SPDR Gold Shares ishares Core S&P ETF TER.9%...69%.%.%.%.%.%...89%.%..% Volume,8 9,6, 9,6,8,,8,6,6,,8 9, 9,6 8,98 6,98 Source: Deutsche Bank, Bloomberg Finance LP. Volume $ corresponds to total traded last month. Page

36 9 June Appendix A: ETN Snapshot Figure : ETN Summary by Asset Class ($ MM) End of %Chg Asset Class May Equity Fixed income Commodity Currency Multi Asset Alternative Total, 6,98,,88,69,6 6,68,66.9%.9%.% 9.%.%.9%. Cash Flow ($ MM) YTD Chg % Apr YTD % () ().9% (9) 6.9% () (). () () ().9% 8 6.% 8,.9% May Turnover ($ MM) May Apr %Chg,8 9,9 8,8 6,99,8 8 9,8 9,,9 9.%.%. 8.%..%.% May 9 9 # of ETNs End of %Chg...%...%. Market Share % # of Turnover ETNs 6.%.9%.%.%..%.. 8.%.%..%.%.%..9% 6.%.%... Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month. Figure : ETN Summary by Issuer ($ MM) Issuer May Barclays Bank UBS Credit Suisse JPMorgan Citigroup Deutsche Bank Swedish Export CC Goldman Sachs Morgan Stanley BMO Capital Markets VanEck Vectors Guggenheim RBC GAM Total 6,,,986, ,88 End of 6,8 6,8,, ,66 Cash Flow ($ MM) %Chg.%. 8.%.% 88.%..%.%.9%.% 6.%.%.. May () 8 (8) () 8 Apr YTD Turnover ($ MM) YTD Chg % () () 9 () (9) () () () () (),..9%.%. 8.%.%.%......%.9% May Apr %Chg, 6,,, ,,99.% 6.9% 9,8.% 66 8., 9.% % 6.%.9% 6.9% 6.%.%,9.% # of ETNs May End of Market Share % %Chg 8.% 8.% 9.%...%....%..%..%..%..%..%..% Turnover.%..%.9%..%.% # of ETNs..%.%.%..%..%.%.%.%.%.. Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month. Page 6

37 9 June Appendix B: ETF List Figure : Global and US Equities Reference list Product Listing Date Type TER $M D ADV Implied Total $M Liq. $M Liq. $M Avg. Bid/Ask Spreads Day $ Day bps Asset Class Ticker ETF Name Global Equities ACWI ishares MSCI ACWI ETF 8Mar8.% 6, US Total Market VTI Vanguard Total Stock Market ETF May.% 8,6 6,8 6,..8 S&P (Large Cap) SPY SPDR S&P ETF 9Jan9.9%, 6,8 9,96 6,89.. DJI DIA SPDR Dow Jones Industrial Average ETF Jan98.% 6,66,,668.. NASDAQ QQQ PowerShares QQQ Mar99.,,9, 8,9.. Russell Growth IWF ishares Russell Growth ETF May. 6,6,69, Russell Value IWD ishares Russell Value ETF May.,8,8,..9 S&P (Mid Cap) MDY SPDR S&P MidCap ETF May9.% 8,8 6,6,9..6 Russell (SM Cap) IWM ishares Russell ETF May. 9,,9 6,8.. Div. Growth Vanguard Dividend Appreciation ETF Apr6., VIG Div. Yield DVY ishares Select Dividend ETF Nov.9%, Div. Yield VYM Vanguard High Dividend Yield ETF 6Nov6. 8, 9,6,9.. Div. Yield & Growth SDY SPDR S&P Dividend ETF Nov.%,68.. Cons. Discretionary XLY Consumer Discretionary Select Sector SPDR Fund Dec98.%,,6,88.. Hotels, Rest & Leisure PEJ PowerShares Dynamic Leisure and Entertainment Port Jun. 6.. Home Builders XHB SPDR S&P Homebuilders ETF Feb6.%, Household Durables ITB ishares U.S. Home Construction ETF May6.%, Media PBS PowerShares Dynamic Media Portfolio Jun Retail XRT SPDR S&P Retail ETF Jun6.% Cons. Staples XLP Consumer Staples Select Sector SPDR Fund Dec98.%,9 6,,8..8 Food Products PBJ PowerShares Dynamic Food & Beverage Portfolio Jun..9. Energy XLE Energy Select Sector SPDR Fund Dec98.% 6,,8 96,.. Energy Eq. & Serv. OIH Market Vectors Oil Services ETF Feb.%, 9..9 Energy Eq. & Serv. XES SPDR S&P Oil & Gas Equipment & Services ETF Jun6.% Energy Eq. & Serv. IEZ ishares U.S. Oil Equipment & Services ETF May6.% Energy E&P XOP SPDR S&P Oil & Gas Exploration & Production ETF Jun6.%, Energy E&P IEO ishares U.S. Oil & Gas Exploration & Production ETF May6.% MLPs AMLP Alerian MLP ETF Aug. 9,8. Financials XLF Dec98.%,8,9,,.. Large Banks KBWB PowerShares KBW Bank Portfolio Nov.% Financial Select Sector SPDR Fund Regional Banks KRE SPDR S&P Regional Banking ETF Jun6.%, Capital Markets KCE SPDR S&P Capital Markets ETF Nov.% Insurance KIE SPDR S&P Insurance ETF Nov.% Healthcare XLV Health Care Select Sector SPDR Fund Dec98.% 6,8,6,.. Biotech & Pharma IBB ishares Nasdaq Biotechnology ETF Feb.% 8, Large Biotech BBH Market Vectors Biotech ETF Nov99.% HC Eq. & Supplies IHI ishares U.S. Medical Devices ETF May6.%,6..9 HC Providers & Serv IHF ishares U.S. Healthcare Providers ETF May6.% Large Pharma PPH Market Vectors Pharmaceutical ETF Feb.% Industrials XLI Industrial Select Sector SPDR Fund Dec98.%,89,69,.. Aerospace & Def ITA ishares U.S. Aerospace & Defense ETF May6.%, Transportation IYT ishares Transportation Average ETF Oct.% Materials XLB Materials Select Sector SPDR Fund Dec98.%, Metals & Mining XME SPDR S&P Metals and Mining ETF Jun6.% Real Estate VNQ Vanguard REIT ETF 9Sep.%, Technology VGT Vanguard Information Technology ETF Jan.,,9,66.6. Comm. Equipment IGN ishares North American TechMultimedia Networking Jul.% Int. Software & Serv. FDN First Trust Dow Jones Internet Index Fund Jun6.6, Semiconductors SMH Market Vectors Semiconductor ETF May.% Software IGV ishares North American TechSoftware ETF Jul.%,.8 6. Telecom VOX Vanguard Telecommunication Services ETF 9Sep., Utilities XLU Utilities Select Sector SPDR Fund Dec98.%,6 6 6,..9 Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of 6Jun. Bid/Ask Spreads are provided only as reference, actual spreads are tradespecific. Product Type: Asset ocation (), Cash Management (), Pseudo Futures (). Page

38 9 June Figure 6: International Equities Reference list Product Listing Date Type TER $M D ADV Implied $M Liq. $M Total Liq. $M Avg. Bid/Ask Spreads Asset Class Ticker ETF Name Intl DM EFA ishares MSCI EAFE ETF Aug.% 6,8,9,8,6. Canada EWC ishares MSCI Canada ETF Mar96., Israel EIS ishares MSCI Israel Capped ETF 8Mar Europe VGK Vanguard FTSE Europe ETF Mar. 6, Denmark EDEN ishares MSCI Denmark Capped ETF 6Jan.% Day $ Day bps. Norway NORW Global X FTSE Norway ETF Nov. 8. Sweden EWD ishares MSCI Sweden ETF Mar96... Switzerland EWL ishares MSCI Switzerland Capped ETF Mar96.,68.. UK EWU ishares MSCI United Kingdom ETF Mar96.,666,86,6.. Eurozone EZU ishares MSCI Eurozone ETF Jul., 6,,66.. Austria EWO ishares MSCI Austria Capped ETF Mar Belgium EWK ishares MSCI Belgium Capped ETF Mar Finland EFNL ishares MSCI Finland Capped ETF 6Jan.% France EWQ ishares MSCI France ETF Mar96.,,. Germany EWG ishares MSCI Germany ETF Mar96.,6 9.. Ireland EIRL ishares MSCI Ireland Capped ETF May Italy EWI ishares MSCI Italy Capped ETF Mar Netherlands EWN ishares MSCI Netherlands ETF Mar Portugal PGAL Global X FTSE Portugal ETF Nov.. 8. Spain EWP ishares MSCI Spain Capped ETF Mar96.,6.. Japan EWJ ishares MSCI Japan ETF Mar96. 6,6,8,..8 Pacific ex JP EPP ishares MSCI Pacific ex Japan ETF Oct.9%, Australia EWA ishares MSCI Australia ETF Mar96., Hong Kong EWH ishares MSCI Hong Kong ETF Mar96., New Zealand ENZL ishares MSCI New Zealand Capped ETF Sep Singapore EWS ishares MSCI Singapore ETF Mar EM EEM ishares MSCI Emerging Markets ETF Apr.69%,6,,86.. Latin America ILF ishares Latin America ETF 6Oct.9% Brazil EWZ ishares MSCI Brazil Capped ETF Jul., Chile ECH ishares MSCI Chile Capped ETF 6Nov. 6.. Colombia GXG Global X FTSE Colombia ETF 9Feb Mexico EWW ishares MSCI Mexico Capped ETF Mar96.,.. Peru EPU ishares MSCI Peru Capped ETF Jun9... EM Asia EEMA ishares MSCI Emerging Markets Asia ETF 9Feb.9% 6.. China H FXI ishares China LargeCap ETF 8Oct.%,.. China A ASHR Deutsche Xtrackers Harvest CSI China AShares E 6Nov India INDA ishares MSCI India ETF Feb.6, Indonesia EIDO ishares MSCI Indonesia ETF May. 8. Malaysia EWM ishares MSCI Malaysia ETF Mar Philippines EPHE ishares MSCI Philippines ETF 9Sep South Korea EWY ishares MSCI South Korea Capped ETF 9May., Taiwan EWT ishares MSCI Taiwan ETF Jun.,..9 Thailand THD ishares MSCI Thailand Capped ETF 8Mar EM Europe GUR SPDR S&P Emerging Europe ETF Mar.9% Greece GREK Global X FTSE Greece ETF 8Dec. 8. Poland EPOL ishares MSCI Poland Capped ETF 6May Russia RSX Market Vectors Russia ETF 6Apr., Turkey TUR ishares MSCI Turkey ETF 8Mar Middle East Qatar QAT ishares MSCI Qatar Capped ETF May UAE UAE ishares MSCI UAE Capped ETF May Africa AFK Market Vectors Africa Index ETF Jul Egypt EGPT Market Vectors Egypt Index ETF 8Feb South Africa EZA ishares MSCI South Africa ETF Feb Frontier Market FM ishares MSCI Frontier ETF Sep.9% Argentina ARGT Global X MSCI Argentina ETF Mar.%.. Nigeria NGE Global X MSCI Nigeria ETF Apr Pakistan PAK Global X MSCI Pakistan ETF Apr Vietnam VNM Market Vectors Vietnam ETF Aug BRIC BKF ishares MSCI BRIC ETF 6Nov.69% Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of 6Jun. Bid/Ask Spreads are provided only as reference, actual spreads are tradespecific. Product Type: Asset ocation (), Cash Management (), Pseudo Futures (). Page 8

39 9 June Figure : NonEquity Reference list Product Listing Date Type TER $M D ADV Implied $M Liq. $M Total Liq. $M Avg. Bid/Ask Spreads Asset Class Ticker ETF Name Fixed Income (Broad) AGG ishares Core U.S. Aggregate Bond ETF 6Sep.% 6,9..9 US Treasury GOVT ishares Core U.S. Treasury Bond ETF 6Feb.%,9.. Day $ Day bps Very Short SHV ishares Short Treasury Bond ETF Jan.%, Short SHY ishares Year Treasury Bond ETF 6Jul.%,.. Intermediate IEI ishares Year Treasury Bond ETF Jan.%, 8.. Long TLT ishares + Year Treasury Bond ETF 6Jul.%,6,..8 US Inflation TIP ishares TIPS Bond ETF Apr.,..9 Municipal MUB ishares National AMTFree Muni Bond ETF 9Sep.% 8,98.. Securitized MBB ishares MBS ETF Mar.9%,6..6 IG Corporates LQD ishares iboxx $ Investment Grade Corporate Bond ETF 6Jul.% 6,..9 HY Corporates HYG ishares iboxx $ High Yield Corporate Bond ETF Apr. 8, 9.. Floater FLOT ishares Floating Rate Bond ETF Jun.,68.. Senior Loans BKLN PowerShares Senior Loan Portfolio Mar. 9,6 9.. Preferred F ishares U.S. Preferred Stock ETF Mar.% 8, Convertible CWB SPDR Barclays Convertible Securities ETF 6Apr9., Intl DM Debt BWX SPDR Barclays International Treasury Bond ETF Oct.,8.. Intl Inflation WIP SPDR DB International Government InflationProtected 9Mar EM Gov Debt USD EMB ishares J.P. Morgan USD Emerging Markets Bond ETF Dec.,9 9.. EM Gov Debt Local EMLC Market Vectors Emerging Markets Local Currency Bon Jul.%,6.. EM Corp USD EMCB WisdomTree Emerging Markets Corporate Bond Fund 8Mar EM HY Corp USD HYEM Market Vectors Emerging Markets High Yield Bond ET 9May Commodities DBC PowerShares DB Commodity Index Tracking Fund Feb6.89%,98.. Energy Cmdty DBE PowerShares DB Energy Fund Jan Crude Oil WTI USO United States Oil Fund LP Apr6.%,8.. Natural Gas UNG United States Natural Gas Fund LP 8Apr.%..8 Agriculture DBA PowerShares DB Agriculture Fund Jan.89% Industrial Metals DBB PowerShares DB Base Metals Fund Jan.. 6. Precious Metals DBP PowerShares DB Precious Metals Fund Jan...6 Gold Physical GLD SPDR Gold Shares 8Nov., 9..9 Silver Physical SLV ishares Silver Trust Apr6.,6. 6. Platinum Physical PPLT ETFS Physical Platinum Shares 8Jan.6.. Palladium Physical PALL ETFS Physical Palladium Shares 8Jan.6..9 Bull USD UUP PowerShares DB US Dollar Index Bullish Fund Feb.8.. JPYUSD FXY CurrencyShares Japanese Yen Trust Feb EURUSD FXE CurrencyShares Euro Currency Trust Dec. 8.. Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of 6Jun. Bid/Ask Spreads are provided only as reference, actual spreads are tradespecific. Product Type: Asset ocation (), Cash Management (), Pseudo Futures (). Page 9

40 9 June Appendix C: Definitions ETP Universe Definitions ExchangeTraded Products (ETPs) We define an exchangetraded product (ETP) as a secure (funded or collateralized) openended exchangetraded equity with no embedded optionality and marketwide appeal to investors. This includes exchange traded funds (ETF), and exchangetraded vehicles (ETV). The vast majority of instruments are ETFs (~9 in ). ExchangeTraded Funds (ETFs) ETFs are openended funds which are listed on an exchange and offer intraday dual liquidity to access diversified investments in a transparent, cheap, and tax efficient way. ETFs indexed to equity and fixed income benchmarks are registered under the investment company act of 9. Only physical index replication techniques are permissible by this legislation while synthetic replication is not allowed. Exchangetraded vehicles (ETVs) This terminology typically refers to grantor trusts that exist in the US market. These instruments track primarily commodity benchmarks. They differ from ETFs in that they are registered under the Securities Act of 9 and not the Investment Company Act of 9, hence they are not classed as funds. Vehicles that replicate commodity benchmarks, more often known as pools, and funds targeting alternative index returns are formed under the Commodities Exchange Act and are listed under the Securities Act, and report under Corporate Act. Management Style or Product Strategy Definitions This is the main group with the largest number of products and assets. Within this category we account for all those ETFs that track an index which employs a market capitalization weighting methodology, and a simple selection methodology usually involving screenings such as minimum market cap and liquidity levels, or profitability levels. ETFs in this group are also referred to as plainvanilla ETFs. Some examples of indices falling within this category are: S&P, S&P, S&P 6, MSCI EAFE, MSCI EM, Russell, and Russell, to name a few. + In this group we include every product that offers any level of leverage or inverse implementation. For example, an ETF offering access to twice the daily returns of the S&P on either direction (long or short) would be classified under this category. Active Classifying products in this group is still easy; basically if the ETF doesn t track any index then we classify the fund as active. Enhanced (aka Smart ) This category is reserved for those ETFs that also track an index, but which follow more elaborated strategies. After defining an index universe, there are two main levers that determine most of the risk/return profile of the index: () Page

41 9 June the selection criteria, and () the weighting criteria. In their selection process, enhanced beta ETFs usually employ additional screening processes and scoring systems involving multiple factors beyond just minimum market cap and liquidity levels. For example, they could include growth or value scores, dividends paid or dividend yield, earnings, volatility, or momentum screens, to name a few. The weighting methodology of enhanced beta ETFs is usually anything but market cap weighted, it can include simple equal weighting or variations of it, optimized weights, and other metricspecific weights such as those based on dividends paid, inverse volatility, dividend yield, fundamental multi factor scores, earnings, and revenues, to name a few. An enhanced beta ETF will either have a nontraditional selection methodology, a nontraditional weighting methodology, or a combination of both. Product Type Definitions Asset ocation ETFs This group covers all ETFs with exception of levered and inverse products. These are usually good products for market access strategies, portfolio completion, and core positions. They are also efficient building blocks for multi asset strategies. When selecting these products, major emphasis should be set on the desired exposure, tracking efficiency, primary liquidity (i.e. the liquidity of the underlying basket), and cost. Cash Management ETFs This group covers a more selected group of ETFs which in addition to being good asset allocation tools, also serves a series of cash management portfolio needs. For example, these products are very good for equitizing cash between transitions, around reporting periods (window dressing), and during tax loss harvesting. These ETFs usually have good liquidity, large fund size, and low cost, all of which makes it easier to execute sizeable shortterm transactions, therefore secondary market liquidity and fund size tend to be a more relevant factor compared to asset allocation ETFs. The most popular asset allocation usage of these funds is as core building blocks. Pseudo Futures ETFs This group covers an even more selected sample of ETFs which in addition to being good asset allocation and cash management tools can also be used for fulfilling risk management functions such as risk hedging, portable alpha strategies, or tactical shorts. Many times they also trade at a cheaper level than their underlying basket, and offer large amounts of liquidity which can make them attractive for market making activities as well. Secondary and short liquidity (ease to borrow), and fund size tend to be more relevant characteristics at the moment of selecting this type of ETFs. There is usually no more than one pseudo futures ETF per asset class. The most popular asset allocation usage of these funds is among portfolios that require more liquidity given their size or more tactical nature. Page

42 9 June Figure 8: Selection Criteria depending on intended ETF usage Criteria Secondary Liquidity (quantity) Secondary Liquidity (cost) Primary Liquidity Short Liquidity (quantity) Short Liquidity (cost) Size Ownership: Brokers+Hedge Funds Mutual Funds+Pension Funds Invest. Adviser+Private Bank/WM+Retail Flow Activity Cost Exposure/Benchmark Tracking efficiency to Index Tracking efficiency to NAV Product Provider Measured by Avg. Daily Value traded in $ Avg. Bid/Ask Spreads Implied liquidity of basket Short Interest/ s. Out. % Avg. Borrow Rate $ Source FactSet Bloomberg Finance LP Bloomberg Finance LP Bloomberg Finance LP Deutsche Bank Bloomberg Finance LP Pseudo Futures More Relevant More Relevant Less Relevant More Relevant More Relevant More Relevant Cash Mgmt More Relevant More Relevant Less Relevant Less Relevant Less Relevant More Relevant Asset ocation Less Relevant Less Relevant More Relevant Less Relevant Less Relevant Less Relevant Ownership % Ownership % Ownership % Abs(Daily Flows Median) $ Total Expense Ratio Investor's objective NAVIndex Performance dif. PriceNAV premium/discounts Assets, products, years FactSet FactSet FactSet Bloomberg Finance LP ETF Issuer Investor Bloomberg Finance LP Bloomberg Finance LP Combination of above More Relevant Relevant Less Relevant More Relevant Less Relevant Relevant Less Relevant Less Relevant Less Relevant Relevant More Relevant Less Relevant Less Relevant Relevant Relevant Relevant Relevant Less Relevant Less Relevant Relevant More Relevant Less Relevant More Relevant More Relevant More Relevant More Relevant Relevant Source: Deutsche Bank. Page

43 9 June The authors of this report wish to acknowledge the contribution made by Alfonso Delgado Valdivia, employee of Evalueserve, a thirdparty provider of offshore research support services to Deutsche Bank. Page

44 9 June Appendix Important Disclosures *Other information available upon request *Prices are current as of the end of the previous trading session unless otherwise indicated and are sourced from local exchanges via Reuters, Bloomberg, and other vendors. Other information is sourced from Deutsche Bank, subject companies, and other sources. For disclosures pertaining to recommendations or estimates made on securities other than the primary subject of this research, please see the most recently published company report or visit our global disclosure lookup page on our website at Aside from within this report, important conflict disclosures can also be found at under the "Disclosures Lookup" and "Legal" tabs. Investors are strongly encouraged to review this information before investing. Analyst Certification The views expressed in this report accurately reflect the personal views of the undersigned lead analyst(s). In addition, the undersigned lead analyst(s) has not and will not receive any compensation for providing a specific recommendation or view in this report. Sebastian Mercado, Hallie Martin, Srineel Jalagani Hypothetical Disclaimer Backtested, hypothetical or simulated performance results have inherent limitations. Unlike an actual performance record based on trading actual client portfolios, simulated results are achieved by means of the retroactive application of a backtested model itself designed with the benefit of hindsight. Taking into account historical events the backtesting of performance also differs from actual account performance because an actual investment strategy may be adjusted any time, for any reason, including a response to material, economic or market factors. The backtested performance includes hypothetical results that do not reflect the reinvestment of dividends and other earnings or the deduction of advisory fees, brokerage or other commissions, and any other expenses that a client would have paid or actually paid. No representation is made that any trading strategy or account will or is likely to achieve profits or losses similar to those shown. Alternative modeling techniques or assumptions might produce significantly different results and prove to be more appropriate. Past hypothetical backtest results are neither an indicator nor guarantee of future returns. Actual results will vary, perhaps materially, from the analysis. Equity Rating Key Equity rating dispersion and banking relationships Buy: Based on a current month view of total shareholder return (TSR = percentage change in share price from current price to projected target price plus projected dividend yield ), we recommend that investors buy the stock. Sell: Based on a current month view of total shareholder return, we recommend that investors sell the stock. Hold: We take a neutral view on the stock months out and, based on this time horizon, do not recommend either a Buy or Sell. Newly issued research recommendations and target prices supersede previously published research. Regulatory Disclosures Page