US ETF Compass 17 March 2017 Synthetic Equity & Index Strategy · 17 March 2017 US ETF Compass North America Synthetic Equity & Index Strategy US ETF Compass Date 17 March 2017 Deutsche

17 March 2017

US ETF Compass

North America Synthetic Equity & Index Strategy

US ETF CompassDate17 March 2017

Deutsche BankMarkets Research

Strong inflows drove ETP assets 4.4%higher in FebruaryFebruary continued the trend and recorded mostly positive returns across assetclassesFebruary was another favorable month for both risky and safe haven assets.Global Equities were up by 2.51% during last month, mainly boosted by USequities with returns of 3.69%; EM equities and Intl DM also recorded positiveperformance of 1.74% and 1.19%, respectively. Similarly, Fixed Income registeredanother month of gains; while Commodities were slightly down, dragged byEnergy commodity losses of 0.91%, meanwhile, Precious Metals recordedpositive returns of 3.43%. On the currency side, the USD strengthened againstmost major foreign currencies, as suggested by the 1.48% gain in UUP.

No slow down for ETP inflows as February reigns in $47bn in fresh new cashETPs received their strongest inflow figure on record for the month of February.ETPs attracted $46.8bn in new cash; helping assets to rise 4.4% from one monthearlier, ending at a total of $2.74 trillion at the end of February. Equity, FixedIncome, and Commodity products registered inflows of $32.5bn, $12.3bn, and$1.8bn, respectively.

ETF flows clearly tell the Trump presidency storyAs of March 14th, with just over 4 months since the election day, ETP flows clearlyreflect the Trump trade. Overall, the "America First" chant is clearly reflectedin ETF flows with US-focused ETFs dominating the flow activity (+$147bn).Moreover, the inflows into the small cap (+$23bn) segment highlights the focuson the domestic economy. The inflows into Industrials (+$6.8bn) reflect the focusin revitalizing manufacturing and infrastructure, the inflows into Financials (+$13.8bn) and particularly Banks (+$2.6bn) echo the efforts to roll back regulation,the inflows in Aerospace & Defense (+$1.9bn) speak loudly to the proposedincreases in the Defense budget, and the erratic flows in Health Care (+$3.7bn)suggest just the uncertainty related to the success of the policies in such space.Inflows into Intl DM (+$24bn) and EM (+$7bn) equities suggest the benefits to theglobal economy from stronger US economic growth, while specific country flowsreflect the tone of Trump's foreign policy (e.g. China -$1.0bn, Russia +$0.5bn).And lastly, inflows into Inflation (+$4bn) and outflows from Gold (+$5.8bn) andRates support a stronger growth story with a more benevolent environment forrisky assets.

Sebastian Mercado, CFA

Strategist

+1-212-250-8690

Hallie Martin

Strategist

+1-212-250-7994

Srineel Jalagani, CFA

Strategist

+1-212-250-2060

Deutsche Bank Securities Inc.

Deutsche Bank does and seeks to do business with companies covered in its research reports. Thus, investors should beaware that the firm may have a conflict of interest that could affect the objectivity of this report. Investors should considerthis report as only a single factor in making their investment decision. DISCLOSURES AND ANALYST CERTIFICATIONSARE LOCATED IN APPENDIX 1.MCI (P) 057/04/2016.

Distributed on: 17/03/2017 08:15:09 GMT

mailto:[email protected]



17 March 2017

US ETF Compass

Table Of Contents

ETF Monthly Insights ....................................................... 3February continued the trend and recorded mostly positive returns .............. 3No slow down for ETP inflows as February reigns in $47bn in fresh .............. 4A review of post election flows to date: US, Financials, and Indu .................. 5

Asset Allocation Heatmaps ............................................ 11Global Multi Asset Allocator heatmaps ........................................................ 11US Equity Allocator heatmaps ..................................................................... 13International Equity Allocator heatmaps ...................................................... 15Cross Asset Correlations .............................................................................. 1712-Month Relative Performance Monitor ..................................................... 18House View Portfolio: Monthly Brief ............................................................ 19

Business Intelligence ...................................................... 20New Listing .................................................................................................. 20Delistings ...................................................................................................... 21Trends in products launched in the last 12 months ..................................... 22Popular Product Segments: Smart Beta & Currency Hedged ....................... 23Average Performance by Products Type and Size (Equity) ........................... 24Total Expense Ratio X-Ray ............................................................................ 26

ETF Statistics .................................................................. 27Global ETF Assets and Provider Ranking ..................................................... 27US Historical ETF Trends .............................................................................. 28ETF Issuer and Index Provider league tables ................................................ 29Monthly Snapshot ........................................................................................ 31Top 15 ETFs (includes ETNs) ........................................................................ 37

Appendix A: ETN Snapshot ............................................ 38

Appendix B: ETF List ...................................................... 39

Appendix C: Definitions ................................................. 42ETP Universe Definitions .............................................................................. 42Management Style or Product Strategy Definitions ..................................... 42Product Type Definitions .............................................................................. 43

Page 2 Deutsche Bank Securities Inc.

17 March 2017

US ETF Compass

ETF Monthly InsightsFebruary continued the trend and recorded mostly positivereturns across asset classes

February was another favorable month for both risky and safe haven assets,most of which registered positive performances. Global Equities were up by2.51% during last month, mainly boosted by US equities with returns of 3.69%;similarly, EM equities and Intl DM recorded positive performance of 1.74% and1.19%, respectively. Fixed Income registered gains by 0.65%, led by Intl Inflation(2.14%), followed by Preferred and Convertible debt with returns of 2.09% and2.07%, respectively. Commodities registered losses of 0.19%, dragged by Energycommodity losses of 0.91%, meanwhile, Precious Metals and Industrials recordedpositive returns of 3.43% and 0.80%, respectively. On the currency side, the USDstrengthened against most major foreign currencies, as suggested by the 1.48%gain in UUP.

Performance and flows were mostly consistent during February; however, we sawfew exceptions with moderate flows for most of them. Flows and performancewere positive for Intl DM ETFs registering inflows of 1.4% of assets; meanwhile,Japan and the Eurozone recorded almost flat flows and positive returns of 2.91%and 1.31%, respectively. In the meantime, EM markets received inflows of 2.5%of assets, where BRIC and Latin America with 3.51% and 2.91% in positiveperformance, and 8.2% and 4.3% of assets in inflows deserve special mentions,respectively. In the fixed income space, most of the sector registered positivereturns, especially EM debt. The flow side was led by EM Gov Debt USD (+8.8% ofassets), followed by Corporate Floater (+6.4%), and IG Corporates (+5.4%). On theother hand, Platinum and Gold ETPs registered inflows of 6.5% and 4.4% of theirassets, respectively; while, they posted returns of 2.89% and 3.18%, respectively.

Within US equities, performance was mostly positive with moderate inflowsacross most sector and industries last month, except Energy ETFs whichregistered mostly negative returns and flows. The following sectors experiencedthe most significant inflows: Financials (+6.0% of assets) and Industrials (+4.3%);while, Telecom and Materials experienced the largest outflows losing 8.0%and 1.8% of their assets during February, respectively. On the other hand, atthe industry level, Retail and Capital Markets experienced the largest inflowsamounting to 23.9% and 19.6% of their assets, respectively; meanwhile, HC Eq.& Supplies and Energy Eq. & Serv. registered outflows of 13.6% and 6.8% of theirassets, respectively.

In international equity markets, we saw moderate inflows and performancesacross most exposures. The most negative performance was Nigeria (-7.66%),followed by Russia with a loss of 5.66%. While on the other hand, Egypt registeredthe top performance (7.46%), followed by Turkey and Israel, both posting 4.55%in returns. On the flow side, Brazil experienced the largest inflows with 11.8% ofassets; meanwhile, Mexico saw the largest outflows (12.9% of assets).

In terms of correlation trends, global equities and other asset classes have shownvery low correlations recently; while US equities are becoming less correlated toother international equities.

Deutsche Bank Securities Inc. Page 3

17 March 2017

US ETF Compass

No slow down for ETP inflows as February reigns in $47bnin fresh new cash

Equity and Fixed Income ETPs received healthy inflows in February; while,Commodity ETPs also moved back to positive flow territory. ETPs attracted$46.8bn in new cash; helping assets to rise 4.4% from one month earlier,ending at a total of $2.74 trillion at the end of February. Equity, Fixed Income,and Commodity products registered inflows of $32.5bn, $12.3bn, and $1.8bn,respectively.

Among the most relevant inflow trends, we saw US Equities with $21.8bn (84.2%of DM Equity total flows) and DM ex-US Equities with $3.8bn; while, on the fixedincome space, Corporate and Broad debt recorded $5.7bn and $2.6bn in positiveflows, respectively. On the outflow side, Mexico and Canada equities registerednegative flows of $0.24bn and $0.18bn, respectively. Beta, Smart Beta, Active,and Beta+ (leveraged and inverse) products experienced inflows of $37.1bn,$8.4bn, $1.0bn, and $0.3bn, respectively.

Within Equity Smart Beta products, Style, Multi-factor and Equal ETFs were themost popular categories in February, adding new allocations of $4.4bn, and$1.32bn in the latter two cases, respectively. Currency Hedged ETFs experienceda weak month registering only $0.5bn in inflows. The largest negative flows wereexperienced by ETFs offering FX hedged exposure to EUR (-$0.25bn); while, FXhedged exposure to Multiple Currencies experienced inflows of $0.18bn duringFebruary. In term of products types, all of them posted inflows. Asset Allocation,Cash Management, Pseudo Futures and Leveraged & Inverse registered inflowsof $19.7bn, $17.6bn, $9.1bn, and $0.3bn, respectively.

Total ETP turnover was $1.22 trillion last month, down 13% from the previousmonth. Furthermore, ETF turnover represented 22.7% of all cash equity traded inthe US during February, below its 12-month average of 25.5%.


17 March 2017

US ETF Compass

A review of post election flows to date: US, Financials, andIndustrials dominate

Summary of post election ETP activityAlmost immediately following the last US Presidential Election on November 8th,ETPs began to record significant activity across the board. The current analysisrevisits this activity through March 14th 2017 in an effort to review the main trendsand determine whether some of the initial trends have strengthened, remained,weakened, or disappeared. For the purpose of our analysis we only considervehicles offering long exposure, or in other words, we exclude any leveraged orinverse products.

On a high level, US equities have been the clear winners in terms of both inflowsand performance. US equities have received $147bn inflows since the electionday, and returned almost 12% during the same period. Within US equities, SmallCaps have received strong relative inflows with $23bn equivalent to 20% of theassets on election day. Similarly, Financials and Industrials have posted strongflow and performance activity; Financials have received close to $14bn (47% ofassets) in new cash flows and advanced almost 25% in value, while Industrialshave recorded inflows of almost $7bn (51% of assets) and returned near 13% inthe period since the election.

International equities have also experienced positive activity, but less significantthan US equities. Intl DM equities have gathered $24bn of inflows (9% of assets)with gains of 7.0% since the election. While EM equities have received $7bn ofinflows (5% of assets) with positive returns of 3.4% during the same period.

Outside equities, most fixed income asset classes with high exposure to rate riskand investment grade credit have experienced negative returns, however flowswere mixed and only pure rate exposures such as Intermediate and Long durationUS Treasuries experienced outflows. On the other hand, Senior Loans, very shortUS Treasuries, and Inflation recorded the strongest relative inflows with 43% ofassets, 23%, and 13%, respectively. On the Commodity front, Gold and Crude Oilproducts experienced weakness. Gold has recorded almost $6bn of outflows witha loss of 6.2% since election day; while Crude Oil experienced negative flows of$0.7bn and just above flat performance through Mar 14th .

As the numbers suggest, and with just over 4 months since the election day,ETP flows clearly reflect the Trump trade. Overall, the "America First" chant isclearly heard with US-focused ETFs dominating the flow activity. Moreover, theinflows into the small cap segment highlights the focus on the domestic economy.The inflows into Industrials reflect the focus in revitalizing manufacturing andinfrastructure, the inflows into Financials and particularly Banks echo the effortsto roll back regulation, the inflows in Aerospace & Defense speak loudly tothe proposed increases in Defense budget, and the erratic flows in Health Caresuggest just the uncertainty related to the success of the policies in such space.Inflows into Intl DM and EM equities suggest the benefits to the global economyfrom stronger US economic growth, while specific country flows reflect the toneof Trump's foreign policy. And lastly inflows into Inflation and outflows from Goldand Rates support a stronger growth story with a more benevolent environmentfor risky assets.


17 March 2017

US ETF Compass

Notional volume activity for most asset classes remains near or above pre-electionlevels, however activity has slowed down recently compared to the full postelection period.

Figure 1: Post election ETP activity summary by asset class

CF $MM CF % AUM Tot. Ret

US Equities

Broad Sector

US (VTI) 146,715 11.2% 11.7% 44,219 49,817 47,224 7% -5%

US Large Cap (SPY) 78,872 11.8% 11.3% 33,687 35,521 34,114 1% -4%

US Small Cap (IWM) 22,599 20.3% 14.6% 3,841 5,786 5,282 38% -9%

US Dividend (DVY) 4,622 4.5% 9.8% 441 602 534 21% -11%

US Low Risk (USMV) (889) -3.4% 8.2% 314 296 271 -14% -9%

US Value (IWD) 17,471 15.2% 11.5% 833 1,154 1,009 21% -13%

Sectors

Cons. Staples (XLU) (1,275) -8.3% 4.8% 839 1,120 869 4% -22%

Cons. Discr. (XLY) 367 2.1% 11.1% 966 1,122 931 -4% -17%

Energy (XLE) 4,153 11.7% 0.4% 2,248 2,380 2,269 1% -5%

Financials (XLF) 13,798 47.2% 24.5% 1,605 2,817 2,401 50% -15%

Health Care (XLV) 3,740 10.4% 11.1% 2,218 1,886 1,728 -22% -8%

Industrials (XLI) 6,829 51.2% 12.7% 819 1,179 1,033 26% -12%

Materials (XLB) 1,589 26.5% 10.4% 415 531 473 14% -11%

Technology (XLK) 4,334 11.5% 12.4% 955 1,069 869 -9% -19%

Telecom (VOX) 61 3.1% 6.6% 32 48 32 -1% -34%

Real Estate (IYR) 1,705 3.5% 2.7% 1,351 1,420 1,442 7% 2%

Utilities (XLU) (819) -6.5% 4.8% 947 935 980 3% 5%

Industries

Biotech (IBB) 272 2.4% 13.9% 930 898 778 -16% -13%

Banks (KBE) 2,599 44.4% 29.1% 382 670 580 52% -13%

Aerospace & Def. (ITA) 1,902 131.0% 15.7% 15 69 62 327% -9%

Global ex US Equities

DM Intl (EFA) 24,372 9.2% 7.0% 3,374 4,682 4,063 20% -13%

Europe (VGK) 1,215 2.6% 7.7% 756 1,061 999 32% -6%

Japan (EWJ) 3,019 12.7% 4.1% 538 772 558 4% -28%

Canada (EWC) 106 3.4% 4.6% 57 87 94 64% 8%

EM (EEM) 7,143 4.9% 3.4% 6,609 6,539 6,097 -8% -7%

Latin America (ILF) 1,334 16.6% -1.9% 1,280 1,142 1,022 -20% -11%

Mexico (EWW) 439 33.9% -10.1% 315 223 161 -49% -28%

China (FXI) (1,023) -13.1% 3.4% 847 859 722 -15% -16%

Russia (RSX) 510 23.6% 8.7% 216 307 305 41% -1%

Fixed Income

Rates (US Treasuries)

Very Short (SHV) 1,296 23.4% 0.1% 101 129 112 11% -13%

Short (SHY) 477 3.4% -0.5% 239 191 132 -45% -31%

Intermediate (IEI) (365) -2.1% -2.5% 289 328 324 12% -1%

Long (TLT) (192) -2.1% -9.2% 1,142 1,427 1,194 5% -16%

Inflation

Inflation TIPs (TIP) 4,062 13.4% -2.4% 295 334 282 -5% -16%

Credit

Corp. IG (LQD) 8,854 9.0% -2.9% 1,183 1,360 1,199 1% -12%

Corp. HY (HYG) 1,696 4.3% 1.8% 2,024 1,930 2,085 3% 8%

EM Debt (EMB) 196 1.0% -1.9% 396 457 406 2% -11%

Sr. Loans (BKLN) 3,605 43.3% 2.2% 149 169 180 20% 6%

Commodities

Gold (GLD) (5,763) -11.5% -6.2% 1,275 1,233 1,144 -10% -7%

Crude Oil (USO) (692) -18.0% 0.9% 496 359 297 -40% -17%

20D ADV

chg vs.

Pre-Elec.

Full Post-

Election ADV

$MM

20D ADV

chg vs. Full

Post.

Post Election Flow & Perf 11/8-3/14Asset Class

Pre-Election

20-Day ADV

$MM

20-Day ADV

$MM as of

3/14

Source: Deutsche Bank, Bloomberg Finance LP, FactSet


17 March 2017

US ETF Compass

US Equity Flow trends

Figure 2: US Equity ETFs have experienced their strongest inflow run onrecord, and there are still no signs of abating

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Figure 3: Both allocations to Large and Small caps havebeen strong and consistent

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Figure 4: Dividend and Value inflows continue strong,while Low Risk flows remain depressed

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Source: Deutsche Bank, Bloomberg Finance LP. *Value includes Style Value and Single-Factor Value.

Figure 5: Financials and Industrials inflows havecontinued beyond the initial post-election knee-jerkreaction, but Industrials slowed down recently

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Figure 6: Banks inflows remain strong, Aero & Defenseinflows continue very steadily, while initial Biotechinflows have reversed and stayed low

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17 March 2017

US ETF Compass

Figure 7: Cyclicals and Healthcare remained mostlypositive, but Tech, Materials and Cons. Discretionary haveweakened recently

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Materials Health Care

Technology


Figure 8: Bond Substitutes ex Real Estate have beenmostly negative or flat, although Consumer Staples hasrecovered some support recently

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Utilities Real Estate


International Equity flow trends

Figure 9: DM Intl inflows have been very steady since election; EM flowsdropped initially, then picked up, and then flattened

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Figure 10: Japan inflows were strong initially, but haveslowed down recently; Canada flows remain positive butlosing support this year; Europe has received inflowssteadily following an initial drop.

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Japan

Canada


Figure 11: Recent Mexico slow down better reflectssentiment initially mixed with create-to-lend activity,Latam is receiving support away from Mexico thisyear,China remains depressed, and Russia has partiallyreversed the initial strong support recently

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Latin America Mexico China Russia



17 March 2017

US ETF Compass

Non Equity flow trends

Figure 12: ETF investors have allocated to Inflationsteadily since the election

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Inflation


Figure 13: All rates trends experienced pressure initially,but very short and short ETFs quickly began to receivesupport; while intermediate and long began to receivesupport towards the end of January

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Figure 14: Senior Loans have been the most consistentinflow trend among a very mixed picture in the Creditspace.

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Figure 15: Gold received some relief recently, but notenough to change the deep post-election pressure; CrudeOil has experienced weakness following a resilient start.

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17 March 2017

US ETF Compass

Figure 16: Select list of ETPs for trading post election trends

5-Day

$

5-Day

bps

US Equities

Broad Sector

Large Cap SPY SPDR S&P 500 ETF 29-Jan-93 0.09% 247,146 18,900 9,551 28,450 0.01 0.4 62,694 548,988

Small Cap IWM iShares Russell 2000 ETF 22-May-00 0.20% 36,993 3,883 263 4,146 0.01 0.8 6,799 92,166

Low Risk USMV iShares MSCI USA Minimum Volatility ETF 20-Oct-11 0.15% 12,483 91 780 871 0.01 2.2 1 42

Value IWD iShares Russell 1000 Value ETF 22-May-00 0.20% 37,303 241 5,331 5,572 0.01 0.9 0 32

Dividend SDY SPDR S&P Dividend ETF 15-Nov-05 0.35% 15,608 60 390 450 0.01 1.5 0 59

Dividend DVY iShares Select Dividend ETF 7-Nov-03 0.39% 17,398 77 1,052 1,129 0.01 1.4 3 131

Sectors

Cons. Staples XLP Consumer Staples Select Sector SPDR Fund 22-Dec-98 0.14% 8,931 605 1,450 2,055 0.01 1.8 65 2,037

Cons. Discr. XLY Consumer Discretionary Select Sector SPDR Fund 22-Dec-98 0.14% 12,370 321 1,908 2,229 0.01 1.2 66 2,402

Energy XLE Energy Select Sector SPDR Fund 22-Dec-98 0.14% 16,818 1,133 1,200 2,334 0.01 1.5 470 8,138

Financials XLF Financial Select Sector SPDR Fund 22-Dec-98 0.14% 25,468 1,516 1,411 2,927 0.01 4.0 717 14,815

Health Care XLV Health Care Select Sector SPDR Fund 22-Dec-98 0.14% 16,714 702 1,922 2,624 0.01 1.3 279 4,788

Industrials XLI Industrial Select Sector SPDR Fund 22-Dec-98 0.14% 11,212 683 1,731 2,415 0.01 1.5 149 3,406

Materials XLB Materials Select Sector SPDR Fund 22-Dec-98 0.14% 3,767 239 454 693 0.01 2.0 35 1,313

Technology XLK Technology Select Sector SPDR Fund 22-Dec-98 0.14% 16,959 387 3,573 3,959 0.01 1.9 73 2,037

Telecom VOX Vanguard Telecommunication Services ETF 29-Sep-04 0.10% 1,411 10 13 24 0.09 9.9 0 4

Real Estate IYR iShares U.S. Real Estate ETF 19-Jun-00 0.43% 4,593 622 625 1,246 0.01 1.3 206 5,422

Utilities XLU Utilities Select Sector SPDR Fund 22-Dec-98 0.14% 7,188 796 525 1,321 0.01 2.0 249 3,889

Industries

Biotech IBB iShares Nasdaq Biotechnology ETF 5-Feb-01 0.47% 8,350 403 144 547 0.19 6.2 415 4,523

Biotech XBI SPDR S&P Biotech ETF 2-Feb-06 0.35% 3,197 317 303 621 0.02 3.3 221 3,882

Banks KBE SPDR S&P Bank ETF 15-Nov-05 0.35% 3,400 104 396 501 0.01 2.4 8 343

Banks KRE SPDR S&P Regional Banking ETF 22-Jun-06 0.35% 4,017 393 323 717 0.01 1.8 122 2,014

Aeros. & Def. ITA iShares U.S. Aerospace & Defense ETF 5-May-06 0.43% 2,602 41 99 140 0.08 5.0 - -

Global ex US Equities

DM Intl EFA iShares MSCI EAFE ETF 14-Aug-01 0.33% 64,699 978 1,813 2,791 0.01 1.6 530 17,458

Europe VGK Vanguard FTSE Europe ETF 3-Mar-05 0.10% 11,134 152 472 624 0.01 2.0 8 368

Japan EWJ iShares MSCI Japan ETF 12-Mar-96 0.48% 15,810 302 1,191 1,494 0.01 2.0 19 1,382

Canada EWC iShares MSCI Canada ETF 12-Mar-96 0.48% 3,323 84 581 665 0.01 3.8 3 99

EM EEM iShares MSCI Emerging Markets ETF 7-Apr-03 0.72% 28,703 2,159 537 2,696 0.01 2.6 1,107 34,227

Latin America ILF iShares Latin America 40 ETF 26-Oct-01 0.49% 1,101 52 64 116 0.01 3.4 0 5

Mexico EWW iShares MSCI Mexico Capped ETF 12-Mar-96 0.48% 1,653 161 15 176 0.01 2.3 50 1,253

China FXI iShares China Large-Cap ETF 8-Oct-04 0.73% 3,081 546 213 759 0.01 2.7 232 11,001

Russia RSX Market Vectors Russia ETF 26-Apr-07 0.67% 2,297 200 0 201 0.01 5.1 17 719

Fixed Income

Rates (US Treasuries)

Very Short SHV iShares Short Treasury Bond ETF 12-Jan-07 0.15% 4,729 81 n.a. n.a. 0.01 0.9 - -

Short SHY iShares 1-3 Year Treasury Bond ETF 26-Jul-02 0.15% 11,067 86 n.a. n.a. 0.01 1.2 0 7

Intermediate IEI iShares 3-7 Year Treasury Bond ETF 12-Jan-07 0.15% 6,362 50 n.a. n.a. 0.02 1.7 0 6

Long TLT iShares 20+ Year Treasury Bond ETF 26-Jul-02 0.15% 6,105 1,084 n.a. n.a. 0.01 0.9 1,000 15,071

Inflation

Inflation TIPs TIP iShares TIPS Bond ETF 12-Apr-03 0.20% 22,716 189 n.a. n.a. 0.01 1.0 1 27

Credit

Corp. IG LQD iShares iBoxx $ Investment Grade Corporate Bond ETF 26-Jul-02 0.15% 29,866 563 n.a. n.a. 0.01 0.9 26 475

Corp. HY HYG iShares iBoxx $ High Yield Corporate Bond ETF 10-Apr-07 0.50% 16,560 1,113 n.a. n.a. 0.01 1.2 819 17,870

EM Debt EMB iShares J.P. Morgan USD Emerging Markets Bond ETF 12-Dec-07 0.40% 9,164 255 n.a. n.a. 0.02 1.7 6 122

Sr. Loans BKLN PowerShares Senior Loan Portfolio 3-Mar-11 0.65% 8,951 114 n.a. n.a. 0.01 4.3 5 118

Commodities

Gold GLD SPDR Gold Shares 18-Nov-04 0.40% 32,348 920 n.a. n.a. 0.01 0.9 1,685 40,473

Crude Oil USO United States Oil Fund LP 3-Apr-06 0.72% 2,924 273 n.a. n.a. 0.01 9.7 161 2,937

Options Open

Interest $MMAUM $M

20D ADV

$M

Implied

Liq. $M

Total Liq.

$

Avg. Bid/Ask

SpreadsAvg. Options

Notional Value

Traded $MM

TERInvestment

FocusTicker ETF Name Listing Date

Source: Deutsche Bank, Bloomberg Finance LP. Data as of March 14th 2017 for Options data and as of March 15th 2017 for the rest


17 March 2017

US ETF Compass

Asset Allocation HeatmapsGlobal Multi Asset Allocator heatmaps

Figure 17: Global Multi Asset Performance and Net Cash flow Trends

1M Chg 3M Chg 6M Chg 1Y Chg 3Y Ann 5Y Ann 1M 3M 6M 1Y 3Y Ann 5Y Ann

ACWI Global Equities 2.51% 7.57% 7.60% 22.28% 4.98% 8.42% 1.6% 6.2% 10.4% 17.6% 13.3% 15.7%

VTI US Total Market 3.69% 7.71% 10.31% 26.41% 9.85% 13.82% 1.4% 5.8% 11.3% 19.7% 12.8% 15.9%

SPY S&P 500 (Large Cap) 3.93% 7.93% 9.98% 24.80% 10.51% 13.86% 1.5% 5.8% 12.0% 18.2% 11.7% 13.2%

MDY S&P 400 (Mid Cap) 2.60% 6.56% 11.25% 31.37% 9.33% 13.52% 2.2% 8.6% 13.4% 24.2% 14.7% 16.5%

IWM Russell 2000 (SM Cap) 1.93% 5.17% 12.63% 36.26% 6.98% 12.93% 0.7% 8.3% 21.5% 36.1% 14.4% 17.2%

EFA Intl DM 1.19% 7.35% 4.48% 16.01% -0.74% 5.16% 1.4% 7.3% 6.4% 0.5% 16.1% 24.9%

VGK Europe 0.59% 8.66% 3.19% 12.90% -2.82% 5.04% 1.3% 4.1% -3.2% -18.3% 2.1% 32.0%

EZU Eurozone 0.20% 8.73% 4.18% 14.87% -3.09% 5.21% -0.1% 1.1% -10.3% -43.8% 11.6% 45.1%

EWJ Japan 1.31% 3.89% 5.52% 19.93% 4.87% 6.71% -0.5% 8.9% 12.0% -20.1% 1.8% 34.3%

EPP Pacific ex JP 2.91% 8.24% 9.09% 28.52% 1.65% 3.99% 0.3% -3.0% 1.4% 9.5% -1.3% -6.3%

EEM EM 1.74% 8.24% 5.19% 27.73% 0.85% -1.00% 2.5% 6.2% 8.0% 32.1% 9.8% 4.6%

ILF Latin America 2.91% 12.03% 11.79% 51.96% -0.56% -6.18% 4.3% 11.0% 24.3% 74.0% 6.7% -1.5%

EEMA EM Asia 2.70% 8.72% 4.68% 25.53% 3.39% 2.85% 0.2% -4.5% -6.3% -11.4% 4.5% 4.3%

GUR EM Europe -1.86% 9.62% 10.82% 28.57% -5.85% -6.15% -2.0% 25.2% 29.7% 27.0% 28.9% 13.3%

AFK Africa -1.65% 10.51% 6.09% 25.94% -10.35% -4.41% 0.8% 9.7% 1.5% 22.7% 2.5% 0.1%

FM Frontier Market -2.14% 9.60% 11.40% 15.47% -2.89% 6.6% 9.5% 16.0% 14.4% 9.9% 28.6%

BKF BRIC 3.51% 8.56% 7.49% 38.27% 2.97% -1.73% 8.2% 5.6% -2.4% -38.1% -28.1% -20.0%

AGG Fixed Income (Broad) 0.65% 1.12% -2.23% 1.13% 2.58% 2.13% 2.6% 7.3% 10.9% 24.4% 21.9% 19.0%

GOVT US Treasury 0.38% 0.67% -3.33% -1.50% 1.86% 1.33% 0.2% 5.4% 2.1% -15.3% 14.2% 12.9%

SHV Very Short 0.05% 0.18% 0.22% 0.40% 0.17% 0.11% 1.1% 24.3% 32.0% -27.2% 21.9% 13.8%

SHY Short 0.04% 0.21% -0.18% 0.20% 0.53% 0.48% 0.6% 6.8% 12.8% -5.3% 4.1% 5.3%

IEI Intermediate 0.26% 0.58% -1.90% -0.89% 1.71% 1.31% 0.4% -1.8% -6.1% -14.2% 11.9% 16.6%

TLT Long 1.59% 1.94% -11.88% -4.79% 6.63% 3.48% -1.1% -7.0% -20.9% -36.9% 20.6% 12.5%

TIP US Inflation 0.41% 1.27% -0.63% 3.15% 1.72% 0.66% 3.3% 8.8% 24.9% 45.4% 21.0% 6.1%

MUB Municipal 0.52% 2.52% -3.18% -0.17% 2.99% 2.34% -0.4% 6.8% 8.1% 25.5% 29.1% 20.7%

MBB Securitized 0.47% 0.45% -1.41% 0.06% 2.34% 1.77% 4.6% 10.8% 18.5% 45.3% 33.1% 24.9%

LQD IG Corporates 1.32% 2.32% -2.74% 6.52% 3.77% 3.75% 5.4% 8.5% 10.0% 28.5% 20.2% 20.4%

HYG HY Corporates 1.53% 4.34% 4.45% 16.34% 3.06% 5.09% 0.9% 10.1% 11.8% 20.9% 11.0% 11.6%

FLOT Corp. Floater 0.22% 0.52% 0.81% 2.26% 0.78% 1.02% 6.4% 29.0% 53.1% 40.3% 10.8%

BKLN Senior Loans 0.59% 1.94% 2.65% 10.47% 2.11% 3.47% 3.9% 37.4% 70.4% 134.0% 15.7%

PFF Preferred 2.09% 4.86% -0.70% 6.87% 6.16% 5.97% 1.4% 0.7% 3.0% 28.8% 29.8% 19.2%

CWB Convertible 2.07% 6.32% 6.95% 21.63% 5.39% 9.50% 4.2% 11.7% 16.6% 34.8% 13.8% 31.3%

BWX Intl DM Debt 0.30% 1.50% -7.44% -1.14% -3.20% -1.59% -3.2% -7.2% 21.8% 21.6% 3.2% 9.8%

WIP Intl Inflation 2.14% 5.53% -2.49% 9.10% -1.29% -0.29% -6.3% -15.5% -15.9% -22.1% -17.9% -11.4%

EMB EM Gov Debt USD 1.68% 4.98% -0.88% 11.03% 5.68% 4.73% 8.8% 7.2% 3.8% 85.4% 35.4% 21.0%

EMLC EM Gov Debt Local 1.56% 6.39% -0.49% 11.34% -2.53% -2.65% 4.2% 12.6% 13.6% 65.4% 9.8% 13.5%

EMCB EM Corp USD 1.85% 3.96% 1.58% 14.50% 3.02% 1.5% 15.7% 19.8% 49.9% 15.5%

HYEM EM HY Corp USD 1.36% 5.10% 4.78% 19.60% 5.78%

DBC Commodities -0.19% 3.35% 9.24% 23.29% -15.58% -11.72% 3.3% -4.1% -8.3% 6.7% 5.1% -2.5%

DBE Energy Cmdty -0.91% 2.12% 10.62% 32.32% -23.85% -15.75% 0.6% -21.3% -13.6% -44.2% 44.9% 11.1%

USO Crude Oil WTI 1.15% 4.76% 10.52% 27.22% -32.20% -22.49% -2.8% -24.7% -18.2% -51.0% 71.5% 14.9%

UNG Natural Gas -14.89% -20.64% -20.83% 11.13% -35.99% -20.12% 33.3% -1.5% 7.2% 0.4% 11.0% -0.4%

DBA Agriculture -0.98% 1.30% -0.15% 1.15% -9.63% -7.14% 3.2% 5.0% -0.3% 35.9% -3.6% -7.2%

DBB Industrial Metals 0.80% 5.58% 21.49% 33.63% 0.35% -4.88%

DBP Precious Metals 3.43% 7.16% -4.51% 3.18% -3.87% -8.53% 3.8% -3.5% -8.9% 10.3% 3.0% -3.6%

GLD Gold Physical 3.18% 6.69% -4.45% 0.50% -2.24% -6.21% 4.4% -3.7% -9.3% 10.0% 3.5% -4.4%

SLV Silver Physical 4.45% 10.92% -1.98% 22.32% -5.14% -12.34% -0.2% -2.8% -6.3% 10.8% 1.5% 1.4%

PPLT Platinum Physical 2.89% 12.36% -2.44% 8.82% -11.35% -9.92% 6.5% 6.0% 7.8% 18.7% 1.3% 1.3%

PALL Palladium Physical 2.24% 0.15% 14.14% 55.48% 0.63% 1.31% 0.0% -5.4% -11.8% -28.2% -24.9% -17.6%

UUP Bull USD 1.48% -0.53% 5.20% 2.43% 6.89% 3.52% -1.6% -4.2% -6.7% -12.0% 2.8% -8.0%

FXY JPYUSD 0.47% 1.84% -8.08% -0.08% -3.64% -6.65%

FXE EURUSD -1.94% -0.19% -5.40% -3.38% -8.99% -4.97%

Ticker Asset ClassTotal Return ETF Net Cash Flows as % of Initial AUM

Source: Deutsche Bank, FactSet, Bloomberg Finance LP. Note: Data as of the end of last month; performance is Total Returns; Cash flows are based on US-listed ETFs and ETVs excluding leveraged,inverse products, and ETNs. Asset Classes that had less than $500 million in AUM at the beginning of all periods are excluded from the Net Cash flow calculations. Green cells correspond to largestvalues, while red cells correspond to lowest values. Figures over 1Y are annualized. The ETFs mentioned in this figure are provided as reference and have been selected as investable and representativevehicle 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 theonly 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 AppendixC for further details on products selection criteria depending on product usage.


17 March 2017

US ETF Compass

Figure 18: Global Multi Asset Risk and Risk-adjusted Performance Measures

1M 3M 6M 1Y 3Y 5Y 1Y 3Y 5Y 1Y 3Y 5Y

ACWI Global Equities 4.5% 6.8% 9.6% 12.3% 13.8% 13.7% -7.1% -19.4% -19.4% 1.8 0.4 0.6

VTI US Total Market 5.1% 7.0% 9.4% 10.7% 13.3% 13.0% -5.9% -15.1% -15.1% 2.5 0.7 1.1

SPY S&P 500 (Large Cap) 4.6% 6.6% 9.0% 10.3% 13.1% 12.7% -5.5% -13.0% -13.0% 2.4 0.8 1.1

MDY S&P 400 (Mid Cap) 9.0% 10.6% 12.4% 13.6% 14.4% 14.5% -7.1% -19.3% -19.3% 2.3 0.6 0.9

IWM Russell 2000 (SM Cap) 12.2% 13.3% 15.3% 16.1% 16.8% 16.4% -8.3% -25.7% -25.7% 2.3 0.4 0.8

EFA Intl DM 5.5% 8.0% 10.4% 16.0% 15.7% 15.7% -10.3% -23.1% -23.1% 1.0 (0.0) 0.3

VGK Europe 6.3% 9.0% 11.7% 18.9% 17.5% 17.7% -13.6% -24.9% -24.9% 0.7 (0.2) 0.3

EZU Eurozone 8.6% 10.6% 12.7% 20.1% 19.1% 19.8% -13.4% -27.1% -27.1% 0.7 (0.2) 0.3

EWJ Japan 6.1% 10.3% 11.6% 15.7% 17.2% 17.4% -6.9% -21.6% -21.6% 1.3 0.3 0.4

EPP Pacific ex JP 8.4% 9.9% 13.0% 16.3% 17.5% 17.2% -8.1% -30.4% -30.4% 1.8 0.1 0.2

EEM EM 9.8% 12.9% 17.9% 19.2% 19.5% 19.3% -10.2% -36.1% -36.1% 1.4 0.0 (0.1)

ILF Latin America 20.1% 20.6% 26.8% 29.4% 27.9% 25.0% -15.4% -56.1% -58.8% 1.8 (0.0) (0.2)

EEMA EM Asia 7.0% 11.1% 16.2% 17.1% 18.3% 18.3% -10.5% -31.5% -31.5% 1.5 0.2 0.2

GUR EM Europe 14.1% 15.4% 16.5% 21.3% 25.6% 24.0% -11.9% -48.9% -52.3% 1.3 (0.2) (0.3)

Middle East

AFK Africa 17.8% 20.7% 21.2% 24.2% 20.2% 18.4% -12.5% -54.0% -54.0% 1.1 (0.5) (0.2)

FM Frontier Market 11.6% 12.7% 12.4% 13.2% 14.7% -7.3% -36.6% 1.2 (0.2)

BKF BRIC 10.8% 13.6% 17.0% 18.9% 21.4% 20.7% -11.0% -39.4% -39.4% 2.0 0.1 (0.1)

AGG Fixed Income (Broad) 3.0% 3.4% 3.5% 3.2% 3.3% 3.2% -4.5% -4.5% -5.1% 0.4 0.8 0.7

GOVT US Treasury 3.6% 3.7% 3.7% 3.8% 3.8% 3.6% -5.9% -5.9% -5.9% (0.4) 0.5 0.4

SHV Very Short 0.3% 0.3% 0.3% 0.3% 0.2% 0.2% -0.1% -0.1% -0.1% 1.5 0.8 0.7

SHY Short 0.9% 0.9% 0.9% 0.9% 0.9% 0.8% -1.0% -1.0% -1.0% 0.2 0.6 0.6

IEI Intermediate 3.0% 3.2% 2.9% 3.0% 3.1% 3.0% -4.3% -4.3% -4.3% (0.3) 0.5 0.4

TLT Long 10.4% 11.1% 12.6% 12.5% 13.3% 13.3% -17.9% -17.9% -20.5% (0.4) 0.5 0.3

TIP US Inflation 2.9% 4.0% 4.1% 4.5% 4.9% 5.0% -4.6% -5.3% -11.1% 0.7 0.4 0.1

MUB Municipal 2.6% 3.3% 3.5% 3.2% 2.9% 4.0% -6.7% -6.7% -9.7% (0.1) 1.0 0.6

MBB Securitized 3.1% 3.5% 3.0% 2.3% 2.5% 2.7% -3.4% -3.4% -4.8% 0.0 0.9 0.7

LQD IG Corporates 3.6% 4.8% 5.2% 5.0% 5.2% 5.2% -5.9% -6.0% -8.6% 1.3 0.7 0.7

HYG HY Corporates 2.0% 3.6% 6.1% 7.0% 6.9% 6.6% -4.1% -13.4% -13.4% 2.3 0.4 0.8

FLOT Floater 0.5% 0.7% 0.9% 0.8% 0.8% 1.0% -0.2% -0.6% -0.8% 2.7 0.9 1.0

BKLN Senior Loans 1.3% 1.3% 1.9% 2.9% 3.2% 3.1% -1.4% -7.1% -7.1% 3.6 0.7 1.1

PFF Preferred 3.3% 5.2% 7.5% 6.0% 5.4% 5.4% -7.5% -7.5% -8.7% 1.2 1.1 1.1

CWB Convertible 5.4% 6.9% 8.4% 8.5% 10.0% 9.3% -4.4% -15.9% -15.9% 2.6 0.5 1.0

BWX Intl DM Debt 5.5% 8.3% 8.5% 8.1% 7.5% 7.2% -12.7% -15.4% -15.4% (0.1) (0.4) (0.2)

WIP Intl Inflation 7.2% 7.9% 8.9% 8.7% 7.9% 7.4% -10.1% -19.1% -19.1% 1.1 (0.2) (0.0)

EMB EM Gov Debt USD 3.2% 5.0% 8.6% 7.3% 6.7% 7.1% -7.6% -7.6% -14.5% 1.5 0.8 0.7

EMLC EM Gov Debt Local 6.3% 8.1% 12.2% 12.5% 10.5% 10.1% -9.9% -27.6% -32.0% 0.9 (0.2) (0.3)

EMCB EM Corp USD 3.8% 7.5% 8.9% 8.1% 8.0% -4.6% -13.3% 1.8 0.4

HYEM EM HY Corp USD 4.0% 4.7% 6.7% 5.8% 6.8% -4.8% -14.0% 3.4 0.8

DBC Commodities 8.9% 10.9% 14.0% 16.0% 16.1% 14.8% -10.1% -55.9% -60.1% 1.5 (1.0) (0.8)

DBE Energy Cmdty 12.2% 17.1% 24.0% 26.6% 27.9% 24.1% -15.7% -71.4% -71.6% 1.2 (0.9) (0.7)

USO Crude Oil WTI 16.6% 22.6% 31.7% 35.1% 37.0% 31.8% -24.9% -79.8% -80.9% 0.8 (0.9) (0.7)

UNG Natural Gas 42.3% 50.0% 44.9% 43.2% 39.8% 39.8% -32.2% -78.4% -79.1% 0.3 (0.9) (0.5)

DBA Agriculture 7.5% 9.9% 9.1% 11.5% 11.6% 11.3% -14.3% -33.2% -36.2% 0.1 (0.8) (0.6)

DBB Industrial Metals 18.3% 19.2% 18.3% 17.1% 17.3% 17.0% -8.4% -39.0% -48.8% 2.0 0.0 (0.3)

DBP Precious Metals 9.1% 11.7% 13.9% 15.9% 16.2% 17.9% -19.6% -28.5% -48.7% 0.2 (0.2) (0.5)

GLD Gold Physical 8.7% 10.8% 12.4% 14.6% 14.9% 16.3% -17.8% -24.5% -42.1% 0.0 (0.2) (0.4)

SLV Silver Physical 11.1% 18.0% 22.4% 23.5% 22.9% 25.5% -23.9% -36.8% -62.1% 0.9 (0.2) (0.5)

PPLT Platinum Physical 11.1% 19.4% 20.1% 21.5% 19.4% 19.3% -24.4% -46.2% -53.6% 0.4 (0.6) (0.5)

PALL Palladium Physical 20.2% 29.2% 27.4% 27.8% 26.9% 25.9% -15.6% -48.4% -48.4% 2.0 0.0 0.1

UUP Bull USD 4.5% 7.6% 6.9% 7.4% 7.8% 7.3% -5.8% -9.4% -9.4% 0.3 0.9 0.5

FXY JPYUSD 8.5% 11.3% 11.4% 12.7% 10.1% 10.1% -15.5% -19.8% -39.0% (0.0) (0.4) (0.7)

FXE EURUSD 5.5% 8.7% 7.7% 8.1% 9.3% 8.7% -10.3% -26.7% -26.7% (0.4) (1.0) (0.6)

Sharpe (TR / Vol)Ticker Asset Class

Annualized Volatility Max Drawdown

Source: Deutsche Bank FactSet. Note: Data as of the end of last month; Calculations based on total returns; Volatility based on daily total returns annualized using a 252 day factor; Sharpe ratiocalculation 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, greencells 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 andrepresentative 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 notbe 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.


17 March 2017

US ETF Compass

US Equity Allocator heatmaps

Figure 19: US Equity Performance and Net Cash Flow Trends


VTI US Total Market 3.69% 7.71% 10.31% 26.41% 9.85% 13.82% 1.4% 5.8% 11.3% 19.7% 12.8% 15.9%

SPY S&P 500 (Large Cap) 3.93% 7.93% 9.98% 24.80% 10.51% 13.86% 1.5% 5.8% 12.0% 18.2% 11.7% 13.2%

DIA DJI 5.14% 9.30% 14.39% 29.18% 11.00% 12.59% 1.5% 5.8% 12.0% 18.2% 11.7% 13.2%

QQQ NASDAQ-100 4.38% 10.98% 12.27% 28.27% 14.13% 16.48% 1.5% 5.8% 12.0% 18.2% 11.7% 13.2%

IWF Russell 1000 Growth 4.08% 8.90% 9.01% 21.97% 10.27% 13.59% 1.6% 3.0% 6.7% 6.1% 9.8% 11.4%

IWD Russell 1000 Value 3.50% 6.86% 10.95% 28.91% 9.69% 13.86% 2.2% 8.9% 17.8% 33.0% 19.6% 21.2%

MDY S&P 400 (Mid Cap) 2.60% 6.56% 11.25% 31.37% 9.33% 13.52% 2.2% 8.6% 13.4% 24.2% 14.7% 16.5%

IWM Russell 2000 (SM Cap) 1.93% 5.17% 12.63% 36.26% 6.98% 12.93% 0.7% 8.3% 21.5% 36.1% 14.4% 17.2%

VIG Div. Growth 4.33% 7.41% 7.41% 20.30% 8.79% 11.85% 0.3% 3.8% 6.7% 26.7% 14.4% 17.2%

DVY Div. Yield 2.82% 6.63% 8.89% 24.34% 12.22% 14.51% 0.3% 3.8% 6.7% 26.7% 14.4% 17.2%

VYM Div. Yield 3.58% 6.61% 9.26% 24.07% 11.52% 14.01% 0.3% 3.8% 6.7% 26.7% 14.4% 17.2%

SDY Div. Yield & Growth 3.01% 5.86% 5.91% 23.47% 11.91% 14.55% 0.3% 3.8% 6.7% 26.7% 14.4% 17.2%

XLY Cons. Discretionary 1.82% 6.15% 8.26% 18.06% 10.59% 16.61% 2.5% 5.3% 2.1% -10.2% 6.6% 10.9%

PEJ Hotels, Rest & Leisure 1.16% 3.39% 17.12% 18.29% 5.75% 15.31%

XHB Home Builders 4.41% 6.64% 0.03% 17.47% 2.50% 13.06% 3.5% 5.8% 0.9% -23.9% -13.9% -9.2%

ITB Household Durables 5.36% 11.45% 5.14% 24.96% 5.44% 17.39% 3.5% 5.8% 0.9% -23.9% -13.9% -9.2%

PBS Media -0.69% 5.28% 9.01% 19.20% 1.77% 13.89%

XRT Retail -0.63% -5.78% -2.82% 0.45% 1.21% 9.07% 23.9% 12.3% 21.1% 1.4% -9.3% -15.7%

XLP Cons. Staples 4.77% 9.74% 2.71% 10.92% 11.98% 13.60% 2.5% 2.8% -12.8% -18.0% 8.2% 6.9%

PBJ Food Products 1.73% 4.42% -0.64% 7.17% 9.16% 12.86%

XLE Energy -2.09% -3.59% 5.37% 29.34% -4.23% 1.30% 1.0% 8.8% 12.8% 25.1% 23.2% 20.7%

OIH Energy Eq. & Serv. -3.75% -0.44% 17.83% 35.20% -11.24% -4.32% -6.8% 5.7% 15.6% 0.6% 1.6% 0.6%

XES Energy Eq. & Serv. -4.67% 1.09% 22.39% 43.66% -20.60% -10.18% -6.8% 5.7% 15.6% 0.6% 1.6% 0.6%

IEZ Energy Eq. & Serv. -3.79% -0.10% 18.11% 37.55% -11.55% -4.21% -6.8% 5.7% 15.6% 0.6% 1.6% 0.6%

XOP Energy E&P -5.54% -9.54% 3.32% 55.28% -17.41% -7.53% -2.5% 13.2% 6.5% -25.0% 24.2% 15.1%

IEO Energy E&P -3.95% -6.52% 5.05% 38.97% -8.30% -1.34% -2.5% 13.2% 6.5% -25.0% 24.2% 15.1%

AMLP MLPs 0.56% 5.85% 6.49% 37.11% -2.23% 1.48% 4.3% 11.8% 20.5% 39.9% 22.1% 39.4%

XLF Financials 5.28% 9.52% 24.21% 46.21% 13.80% 17.53% 6.0% 13.2% 48.0% 44.3% 13.0% 26.7%

KBWB Large Banks 5.42% 10.62% 33.55% 62.73% 13.70% 18.23% 9.2% 13.8% 48.0% 40.8% 13.1% 19.3%

KRE Regional Banks 3.72% 10.06% 34.70% 66.83% 14.92% 18.47% 9.2% 13.8% 48.0% 40.8% 13.1% 19.3%

KCE Capital Markets 3.84% 7.24% 17.20% 35.88% 1.67% 10.52% 19.6% 37.2% 78.2% 60.5% -11.3% 23.4%

KIE Insurance 4.80% 8.81% 17.74% 36.57% 14.75% 18.56% 2.8% 18.7% 48.6% 62.6% 34.9% 31.4%

XLV Healthcare 6.34% 9.56% 3.92% 15.03% 9.67% 17.61% 2.7% 2.3% 7.9% 6.3% 7.1% 21.5%

IBB Biotech & Pharma 6.89% 8.49% 5.88% 17.20% 4.11% 20.30% -0.2% -3.6% 10.0% 23.1% 10.4% 26.5%

BBH Large Biotech 6.41% 11.79% 7.00% 21.08% 6.04% 23.75% -0.2% -3.6% 10.0% 23.1% 10.4% 26.5%

IHI HC Eq. & Supplies 5.13% 14.00% 4.68% 29.24% 15.96% 18.82% -13.6% 1.0% -25.3% 5.9% 2.3% 11.6%

IHF HC Providers & Serv 4.78% 7.39% 10.61% 17.54% 12.44% 16.40% -1.8% -5.3% -26.7% -30.5% 0.4% 7.6%

PPH Large Pharma 6.29% 7.57% -4.92% -0.96% -0.31% 10.79% 3.7% -1.7% 2.5% -11.9% -6.6% 3.8%

XLI Industrials 3.91% 6.18% 13.72% 29.20% 10.43% 14.46% 4.3% 11.1% 50.3% 75.6% 9.4% 23.0%

ITA Aerospace & Def 6.59% 6.29% 17.31% 36.89% 12.74% 19.47% 11.9% 31.3% 125.0% 186.7% 80.2% 74.5%

IYT Transportation 2.68% 5.13% 20.50% 30.08% 9.94% 14.23% 5.9% 0.5% 72.9% 72.6% 8.9% 17.4%

XLB Materials 0.56% 5.32% 8.87% 27.55% 5.67% 9.49% -1.8% 9.2% 25.4% 72.0% -3.0% 7.5%

XME Metals & Mining -3.08% 4.28% 26.67% 96.38% -6.34% -7.50% 5.2% 11.1% 22.6% 71.6% 13.4% 4.4%

VNQ Real Estate 3.51% 8.29% -1.46% 16.61% 10.99% 11.38% -0.1% 2.7% 3.8% 21.7% 13.8% 16.8%

VGT Technology 4.94% 10.90% 13.60% 33.61% 14.66% 14.81% 2.5% 6.6% 14.3% 15.9% 4.7% 11.2%

IGN Comm. Equipment 4.34% 7.10% 18.39% 32.50% 10.36% 9.63%

FDN Int. Software & Serv. 1.02% 7.87% 9.03% 31.96% 10.26% 19.56% -0.9% 0.3% -2.5% 1.5% 8.1% 34.9%

SMH Semiconductors 2.62% 8.36% 16.29% 52.68% 22.14% 19.06% 6.4% 2.5% 60.9% 86.6% 21.5% 13.7%

IGV Software 4.80% 9.85% 9.14% 33.32% 12.84% 14.74% 11.3% -0.5% 9.4% -7.7% -21.7% -8.6%

VOX Telecom -2.78% 4.87% 4.57% 13.86% 9.83% 12.35% -8.0% 8.4% -4.3% 14.3% 20.2% 11.5%

XLU Utilities 5.27% 11.80% 7.06% 15.63% 12.44% 12.27% 2.3% -4.7% -15.5% -15.1% 8.1% 0.6%




17 March 2017

US ETF Compass

Figure 20: US Equity Risk and Risk-adjusted Performance Measure

1M 3M 6M 1Y 3Y 5Y 1Y 3Y 5Y 1Y 3Y 5Y

VTI US Total Market 5.1% 7.0% 9.4% 10.7% 13.3% 13.0% -5.9% -15.1% -15.1% 2.5 0.7 1.1

SPY S&P 500 (Large Cap) 4.6% 6.6% 9.0% 10.3% 13.1% 12.7% -5.5% -13.0% -13.0% 2.4 0.8 1.1

DIA DJI 4.9% 6.3% 8.6% 9.7% 12.8% 12.2% -4.8% -13.9% -13.9% 3.0 0.9 1.0

QQQ NASDAQ-100 4.6% 8.2% 11.1% 12.5% 15.7% 15.1% -7.9% -16.1% -16.1% 2.3 0.9 1.1

IWF Russell 1000 Growth 4.5% 6.5% 9.2% 10.3% 13.4% 13.1% -5.7% -13.8% -13.8% 2.1 0.8 1.0

IWD Russell 1000 Value 6.1% 7.5% 9.8% 11.2% 13.3% 13.0% -5.8% -16.2% -16.2% 2.6 0.7 1.1

MDY S&P 400 (Mid Cap) 9.0% 10.6% 12.4% 13.6% 14.4% 14.5% -7.1% -19.3% -19.3% 2.3 0.6 0.9

IWM Russell 2000 (SM Cap) 12.2% 13.3% 15.3% 16.1% 16.8% 16.4% -8.3% -25.7% -25.7% 2.3 0.4 0.8

VIG Div. Growth 5.2% 6.1% 8.4% 9.2% 12.0% 11.7% -5.2% -12.1% -12.1% 2.2 0.7 1.0

DVY Div. Yield 5.7% 7.9% 10.4% 10.4% 11.8% 11.4% -5.6% -12.0% -12.0% 2.3 1.0 1.3

VYM Div. Yield 5.1% 6.7% 8.9% 9.7% 12.3% 11.8% -4.5% -13.0% -13.0% 2.5 0.9 1.2

SDY Div. Yield & Growth 5.8% 7.3% 9.8% 10.2% 11.8% 11.7% -6.7% -10.8% -10.8% 2.3 1.0 1.2

XLY Cons. Discretionary 7.2% 8.8% 10.5% 11.6% 14.4% 14.1% -6.8% -15.8% -15.8% 1.6 0.7 1.2

PEJ Hotels, Rest & Leisure 9.9% 11.4% 12.8% 14.2% 17.1% 16.6% -15.0% -21.7% -21.7% 1.3 0.3 0.9

XHB Home Builders 11.1% 14.6% 17.0% 17.1% 18.3% 20.4% -15.2% -28.2% -28.2% 1.0 0.1 0.6

ITB Household Durables 12.2% 17.7% 18.0% 18.3% 20.6% 24.0% -15.1% -26.4% -26.4% 1.4 0.3 0.7

PBS Media 8.9% 10.8% 12.1% 13.5% 15.9% 15.8% -8.5% -23.2% -23.2% 1.4 0.1 0.9

XRT Retail 21.5% 19.4% 18.1% 18.3% 17.7% 17.0% -13.1% -24.2% -24.2% 0.0 0.1 0.5

XLP Cons. Staples 7.8% 8.6% 11.2% 10.6% 11.7% 11.3% -9.2% -10.1% -10.1% 1.0 1.0 1.2

PBJ Food Products 9.8% 10.1% 13.0% 12.6% 13.4% 13.0% -7.9% -11.0% -11.0% 0.6 0.7 1.0

XLE Energy 13.6% 12.5% 18.4% 20.0% 22.8% 20.5% -8.3% -46.7% -46.7% 1.5 (0.2) 0.1

OIH Energy Eq. & Serv. 20.3% 20.2% 29.6% 32.6% 31.6% 27.9% -14.7% -61.3% -61.3% 1.1 (0.4) (0.2)

XES Energy Eq. & Serv. 28.6% 26.7% 36.0% 40.1% 38.3% 33.0% -17.4% -72.8% -72.8% 1.1 (0.5) (0.3)

IEZ Energy Eq. & Serv. 20.2% 20.2% 28.7% 32.5% 31.6% 28.0% -13.0% -61.8% -61.8% 1.2 (0.4) (0.2)

XOP Energy E&P 21.9% 19.2% 31.1% 34.9% 38.2% 33.5% -12.6% -71.0% -71.0% 1.6 (0.5) (0.2)

IEO Energy E&P 19.0% 16.7% 25.3% 28.5% 29.4% 26.4% -11.3% -56.8% -56.8% 1.4 (0.3) (0.1)

AMLP MLPs 8.8% 11.2% 14.9% 21.4% 27.7% 22.3% -8.1% -53.1% -53.1% 1.7 (0.1) 0.1

XLF Financials 11.8% 13.6% 15.7% 16.3% 16.5% 16.3% -9.6% -22.3% -22.3% 2.8 0.8 1.1

KBWB Large Banks 14.7% 16.9% 19.0% 21.9% 20.8% 20.0% -15.5% -29.1% -29.1% 2.9 0.7 0.9

KRE Regional Banks 16.5% 18.7% 20.9% 23.3% 21.7% 20.2% -15.0% -28.0% -28.0% 2.9 0.7 0.9

KCE Capital Markets 12.2% 13.9% 16.2% 22.2% 21.1% 20.2% -17.4% -36.4% -36.4% 1.6 0.1 0.5

KIE Insurance 6.0% 8.1% 10.8% 13.5% 13.8% 13.8% -8.8% -15.2% -15.2% 2.7 1.1 1.3

XLV Healthcare 6.1% 9.2% 13.2% 13.2% 15.9% 14.5% -12.4% -17.1% -17.1% 1.1 0.6 1.2

IBB Biotech & Pharma 15.1% 18.9% 25.3% 26.8% 27.8% 25.2% -17.7% -39.2% -39.2% 0.6 0.1 0.8

BBH Large Biotech 12.2% 16.5% 22.6% 23.8% 26.0% 24.2% -16.3% -33.8% -33.8% 0.9 0.2 1.0

IHI HC Eq. & Supplies 6.0% 9.7% 15.0% 14.3% 15.3% 14.9% -11.6% -14.2% -14.2% 2.0 1.0 1.3

IHF HC Providers & Serv 12.6% 10.6% 15.3% 15.4% 17.4% 16.3% -14.1% -26.3% -26.3% 1.1 0.7 1.0

PPH Large Pharma 9.4% 12.6% 17.0% 16.8% 16.5% 14.7% -17.8% -29.9% -29.9% (0.1) (0.0) 0.7

XLI Industrials 7.2% 9.1% 11.5% 12.4% 14.5% 14.5% -6.6% -15.7% -15.7% 2.4 0.7 1.0

ITA Aerospace & Def 9.0% 9.7% 13.3% 13.2% 15.0% 14.9% -6.3% -17.2% -17.2% 2.8 0.8 1.3

IYT Transportation 12.4% 13.5% 14.0% 16.2% 17.4% 17.3% -12.2% -27.3% -27.3% 1.9 0.6 0.8

XLB Materials 6.9% 10.1% 12.0% 14.3% 16.7% 16.5% -7.8% -26.9% -26.9% 1.9 0.3 0.6

XME Metals & Mining 20.4% 25.1% 30.7% 36.8% 33.3% 30.7% -16.7% -71.8% -75.6% 2.6 (0.2) (0.2)

VNQ Real Estate 10.3% 13.2% 16.6% 15.1% 15.2% 14.9% -15.2% -17.2% -18.0% 1.1 0.7 0.8

VGT Technology 5.2% 10.2% 11.7% 13.0% 15.9% 15.4% -7.5% -16.4% -16.4% 2.6 0.9 1.0

IGN Comm. Equipment 13.8% 13.8% 14.4% 16.6% 17.9% 18.5% -10.3% -24.9% -26.0% 2.0 0.6 0.5

FDN Int. Software & Serv. 7.2% 11.0% 12.9% 14.6% 19.2% 18.5% -7.3% -25.8% -25.8% 2.2 0.5 1.1

SMH Semiconductors 11.2% 18.5% 18.1% 19.0% 20.6% 19.7% -8.7% -23.7% -23.7% 2.8 1.1 1.0

IGV Software 10.1% 13.5% 14.0% 15.3% 17.9% 17.5% -7.9% -21.5% -21.5% 2.2 0.7 0.8

VOX Telecom 12.6% 13.9% 15.5% 14.3% 14.5% 13.9% -13.3% -13.3% -13.3% 1.0 0.7 0.9

XLU Utilities 13.2% 12.4% 16.9% 15.1% 15.5% 14.0% -12.4% -15.7% -15.7% 1.0 0.8 0.9

Ticker Asset ClassMax DrawdownAnnualized Volatility Sharpe (TR / Vol)

Source: Deutsche Bank, FactSet. Note: Data as of the end of last month; Calculations based on total returns; Volatility based on daily total returns annualized using a 252 day factor; Sharpe ratiocalculation 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, greencells 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 andrepresentative 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 notbe 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.


17 March 2017

US ETF Compass

International Equity Allocator heatmaps

Figure 21: International Equity Performance and Net ETF Cash Flow Trends


EFA Intl DM 1.19% 7.35% 4.48% 16.01% -0.74% 5.16% 1.4% 7.3% 6.4% 0.5% 16.1% 24.9%

EWC Canada -1.80% 3.64% 6.51% 25.62% -0.96% 0.47% -4.6% 3.3% 7.2% 48.0% 5.3% -4.9%

EIS Israel 4.55% 8.78% 3.28% 11.99% 1.67% 6.72%

VGK Europe 0.59% 8.66% 3.19% 12.90% -2.82% 5.04% 1.3% 4.1% -3.2% -18.3% 2.1% 32.0%

EDEN Denmark -0.67% 9.54% -4.98% 2.38% 2.80% 13.87%

NORW Norway -2.14% 6.87% 12.07% 26.82% -7.93% -1.85%

EWD Sweden -0.62% 10.28% 6.15% 14.85% -2.49% 4.42%

EWL Switzerland 1.01% 9.56% 2.91% 12.55% -0.81% 7.57% 2.1% 0.0% -5.7% -15.7% 6.2% 13.8%

EWU UK 1.46% 7.62% 2.57% 11.39% -4.67% 2.30% 3.9% 25.0% 25.9% 13.7% -4.9% 16.7%

EZU Eurozone 0.20% 8.73% 4.18% 14.87% -3.09% 5.21% -0.1% 1.1% -10.3% -43.8% 11.6% 45.1%

EWO Austria -0.29% 8.54% 11.85% 25.72% -2.98% 3.18%

EWK Belgium 0.34% 5.28% -0.75% 11.07% 3.25% 11.57%

EFNL Finland 0.94% 6.85% 0.41% 14.38% 0.59% 7.01%

EWQ France -0.40% 6.61% 4.73% 12.97% -2.46% 5.31%

EWG Germany 0.04% 10.87% 5.03% 20.71% -2.64% 5.98% 0.4% 8.8% 4.2% -35.0% 0.0% 9.3%

EIRL Ireland 1.69% 8.28% 1.29% 6.33% 0.29% 13.93%

EWI Italy -0.38% 9.74% 5.71% 8.81% -8.32% 0.22% -10.9% 1.7% 9.2% -34.3% -2.0% 41.8%

EWN Netherlands 2.87% 9.55% 3.78% 15.00% 1.91% 8.67%

PGAL Portugal 2.60% 7.06% -2.08% 10.29% -15.49%

EWP Spain -0.66% 11.26% 5.68% 14.16% -8.03% 1.56% 5.9% 23.1% 25.6% -26.3% 5.2% 64.3%

EWJ Japan 1.31% 3.89% 5.52% 19.93% 4.87% 6.71% -0.5% 8.9% 12.0% -20.1% 1.8% 34.3%

EPP Pacific ex JP 2.91% 8.24% 9.09% 28.52% 1.65% 3.99% 0.3% -3.0% 1.4% 9.5% -1.3% -6.3%

EWA Australia 3.34% 10.26% 11.46% 32.27% 0.36% 3.37% -1.1% 2.5% 7.6% 34.3% 7.2% -6.1%

EWH Hong Kong 2.76% 3.17% 3.86% 23.18% 5.41% 6.62% 0.0% -15.9% -0.6% -21.9% -5.2% -3.7%

ENZL New Zealand -0.76% 5.66% -4.68% 25.10% 7.57% 12.65%

EWS Singapore 2.53% 9.49% 8.82% 19.52% -0.57% 0.92% -3.2% -7.9% -7.7% 3.3% -13.1% -15.1%

EEM EM 1.74% 8.24% 5.19% 27.73% 0.85% -1.00% 2.5% 6.2% 8.0% 32.1% 9.8% 4.6%

ILF Latin America 2.91% 12.03% 11.79% 51.96% -0.56% -6.18% 4.3% 11.0% 24.3% 74.0% 6.7% -1.5%

EWZ Brazil 2.33% 14.08% 13.98% 87.86% -0.06% -8.84% 11.8% 20.6% 22.6% 93.5% 11.0% -3.1%

ECH Chile 3.63% 7.57% 10.37% 23.71% -1.03% -8.44% -2.0% -5.5% 9.0% 35.4% 14.1% -2.0%

GXG Colombia -2.96% 7.46% 0.73% 17.03% -15.38% -13.40%

EWW Mexico 2.83% 4.92% -8.28% -3.40% -7.04% -3.35% -12.9% -0.7% 31.9% 54.2% -5.3% 12.5%

EPU Peru -2.28% 6.77% 7.37% 57.62% 2.16% -3.02% 4.4% 13.2% 10.3% 52.6% -5.5% -6.3%

EEMA EM Asia 2.70% 8.72% 4.68% 25.53% 3.39% 2.85% 0.2% -4.5% -6.3% -11.4% 4.5% 4.3%

FXI China H 4.12% 3.68% 5.19% 29.65% 5.39% 1.72% -1.0% -10.5% -8.2% -29.4% -3.9% -1.1%

ASHR China A 0.84% -2.08% 0.76% 16.46% 13.78% 1.9% -8.8% -7.8% 9.1% 17.1% 82.3%

INDA India 4.62% 10.48% 0.65% 24.63% 7.90% 3.46% 0.3% -0.7% -2.3% 3.4% 43.4% 29.4%

EIDO Indonesia 0.33% 5.00% -3.93% 9.22% -0.07% -2.56% -2.4% -10.5% -27.8% 0.6% 1.0% -1.9%

EWM Malaysia 0.96% 5.20% -5.82% -0.34% -9.96% -4.37% 0.0% -0.8% -12.4% 24.2% -11.1% -11.6%

EPHE Philippines -3.03% 3.40% -13.26% 2.56% -0.07% 5.10%

EWY South Korea 1.17% 11.28% 5.18% 27.21% 0.18% 0.91% 0.0% -6.9% -12.0% -20.9% -4.6% 0.6%

EWT Taiwan 2.76% 7.87% 10.31% 29.12% 7.42% 5.88% -0.8% -0.1% 4.1% 7.5% 0.1% 1.5%

THD Thailand -0.89% 5.53% 0.36% 21.72% 5.68% 3.50% 3.9% 14.3% -8.0% 47.5% -8.2% -8.1%

GUR EM Europe -1.86% 9.62% 10.82% 28.57% -5.85% -6.15% -2.0% 25.2% 29.7% 27.0% 28.9% 13.3%

GREK Greece 1.85% -0.86% 6.97% 21.89% -30.87% -13.82%

EPOL Poland 4.06% 24.97% 19.06% 23.25% -9.77% -1.58%

RSX Russia -5.66% 4.55% 13.14% 41.29% -3.27% -6.76% -2.6% 27.2% 36.6% 24.5% 48.5% 12.4%

TUR Turkey 4.55% 10.61% -7.31% -3.99% -4.28% -5.53% -2.2% 26.8% 17.9% 57.2% -2.6% 6.7%

Middle East

QAT Qatar 1.60% 10.85% -2.47% 8.90%

UAE UAE -0.88% 7.10% -0.01% 9.62%

AFK Africa -1.65% 10.51% 6.09% 25.94% -10.35% -4.41% 0.8% 9.7% 1.5% 22.7% 2.5% 0.1%

EGPT Egypt 7.46% 8.36% -27.35% -15.68% -23.73% -10.09%

EZA South Africa 0.24% 9.33% 5.82% 27.84% -1.11% -1.78% 0.0% 9.1% -5.1% 16.9% 1.5% -1.8%

FM Frontier Market -2.14% 9.60% 11.40% 15.47% -2.89% 6.6% 9.5% 16.0% 14.4% 9.9% 28.6%

ARGT Argentina 2.34% 14.16% 17.34% 42.50% 12.11% 3.76%

NGE Nigeria -7.66% -8.23% -12.49% -33.75% -32.90%

PAK Pakistan -0.52% 14.02% 16.14% 44.27%

VNM Vietnam -0.37% 3.46% -8.81% -0.84% -12.26% -4.07% 4.5% 5.0% -8.6% -11.8% 1.2% 10.3%

BKF BRIC 3.51% 8.56% 7.49% 38.27% 2.97% -1.73% 8.2% 5.6% -2.4% -38.1% -28.1% -20.0%




17 March 2017

US ETF Compass

Figure 22: International Equity Risk and Risk-adjusted Performance Measure

1M 3M 6M 1Y 3Y 5Y 1Y 3Y 5Y 1Y 3Y 5Y

EFA Intl DM 5.5% 8.0% 10.4% 16.0% 15.7% 15.7% -10.3% -23.1% -23.1% 1.0 (0.0) 0.3

EWC Canada 10.8% 11.7% 13.5% 15.5% 17.3% 16.3% -7.3% -41.4% -41.4% 1.6 (0.1) 0.0

EIS Israel 11.6% 11.8% 12.1% 12.7% 14.1% 15.1% -10.6% -20.9% -20.9% 0.9 0.1 0.4

VGK Europe 6.3% 9.0% 11.7% 18.9% 17.5% 17.7% -13.6% -24.9% -24.9% 0.7 (0.2) 0.3

EDEN Denmark 11.5% 11.5% 13.7% 17.2% 17.1% 17.4% -18.3% -18.3% -18.3% 0.1 0.2 0.8

NORW Norway 14.5% 14.1% 16.5% 22.9% 24.2% 23.1% -13.3% -50.9% -50.9% 1.2 (0.3) (0.1)

EWD Sweden 10.3% 12.0% 13.4% 20.1% 19.4% 20.3% -14.7% -25.6% -25.6% 0.7 (0.1) 0.2

EWL Switzerland 4.9% 8.7% 10.9% 14.4% 14.2% 14.3% -9.7% -21.4% -21.4% 0.9 (0.1) 0.5

EWU UK 6.2% 8.4% 11.6% 20.3% 18.4% 17.1% -15.5% -29.3% -29.3% 0.6 (0.3) 0.1

EZU Eurozone 8.6% 10.6% 12.7% 20.1% 19.1% 19.8% -13.4% -27.1% -27.1% 0.7 (0.2) 0.3

EWO Austria 12.5% 13.7% 14.0% 19.8% 19.1% 19.9% -16.2% -31.0% -32.6% 1.3 (0.2) 0.2

EWK Belgium 6.5% 9.7% 11.5% 15.8% 15.6% 16.6% -12.0% -15.0% -15.0% 0.7 0.2 0.7

EFNL Finland 8.5% 12.5% 14.3% 19.3% 18.7% 20.9% -11.0% -19.2% -28.6% 0.7 0.0 0.3

EWQ France 9.4% 10.9% 12.8% 19.5% 18.9% 19.9% -13.4% -25.8% -25.8% 0.7 (0.1) 0.3

EWG Germany 9.0% 11.0% 12.8% 18.8% 19.0% 19.4% -12.3% -26.6% -26.6% 1.1 (0.1) 0.3

EIRL Ireland 8.4% 10.6% 12.7% 20.5% 18.1% 18.8% -18.1% -22.7% -22.7% 0.3 0.0 0.7

EWI Italy 16.6% 18.4% 19.5% 27.5% 25.5% 26.7% -18.6% -41.5% -41.5% 0.3 (0.3) 0.0

EWN Netherlands 9.8% 10.1% 12.3% 17.6% 17.5% 17.7% -13.1% -19.6% -19.6% 0.9 0.1 0.5

PGAL Portugal 8.7% 13.1% 15.8% 21.0% 23.9% -15.1% -49.5% 0.5 (0.6)

EWP Spain 12.4% 14.2% 15.8% 25.0% 23.0% 25.5% -19.5% -42.5% -42.5% 0.6 (0.3) 0.1

EWJ Japan 6.1% 10.3% 11.6% 15.7% 17.2% 17.4% -6.9% -21.6% -21.6% 1.3 0.3 0.4

EPP Pacific ex JP 8.4% 9.9% 13.0% 16.3% 17.5% 17.2% -8.1% -30.4% -30.4% 1.8 0.1 0.2

EWA Australia 10.8% 11.4% 15.2% 18.9% 20.5% 19.7% -9.0% -35.4% -35.4% 1.7 0.0 0.2

EWH Hong Kong 6.8% 11.5% 13.0% 14.8% 17.7% 17.1% -12.3% -29.5% -29.5% 1.6 0.3 0.4

ENZL New Zealand 13.1% 13.0% 16.4% 16.7% 15.9% 16.3% -17.5% -23.2% -23.2% 1.5 0.5 0.8

EWS Singapore 8.8% 12.2% 14.6% 16.9% 16.0% 15.8% -10.7% -32.5% -32.5% 1.2 (0.0) 0.1

EEM EM 9.8% 12.9% 17.9% 19.2% 19.5% 19.3% -10.2% -36.1% -36.1% 1.4 0.0 (0.1)

ILF Latin America 20.1% 20.6% 26.8% 29.4% 27.9% 25.0% -15.4% -56.1% -58.8% 1.8 (0.0) (0.2)

EWZ Brazil 24.5% 26.8% 31.7% 36.1% 35.7% 31.0% -18.5% -66.5% -72.2% 2.4 (0.0) (0.3)

ECH Chile 15.5% 16.9% 18.0% 18.9% 18.6% 18.9% -10.1% -36.0% -54.7% 1.3 (0.1) (0.4)

GXG Colombia 17.7% 15.3% 22.2% 24.7% 26.0% 22.3% -18.4% -67.0% -68.3% 0.7 (0.6) (0.6)

EWW Mexico 18.7% 19.5% 28.3% 26.1% 21.6% 21.0% -22.1% -40.1% -41.6% (0.1) (0.3) (0.2)

EPU Peru 12.6% 13.2% 16.7% 24.4% 20.6% 19.5% -11.3% -50.6% -60.6% 2.4 0.1 (0.2)

EEMA EM Asia 7.0% 11.1% 16.2% 17.1% 18.3% 18.3% -10.5% -31.5% -31.5% 1.5 0.2 0.2

FXI China H 11.6% 12.9% 16.9% 20.0% 24.2% 23.4% -11.2% -44.6% -44.6% 1.5 0.2 0.1

ASHR China A 11.5% 15.2% 14.2% 19.3% 37.0% -9.8% -50.2% 0.9 0.4

INDA India 10.5% 13.0% 17.8% 18.3% 20.4% 22.8% -15.5% -28.7% -29.6% 1.3 0.4 0.2

EIDO Indonesia 9.2% 17.1% 22.5% 22.3% 25.9% 27.2% -16.1% -42.8% -52.1% 0.4 (0.0) (0.1)

EWM Malaysia 5.7% 9.4% 16.8% 18.4% 19.8% 18.3% -19.4% -40.2% -40.2% (0.0) (0.5) (0.2)

EPHE Philippines 9.8% 19.3% 22.8% 21.8% 20.0% 21.8% -24.2% -31.1% -31.8% 0.1 (0.0) 0.2

EWY South Korea 12.0% 14.4% 19.4% 20.2% 18.6% 19.2% -12.0% -32.8% -32.8% 1.3 0.0 0.0

EWT Taiwan 10.3% 13.2% 17.8% 18.6% 19.1% 18.5% -11.8% -31.3% -31.3% 1.6 0.4 0.3

THD Thailand 9.3% 12.6% 18.1% 18.3% 19.6% 22.0% -12.2% -33.5% -38.0% 1.2 0.3 0.2

GUR EM Europe 14.1% 15.4% 16.5% 21.3% 25.6% 24.0% -11.9% -48.9% -52.3% 1.3 (0.2) (0.3)

GREK Greece 22.9% 28.2% 26.7% 37.2% 47.1% 45.9% -29.0% -77.4% -77.4% 0.6 (0.7) (0.3)

EPOL Poland 19.5% 20.1% 20.8% 24.7% 23.4% 24.4% -19.5% -47.0% -47.0% 0.9 (0.4) (0.1)

RSX Russia 15.9% 20.1% 21.5% 25.4% 36.7% 32.2% -8.8% -51.6% -58.8% 1.6 (0.1) (0.2)

TUR Turkey 22.4% 31.9% 29.7% 31.2% 30.8% 30.2% -33.4% -48.0% -57.9% (0.1) (0.1) (0.2)

Middle East

QAT Qatar 14.4% 17.7% 17.9% 17.9% -15.3% 0.5

UAE UAE 20.3% 20.0% 18.8% 19.5% -14.0% 0.5

AFK Africa 17.8% 20.7% 21.2% 24.2% 20.2% 18.4% -12.5% -54.0% -54.0% 1.1 (0.5) (0.2)

EGPT Egypt 19.8% 22.1% 40.7% 34.4% 30.3% 29.6% -40.1% -65.3% -65.3% (0.5) (0.8) (0.3)

EZA South Africa 18.7% 24.1% 32.5% 33.6% 30.8% 28.5% -19.7% -45.0% -45.0% 0.8 (0.0) (0.1)

FM Frontier Market 11.6% 12.7% 12.4% 13.2% 14.7% -7.3% -36.6% 1.2 (0.2)

ARGT Argentina 13.4% 15.3% 17.3% 18.4% 23.0% 23.8% -9.3% -34.0% -34.5% 2.3 0.5 0.2

NGE Nigeria 12.8% 14.9% 22.0% 31.6% 29.6% -46.9% -74.2% (1.1) (1.1)

PAK Pakistan 11.4% 14.8% 14.8% 16.0% -6.0% 2.8

VNM Vietnam 14.2% 15.8% 17.0% 18.4% 21.8% 24.6% -17.1% -42.9% -42.9% (0.0) (0.6) (0.2)

BKF BRIC 10.8% 13.6% 17.0% 18.9% 21.4% 20.7% -11.0% -39.4% -39.4% 2.0 0.1 (0.1)

Ticker Asset ClassAnnualized Volatility Max Drawdown Sharpe (TR / Vol)

Source: Deutsche Bank FactSet. Note: Data as of the end of last month; Calculations based on total returns; Volatility based on daily total returns annualized using a 252 day factor; Sharpe ratiocalculation 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, greencells 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 andrepresentative 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 notbe 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.


Deu

tsche B

ank S

ecurities In

c.Pag

e 17

Cross Asset Correlations

Figure 23: 3-Year Cross Asset Class Correlations of Weekly Total Returns3Y - Cross Asset Class Correlation of Weekly Total Returns

Category Ticker ACWI VTI EFA EEM AGG GOVT TIP MUB MBB LQD HYG FLOT BKLN PFF CWB BWX WIP EMB EMLC EMCB DBC DBE DBA DBB DBP UUP FXY FXE

Global Equities ACWI 0.95 0.95 0.85 -0.22 -0.32 -0.03 -0.22 -0.22 0.00 0.67 0.08 0.60 0.45 0.88 -0.06 0.21 0.53 0.52 0.44 0.45 0.41 0.27 0.43 -0.13 0.10 -0.36 -0.13

US Total Market VTI 0.95 0.84 0.71 -0.28 -0.38 -0.09 -0.29 -0.27 -0.06 0.65 0.08 0.58 0.40 0.90 -0.17 0.06 0.42 0.36 0.36 0.35 0.33 0.21 0.36 -0.20 0.20 -0.42 -0.22

Intl DM EFA 0.95 0.84 0.82 -0.18 -0.28 -0.01 -0.17 -0.20 0.00 0.61 0.07 0.56 0.44 0.80 0.01 0.28 0.52 0.52 0.42 0.45 0.41 0.26 0.42 -0.09 0.00 -0.33 -0.04

EM EEM 0.85 0.71 0.82 -0.02 -0.12 0.15 -0.07 -0.01 0.14 0.62 0.10 0.52 0.39 0.69 0.14 0.41 0.67 0.74 0.55 0.50 0.41 0.32 0.46 0.08 -0.01 -0.15 -0.03

US Agg Bond IG AGG -0.22 -0.28 -0.18 -0.02 0.96 0.84 0.79 0.87 0.90 -0.02 -0.09 -0.11 0.23 -0.20 0.65 0.55 0.36 0.29 0.16 -0.17 -0.22 -0.06 -0.12 0.45 -0.32 0.56 0.25

US Treasury GOVT -0.32 -0.38 -0.28 -0.12 0.96 0.80 0.78 0.82 0.83 -0.15 -0.12 -0.24 0.15 -0.31 0.64 0.50 0.26 0.21 0.07 -0.25 -0.30 -0.11 -0.17 0.47 -0.32 0.58 0.27

US Inflation TIP -0.03 -0.09 -0.01 0.15 0.84 0.80 0.65 0.78 0.81 0.12 -0.04 0.02 0.26 -0.05 0.63 0.61 0.42 0.43 0.26 0.06 0.00 0.03 0.10 0.45 -0.34 0.47 0.27

Municipal MUB -0.22 -0.29 -0.17 -0.07 0.79 0.78 0.65 0.73 0.69 -0.09 -0.12 -0.20 0.18 -0.22 0.51 0.45 0.29 0.25 0.04 -0.19 -0.25 0.00 -0.12 0.37 -0.24 0.50 0.17

MBS MBB -0.22 -0.27 -0.20 -0.01 0.87 0.82 0.78 0.73 0.74 -0.05 -0.12 -0.13 0.20 -0.20 0.58 0.52 0.31 0.27 0.16 -0.15 -0.19 -0.09 -0.10 0.41 -0.30 0.51 0.23

IG Corporates LQD 0.00 -0.06 0.00 0.14 0.90 0.83 0.81 0.69 0.74 0.24 -0.06 0.15 0.39 0.03 0.56 0.55 0.51 0.39 0.30 -0.04 -0.07 -0.01 -0.06 0.35 -0.23 0.45 0.16

HY Corporates HYG 0.67 0.65 0.61 0.62 -0.02 -0.15 0.12 -0.09 -0.05 0.24 0.11 0.76 0.52 0.70 0.00 0.21 0.69 0.56 0.57 0.51 0.49 0.20 0.30 0.01 0.09 -0.16 -0.12

Floater FLOT 0.08 0.08 0.07 0.10 -0.09 -0.12 -0.04 -0.12 -0.12 -0.06 0.11 0.14 -0.08 0.02 0.05 0.06 0.00 0.10 0.17 0.14 0.12 0.15 0.08 0.06 -0.08 0.01 0.06

Senior Loans BKLN 0.60 0.58 0.56 0.52 -0.11 -0.24 0.02 -0.20 -0.13 0.15 0.76 0.14 0.43 0.61 -0.06 0.12 0.48 0.42 0.46 0.43 0.41 0.18 0.29 -0.05 0.13 -0.22 -0.15

Preferred PFF 0.45 0.40 0.44 0.39 0.23 0.15 0.26 0.18 0.20 0.39 0.52 -0.08 0.43 0.50 0.11 0.29 0.53 0.37 0.40 0.21 0.19 0.19 0.18 0.01 0.04 -0.04 -0.07

Convertible CWB 0.88 0.90 0.80 0.69 -0.20 -0.31 -0.05 -0.22 -0.20 0.03 0.70 0.02 0.61 0.50 -0.14 0.09 0.49 0.38 0.41 0.35 0.33 0.17 0.33 -0.19 0.19 -0.35 -0.19

Intl DM Debt BWX -0.06 -0.17 0.01 0.14 0.65 0.64 0.63 0.51 0.58 0.56 0.00 0.05 -0.06 0.11 -0.14 0.85 0.33 0.52 0.18 0.14 0.03 0.16 0.13 0.62 -0.86 0.73 0.79

Intl Inflation WIP 0.21 0.06 0.28 0.41 0.55 0.50 0.61 0.45 0.52 0.55 0.21 0.06 0.12 0.29 0.09 0.85 0.53 0.72 0.34 0.30 0.20 0.22 0.24 0.54 -0.73 0.50 0.65

EM Gov Debt USD EMB 0.53 0.42 0.52 0.67 0.36 0.26 0.42 0.29 0.31 0.51 0.69 0.00 0.48 0.53 0.49 0.33 0.53 0.76 0.72 0.36 0.32 0.20 0.18 0.20 -0.08 0.12 0.02

EM Gov Debt Local EMLC 0.52 0.36 0.52 0.74 0.29 0.21 0.43 0.25 0.27 0.39 0.56 0.10 0.42 0.37 0.38 0.52 0.72 0.76 0.58 0.48 0.36 0.33 0.32 0.39 -0.36 0.22 0.31

EM Corp USD EMCB 0.44 0.36 0.42 0.55 0.16 0.07 0.26 0.04 0.16 0.30 0.57 0.17 0.46 0.40 0.41 0.18 0.34 0.72 0.58 0.37 0.36 0.17 0.16 0.01 -0.01 0.03 -0.05

Commodities DBC 0.45 0.35 0.45 0.50 -0.17 -0.25 0.06 -0.19 -0.15 -0.04 0.51 0.14 0.43 0.21 0.35 0.14 0.30 0.36 0.48 0.37 0.94 0.49 0.49 0.12 -0.20 -0.06 0.15

Energy Cmdty DBE 0.41 0.33 0.41 0.41 -0.22 -0.30 0.00 -0.25 -0.19 -0.07 0.49 0.12 0.41 0.19 0.33 0.03 0.20 0.32 0.36 0.36 0.94 0.28 0.34 -0.05 -0.10 -0.13 0.06

Agriculture DBA 0.27 0.21 0.26 0.32 -0.06 -0.11 0.03 0.00 -0.09 -0.01 0.20 0.15 0.18 0.19 0.17 0.16 0.22 0.20 0.33 0.17 0.49 0.28 0.27 0.14 -0.22 0.03 0.21

Industrial Metals DBB 0.43 0.36 0.42 0.46 -0.12 -0.17 0.10 -0.12 -0.10 -0.06 0.30 0.08 0.29 0.18 0.33 0.13 0.24 0.18 0.32 0.16 0.49 0.34 0.27 0.10 -0.17 -0.11 0.17

Precious Metals DBP -0.13 -0.20 -0.09 0.08 0.45 0.47 0.45 0.37 0.41 0.35 0.01 0.06 -0.05 0.01 -0.19 0.62 0.54 0.20 0.39 0.01 0.12 -0.05 0.14 0.10 -0.51 0.58 0.42

Bull USD UUP 0.10 0.20 0.00 -0.01 -0.32 -0.32 -0.34 -0.24 -0.30 -0.23 0.09 -0.08 0.13 0.04 0.19 -0.86 -0.73 -0.08 -0.36 -0.01 -0.20 -0.10 -0.22 -0.17 -0.51 -0.60 -0.97

JPYUSD FXY -0.36 -0.42 -0.33 -0.15 0.56 0.58 0.47 0.50 0.51 0.45 -0.16 0.01 -0.22 -0.04 -0.35 0.73 0.50 0.12 0.22 0.03 -0.06 -0.13 0.03 -0.11 0.58 -0.60 0.48

EURUSD FXE -0.13 -0.22 -0.04 -0.03 0.25 0.27 0.27 0.17 0.23 0.16 -0.12 0.06 -0.15 -0.07 -0.19 0.79 0.65 0.02 0.31 -0.05 0.15 0.06 0.21 0.17 0.42 -0.97 0.48

Source: Deutsche Bank, FactSet. Data as of the end of last month. Green cells denote highest correlations, while red cells denote lowest correlations.

Figure 24: 26W Rolling Correlation for selected asset class pairs (5Y)

-1

-0.8

-0.6

-0.4

-0.2

0

0.2

0.4

0.6

0.8

1

Apr-11 Apr-12 Apr-13 Apr-14 Apr-15 Apr-16

Global Equities - 26W Rolling Correlation

US Agg Bond IG Commodities Real Estate Bull USD Gold

0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

0.9

1


US Equities - 26W Rolling Correlation

DM Intl EM Japan Pacific ex JP Europe

-1

-0.8

-0.6

-0.4

-0.2

0

0.2

0.4

0.6

0.8

1


US Fixed Income - 26W Rolling Correlation

US Treasury IG Corp HY Corp Sr Loans

Source: Deutsche Bank, FactSet. Correlations based on weekly total returns of US-listed ETFs: Global Equities (ACWI), US Agg Bond IG (AGG), Commodities (DBC), Real Estate (VNQ) and Gold (GLD). US Equity (VTI), DM Intl (EFA), EM (EEM), Japan (EWJ), Pacific ex JP (EPP), andEurope (VGK). US Fixed Income (AGG), US Treasury (GOVT), IG Corp (LQD), HY Corp (HYG), and Sr Loans (BKLN).

17

March

201

7

US

ETF C

om

pass

17 March 2017

US ETF Compass

12-Month Relative Performance Monitor1

Figure 25: Selected relative performance pairs

0.60

0.80

1.00

1.20

1.40

1.60

Feb

-16

Mar-

16

Ap

r-1

6

May-1

6

Ju

n-1

6

Ju

l-1

6

Au

g-1

6

Sep

-16

Oct-

16

No

v-1

6

Dec-1

6

Jan

-17

Feb

-17

US Equity Sectors

Healthcare/Energy

Technology/Industrials

Financials/Real Estate

Financials/Utilities

0.90

0.95

1.00

1.05

1.10

1.15

Feb

-16

Mar-

16

Ap

r-1

6

May-1

6

Ju

n-1

6

Ju

l-1

6

Au

g-1

6

Sep

-16

Oct-

16

No

v-1

6

Dec-1

6

Jan

-17

Feb

-17

Global Equities

US Total Market/Intl DM

US Total Market/EM

0.80

0.85

0.90

0.95

1.00

1.05

Feb

-16

Mar-

16

Ap

r-1

6

May-1

6

Ju

n-1

6

Ju

l-1

6

Au

g-1

6

Sep

-16

Oct-

16

No

v-1

6

Dec-1

6

Jan

-17

Feb

-17

Intl DM Equities

Eurozone/Europe

Japan/Pacific ex JP

0.80

0.85

0.90

0.95

1.00

1.05

Feb

-16

Mar-

16

Ap

r-1

6

May-1

6

Ju

n-1

6

Ju

l-1

6

Au

g-1

6

Sep

-16

Oct-

16

No

v-1

6

Dec-1

6

Jan

-17

Feb

-17

US Equity Size and Style

S&P 500/Russell 2000 (SM Cap)

Russell 1000 Growth/Russell 1000 Value

0.60

0.70

0.80

0.90

1.00

1.10

1.20

Feb

-16

Mar-

16

Ap

r-1

6

May-1

6

Ju

n-1

6

Ju

l-1

6

Au

g-1

6

Sep

-16

Oct-

16

No

v-1

6

Dec-1

6

Jan

-17

Feb

-17

EM Equities

EM Asia/Latin America

China H/China A

0.70

0.80

0.90

1.00

1.10

1.20

1.30

Feb

-16

Mar-

16

Ap

r-1

6

May-1

6

Ju

n-1

6

Ju

l-1

6

Au

g-1

6

Sep

-16

Oct-

16

No

v-1

6

Dec-1

6

Jan

-17

Feb

-17

Cross Asset Class

Global Equities/Fixed Income (Broad)

Global Equities/Commodities

0.80

0.85

0.90

0.95

1.00

1.05

1.10

1.15

1.20

1.25

Feb

-16

Mar-

16

Ap

r-1

6

May-1

6

Ju

n-1

6

Ju

l-1

6

Au

g-1

6

Sep

-16

Oct-

16

No

v-1

6

Dec-1

6

Jan

-17

Feb

-17

Fixed Income Credit

HY Corporates/US Treasury

HY Corporates/IG Corporates

0.50

0.60

0.70

0.80

0.90

1.00

1.10

Feb

-16

Mar-

16

Ap

r-1

6

May-1

6

Ju

n-1

6

Ju

l-1

6

Au

g-1

6

Sep

-16

Oct-

16

No

v-1

6

Dec-1

6

Jan

-17

Feb

-17

Precious Metals

Gold/Silver

Gold/Platinum

Gold/Palladium 0.80

0.90

1.00

1.10

1.20

1.30

Feb

-16

Mar-

16

Ap

r-1

6

May-1

6

Ju

n-1

6

Ju

l-1

6

Au

g-1

6

Sep

-16

Oct-

16

No

v-1

6

Dec-1

6

Jan

-17

Feb

-17

Fixed Income duration and EM debt

UST Short/UST Long

EM Gov Debt USD/EM Gov Debt Local

Source: Deutsche Bank, FactSet

1 Performance for each asset class is based on the ETFs mentioned in the heatmaps presented earlier inthis section. Total return data is as of the end of last month


17 March 2017

US ETF Compass

House View Portfolio: Monthly Brief

Our House View Portfolio (HVP) was up by 3.05% in February, outperformingits benchmark and Global Equities (ACWI) which were up by 1.42% and 2.51%,respectively during the same period.

Figure 26: House View Portfolio

Target Actual Direction Type

VTI 0.05% 25% 25.5% Long Core Equity US Broad

XLU 0.14% 5% 5.3% Long Satellite Equity US Utilities

KBWB 0.35% 10% 10.6% Long Satellite Equity US Banks

IBB 0.48% 10% 9.8% Long Satellite Equity US Biotech/Pharma

VXUS 0.13% 20% 20.4% Long Core Equity Global ex US

LQD 0.15% 15% 14.4% Long Core Credit Inv. Grade

TIP 0.20% 5% 4.7% Long Satellite Inflation US TIPs

UUP 0.80% 10% 9.3% Long Core FX Long USD

ExposurePosition Asset

Class

Weight

Source: Deutsche Bank. Actual weights as of the end of last month. Last rebalance as of 18-Nov-16

Figure 27: Portfolio performance vs. Global Equities andBenchmark since inception (10/01/2012)

90

100

110

120

130

140

150

160

Oct-12 Apr-13 Oct-13 Apr-14 Oct-14 Apr-15 Oct-15 Apr-16 Oct-16

No

rmalized

Level (1

00

)

House View Port. ACWI Bnchmk

Source: Deutsche Bank, FactSet. Benchmark is 50% Global Equities (ACWI), 30% Fixed Income (BND),and 20% Commodities (DBC) rebalanced at the end of each calendar quarter. Data as of the end of lastmonth.

Figure 28: Monthly performance of portfolio andbenchmark positions

-2% 0% 2% 4% 6% 8%

Fixed Income (BND)

Comdty (DBC)

Equity (ACWI)

FX Long USD (UUP)

Inv. Grade (LQD)

Eq. US Utilities (XLU)

Eq. US Broad (VTI)

Eq. US Bio/Phar. (IBB)

Eq. US Banks (KBWB)

Eq. Global ex US (VXUS)

Inflation (TIP)

Performance

Ho

use V

iew

Po

rt.

Bnchm

k

Source: Deutsche Bank, FactSet. Data as of the end of last month. Performance only applicable whilepositions held in the portfolio.

Figure 29: Portfolio Allocations

0%

10%

20%

30%

40%

50%

60%

70%

80%

Equity Fixed

Income

Alterna-

tives

US Intl

Target Actual

Asset Class Global Equity

Source: Deutsche Bank, FactSet. Actual data as of the end of last month.


17 March 2017

US ETF Compass

Business IntelligenceNew Listing

There were twelve new ETFs listed during the previous month; six were listedin the BATS; five in the NYSE Arca; while the remaining fund was listed in theNasdaq. The new funds offer exposure to Global ex-Mexico companies, thematicexposure to the US water sector and companies with a founder currently servingas CEO, respectively; exposure to HY Corporate bonds with lower volatilities,preferred securities issued by REITs, equally-weighted exposure to large-capGlobal companies and mid- & small-cap US companies, respectively; activelymanaged exposure to Global debt with broad-maturity and four multi-assetstrategies.

Figure 30: Products listed during last month

Ticker NameAsset Class &

StructureListing Date TER

AUM

$MM

PFFR Infracap REIT Preferred ETF Fixed Income ETF 8-Feb-17 0.45% 3

XMX WisdomTree Global EX-Mexico Equity Fund Equity ETF 10-Feb-17 0.35% 3

TBLU Tortoise Water Fund Equity ETF 15-Feb-17 0.40% 3

BOSS Global X Founder-Run Companies ETF Equity ETF 15-Feb-17 0.65% 2

HYLV IQ S&P High Yield Low Volatility Bond ETF Fixed Income ETF 15-Feb-17 0.40% 28

FIXD First Trust TCW Opportunistic Fixed Income ETF Fixed Income ETF 15-Feb-17 0.55% 50

PSMB PowerShares Balanced Multi-Asset Allocation Portfolio Multi Asset ETF 23-Feb-17 0.39% 1

PSMC PowerShares Conservative Multi-Asset Allocation Portfolio Multi Asset ETF 23-Feb-17 0.37% 1

PSMG PowerShares Growth Multi-Asset Allocation Portfolio Multi Asset ETF 23-Feb-17 0.39% 1

PSMM PowerShares Moderately Conservative Multi-Asset Allocation Portfolio Multi Asset ETF 23-Feb-17 0.38% 1

BLES Inspire Global Hope Large Cap ETF Equity ETF 28-Feb-17 0.65% 2

ISMD Inspire Small/Mid Cap Impact ETF Equity ETF 28-Feb-17 0.65% 2

Source: Deutsche Bank, Bloomberg Finance LP.

Equity■ CWM Advisors made its debut in the ETF Market during February listing

two new equally-weighted products investing in companies that supportcauses aligned with biblical values. The first of them (BLES) offersexposure to large-cap Global equities tracking the Inspire Global HopeLarge Cap Index; meanwhile, the second one (ISMD) offers exposure tomid- and small-cap US companies tracking the Inspire Small/Mid capImpact Index. Both funds come with a total expense ratio of 0.65%.

■ Global X listed one new ETF (BOSS) during February, offering thematicexposure to US mid- and large-cap companies with a founder currentlyserving as CEO. BOSS tracks the Solactive U.S. Founder-Run CompaniesIndex and comes with an expense ratio of 0.65%.

■ Tortoise Capital listed one new thematic ETF (TBLU) offering exposure tothe water industry, including infrastructure and management companiesin US and Canada. TBLU tracks the Tortoise Water Index and comes witha total expense ratio of 0.40%.

■ WisdomTree listed one new ETF (XMX) which is designed to provideexposure to Global equity securities excluding Mexico. The ETF includesinvestable countries as identified by the CONSAR (Mexican pension fund


17 March 2017

US ETF Compass

regulator). XMX tracks the WisdomTree Global ex-Mexico Equity Indexand comes with an annual expense ratio of 0.35%.

Fixed Income■ First Trust listed one new ETF (FIXD) offering actively managed exposure

to a portfolio of Global bonds with broad-maturity. FIXD comes with anannual expense ratio of 0.55%.

■ IndexIQ Advisors listed one new ETF (HYLV) which offers exposureto USD-denominated high-yield corporate bonds with lower volatilities.HYLV tracks the S&P U.S. High Yield Low Volatility Corporate Bond Indexand comes with an annual expense ratio of 0.40%.

■ Virtus Investment listed one new fixed income ETF (PFFR) which offersexposure preferred securities issued by Real Estate Investment Trust.PFFR tracks the Indxx REIT Preferred Stock Index and comes with anannual expense ratio of 0.45%.

Multi-Asset■ PowerShares listed four new Multi-Asset ETFs during February, which

target different risk profiles. They are “fund of funds” and offeractively managed exposure to portfolios of different combination ofETFs that invest in multiple asset classes including: US equities, USdebt, International equities, and International debt. The first of them(PSMC) allocates 20-50% to US equity, 50-80% to US debt, and 5-10% tointernational securities. For the second one (PSMM), the allocation rangesare similar to PSMC, but allows a 15% of exposure to foreign securities.While, the third fund (PSMB) is designed to provide access to a portfolioof 50-70% to US equity, 30-50% to US debt and 10-25% to internationalexposure. The last ETF (PSMG) can allocate 60-80% to US equity, 20-40%to US debt, and 20-30% to international securities. The total expenseratios for PSMC, PSMM, PSMB, and PSMG are 0.37%, 0.38%, 0.39%, and0.39%, respectively .

Delistings

Figure 31: Delisted products during last month

Ticker NameAsset Class &

Structure

Delisting

dateTER

AUM at

Delisting $MM

YGRO RBC Yorkville MLP ETN Equity ETN 1-Feb-17 0.90% 15

KLEM GaveKal Knowledge Leaders Emerging Markets ETF Equity ETF 13-Feb-17 0.45% 5



17 March 2017

US ETF Compass

Trends in products launched in the last 12 months

Figure 32: Main trends among those products launched in the last 12 months

Net Cash

Flows

12M $MM

AUM

Feb '17 $MM

New Funds

last 12MAsset Class Focus

Net Cash

Flows

12M $MM

AUM

Feb '17

$MM

New

Funds

last 12M

Total (All) 5,674 5,908 234 Top 5 by Geographic Focus (Equities)

By Asset Class US - US 1,624 1,757 96

Equity 3,437 3,644 173 Global - Global ex US (reg) 441 457 4

Fixed Income 1,617 1,612 39 EM - Global (reg) 432 452 10

Commodities 51 53 6 DM - Global ex US (reg) 328 342 10

Currency - - - Global - Global (reg) 226 232 19

Multi Asset 502 531 12 Top 5 by Category (Fixed Income)

Alternative 66 68 4 Broad 581 572 12

By Management Strategy Corporates 492 497 16

Beta 858 870 46 US Treasury 441 441 2

Beta+ 76 67 14 EM debt 42 42 2

Smart Beta 3,752 3,957 133 Municipal 41 41 4

Active 989 1,015 41


Figure 33: Top 20 products by net cash flow raised in thelast 12 months

Ticker Name TER

Net CF

12M

$MM

CLTL PowerShares Treasury Collateral Portfolio ETF 0.08% 371

FLQE Franklin LibertyQ Emerging Markets ETF 0.55% 308 SHE SPDR SSGA Gender Diversity Index ETF 0.20% 262

FVC First Trust Dorsey Wright Dynamic Focus 5 ETF 0.79% 257

UWT VelocityShares 3x Long Crude Oil ETN 1.50% 224

PSC Principal US Small Cap Index ETF 0.38% 220

VIGI Vanguard International Dividend Appreciation ETF 0.25% 211

AGGP IQ Enhanced Core Plus Bond US ETF 0.20% 211

VYMI Vanguard International High Dividend Yield ETF 0.32% 211

BLHY Virtus Newfleet Dynamic Credit ETF 0.68% 136

HYLB Deutsche X-Trackers USD High Yield Corporate Bond ETF 0.25% 136 DWT VelocityShares 3x Inverse Crude Oil ETN 1.50% 116

ESGD iShares MSCI EAFE ESG Optimized ETF 0.40% 111

DWIN PowerShares DWA Tactical Multi-Asset Income Portfolio 0.25% 111 LVHB Elkhorn Lunt Low Vol/High Beta Tactical ETF 0.49% 102 RFDI First Trust RiverFront Dynamic Developed International ETF 0.83% 88 CATH Global X S&P 500 Catholic Values ETF 0.29% 81

AGGE IQ Enhanced Core Bond US ETF 0.20% 80 FDRR Fidelity Dividend ETF for Rising Rates 0.29% 74 GBIL Goldman Sachs Treasury Access 0-1 Year ETF 0.14% 70

Source: Deutsche Bank, Bloomberg Finance LP. Includes ETNs

Figure 34: Top 20 Issuers by inflows to products launchedin the last 12 months

Top 20 IssuersNet Cash Flows

12M $MM

AUM

Feb '17 $MM

New Funds

last 12M

First Trust 602 643 18

PowerShares 548 554 9

Franklin Templeton 423 436 7

Vanguard 422 438 2

State Street 399 433 9

IndexIQ Advisors 319 311 3

BlackRock 299 315 20

Principal Financial 245 277 5

JPMorgan 216 225 6

Fidelity Investments 195 207 6

Virtus Investment 173 174 4

Global X Funds 168 181 10

Deutsche AM 161 165 5

Goldman Sachs 152 160 4

Elkhorn Inv. 149 159 13

John Hancock Inv. 106 113 6

Janus Capital 95 97 6

Nuveen 92 93 7

ALPS 83 86 8

DirexionShares 76 67 13



17 March 2017

US ETF Compass

Popular Product Segments: Smart Beta & CurrencyHedged

Figure 35: Summary statistics for Smart Beta Equity ETFs

Smart Beta

(Equities)

Feb '17

$MM

YTD

$MM

Feb '17

$MM

MoM

Chg %

Mkt

Shr

Feb '17

$MM

MoM

Chg %

Mkt

Shr

Feb '17

All

Mkt

Shr

YTD

New

Dividend 1,257 2,136 17,612 -23% 17% 152,173 4% 26% 125 20% -

Equal 1,319 1,658 37,948 -11% 37% 43,392 6% 7% 78 12% 3

ESG 49 78 196 -28% 0% 3,350 5% 1% 27 4% -

Fundamental 138 1,602 3,393 -9% 3% 26,170 3% 4% 61 10% 1

Low Risk (949) (739) 6,910 -12% 7% 40,878 1% 7% 56 9% 2

Multi-factor 1,320 1,592 4,208 -24% 4% 34,532 7% 6% 160 25% 1

Single-factor 318 315 1,919 -32% 2% 13,684 6% 2% 47 7% -

Style 4,352 6,688 30,283 -32% 30% 278,240 5% 47% 67 11% -

Other 26 66 111 -2% 0% 825 5% 0% 14 2% -

Total 7,831 13,395 102,586 -21% 100% 593,252 5% 100% 636 100% 7

Net Cash Flows Turnover AUM # of Funds


Figure 36: Summary statistics for Currency-Hedged Equity ETFs

Currency Hedged

(Equities)

Feb '17

$MM

YTD

$MM

Feb '17

$MM

MoM

Chg %

Mkt

Shr

Feb '17

$MM

MoM

Chg %

Mkt

Shr

Feb '17

All

Mkt

Shr

YTD

New

Multiple 176 766 2,789 -17% 29% 17,401 3% 44% 49 51% -

AUD - - 1 77% 0% 7 2% 0% 2 2% -

BRL - - 1 -18% 0% 5 2% 0% 1 1% -

CAD - - 2 214% 0% 3 0% 0% 1 1% -

CHF - 0 1 -63% 0% 4 3% 0% 1 1% -

CNY 1 1 0 229% 0% 4 31% 0% 2 2% -

EUR (252) (591) 2,354 -20% 25% 10,055 2% 25% 15 16% -

GBP 3 10 17 -38% 0% 103 7% 0% 3 3% -

JPY 118 594 4,342 -33% 46% 12,012 2% 30% 17 18% -

KRW - (9) 9 -4% 0% 41 1% 0% 3 3% -

MXN 1 (1) 2 5% 0% 5 24% 0% 2 2% -

Total 48 770 9,517 -26% 100% 39,639 3% 100% 96 100% -



Figure 37: Top 10 Issuers in Equity Smart Beta

Top 10 Issuers

(Equity Smart Beta)

AUM

Feb '17

$MM

Net Cash

Flows

12M $MM

# of Funds

Feb '17

BlackRock 235,991 29,849 80

Vanguard 134,912 20,936 22

State Street 44,262 5,509 56

WisdomTree 40,390 (8,144) 61

PowerShares 37,374 4,681 85

First Trust 30,284 (260) 77

Guggenheim Inv. 21,432 2,910 30

Charles Schwab 19,967 6,626 9

FlexShares 5,258 1,166 16

ProShares 3,773 2,210 6


Figure 38: Top 10 Issuers in Equity Currency hedged

Top 10 Issuers

(Equity Currency Hedged)

AUM

Feb '17

$MM

Net Cash

Flows

12M $MM

# of Funds

Feb '17

WisdomTree 19,103 (10,288) 24

Deutsche AM 13,107 (6,088) 25

BlackRock 6,844 (1,818) 25

IndexIQ Advisors 238 129 3

First Trust 151 141 4

JPMorgan 66 64 2

FlexShares 64 40 2

State Street 22 1 2

O'Shares Investments 15 11 2

PowerShares 10 (152) 3



17 March 2017

US ETF Compass

Average Performance by Products Type and Size (Equity)

1 Month Comparisons

Figure 39: US Equity ETFs - 1 Month Total Returns

BetaSmart

BetaActive All

Large Cap 4.1% 3.7% 3.3% 3.8%

Mid Cap 2.9% 2.5% 2.6%

Small Cap 1.9% 1.3% 2.6% 1.5%

Broad 3.4% 3.4% 2.4% 3.3%

All 3.3% 3.0% 2.7% 3.0%

US Equity, Broad sector,

non levered, 1M Total

Return by

Product Type

Siz

e

Source: Deutsche Bank, FactSet. Total Return corresponds to last month.

Figure 40: US Equity ETFs - # of Funds in 1M sample

BetaSmart

BetaActive All

Large Cap 19 91 8 118

Mid Cap 7 30 - 37

Small Cap 11 45 2 58

Broad 10 72 15 97

All 47 238 25 310


non levered, # of funds by

Product Type

Siz

e

Source: Deutsche Bank.

Figure 41: DM Equity ETFs - 1 Month Total Returns

BetaSmart

BetaActive All

Large Cap 1.8% 1.3% 1.5%

Mid Cap 1.9% 1.9%

Small Cap 3.4% 2.0% 2.8%

Broad 1.6% 1.5% 1.5% 1.5%

All 2.0% 1.6% 1.5% 1.7%

DM Equity, Broad sector,

regional, non levered, 1M

Total Return by

Product Type

Siz

e


Figure 42: DM Equity ETFs - # of Funds in 1M sample

BetaSmart

BetaActive All

Large Cap 6 9 - 15

Mid Cap - 2 - 2

Small Cap 8 7 - 15

Broad 26 75 5 106

All 40 93 5 138


regional, non levered, # of

funds by

Product Type

Siz

e


Figure 43: EM Equity ETFs - 1 Month Total Returns

BetaSmart

BetaActive All

Large Cap 1.1% 1.5% 1.4%

Mid Cap

Small Cap 4.3% 5.5% 4.9%

Broad 1.6% 2.6% 3.8% 2.2%

All 1.8% 2.7% 3.8% 2.3%

EM Equity, Broad sector,

regional, non levered, 1M

Total Return by

Product Type

Siz

e


Figure 44: EM Equity ETFs - # of Funds in 1M sample

BetaSmart

BetaActive All

Large Cap 2 3 - 5

Mid Cap - - - -

Small Cap 2 2 - 4

Broad 25 38 1 64

All 29 43 1 73



funds by

Product Type

Siz

e



17 March 2017

US ETF Compass

1 Year Comparisons

Figure 45: US Equity ETFs - 1 Year Total Returns

BetaSmart

BetaActive All

Large Cap 25.1% 24.2% 21.0% 24.2%

Mid Cap 28.8% 29.0% 29.0%

Small Cap 34.4% 33.7% 15.9% 33.5%

Broad 27.6% 23.8% 20.1% 23.8%

All 28.4% 26.5% 20.2% 26.4%

Product Type

Siz

e


non levered, 1Y Total

Return by


Figure 46: US Equity ETFs - # of Funds in 1Y sample

BetaSmart

BetaActive All

Large Cap 19 83 7 109

Mid Cap 7 29 - 36

Small Cap 11 39 1 51

Broad 10 61 9 80

All 47 212 17 276


non levered, # of funds by

Product Type

Siz

e


Figure 47: DM Equity ETFs - 1 Year Total Returns

BetaSmart

BetaActive All

Large Cap 15.7% 13.8% 14.7%

Mid Cap 18.6% 18.6%

Small Cap 19.1% 20.4% 19.7%

Broad 18.3% 14.8% 6.4% 15.7%

All 18.1% 15.3% 16.1%


regional, non levered, 1Y

Total Return by

Product Type

Siz

e


Figure 48: DM Equity ETFs - # of Funds in 1Y sample

BetaSmart

BetaActive All

Large Cap 6 7 - 13

Mid Cap - 2 - 2

Small Cap 8 7 - 15

Broad 26 67 1 94

All 40 83 1 124



funds by

Product Type

Siz

e


Figure 49: EM Equity ETFs - 1 Year Total Returns

BetaSmart

BetaActive All

Large Cap 24.2% 33.5% 28.8%

Mid Cap

Small Cap 23.9% 33.2% 28.6%

Broad 27.3% 26.0% 26.6%

All 26.8% 26.8% 26.8%


regional, non levered, 1Y

Total Return by

Product Type

Siz

e


Figure 50: EM Equity ETFs - # of Funds in 1Y sample

BetaSmart

BetaActive All

Large Cap 2 2 - 4

Mid Cap - - - -

Small Cap 2 2 - 4

Broad 25 31 - 56

All 29 35 - 64



funds by

Product Type

Siz

e



17 March 2017

US ETF Compass

Total Expense Ratio X-Ray

Figure 51: Average TER analysis by asset class and product type

TER By Beta Beta+ Smart Beta Active All Beta Beta+ Smart Beta Active All

Equity 0.46% 0.91% 0.47% 0.86% 0.54% 0.19% 0.94% 0.27% 0.92% 0.22%

Fixed Income 0.26% 0.87% 0.30% 0.54% 0.37% 0.21% 0.94% 0.31% 0.53% 0.23%

Commodity 0.80% 0.94% 0.78% 0.71% 0.81% 0.41% 0.95% 0.82% 0.62% 0.47%

Currency 0.45% 0.95% 0.75% 0.48% 0.59% 0.56% 0.95% 0.75% 0.49% 0.63%

Multi Asset 0.56% 0.82% 0.77% 0.72% 0.45% 0.73% 0.82% 0.55%

Alternative 2.09% 0.95% 0.77% 1.01% 1.13% 3.51% 0.95% 0.68% 0.93% 1.23%

All 0.45% 0.91% 0.48% 0.72% 0.53% 0.20% 0.94% 0.28% 0.59% 0.23%

Simple Average AUM-Weighted Average

Source: Source: Deutsche Bank, Bloomberg Finance LP.

Figure 52: Selected TER averages for the top 15 Issuers by AUM

BetaSmart

BetaBeta Active Beta

Smart

BetaBeta Active

BlackRock 1,056,239 0.46% 0.31% 0.23% 0.32% 0.36% 0.27% 0.23% 0.22% 0.27% 0.25%

Vanguard 667,642 0.11% 0.14% 0.09% 0.11% 0.09% 0.09% 0.08% 0.09%

State Street 538,557 0.33% 0.29% 0.27% 0.52% 0.32% 0.13% 0.33% 0.30% 0.59% 0.18%

PowerShares 119,749 0.42% 0.50% 0.40% 0.30% 0.50% 0.23% 0.44% 0.53% 0.39%

Charles Schwab 66,873 0.08% 0.27% 0.07% 0.16% 0.06% 0.18% 0.06% 0.00% 0.09%

First Trust 44,571 0.61% 0.68% 0.76% 0.71% 0.60% 0.62% 0.84% 0.66%

WisdomTree 41,886 0.44% 0.48% 0.15% 0.54% 0.47% 0.43% 0.49% 0.15% 0.50%

VanEck Vectors 34,761 0.62% 0.53% 0.34% 0.69% 0.53% 0.49% 0.00% 0.53%

Guggenheim Inv. 34,255 0.62% 0.49% 0.39% 0.47% 0.55% 0.42% 0.00% 0.28% 0.40%

ProShares 26,795 0.29% 0.47% 0.51% 0.88% 0.39% 0.36% 0.67% 0.84%

ALPS 14,494 0.63% 0.62% 0.41% 0.60% 0.84% 0.45% 0.00% 0.74%

Deutsche AM 13,851 0.53% 0.43% 0.28% 0.47% 0.27% 0.00% 0.40%

FlexShares 13,055 0.48% 0.45% 0.20% 0.30% 0.39% 0.48% 0.40% 0.25% 0.38%

PIMCO 12,879 0.27% 0.51% 0.39% 0.00% 0.40%

DirexionShares 11,165 0.64% 0.84% 0.00% 0.64% 0.00% 0.00% 0.93%

Equity Fixed IncomeAll

Simple Average AUM-Weighted Average

AllEquity Fixed IncomeAUM Feb

'17 $MMTop 15 Issuers



17 March 2017

US ETF Compass

ETF StatisticsGlobal ETF Assets and Provider Ranking

Figure 53: Historical Growth of Global ETP Asset*

'07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17*

Asia Pacific ($) 62 53 67 84 91 136 169 202 284 314 345

Europe ($) 132 145 244 309 297 368 416 459 506 570 615

US ($) 612 535 783 997 1,046 1,333 1,678 1,979 2,113 2,533 2,738

US, Europe & Asia Pacific ($) 804 733 1,094 1,390 1,435 1,838 2,262 2,640 2,904 3,417 3,698

Europe (€) 90 104 170 231 229 279 302 379 466 541 579

Number of ETPs** 1,213 1,666 2,041 2,580 3,124 3,492 3,711 4,019 4,453 4,734 4,774

0

1,000

2,000

3,000

4,000

5,000

6,000

0

500

1,000

1,500

2,000

2,500

3,000

3,500

4,000

Nu

mb

er

of

ET

Ps

AU

M $

billio

n

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 54: Top 10 Global ETP Provider Ranking and Summary Statics

IssuerCurrent

AUM

Mkt.

Share2016 AUM

2016 Mkt.

Share

Current

Month CF

Current

Month TOYTD CF

BlackRock 1,353,009 36.6% 1,262,390 36.9% 671 17,752 390,334 37,752

Vanguard 698,856 18.9% 639,873 18.7% 112 12,567 78,906 28,176

State Street 578,177 15.6% 538,567 15.8% 268 10,528 534,639 12,786

PowerShares 122,365 3.3% 112,834 3.3% 167 1,098 52,599 3,140

Nomura Asset Management 90,728 2.5% 79,904 2.3% 51 2,737 21,056 6,910

Deutsche AM 75,637 2.0% 72,241 2.1% 246 276 7,046 918

Charles Schwab 66,873 1.8% 59,750 1.7% 21 2,252 7,271 4,411

Lyxor 58,825 1.6% 53,664 1.6% 219 2,502 9,950 3,614

First Trust 44,839 1.2% 41,230 1.2% 126 794 6,330 1,607

WisdomTree 42,463 1.1% 40,436 1.2% 119 259 9,242 535

Total Top 10 3,131,771 84.7% 2,900,889 84.9% 2,000 50,766 1,117,372 99,849

Others 566,564 15.3% 516,520 15.1% 2,774 14,525 302,330 26,827

Global Total 3,698,335 100.0% 3,417,409 100.0% 4,774 65,291 1,419,702 126,675

Source: Deutsche Bank, Bloomberg Finance LP, FactSet. data as of the end of last month.


17 March 2017

US ETF Compass

US Historical ETF Trends

Figure 55: Annual ETP historical growth in AUM and # offunds

-

200

400

600

800

1,000

1,200

1,400

1,600

1,800

2,000

- 200 400 600 800

1,000 1,200 1,400 1,600 1,800 2,000 2,200 2,400 2,600 2,800 3,000

2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017*

Nu

mb

er

of

ET

Ps

AU

M $

billio

n

Others

Fixed Income

Equity

# Funds

Source: Deutsche Bank, Bloomberg Finance LP. ETPs include ETFs and ETVs; ETVs represent about 2%of ETP assets and track mostly non-Equity and non-Fixed Income exposures. *YTD data as of the endof last month.

Figure 56: Monthly ETF Volume $ growth vs. VIX and ETFVolume

0%

10%

20%

30%

40%

50%

60%

70%

-

500

1,000

1,500

2,000

2,500

3,000

3,500

Jan

-05

Au

g-0

5

Mar-

06

Oct-

06

May-0

7

Dec-0

7

Ju

l-0

8

Feb

-09

Sep

-09

Ap

r-1

0

No

v-1

0

Ju

n-1

1

Jan

-12

Au

g-1

2

Mar-

13

Oct-

13

May-1

4

Dec-1

4

Ju

l-1

5

Feb

-16

Sep

-16

ET

F t

rad

ing

as %

of

all U

S C

ash

E

qu

ity t

rad

ing

an

d V

IX L

evel (

en

d o

f m

on

th)

Mo

nth

ly E

TF T

urn

over

$b

illio

n ETF Turnover ETF % Cash Eqty VIX

Source: Deutsche Bank, Bloomberg Finance LP. ETF Turnover excludes ETVs and ETNs. Data as of theend of last month.

Figure 57: Net Cash Flows and AUM historicalcomparison between Mutual Funds and ETFs*

0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

20%

-300,000

-200,000

-100,000

0

100,000

200,000

300,000

400,000

500,000

ET

F A

UM

as %

of

Mu

tual Fu

nd

AU

M

Net

Cash

Flo

ws $

millio

n

MF CF ETF CF ETF/MF % AUM

Source: Deutsche Bank, ICI, Bloomberg Finance LP. *Data as of the end of January 2017. Mutual Fundsonly include Long Term Mutual Funds.

Figure 58: Net Cash Flows and AUM historicalcomparison between Active and Passive mgmt style*

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

50%

-500,000

-400,000

-300,000

-200,000

-100,000

0

100,000

200,000

300,000

400,000

500,000

600,000

Passiv

e A

UM

as %

of

Acti

ve A

UM

Net

Cash

Flo

ws $

millio

n

Active MF+ETF Passive MF+ETF

Passive / Active %

Source: Deutsche Bank, ICI, Bloomberg Finance LP. *Data as of the end of December 2016. Mutual Fundsonly include Long Term Mutual Funds.


17 March 2017

US ETF Compass

ETF Issuer and Index Provider league tables

Figure 59: ETP Issuer league table (excludes ETN assets)

Top 50 Issuers TotalMkt

Shr EquityFixed

IncomeCmdty Other

Feb '17

$MM

YTD

$MMFeb '17

$MM

Mkt

Shr Feb '17YTD

New

BlackRock 1,056,239 38.6% 795,509 242,436 15,587 2,706 13,949 29,762 358,734 29.4% 334 0

Vanguard 667,642 24.4% 549,504 118,138 - - 12,855 27,456 74,868 6.1% 70 0

State Street 538,557 19.7% 459,587 44,594 33,975 402 10,184 9,422 526,365 43.1% 150 1

PowerShares 119,749 4.4% 87,463 25,090 5,228 1,969 1,086 3,122 52,361 4.3% 148 5

Charles Schwab 66,873 2.4% 59,333 7,540 - - 2,252 4,411 7,271 0.6% 21 0

First Trust 44,571 1.6% 37,789 5,231 141 1,410 773 1,573 6,294 0.5% 115 1

WisdomTree 41,886 1.5% 40,479 574 212 620 184 387 9,131 0.7% 95 1

VanEck Vectors 34,761 1.3% 25,903 8,564 130 164 1,790 3,166 54,378 4.5% 59 0

Guggenheim Inv. 34,255 1.3% 23,752 8,884 - 1,618 468 1,441 6,078 0.5% 76 0

ProShares 26,795 1.0% 19,237 3,709 1,561 2,288 302 453 49,607 4.1% 142 0

ALPS 14,494 0.5% 14,105 358 - 31 556 1,043 2,877 0.2% 24 1

Deutsche AM 13,851 0.5% 13,624 227 - - (12) 315 2,296 0.2% 40 0

FlexShares 13,055 0.5% 10,114 2,941 - - 517 910 1,026 0.1% 25 0

PIMCO 12,879 0.5% - 12,879 - - 261 161 2,809 0.2% 14 0

DirexionShares 11,165 0.4% 10,608 558 - - 150 (69) 53,576 4.4% 82 2

Fidelity Investments 5,918 0.2% 5,518 400 - - 291 479 1,743 0.1% 21 0

Global X Funds 4,514 0.2% 4,246 234 - 33 246 542 1,215 0.1% 56 1

US Commodity Funds 4,273 0.2% 6 - 4,267 - 47 (132) 6,381 0.5% 13 0

Goldman Sachs 3,050 0.1% 2,980 70 - - 20 145 219 0.0% 7 0

ETF Securities 2,463 0.1% - - 2,463 - 47 63 304 0.0% 5 0

ETC 2,418 0.1% 1,644 508 - 265 73 160 283 0.0% 18 0

IndexIQ Advisors 2,254 0.1% 565 311 - 1,377 27 (12) 259 0.0% 20 1

OppenheimerFunds 1,960 0.1% 1,960 - - - 167 317 289 0.0% 9 0

JPMorgan 1,340 0.0% 1,254 31 - 55 81 162 198 0.0% 11 0

ETFMG 1,160 0.0% 1,146 14 - - 102 183 383 0.0% 13 0

Compass EMP 1,135 0.0% 1,135 - - - 81 182 138 0.0% 11 0

AdvisorShares Trust 1,099 0.0% 442 587 36 34 19 13 148 0.0% 22 0

Millington Securities 1,037 0.0% 564 - - 473 (23) (27) 63 0.0% 12 0

Columbia Mgmt 990 0.0% 977 13 - - (9) (10) 145 0.0% 14 0

Pacer Advisors 825 0.0% 825 - - - 19 48 119 0.0% 6 0

Virtus Investment 788 0.0% 405 362 - 20 30 177 167 0.0% 11 2

John Hancock Inv. 740 0.0% 740 - - - 35 45 50 0.0% 12 0

Franklin Templeton 606 0.0% 382 224 - - 45 55 67 0.0% 8 1

Principal Financial 561 0.0% 277 - - 285 - 2 3 0.0% 6 0

Highland Capital 486 0.0% - 486 - - (9) 8 72 0.0% 1 0

O'Shares Investments 452 0.0% 452 - - - 3 17 73 0.0% 6 0

Cambria Funds 379 0.0% 293 9 - 77 24 36 41 0.0% 8 0

KraneShares 289 0.0% 279 10 - - 10 10 89 0.0% 5 0

Blue Sky Asset Management 179 0.0% 89 - - 90 47 177 44 0.0% 5 5

Empowered Funds 167 0.0% 167 - - - 1 26 16 0.0% 4 0

Elkhorn Inv. 165 0.0% 131 12 22 - 1 27 33 0.0% 15 0

Teucrium Trading 161 0.0% - - 161 - 1 0 84 0.0% 5 0

Horizons Management 150 0.0% 150 - - - 2 3 17 0.0% 5 0

Legg Mason 142 0.0% 142 - - - (3) 7 24 0.0% 6 0

Janus Capital 117 0.0% 77 40 - - 7 38 15 0.0% 8 0

Hartford Funds 116 0.0% 116 - - - 2 6 20 0.0% 5 0

ArrowShares 112 0.0% 4 - - 109 (1) 0 14 0.0% 3 0

Nuveen 93 0.0% 44 49 - - - 4 8 0.0% 7 0

ARK Inv. Mgmt 86 0.0% 86 - - - 6 13 17 0.0% 5 0

Davis Advisors 69 0.0% 69 - - - 36 68 37 0.0% 3 3Other 503 0.0% 470 - - 33 25 43 90 0.0% 35 3

Total 2,737,567 100% 2,174,643 485,083 63,783 14,059 46,765 86,428 1,220,536 100% 1,796 27

Assets Under Management Feb '17 $MM Net Cash Flows Turnover # of Funds

Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month.


17 March 2017

US ETF Compass

Figure 60: Index Provider league table (excludes ETN assets)

Turnover

Top 20 Index Providers TotalMkt

Shr EquityFixed

IncomeCmdty Other

Feb '17

$MM

YTD

$MMFeb '17

$MM

Mkt

Shr Feb '17YTD

New

S&P Dow Jones 978,721 35.8% 933,118 39,898 2,166 3,539 15,172 26,578 620,375 50.8% 398 3

FTSE Russell 395,763 14.5% 394,508 1,215 - 40 3,202 4,508 137,721 11.3% 139 -

MSCI 378,325 13.8% 378,325 - - - 5,577 14,641 128,535 10.5% 247 -

Bloomberg Barclays 283,931 10.4% - 283,931 - - 6,860 15,935 44,266 3.6% 104 -

CRSP 208,600 7.6% 208,600 - - - 3,733 6,699 16,316 1.3% 13 -

Nasdaq OMX 94,919 3.5% 93,805 223 - 891 138 171 59,011 4.8% 60 -

Markit iBoxx 55,807 2.0% - 55,807 - - 2,676 3,856 25,691 2.1% 14 -

Commodity - Physical 54,958 2.0% - - 54,958 - 1,840 926 28,077 2.3% 20 -

WisdomTree 40,539 1.5% 40,479 20 - 40 176 384 8,919 0.7% 74 1

ICE 35,070 1.3% - 35,070 - - (71) 893 31,529 2.6% 7 1

Active 31,839 1.2% 4,004 24,848 1,080 1,906 1,066 2,027 5,611 0.5% 163 10

NYSE Euronext 28,598 1.0% 28,016 551 - 31 1,673 1,519 45,048 3.7% 40 -

Morningstar 22,547 0.8% 21,939 296 - 312 488 961 2,260 0.2% 27 -

Market Vectors 14,287 0.5% 13,993 130 - 164 843 1,693 40,607 3.3% 32 -

BofA Merrill Lynch 13,110 0.5% 155 12,921 - 35 233 563 2,595 0.2% 22 -

J.P. Morgan 12,104 0.4% - 12,089 - 15 1,132 1,442 5,456 0.4% 4 -

Alerian 10,758 0.4% 10,758 - - - 419 695 2,402 0.2% 2 -

Deutsche Bank 9,579 0.3% - 4,182 4,519 878 90 10 2,748 0.2% 15 -

Accretive AM 7,890 0.3% 3 7,887 - - 296 707 1,239 0.1% 19 -

Other 60,222 2.2% 46,940 6,014 1,060 6,208 1,223 2,220 12,131 44.4% 396 12

Total 2,737,567 100% 2,174,643 485,083 63,783 14,059 46,765 86,428 1,220,536 100% 1,796 27

Assets Under Management Feb '17 $MM Net Cash Flows # of Funds



17 March 2017

US ETF Compass

Monthly Snapshot

Figure 61: ETP Summary Statistics by Asset Class

Asset ClassFeb '17

$MM

YTD

$MMFeb '17

$MM

MoM

Chg %

Mkt

ShrFeb '17 $MM

MoM

Chg %

Mkt

ShrFeb '17

All

Mkt

Shr

YTD

New

Equity 32,504 59,227 1,041,473 -12% 85% 2,174,643 5% 79% 1,329 74% 14

Fixed Income 12,327 26,312 124,279 -18% 10% 485,083 3% 18% 304 17% 5

Commodities 1,839 980 34,914 -5% 3% 63,783 6% 2% 53 3% 1

Currency (79) (107) 2,939 -36% 0% 3,049 -2% 0% 24 1% -

Multi Asset 78 (199) 631 -52% 0% 7,043 3% 0% 46 3% 7

Alternative 95 215 16,300 -3% 1% 3,967 3% 0% 40 2% -

Total 46,765 86,428 1,220,536 -13% 100% 2,737,567 4.4% 100% 1,796 100% 27

AUMTurnover Net Cash Flows # of Funds


Figure 62: ETP Summary Statistics by Management Style (Active-Passive)

Passive-->ActiveFeb '17

$MM

YTD

$MMFeb '17

$MM

MoM

Chg %

Mkt

ShrFeb '17 $MM

MoM

Chg %

Mkt

ShrFeb '17

All

Mkt

Shr

YTD

New

Beta 37,064 69,831 1,006,917 -12% 82% 2,058,254 4% 75% 695 39% 4

Beta+ 306 (39) 101,590 -10% 8% 32,567 1% 1% 193 11% 2

Smart Beta 8,355 14,658 106,423 -21% 9% 614,873 5% 22% 744 41% 11

Active 1,041 1,978 5,606 -14% 0% 31,874 4% 1% 164 9% 10

Total 46,765 86,428 1,220,536 -13% 100% 2,737,567 4.4% 100% 1,796 100% 27

Turnover AUMNet Cash Flows # of Funds


Figure 63: ETP Summary Statistics by Product Type

Product TypeFeb '17

$MM

YTD

$MMFeb '17

$MM

MoM

Chg %

Mkt

ShrFeb '17 $MM

MoM

Chg %

Mkt

ShrFeb '17

All

Mkt

Shr

YTD

New

Asset Allocation 19,746 44,647 149,193 -21% 12% 939,009 5% 34% 1,499 83% 25

Cash Management 17,613 37,593 181,526 -24% 15% 1,069,081 4% 39% 64 4% -

Pseudo Futures 9,100 4,230 788,228 -8% 65% 696,908 5% 25% 41 2% -

Leveraged & Inverse 305 (42) 101,589 -10% 8% 32,568 1% 1% 192 11% 2

Total 46,765 86,428 1,220,536 -13% 100% 2,737,567 4.4% 100% 1,796 100% 27

Turnover AUMNet Cash Flows # of Funds



17 March 2017

US ETF Compass

Equity Breakdowns

Figure 64: ETP Summary Statistics by Geographic Focus – Global and Developed Market Equities

Geographic Focus

(Equities)

Feb '17

$MM

YTD

$MMFeb '17

$MM

MoM

Chg %

Mkt

ShrFeb '17 $MM

MoM

Chg %

Mkt

ShrFeb '17

All

Mkt

Shr

YTD

New

Global Markets Equities

Global (reg) 2,044 3,174 79,829 -12% 8% 53,820 3% 2% 133 10% 5

Global ex US (reg) 928 1,678 4,692 -24% 0% 38,812 4% 2% 32 2% 1

Asia Pacific (reg) - - 0 -60% 0% 21 1% 0% 1 0% -

Asia Pacific ex JP (reg) (5) (151) 701 -48% 0% 3,098 3% 0% 7 1% -

Total GME 2,967 4,701 85,223 -13% 8% 95,750 3% 4% 173 13% 6

Developed Market Equities

Global (reg) 159 428 2,358 5% 0% 13,029 4% 1% 41 3% -

Global ex US (reg) 3,787 9,448 34,895 -31% 3% 191,650 3% 9% 94 7% -

Global ex JP (reg) - - 12 -42% 0% 173 3% 0% 1 0% -

Europe & Middle East

Europe (reg) 158 33 4,648 -17% 0% 19,281 2% 1% 33 2% -

Denmark - - 21 -25% 0% 59 0% 0% 1 0% -

Norway (2) (5) 34 -16% 0% 148 -3% 0% 2 0% -

Sweden 9 1 185 -23% 0% 294 3% 0% 1 0% -

Switzerland 24 13 313 -48% 0% 1,187 4% 0% 3 0% -

UK 101 550 1,165 -45% 0% 2,739 6% 0% 7 1% -

Eurozone (Reg) (52) (214) 6,774 -10% 1% 20,624 2% 1% 15 1% -

Austria 21 26 49 -9% 0% 107 25% 0% 1 0% -

Belgium 4 (3) 24 -46% 0% 83 6% 0% 1 0% -

Finland (2) (2) 12 -20% 0% 35 -3% 0% 1 0% -

France - 20 254 8% 0% 325 0% 0% 1 0% -

Germany 21 10 2,041 21% 0% 4,982 1% 0% 8 1% -

Ireland - (2) 11 -28% 0% 63 2% 0% 1 0% -

Israel 1 9 23 -28% 0% 156 5% 0% 3 0% -

Italy (66) (19) 480 -55% 0% 538 -11% 0% 3 0% -

Netherlands 4 4 88 -8% 0% 180 6% 0% 1 0% -

Portugal - - 3 -39% 0% 21 2% 0% 1 0% -

Spain 45 154 527 -26% 0% 804 6% 0% 4 0% -

North America

North America (reg) 62 137 260 -6% 0% 2,595 1% 0% 4 0% -

Canada (175) (52) 1,394 12% 0% 3,580 -6% 0% 6 0% -

US 21,782 35,836 798,506 -10% 77% 1,617,423 5% 74% 681 51% 3

Asia Pacific

Pacific (reg) 124 127 413 -22% 0% 4,436 5% 0% 6 0% -

Japan (146) 917 9,816 -32% 1% 29,295 1% 1% 31 2% -

Pacific ex JP (reg) 38 127 428 -37% 0% 2,517 5% 0% 2 0% -

Australia (22) 100 946 -15% 0% 2,025 3% 0% 7 1% -

Hong Kong - (212) 787 -59% 0% 1,609 2% 0% 2 0% -

New Zealand 24 24 60 21% 0% 147 19% 0% 1 0% -

Singapore (18) (24) 217 -26% 0% 545 -1% 0% 1 0% -

Total DME 25,883 47,434 866,741 -12% 83% 1,920,650 5% 88% 964 73% 3

Total Equities 32,504 59,227 1,041,473 -12% 100% 2,174,643 5% 100% 1,329 100% 14




17 March 2017

US ETF Compass

Figure 65: ETP Summary Statistics by Geographic Focus – Emerging Market Equities

Geographic Focus

(Equities)

Feb '17

$MM

YTD

$MMFeb '17

$MM

MoM

Chg %

Mkt

ShrFeb '17 $MM

MoM

Chg %

Mkt

ShrFeb '17

All

Mkt

Shr

YTD

New

Emerging Market Equities

Global (reg) 3,195 6,224 47,812 -16% 5% 118,527 6% 5% 66 5% -

BRIC (reg) 20 20 86 333% 0% 266 11% 0% 2 0% -

Asia

Asia (reg) 95 144 138 0% 0% 803 18% 0% 4 0% -

China (68) (182) 13,099 -9% 1% 7,273 3% 0% 27 2% -

China A 10 24 311 -42% 0% 735 3% 0% 12 1% -

India 17 41 3,082 -5% 0% 7,222 7% 0% 10 1% -

Indonesia (13) (28) 343 2% 0% 556 0% 0% 2 0% -

Malaysia - 2 263 -25% 0% 259 2% 0% 1 0% -

Philippines (2) 11 113 -23% 0% 159 -2% 0% 1 0% -

South Korea - (8) 2,065 -18% 0% 3,214 3% 0% 7 1% -

Taiwan (23) (23) 2,386 -2% 0% 2,984 4% 0% 2 0% -

Thailand 15 19 198 -18% 0% 403 4% 0% 1 0% -

Europe

Europe (reg) 6 9 8 -16% 0% 45 12% 0% 1 0% -

Poland 7 10 142 -5% 0% 250 8% 0% 2 0% -

Russia (86) 113 3,820 -16% 0% 3,370 -8% 0% 6 0% -

Turkey (9) 59 270 -34% 0% 418 3% 0% 1 0% -

Greece (2) 2 60 8% 0% 267 1% 0% 1 0% -

Middle East & Africa

ME & Africa (reg) - - 1 -68% 0% 30 2% 0% 1 0% -

Middle East (reg) - (2) 11 -32% 0% 18 0% 0% 1 0% -

Africa (reg) - (1) 4 -21% 0% 66 -5% 0% 1 0% -

Egypt 4 9 31 24% 0% 54 20% 0% 1 0% -

South Africa - (11) 408 -27% 0% 404 2% 0% 1 0% -

Qatar - (1) 2 -55% 0% 49 2% 0% 1 0% -

UAE - (1) 3 -42% 0% 43 0% 0% 1 0% -

Latin America

Latin America (reg) 21 64 839 -16% 0% 1,310 5% 0% 7 1% -

Brazil 589 654 10,532 -20% 1% 5,945 16% 0% 10 1% -

Chile (8) (31) 201 -20% 0% 391 1% 0% 1 0% -

Colombia 1 11 23 -4% 0% 114 -1% 0% 2 0% -

Mexico (236) (230) 2,877 -36% 0% 1,649 -10% 0% 5 0% -

Peru 11 29 91 -1% 0% 249 2% 0% 1 0% -

Frontier Markets

Frontier (reg) 30 39 139 -4% 0% 634 5% 0% 3 0% -

Argentina 9 14 35 4% 0% 111 12% 0% 1 0% -

Nigeria 5 9 10 24% 0% 34 8% 0% 1 0% -

Pakistan 12 21 14 15% 0% 33 52% 0% 1 0% -

Saudi Arabia - - 2 -45% 0% 6 -2% 0% 1 0% -

Vietnam 12 18 49 -10% 0% 288 7% 0% 1 0% -

Total EME 3,613 7,029 89,468 -16% 9% 158,181 6% 7% 187 14% -

Total Equities 32,504 59,227 1,041,473 -12% 100% 2,174,643 5% 100% 1,329 100% 14




17 March 2017

US ETF Compass

Figure 66: ETP Summary Statistics by Size and Market – Equities

Market Cap Segment

(Equities)

Feb '17

$MM

YTD

$MM

Feb '17

$MM

MoM

Chg %

Mkt

ShrFeb '17 $MM

MoM

Chg %

Mkt

Shr

Feb '17

All

Mkt

Shr

YTD

New

US Equities

Large Cap 11,792 13,561 562,243 -8% 54% 824,622 5% 38% 182 14% -

Mid Cap 3,092 7,279 19,374 -22% 2% 149,318 5% 7% 55 4% -

Small Cap 958 5,115 94,962 -16% 9% 152,162 2% 7% 82 6% -

Broad 5,939 9,881 121,927 -15% 12% 491,313 5% 23% 361 27% 3

Total US Equities 21,782 35,836 798,505 -10% 77% 1,617,415 5% 74% 680 51% 3

DM Intl Equities

Large Cap (12) 117 1,830 7% 0% 6,697 1% 0% 24 2% 1

Mid Cap 3 3 24 21% 0% 337 3% 0% 2 0% -

Small Cap 583 673 1,698 0% 0% 12,763 7% 1% 22 2% -

Broad 3,555 10,838 64,712 -28% 6% 283,463 3% 13% 237 18% 1

Total DM Intl Equities 4,129 11,631 68,264 -27% 7% 303,260 3% 14% 285 21% 2

EM Equities

Large Cap 20 64 12,011 -10% 1% 5,379 4% 0% 15 1% -

Mid Cap - - 1 -42% 0% 5 3% 0% 1 0% -

Small Cap 23 11 519 28% 0% 2,435 6% 0% 13 1% -

Broad 3,570 6,955 76,937 -17% 7% 150,362 6% 7% 158 12% -

Total EM Equities 3,613 7,029 89,468 -16% 9% 158,181 6% 7% 187 14% -

Total Equities 32,504 59,227 1,041,473 -12% 100% 2,174,643 5% 100% 1,329 100% 14



Figure 67: ETP Summary Statistics by Style and Market – Equities

Style

(Equities)

Feb '17

$MM

YTD

$MMFeb '17

$MM

MoM

Chg %

Mkt

ShrFeb '17 $MM

MoM

Chg %

Mkt

ShrFeb '17

All

Mkt

Shr

YTD

New

US Equities

Growth 1,964 424 12,356 -34% 1% 129,249 5% 6% 40 3% -

Value 3,031 6,218 17,237 -30% 2% 146,316 5% 7% 44 3% -

Dividend 304 1,412 10,231 -21% 1% 120,232 4% 6% 55 4% -

Blend 16,483 27,781 758,682 -9% 73% 1,221,618 5% 56% 541 41% 3


DM Intl Equities

Growth (53) 25 345 -46% 0% 2,592 0% 0% 1 0% -

Value (99) 444 696 -35% 0% 4,907 -1% 0% 1 0% -

Dividend 238 709 7,147 -27% 1% 29,977 3% 1% 50 4% -

Blend 4,056 10,483 60,088 -27% 6% 265,813 3% 12% 236 18% 5

Total DM Intl Equities 4,142 11,660 68,277 -27% 7% 303,289 3% 14% 288 22% 5

EM Equities

Dividend 74 60 472 7% 0% 3,465 6% 0% 15 1% -

Blend 3,539 6,970 88,996 -16% 9% 154,716 6% 7% 172 13% -

Total EM Equities 3,613 7,029 89,468 -16% 9% 158,181 6% 7% 187 14% -

Total Equities 32,504 59,227 1,041,473 -12% 100% 2,174,643 5% 100% 1,329 100% 14




17 March 2017

US ETF Compass

Figure 68: ETP Summary Statistics by Sectors – US Equities

Sector

(US Equities)

Feb '17

$MM

YTD

$MMFeb '17

$MM

MoM

Chg %

Mkt

ShrFeb '17 $MM

MoM

Chg %

Mkt

ShrFeb '17

All

Mkt

Shr

YTD

New

Consumer Discretionary 485 1,037 15,733 -15% 2% 20,192 5% 1% 25 4% -

Consumer Staples 346 217 14,005 2% 2% 15,017 7% 1% 17 3% -

Energy 475 1,236 37,472 0% 5% 42,174 -1% 3% 37 5% -

Financials 2,640 3,627 44,380 -6% 6% 52,673 11% 3% 40 6% -

Healthcare 1,047 1,388 33,050 -10% 4% 44,757 9% 3% 39 6% -

Industrials 888 1,212 15,889 -11% 2% 22,553 8% 1% 19 3% -

Materials (157) 219 8,657 -8% 1% 8,598 -1% 1% 15 2% -

Real Estate (81) 1,106 20,135 -10% 3% 53,244 3% 3% 22 3% -

Technology 1,120 1,801 15,141 -12% 2% 46,776 7% 3% 37 5% -

Telecom (202) 40 915 -27% 0% 2,220 -12% 0% 5 1% -

Utilities 257 (586) 14,249 4% 2% 11,930 7% 1% 12 2% -

Theme (586) 153 944 -9% 0% 8,861 -4% 1% 58 9% 3

Overall 15,548 24,386 577,934 -12% 72% 1,288,420 5% 80% 354 52% -




Commodity Breakdowns

Figure 69: ETP Summary Statistics by Sectors and Sub Sectors– Commodity

Sector

(Commodities)

Feb '17

$MM

YTD

$MMFeb '17

$MM

MoM

Chg %

Mkt

ShrFeb '17 $MM

MoM

Chg %

Mkt

ShrFeb '17

Mkt

Shr

YTD

New

Diversified Broad 58 131 1,231 -43% 4% 5,462 1% 9% 10 19% -

Agriculture 30 67 383 -10% 1% 960 3% 2% 7 13% -

Energy (36) (157) 11,318 -3% 32% 5,336 -1% 8% 15 28% -

Crude Oil (178) (317) 9,306 -2% 27% 4,505 -3% 7% 8 15% -

Natural Gas 170 187 1,942 -10% 6% 607 18% 1% 4 8% -

Industrial Metals (9) (10) 100 -31% 0% 309 -2% 0% 2 4% -

Precious Metals 1,796 950 21,883 -1% 63% 51,716 8% 81% 19 36% 1

Gold 1,764 1,005 19,533 1% 56% 43,617 8% 68% 10 19% 1

Silver (15) (92) 2,121 -19% 6% 6,876 6% 11% 5 9% -

Platinum 33 29 96 -3% 0% 567 11% 1% 1 2% -

Palladium - (7) 41 -24% 0% 198 3% 0% 1 2% -

Total Commodities 1,839 980 34,914 -5% 100% 63,783 6% 100% 53 100% 1




17 March 2017

US ETF Compass

Fixed Income Breakdowns

Figure 70: ETP Summary Statistics by Category – Fixed Income

Categories

(Fixed Income)

Feb '17

$MM

YTD

$MMFeb '17

$MM

MoM

Chg %

Mkt

ShrFeb '17 $MM

MoM

Chg %

Mkt

ShrFeb '17

All

Mkt

Shr

YTD

New

Broad 2,646 5,658 17,667 -24% 14% 142,219 2% 29% 55 18% 1

Convertible 134 82 640 -32% 1% 3,386 6% 1% 3 1% -

Corporates 5,723 10,426 44,551 -17% 36% 151,686 5% 31% 95 31% 1

EM debt 1,340 1,750 6,619 -10% 5% 18,598 9% 4% 23 8% -

Inflation 1,056 2,129 4,959 -30% 4% 34,531 4% 7% 15 5% -

International (97) (139) 624 -37% 1% 2,911 -3% 1% 12 4% -

Municipal (106) 316 4,217 -32% 3% 25,336 0% 5% 36 12% 1

Preferred 384 452 3,391 -24% 3% 27,572 3% 6% 11 4% 1

Securitized 674 1,501 2,732 -7% 2% 15,436 5% 3% 9 3% -

Senior Loans 442 1,551 2,285 -21% 2% 11,856 4% 2% 4 1% -

US Treasury 132 2,586 36,594 -12% 29% 51,551 0% 11% 41 13% 1

Total Fixed Income 12,327 26,312 124,279 -18% 100% 485,083 3% 100% 304 100% 5



Figure 71: ETP Summary Statistics by Credit Quality – Fixed Income

Credit Quality

(Fixed Income)

Feb '17

$MM

YTD

$MMFeb '17

$MM

MoM

Chg %

Mkt

ShrFeb '17 $MM

MoM

Chg %

Mkt

ShrFeb '17

All

Mkt

Shr

YTD

New

Investment Grade 9,370 21,381 86,532 -19% 70% 368,620 3% 76% 199 65% 1

High Yield 978 2,702 26,582 -17% 21% 62,303 2% 13% 52 17% 1

Mixed 1,979 2,229 11,166 -14% 9% 54,160 5% 11% 53 17% 3




Figure 72: ETP Summary Statistics by Duration – Fixed Income

Duration

(Fixed Income)

Feb '17

$MM

YTD

$MMFeb '17

$MM

MoM

Chg %

Mkt

ShrFeb '17 $MM

MoM

Chg %

Mkt

ShrFeb '17

All

Mkt

Shr

YTD

New

Short 3,646 9,546 20,684 -18% 17% 125,101 3% 26% 77 25% 1

Intermediate 1,198 3,820 32,068 -21% 26% 96,579 2% 20% 42 14% -

Long 114 388 27,180 -10% 22% 18,873 1% 4% 29 10% -

Broad 6,773 11,319 42,631 -21% 34% 233,355 4% 48% 116 38% 4

Set Maturity 597 1,239 1,716 5% 1% 11,174 6% 2% 40 13% -





17 March 2017

US ETF Compass

Top 15 ETFs (includes ETNs)

Figure 73: Top 15 by 1M Total Return Gain (non-levered)

Ticker Name TERTotal

Return

DOD ELEMENTS Dogs of the Dow Linked to the DJ High 0.75% 16.1%

JJN iPath Dow Jones-UBS Nickel Subindex Total Return 0.75% 12.9%

SBIO ALPS Medical Breakthroughs ETF 0.50% 11.5%

SCIN Columbia India Small Cap ETF 0.85% 11.2%

BBC BioShares Biotechnology Clinical Trials Fund 0.85% 10.8%

NINI iPath Pure Beta Nickel ETN 0.75% 10.3%

DBES Deutsche X-trackers MSCI EAFE Small Cap Hedged 0.45% 9.3%

SMIN iShares MSCI India Small-Cap ETF 0.74% 9.1%

ARKG ARK Genomic Revolution Multi-Sector ETF 0.95% 9.1%

PJP PowerShares Dynamic Pharmaceuticals Portfolio 0.63% 8.7%

FBT First Trust NYSE Arca Biotechnology Index Fund 0.60% 8.6%

TAN Guggenheim Solar ETF 0.70% 8.5%

BRF VanEck Vectors Brazil Small-Cap ETF 0.59% 8.4%

XBI SPDR S&P Biotech ETF 0.35% 8.2%

IHE iShares U.S. Pharmaceuticals ETF 0.43% 8.1%


Figure 74: Top 15 by 1M Total Return Loss (non-levered)

Ticker Name TERTotal

Return

UNG United States Natural Gas Fund LP 1.11% -14.9%

NIB iPath Dow Jones-UBS Cocoa Subindex Total Return 0.75% -10.4%

UNL United States 12 Month Natural Gas Fund 0.75% -9.4%

CHOC iPath Pure Beta Cocoa ETN 0.75% -9.2%

VMAX REX VolMAXX Long VIX Weekly Futures Strategy ETF 0.95% -8.9%

PSCE PowerShares S&P SmallCap Energy Portfolio 0.29% -8.9%

GAZ iPath Dow Jones-UBS Natural Gas Subindex Total 0.75% -8.7%

NGE Global X MSCI Nigeria ETF 0.68% -7.7%

PXI PowerShares DWA Energy Momentum Portfolio 0.66% -7.0%

SILJ PureFunds ISE Junior Silver ETF 0.69% -7.0%

DCNG iPath Seasonal Natural Gas ETN 0.75% -7.0%

ERUS iShares MSCI Russia Capped ETF 0.62% -6.8%

JO iPath Dow Jones-UBS Coffee Subindex Total Return 0.75% -6.8%

SGDM Sprott Gold Miners ETF 0.57% -6.7%

IYZ iShares U.S. Telecommunications ETF 0.43% -6.3%


Figure 75: Top 15 by 1M Inflows

Ticker Name TERInflows

$MM

SPY SPDR S&P 500 ETF 0.09% 3,140

LQD iShares iBoxx $ Investment Grade Corporate Bond ETF 0.15% 2,467

IEMG iShares Core MSCI Emerging Markets ETF 0.14% 2,431

GLD SPDR Gold Shares 0.40% 1,664

VEA Vanguard FTSE Developed Markets ETF 0.09% 1,280

XLF Financial Select Sector SPDR Fund 0.14% 1,245

XLV Health Care Select Sector SPDR Fund 0.14% 1,225

VCSH Vanguard Short-Term Corporate Bond ETF 0.07% 1,077

IVV iShares Core S&P 500 ETF 0.04% 1,053

VTI Vanguard Total Stock Market ETF 0.05% 1,047

VOO Vanguard S&P 500 ETF 0.05% 1,047

EMB iShares J.P. Morgan USD Emerging Markets Bond 0.40% 1,002

IJR iShares Core S&P Small-Cap ETF 0.07% 921

VTV Vanguard Value ETF 0.08% 875

EFA iShares MSCI EAFE ETF 0.33% 833

Source: Deutsche Bank, Bloomberg Finance LP. Inflows correspond to last month.

Figure 76: Top 15 by 1M Outflows

Ticker Name TEROutflows

$MM

IWM iShares Russell 2000 ETF 0.20% (1,724)

DIA SPDR Dow Jones Industrial Average ETF 0.17% (885)

PKW PowerShares Buyback Achievers Portfolio 0.71% (667)

SPHD PowerShares S&P 500 High Dividend Low Volatility

Portfolio

0.30% (552)

EWJ iShares MSCI Japan ETF 0.48% (347)

MUB iShares National AMT-Free Muni Bond ETF 0.25% (304)

USMV iShares Edge MSCI Min Vol USA ETF 0.15% (294)

ACWV iShares Edge MSCI Min Vol Global ETF 0.20% (287)

EWW iShares MSCI Mexico Capped ETF 0.48% (237)

HEDJ WisdomTree Europe Hedged Equity Fund 0.58% (191)

XLB Materials Select Sector SPDR Fund 0.14% (188)

EWC iShares MSCI Canada ETF 0.48% (187) HYG iShares iBoxx $ High Yield Corporate Bond ETF 0.50% (182)

IHI iShares U.S. Medical Devices ETF 0.43% (179)

IYZ iShares U.S. Telecommunications ETF 0.43% (173)

Source: Deutsche Bank, Bloomberg Finance LP. Outflows correspond to last month.

Figure 77: Top 15 by AUM

Ticker Name TERAUM

$MM

SPY SPDR S&P 500 ETF 0.09% 238,125

IVV iShares Core S&P 500 ETF 0.04% 97,869

VTI Vanguard Total Stock Market ETF 0.05% 75,642

EFA iShares MSCI EAFE ETF 0.33% 63,918

VOO Vanguard S&P 500 ETF 0.05% 63,150

VWO Vanguard FTSE Emerging Markets ETF 0.14% 49,166

QQQ PowerShares QQQ 0.20% 45,298

VEA Vanguard FTSE Developed Markets ETF 0.09% 44,292

AGG iShares Core U.S. Aggregate Bond ETF 0.05% 42,413

IJH iShares Core S&P Mid-Cap ETF 0.07% 38,554

IWD iShares Russell 1000 Value ETF 0.20% 36,839

IWM iShares Russell 2000 ETF 0.20% 36,713

VNQ Vanguard REIT ETF 0.12% 35,213


IWF iShares Russell 1000 Growth ETF 0.20% 33,521

Source: Deutsche Bank, Bloomberg Finance LP. AUM as of the end of last month.

Figure 78: Top 15 by $ Volume traded last month

Ticker Name TERVolume

$MM

SPY SPDR S&P 500 ETF 0.09% 318,230

IWM iShares Russell 2000 ETF 0.20% 67,836

QQQ PowerShares QQQ 0.20% 39,409

EEM iShares MSCI Emerging Markets ETF 0.69% 31,610

GDX VanEck Vectors Gold Miners ETF 0.52% 27,365

XLF Financial Select Sector SPDR Fund 0.14% 27,137

TLT iShares 20+ Year Treasury Bond ETF 0.15% 22,845

XLE Energy Select Sector SPDR Fund 0.14% 17,829


EFA iShares MSCI EAFE ETF 0.33% 17,567

XIV VelocityShares Daily Inverse VIX Short-Term ETN 1.35% 16,227

GDXJ VanEck Vectors Junior Gold Miners ETF 0.54% 15,836

VXX iPath S&P 500 VIX Short-Term Futures ETN 0.89% 15,590

HYG iShares iBoxx $ High Yield Corporate Bond ETF 0.50% 14,874

XLV Health Care Select Sector SPDR Fund 0.14% 14,187

Source: Deutsche Bank, Bloomberg Finance LP. Volume $ corresponds to total traded last month.


17 March 2017

US ETF Compass

Appendix A: ETN Snapshot

Figure 79: ETN Summary by Asset Class

Asset Class Feb-17End of

%Chg Feb-17 Jan-17 YTDYTD Chg %

AUMFeb-17 Jan-17 %Chg Feb-17

End of %Chg AUM Turnover

# of

ETNsEquity 14,465 13,649 6.0% (25) (16) (16) -0.1% 1,868 2,340 -20.2% 54 55 -1.8% 62.3% 3.9% 28.1%Fixed income 126 131 -4.1% 0 0 0 0.1% 32 77 -58.8% 11 11 0.0% 0.5% 0.1% 5.7%Commodity 5,329 4,673 14.1% 378 305 305 6.5% 12,047 12,159 -0.9% 92 90 2.2% 22.9% 25.3% 47.9%Currency 54 64 -15.5% 0 (10) (10) -16.1% 17 67 -74.7% 11 11 0.0% 0.2% 0.0% 5.7%Multi Asset 493 455 8.3% (6) 16 16 3.4% 83 117 -28.7% 5 5 0.0% 2.1% 0.2% 2.6%Alternative 2,761 2,687 2.8% 182 164 164 6.1% 33,592 35,722 -6.0% 19 19 0.0% 11.9% 70.5% 9.9%Total 23,229 21,660 7.2% 530 459 459 2.1% 47,639 50,482 -5.6% 192 191 0.5% 100.0% 100.0% 100.0%

AUM ($ MM) Cash Flow ($ MM) Turnover ($ MM) # of ETNs Market Share %


Figure 80: ETN Summary by Issuer

Issuer Feb-17End of

%Chg Feb-17 Jan-17 YTDYTD Chg %

AUMFeb-17 Jan-17 %Chg Feb-17

End of %Chg AUM Turn-over

# of

ETNs

Barclays Bank 7,170 6,833 4.9% 249 289 289 4.2% 16,662 17,944 -7.1% 82 82 0.0% 30.9% 35.0% 42.7%UBS 6,994 6,528 7.1% (17) 53 53 0.8% 656 826 -20.5% 44 42 4.8% 30.1% 1.4% 22.9%Credit Suisse 3,527 3,105 13.6% 256 48 48 1.5% 25,426 27,982 -9.1% 24 24 0.0% 15.2% 53.4% 12.5%JPMorgan 3,898 3,758 3.7% - - - 0.0% 1,246 1,525 -18.3% 1 1 0.0% 16.8% 2.6% 0.5%Deutsche Bank 323 315 2.5% (3) (6) (6) -2.0% 70 75 -5.8% 20 20 0.0% 1.4% 0.1% 10.4%Swedish Export CC 398 396 0.5% (1) (3) (3) -0.8% 31 31 1.5% 7 7 0.0% 1.7% 0.1% 3.6%Citigroup 627 409 53.2% 61 89 89 21.7% 3,541 2,087 69.7% 5 5 0.0% 2.7% 7.4% 2.6%Goldman Sachs 120 122 -1.3% - - - 0.0% 2 0 466.3% 1 1 0.0% 0.5% 0.0% 0.5%Morgan Stanley 64 64 -0.6% - - - 0.0% 0 1 -37.9% 1 1 0.0% 0.3% 0.0% 0.5%BMO Capital Markets 55 52 5.5% - - - 0.0% 0 3 -87.5% 1 1 0.0% 0.2% 0.0% 0.5%

VanEck Vectors 40 50 -20.6% - (10) (10) -20.7% 2 7 -68.3% 4 4 0.0% 0.2% 0.0% 2.1%RBC GAM 5 20 -76.4% (15) - - 0.0% 0 1 -96.4% 1 2 -50.0% 0.0% 0.0% 0.5%Guggenheim 8 8 4.1% - - - 0.0% 0 0 113.9% 1 1 0.0% 0.0% 0.0% 0.5%Total 23,229 21,660 7.2% 530 459 459 2.1% 47,639 50,482 -5.6% 192 191 0.5% 100.0% 100.0% 100.0%

AUM ($ MM) Cash Flow ($ MM) Turnover ($ MM) # of ETNs Market Share %



17 March 2017

US ETF Compass

Appendix B: ETF ListFigure 81: Global and US Equities Reference list

5-Day $ 5-Day bps

Global Equities ACWI iShares MSCI ACWI ETF CM 28-Mar-08 0.33% 6,473 127 28 155 0.01 1.6

US Total Market VTI Vanguard Total Stock Market ETF CM 31-May-01 0.05% 76,243 280 4,746 5,026 0.01 0.9

S&P 500 (Large Cap) SPY SPDR S&P 500 ETF PF 29-Jan-93 0.09% 243,617 18,584 9,502 28,086 0.01 0.4

DJI DIA SPDR Dow Jones Industrial Average ETF PF 14-Jan-98 0.17% 16,762 753 1,101 1,854 0.01 0.5

NASDAQ-100 QQQ PowerShares QQQ PF 10-Mar-99 0.20% 46,323 2,154 4,573 6,726 0.01 0.8

Russell 1000 Growth IWF iShares Russell 1000 Growth ETF PF 22-May-00 0.20% 33,965 157 1,193 1,350 0.01 0.9

Russell 1000 Value IWD iShares Russell 1000 Value ETF PF 22-May-00 0.20% 36,831 233 5,306 5,539 0.01 0.9

S&P 400 (Mid Cap) MDY SPDR S&P MidCap 400 ETF PF 4-May-95 0.25% 20,236 372 1,075 1,446 0.04 1.3

Russell 2000 (SM Cap) IWM iShares Russell 2000 ETF PF 22-May-00 0.20% 36,327 3,856 268 4,124 0.01 0.8

Div. Growth VIG Vanguard Dividend Appreciation ETF CM 27-Apr-06 0.09% 26,160 70 715 785 0.01 1.2

Div. Yield DVY iShares Select Dividend ETF CM 7-Nov-03 0.39% 17,158 78 1,084 1,162 0.01 1.3

Div. Yield VYM Vanguard High Dividend Yield ETF CM 16-Nov-06 0.08% 18,557 75 4,194 4,269 0.01 1.4

Div. Yield & Growth SDY SPDR S&P Dividend ETF CM 15-Nov-05 0.35% 15,418 61 388 449 0.01 1.5

Cons. Discretionary XLY Consumer Discretionary Select Sector SPDR Fund PF 22-Dec-98 0.14% 12,307 318 1,970 2,289 0.01 1.2

Hotels, Rest & Leisure PEJ PowerShares Dynamic Leisure and Entertainment Portf AA 23-Jun-05 0.63% 124 1 16 18 0.05 11.9

Home Builders XHB SPDR S&P Homebuilders ETF PF 2-Feb-06 0.35% 1,078 58 239 298 0.01 2.8

Household Durables ITB iShares U.S. Home Construction ETF CM 5-May-06 0.43% 1,392 69 50 119 0.01 3.2

Media PBS PowerShares Dynamic Media Portfolio AA 23-Jun-05 0.63% 151 3 44 47 0.06 20.9

Retail XRT SPDR S&P Retail ETF PF 22-Jun-06 0.35% 507 319 182 500 0.01 2.5

Cons. Staples XLP Consumer Staples Select Sector SPDR Fund PF 22-Dec-98 0.14% 8,822 594 1,438 2,032 0.01 1.8

Food Products PBJ PowerShares Dynamic Food & Beverage Portfolio AA 23-Jun-05 0.63% 146 1 44 45 0.07 22.7

Energy XLE Energy Select Sector SPDR Fund PF 22-Dec-98 0.14% 16,496 1,091 1,168 2,259 0.01 1.4

Energy Eq. & Serv. OIH Market Vectors Oil Services ETF PF 7-Feb-01 0.35% 997 153 180 333 0.01 3.3

Energy Eq. & Serv. XES SPDR S&P Oil & Gas Equipment & Services ETF AA 22-Jun-06 0.35% 320 16 108 123 0.01 6.2

Energy Eq. & Serv. IEZ iShares U.S. Oil Equipment & Services ETF AA 5-May-06 0.43% 240 3 68 71 0.05 10.7

Energy E&P XOP SPDR S&P Oil & Gas Exploration & Production ETF PF 22-Jun-06 0.35% 2,155 539 193 732 0.01 2.8

Energy E&P IEO iShares U.S. Oil & Gas Exploration & Production ETF AA 5-May-06 0.43% 404 8 812 820 0.04 6.8

MLPs AMLP Alerian MLP ETF CM 25-Aug-10 0.85% 10,638 126 87 213 0.01 7.9

Financials XLF Financial Select Sector SPDR Fund PF 22-Dec-98 0.14% 25,604 1,516 1,416 2,932 0.01 4.0

Large Banks KBWB PowerShares KBW Bank Portfolio AA 1-Nov-11 0.35% 1,063 31 605 635 0.03 5.8

Regional Banks KRE SPDR S&P Regional Banking ETF PF 22-Jun-06 0.35% 4,256 377 337 714 0.01 1.8

Capital Markets KCE SPDR S&P Capital Markets ETF AA 15-Nov-05 0.35% 100 1 93 94 0.11 23.0

Insurance KIE SPDR S&P Insurance ETF AA 15-Nov-05 0.35% 1,025 10 254 264 0.04 5.0

Healthcare XLV Health Care Select Sector SPDR Fund PF 22-Dec-98 0.14% 16,414 697 1,914 2,611 0.01 1.3

Biotech & Pharma IBB iShares Nasdaq Biotechnology ETF PF 5-Feb-01 0.47% 8,228 406 149 555 0.18 6.1

Large Biotech BBH Market Vectors Biotech ETF AA 23-Nov-99 0.35% 697 6 122 128 0.10 7.9

HC Eq. & Supplies IHI iShares U.S. Medical Devices ETF AA 5-May-06 0.43% 1,086 21 187 208 0.09 5.9

HC Providers & Serv IHF iShares U.S. Healthcare Providers ETF AA 5-May-06 0.43% 531 3 68 72 0.12 8.7

Large Pharma PPH Market Vectors Pharmaceutical ETF AA 1-Feb-00 0.35% 335 18 347 365 0.04 7.1

Industrials XLI Industrial Select Sector SPDR Fund PF 22-Dec-98 0.14% 11,113 663 1,714 2,377 0.01 1.5

Aerospace & Def ITA iShares U.S. Aerospace & Defense ETF AA 5-May-06 0.43% 2,575 40 100 141 0.07 4.7

Transportation IYT iShares Transportation Average ETF AA 10-Oct-03 0.43% 1,169 60 97 158 0.06 3.6

Materials XLB Materials Select Sector SPDR Fund PF 22-Dec-98 0.14% 3,709 234 447 681 0.01 1.9

Metals & Mining XME SPDR S&P Metals and Mining ETF PF 22-Jun-06 0.35% 961 144 83 226 0.01 3.4

Real Estate VNQ Vanguard REIT ETF CM 29-Sep-04 0.12% 33,393 353 398 751 0.01 1.3

Technology VGT Vanguard Information Technology ETF AA 30-Jan-04 0.10% 11,849 54 2,184 2,238 0.03 2.5

Comm. Equipment IGN iShares North American Tech-Multimedia Networking E AA 10-Jul-01 0.47% 78 2 115 117 0.04 8.0

Int. Software & Serv. FDN First Trust Dow Jones Internet Index Fund AA 23-Jun-06 0.60% 3,906 28 164 192 0.03 3.2

Semiconductors SMH Market Vectors Semiconductor ETF PF 5-May-00 0.35% 583 137 395 532 0.01 1.4

Software IGV iShares North American Tech-Software ETF AA 10-Jul-01 0.47% 745 15 272 287 0.06 4.8

Telecom VOX Vanguard Telecommunication Services ETF AA 29-Sep-04 0.10% 1,389 10 13 24 0.09 9.4

Utilities XLU Utilities Select Sector SPDR Fund PF 22-Dec-98 0.14% 6,952 784 535 1,319 0.01 2.0

AUM $M20D ADV

$M

Implied

Liq. $M

Total

Liq. $M

Avg. Bid/Ask SpreadsListing Date TER

Product

TypeAsset Class Ticker ETF Name

Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of 14-Mar-17. Bid/Ask Spreads are provided only as reference, actual spreads are trade-specific. Product Type: Asset Allocation (AA),Cash Management (CM), Pseudo Futures (PF).


17 March 2017

US ETF Compass

Figure 82: International Equities Reference list

5-Day $ 5-Day bps

Intl DM EFA iShares MSCI EAFE ETF CM 14-Aug-01 0.33% 64,572 951 1,877 2,828 0.01 1.6

Canada EWC iShares MSCI Canada ETF CM 12-Mar-96 0.48% 3,296 81 578 659 0.01 3.8

Israel EIS iShares MSCI Israel Capped ETF AA 28-Mar-08 0.62% 114 1 38 39 0.19 36.9

Europe VGK Vanguard FTSE Europe ETF CM 3-Mar-05 0.10% 10,968 150 456 606 0.01 2.0

Denmark EDEN iShares MSCI Denmark Capped ETF AA 26-Jan-12 0.53% 60 1 29 30 0.08 15.4

Norway NORW Global X FTSE Norway 30 ETF AA 10-Nov-10 0.50% 120 1 10 12 0.02 18.2

Sweden EWD iShares MSCI Sweden ETF AA 12-Mar-96 0.48% 299 10 226 236 0.01 4.1

Switzerland EWL iShares MSCI Switzerland Capped ETF AA 12-Mar-96 0.48% 1,072 19 359 379 0.01 3.2

UK EWU iShares MSCI United Kingdom ETF CM 12-Mar-96 0.48% 2,549 64 1,147 1,211 0.01 3.2

Eurozone EZU iShares MSCI Eurozone ETF CM 25-Jul-00 0.48% 8,113 183 579 762 0.01 2.8

Austria EWO iShares MSCI Austria Capped ETF AA 12-Mar-96 0.48% 125 3 4 7 0.02 11.1

Belgium EWK iShares MSCI Belgium Capped ETF AA 12-Mar-96 0.48% 85 2 8 10 0.01 7.7

Finland EFNL iShares MSCI Finland Capped ETF AA 26-Jan-12 0.53% 36 0 20 21 0.06 19.0

France EWQ iShares MSCI France ETF AA 12-Mar-96 0.48% 348 16 770 786 0.01 4.0

Germany EWG iShares MSCI Germany ETF CM 12-Mar-96 0.48% 4,340 94 350 445 0.01 3.6

Ireland EIRL iShares MSCI Ireland Capped ETF AA 7-May-10 0.48% 63 1 11 12 0.14 35.7

Italy EWI iShares MSCI Italy Capped ETF CM 12-Mar-96 0.48% 539 23 259 282 0.01 4.2

Netherlands EWN iShares MSCI Netherlands ETF AA 12-Mar-96 0.48% 187 7 68 75 0.01 5.2

Portugal PGAL Global X FTSE Portugal 20 ETF AA 13-Nov-13 0.61% 21 0 0 0 0.03 36.6

Spain EWP iShares MSCI Spain Capped ETF CM 12-Mar-96 0.48% 778 31 91 122 0.01 3.5

Japan EWJ iShares MSCI Japan ETF CM 12-Mar-96 0.48% 15,910 298 1,192 1,490 0.01 2.0

Pacific ex JP EPP iShares MSCI Pacific ex Japan ETF AA 25-Oct-01 0.49% 2,623 24 326 350 0.01 2.6

Australia EWA iShares MSCI Australia ETF CM 12-Mar-96 0.48% 1,933 48 472 521 0.01 4.6

Hong Kong EWH iShares MSCI Hong Kong ETF CM 12-Mar-96 0.48% 1,604 38 123 161 0.01 4.6

New Zealand ENZL iShares MSCI New Zealand Capped ETF AA 2-Sep-10 0.48% 143 4 6 10 0.10 25.1

Singapore EWS iShares MSCI Singapore ETF CM 12-Mar-96 0.48% 537 13 71 84 0.01 4.6

EM EEM iShares MSCI Emerging Markets ETF PF 7-Apr-03 0.69% 28,366 2,023 520 2,543 0.01 2.6

Latin America ILF iShares Latin America 40 ETF AA 26-Oct-01 0.49% 1,072 50 64 114 0.01 3.4

Brazil EWZ iShares MSCI Brazil Capped ETF PF 10-Jul-00 0.62% 5,264 623 165 788 0.01 2.7

Chile ECH iShares MSCI Chile Capped ETF AA 16-Nov-07 0.62% 406 12 11 23 0.04 8.6

Colombia GXG Global X FTSE Colombia 20 ETF AA 9-Feb-09 0.68% 94 1 1 3 0.03 36.5

Mexico EWW iShares MSCI Mexico Capped ETF PF 12-Mar-96 0.48% 1,625 149 15 164 0.01 2.2

Peru EPU iShares MSCI Peru Capped ETF AA 22-Jun-09 0.62% 230 6 1 7 0.05 15.2

EM Asia EEMA iShares MSCI Emerging Markets Asia ETF AA 9-Feb-12 0.49% 308 3 364 367 0.18 31.2

China H FXI iShares China Large-Cap ETF PF 8-Oct-04 0.73% 3,090 519 207 726 0.01 2.6

China A ASHR Deutsche X-trackers Harvest CSI 300 China A-Shares ET AA 6-Nov-13 0.65% 401 12 3 15 0.01 4.6

India INDA iShares MSCI India ETF AA 2-Feb-12 0.68% 4,472 94 123 217 0.01 3.3

Indonesia EIDO iShares MSCI Indonesia ETF AA 7-May-10 0.62% 427 20 4 24 0.01 4.4

Malaysia EWM iShares MSCI Malaysia ETF CM 12-Mar-96 0.48% 272 15 15 30 0.01 3.6

Philippines EPHE iShares MSCI Philippines ETF AA 29-Sep-10 0.62% 158 8 6 14 0.03 8.3

South Korea EWY iShares MSCI South Korea Capped ETF CM 9-May-00 0.62% 3,178 113 144 257 0.01 1.8

Taiwan EWT iShares MSCI Taiwan ETF PF 20-Jun-00 0.62% 2,965 124 130 255 0.01 3.1

Thailand THD iShares MSCI Thailand Capped ETF AA 28-Mar-08 0.62% 399 12 3 15 0.08 10.4

EM Europe GUR SPDR S&P Emerging Europe ETF AA 23-Mar-07 0.49% 47 0 1 1 0.18 64.5

Greece GREK Global X FTSE Greece 20 ETF AA 8-Dec-11 0.65% 265 2 0 2 0.02 22.1

Poland EPOL iShares MSCI Poland Capped ETF AA 26-May-10 0.62% 235 8 7 15 0.01 6.4

Russia RSX Market Vectors Russia ETF PF 26-Apr-07 0.63% 2,291 186 0 186 0.01 5.1

Turkey TUR iShares MSCI Turkey ETF AA 28-Mar-08 0.62% 404 13 17 31 0.03 7.5

Middle East

Qatar QAT iShares MSCI Qatar Capped ETF AA 1-May-14 0.63% 47 0 2 2 0.30 155.5

UAE UAE iShares MSCI UAE Capped ETF AA 1-May-14 0.63% 43 0 4 5 0.12 72.0

Africa AFK Market Vectors Africa Index ETF AA 14-Jul-08 0.78% 66 0 5 5 0.18 90.1

Egypt EGPT Market Vectors Egypt Index ETF AA 18-Feb-10 0.98% 53 1 1 2 0.34 120.3

South Africa EZA iShares MSCI South Africa ETF AA 7-Feb-03 0.62% 411 23 95 118 0.04 7.2

Frontier Market FM iShares MSCI Frontier 100 ETF AA 13-Sep-12 0.79% 568 4 49 53 0.06 21.9

Argentina ARGT Global X MSCI Argentina ETF AA 3-Mar-11 0.75% 124 2 1 3 0.07 28.1

Nigeria NGE Global X MSCI Nigeria ETF AA 3-Apr-13 0.68% 37 0 0 1 0.03 77.9

Pakistan PAK Global X MSCI Pakistan ETF AA 23-Apr-15 0.88% 33 1 1 2 0.07 38.0

Vietnam VNM Market Vectors Vietnam ETF AA 14-Aug-09 0.76% 285 3 2 5 0.02 15.0

BRIC BKF iShares MSCI BRIC ETF AA 16-Nov-07 0.69% 199 2 567 569 0.06 17.1

Total

Liq. $MAsset Class Ticker ETF Name

Product

TypeListing Date

Avg. Bid/Ask SpreadsTER AUM $M

20D ADV

$M

Implied

Liq. $M



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Figure 83: Non-Equity Reference list

5-Day $ 5-Day bps

Fixed Income (Broad) AGG iShares Core U.S. Aggregate Bond ETF CM 26-Sep-03 0.05% 42,280 303 n.a. n.a. 0.01 0.9

US Treasury GOVT iShares Core U.S. Treasury Bond ETF AA 16-Feb-12 0.15% 3,479 29 n.a. n.a. 0.01 4.2

Very Short SHV iShares Short Treasury Bond ETF CM 12-Jan-07 0.15% 4,706 78 n.a. n.a. 0.01 0.9

Short SHY iShares 1-3 Year Treasury Bond ETF CM 26-Jul-02 0.15% 11,044 85 n.a. n.a. 0.01 1.2

Intermediate IEI iShares 3-7 Year Treasury Bond ETF CM 12-Jan-07 0.15% 6,333 51 n.a. n.a. 0.02 1.5

Long TLT iShares 20+ Year Treasury Bond ETF PF 26-Jul-02 0.15% 5,984 1,076 n.a. n.a. 0.01 0.9

US Inflation TIP iShares TIPS Bond ETF CM 12-Apr-03 0.20% 22,528 184 n.a. n.a. 0.01 0.9

Municipal MUB iShares National AMT-Free Muni Bond ETF AA 9-Sep-07 0.25% 7,708 63 n.a. n.a. 0.02 1.7

Securitized MBB iShares MBS ETF AA 15-Mar-07 0.29% 10,014 81 n.a. n.a. 0.02 1.6

IG Corporates LQD iShares iBoxx $ Investment Grade Corporate Bond ETF CM 26-Jul-02 0.15% 29,597 543 n.a. n.a. 0.01 0.9

HY Corporates HYG iShares iBoxx $ High Yield Corporate Bond ETF PF 10-Apr-07 0.50% 16,213 1,066 n.a. n.a. 0.01 1.2

Floater FLOT iShares Floating Rate Bond ETF AA 17-Jun-11 0.20% 5,033 54 n.a. n.a. 0.01 2.0

Senior Loans BKLN PowerShares Senior Loan Portfolio CM 3-Mar-11 0.65% 8,971 114 n.a. n.a. 0.01 4.3

Preferred PFF iShares U.S. Preferred Stock ETF CM 30-Mar-07 0.47% 16,822 110 n.a. n.a. 0.01 2.7

Convertible CWB SPDR Barclays Convertible Securities ETF AA 16-Apr-09 0.40% 3,354 28 n.a. n.a. 0.01 2.8

Intl DM Debt BWX SPDR Barclays International Treasury Bond ETF AA 5-Oct-07 0.50% 1,145 15 n.a. n.a. 0.02 8.8

Intl Inflation WIP SPDR DB International Government Inflation-Protected AA 19-Mar-08 0.50% 478 3 n.a. n.a. 0.19 36.1

EM Gov Debt USD EMB iShares J.P. Morgan USD Emerging Markets Bond ETF CM 12-Dec-07 0.40% 9,065 258 n.a. n.a. 0.02 1.5

EM Gov Debt Local EMLC Market Vectors Emerging Markets Local Currency Bon AA 23-Jul-10 0.47% 2,773 24 n.a. n.a. 0.01 5.8

EM Corp USD EMCB WisdomTree Emerging Markets Corporate Bond Fund AA 8-Mar-12 0.60% 49 2 n.a. n.a. 0.59 83.6

EM HY Corp USD HYEM Market Vectors Emerging Markets High Yield Bond ET AA 9-May-12 0.40% 361 5 n.a. n.a. 0.06 22.6

Commodities DBC PowerShares DB Commodity Index Tracking Fund CM 3-Feb-06 0.85% 2,250 35 n.a. n.a. 0.01 6.6

Energy Cmdty DBE PowerShares DB Energy Fund AA 5-Jan-07 0.75% 144 2 n.a. n.a. 0.02 13.6

Crude Oil WTI USO United States Oil Fund LP PF 3-Apr-06 0.45% 2,707 266 n.a. n.a. 0.01 9.4

Natural Gas UNG United States Natural Gas Fund LP PF 18-Apr-07 1.11% 433 116 n.a. n.a. 0.01 14.1

Agriculture DBA PowerShares DB Agriculture Fund CM 5-Jan-07 0.85% 777 17 n.a. n.a. 0.01 5.2

Industrial Metals DBB PowerShares DB Base Metals Fund AA 5-Jan-07 0.75% 285 4 n.a. n.a. 0.01 6.8

Precious Metals DBP PowerShares DB Precious Metals Fund AA 5-Jan-07 0.75% 153 1 n.a. n.a. 0.04 10.3

Gold Physical GLD SPDR Gold Shares PF 18-Nov-04 0.40% 32,333 882 n.a. n.a. 0.01 0.9

Silver Physical SLV iShares Silver Trust PF 27-Apr-06 0.50% 5,631 113 n.a. n.a. 0.01 6.2

Platinum Physical PPLT ETFS Physical Platinum Shares AA 8-Jan-10 0.60% 507 5 n.a. n.a. 0.09 10.1

Palladium Physical PALL ETFS Physical Palladium Shares AA 8-Jan-10 0.60% 190 2 n.a. n.a. 0.12 16.8

Bull USD UUP PowerShares DB US Dollar Index Bullish Fund CM 20-Feb-07 0.80% 756 41 n.a. n.a. 0.01 3.8

JPYUSD FXY CurrencyShares Japanese Yen Trust PF 13-Feb-07 0.40% 101 16 n.a. n.a. 0.02 1.8

EURUSD FXE CurrencyShares Euro Currency Trust PF 12-Dec-05 0.40% 263 72 n.a. n.a. 0.01 1.0

Asset Class Ticker ETF NameProduct

TypeListing Date TER AUM $M

20D ADV

$M

Implied

Liq. $M

Total

Liq. $M

Avg. Bid/Ask Spreads



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Appendix C: DefinitionsETP Universe Definitions

Exchange-Traded Products (ETPs)We define an exchange-traded product (ETP) as a secure (funded or collateralized)open-ended exchange-traded equity with no embedded optionality and market-wide appeal to investors. This includes exchange traded funds (ETF), andexchange-traded vehicles (ETV). The vast majority of instruments are ETFs (~98%in AUM).

Exchange-Traded Funds (ETFs)ETFs are open-ended funds which are listed on an exchange and offer intra-daydual liquidity to access diversified investments in a transparent, cheap, and taxefficient way. ETFs indexed to equity and fixed income benchmarks are registeredunder the investment company act of 1940. Only physical index replicationtechniques are permissible by this legislation while synthetic replication is notallowed.

Exchange-traded vehicles (ETVs)This terminology typically refers to grantor trusts that exist in the US market.These instruments track primarily commodity benchmarks. They differ fromETFs in that they are registered under the Securities Act of 1933 and not theInvestment Company Act of 1940, hence they are not classed as funds. Vehiclesthat replicate commodity benchmarks, more often known as pools, and fundstargeting alternative index returns are formed under the Commodities ExchangeAct and are listed under the 33 Securities Act, and report under 34 Corporate Act.

Management Style or Product Strategy Definitions

BetaThis 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 whichemploys a market capitalization weighting methodology, and a simple selectionmethodology usually involving screenings such as minimum market cap andliquidity levels, or profitability levels. ETFs in this group are also referred to as“plain-vanilla” ETFs. Some examples of indices falling within this category are:S&P 500, S&P 400, S&P 600, MSCI EAFE, MSCI EM, Russell 2000, and Russell1000, to name a few.

Beta+In this group we include every product that offers any level of leverage or inverseimplementation. For example, an ETF offering access to twice the daily returnsof the S&P 500 on either direction (long or short) would be classified under thiscategory.

ActiveClassifying products in this group is still easy; basically if the ETF doesn’t trackany index then we classify the fund as active.

Enhanced Beta (aka Smart Beta)This category is reserved for those ETFs that also track an index, but whichfollow more elaborated strategies. After defining an index universe, there aretwo main levers that determine most of the risk/return profile of the index: (1)


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the selection criteria, and (2) the weighting criteria. In their selection process,enhanced beta ETFs usually employ additional screening processes and scoringsystems involving multiple factors beyond just minimum market cap and liquiditylevels. For example, they could include growth or value scores, dividends paidor dividend yield, earnings, volatility, or momentum screens, to name a few. Theweighting methodology of enhanced beta ETFs is usually anything but marketcap weighted, it can include simple equal weighting or variations of it, optimizedweights, and other metric-specific weights such as those based on dividendspaid, inverse volatility, dividend yield, fundamental multi factor scores, earnings,and revenues, to name a few. An enhanced beta ETF will either have a non-traditional selection methodology, a non-traditional weighting methodology, or acombination of both.

Product Type Definitions

Asset Allocation ETFsThis group covers all ETFs with exception of levered and inverse products. Theseare usually good products for market access strategies, portfolio completion, andcore positions. They are also efficient building blocks for multi asset strategies.When selecting these products, major emphasis should be set on the desiredexposure, tracking efficiency, primary liquidity (i.e. the liquidity of the underlyingbasket), and cost.

Cash Management ETFsThis group covers a more selected group of ETFs which in addition to beinggood asset allocation tools, also serves a series of cash management portfolioneeds. For example, these products are very good for equitizing cash betweentransitions, around reporting periods (window dressing), and during tax lossharvesting. These ETFs usually have good liquidity, large fund size, and lowcost, all of which makes it easier to execute sizeable short-term transactions,therefore secondary market liquidity and fund size tend to be a more relevantfactor compared to asset allocation ETFs. The most popular asset allocation usageof these funds is as core building blocks.

Pseudo Futures ETFsThis group covers an even more selected sample of ETFs which in additionto being good asset allocation and cash management tools can also be usedfor fulfilling risk management functions such as risk hedging, portable alphastrategies, or tactical shorts. Many times they also trade at a cheaper level thantheir underlying basket, and offer large amounts of liquidity which can make themattractive for market making activities as well. Secondary and short liquidity (easeto borrow), and fund size tend to be more relevant characteristics at the momentof selecting this type of ETFs. There is usually no more than one pseudo futuresETF per asset class. The most popular asset allocation usage of these fundsis among portfolios that require more liquidity given their size or more tacticalnature.


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Figure 84: Selection Criteria depending on intended ETF usage

Criteria Measured by Source Pseudo Futures Cash Mgmt Asset Allocation

Secondary Liquidity (quantity) Avg. Daily Value traded in $ FactSet More Relevant More Relevant Less Relevant

Secondary Liquidity (cost) Avg. Bid/Ask Spreads Bloomberg Finance LP More Relevant More Relevant Less Relevant

Primary Liquidity Implied liquidity of basket Bloomberg Finance LP Less Relevant Less Relevant More Relevant

Short Liquidity (quantity) Short Interest/ Shrs. Out. % Bloomberg Finance LP More Relevant Less Relevant Less Relevant

Short Liquidity (cost) Avg. Borrow Rate Deutsche Bank More Relevant Less Relevant Less Relevant

Size AUM $ Bloomberg Finance LP More Relevant More Relevant Less Relevant

Ownership:

Brokers+Hedge Funds Ownership % FactSet More Relevant Relevant Less Relevant

Mutual Funds+Pension Funds Ownership % FactSet Relevant More Relevant Relevant

Invest. Adviser+Private Bank/WM+Retail Ownership % FactSet Less Relevant Less Relevant More Relevant

Flow Activity Abs(Daily Flows Median) $ Bloomberg Finance LP More Relevant Less Relevant Less Relevant

Cost Total Expense Ratio ETF Issuer Less Relevant Relevant More Relevant

Exposure/Benchmark Investor's objective Investor Relevant Relevant More Relevant

Tracking efficiency to Index NAV-Index Performance dif. Bloomberg Finance LP Less Relevant Relevant More Relevant

Tracking efficiency to NAV Price-NAV premium/discounts Bloomberg Finance LP Less Relevant Relevant More Relevant

Product Provider Assets, products, years Combination of above Less Relevant Less Relevant Relevant



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The authors of this report wish to acknowledge the contribution made by AlfonsoDelgado Valdivia, employee of Evalueserve, a third-party provider of offshoreresearch support services to Deutsche Bank.


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Appendix 1

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 fromlocal exchanges via Reuters, Bloomberg, and other vendors. Other information is sourced from Deutsche Bank, subjectcompanies, and other sources. For disclosures pertaining to recommendations or estimates made on securities other thanthe primary subject of this research, please see the most recently published company report or visit our global disclosurelook-up page on our website at http://gm.db.com/ger/disclosure/DisclosureDirectory.eqsr. Aside from within this report,important conflict disclosures can also be found at https://gm/db.com/equities 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 recommendationor view in this report. Sebastian Mercado, Hallie Martin, Srineel Jalagani

Hypothetical Disclaimer

Backtested, hypothetical or simulated performance results have inherent limitations. Unlike an actual performancerecord based on trading actual client portfolios, simulated results are achieved by means of the retroactive applicationof a backtested model itself designed with the benefit of hindsight. Taking into account historical events the backtestingof performance also differs from actual account performance because an actual investment strategy may be adjustedany time, for any reason, including a response to material, economic or market factors. The backtested performanceincludes hypothetical results that do not reflect the reinvestment of dividends and other earnings or the deduction ofadvisory 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 tothose shown. Alternative modeling techniques or assumptions might produce significantly different results and prove tobe more appropriate. Past hypothetical backtest results are neither an indicator nor guarantee of future returns. Actualresults will vary, perhaps materially, from the analysis.

Equity Rating Key Equity rating dispersion and banking relationships

Buy: Based on a current 12- month view of total share-holderreturn (TSR = percentage change in share price from currentprice to projected target price plus pro-jected dividend yield ) ,we recommend that investors buy the stock.Sell: Based on a current 12-month view of total share-holderreturn, we recommend that investors sell the stock.Hold: We take a neutral view on the stock 12-months out and,based on this time horizon, do not recommend either a Buyor Sell.

Newly issued research recommendations and target pricessupersede previously published research.

Regulatory Disclosures


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1.Additional InformationInformation on ETFs is provided strictly for illustrative purposes and should not be deemed an offer to sell or asolicitation of an offer to buy shares of any fund that is described in this document. Consider carefully any fund'sinvestment objectives, risk factors, and charges and expenses before investing. This and other information can be foundin the fund's prospectus. Prospectuses about db X-trackers funds and Powershares DB funds can be obtained by calling1-877-369-4617 or by visiting www.DBXUS.com. Read prospectuses carefully before investing. Past performance is notnecessarily indicative of future results. Investing involves risk, including possible loss of principal. To better understandthe similarities and differences between investments, including investment objectives, risks, fees and expenses, it isimportant to read the products' prospectuses. Shares of ETFs may be sold throughout the day on an exchange throughany brokerage account. However, shares may only be redeemed directly from an ETF by authorized participants, in verylarge creation/redemption units. Transactions in shares of ETFs will result in brokerage commissions and will generatetax consequences. ETFs are obliged to distribute portfolio gains to shareholders. Deutsche Bank may be an issuer,advisor, manager, distributor or administrator of, or provide other services to, an ETF included in this report, for which itreceives compensation. db X-trackers and Powershares DB funds are distributed by ALPS Distributors, Inc. The opinionsexpressed are those of the authors and do not necessarily reflect the views of DB, ALPS or their affiliates.

Aside from within this report, important conflict disclosures can also be found at https://gm.db.com/equities under the"Disclosures Lookup" and "Legal" tabs. Investors are strongly encouraged to review this information before investing.


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Additional Information?The information and opinions in this report were prepared by Deutsche Bank AG or one of its affiliates (collectively"Deutsche Bank"). Though the information herein is believed to be reliable and has been obtained from public sourcesbelieved to be reliable, Deutsche Bank makes no representation as to its accuracy or completeness.

If you use the services of Deutsche Bank in connection with a purchase or sale of a security that is discussed in this report,or is included or discussed in another communication (oral or written) from a Deutsche Bank analyst, Deutsche Bank mayact as principal for its own account or as agent for another person.

Deutsche Bank may consider this report in deciding to trade as principal. It may also engage in transactions, for itsown account or with customers, in a manner inconsistent with the views taken in this research report. Others withinDeutsche Bank, including strategists, sales staff and other analysts, may take views that are inconsistent with those takenin this research report. Deutsche Bank issues a variety of research products, including fundamental analysis, equity-linkedanalysis, quantitative analysis and trade ideas. Recommendations contained in one type of communication may differfrom recommendations contained in others, whether as a result of differing time horizons, methodologies or otherwise.Deutsche Bank and/or its affiliates may also be holding debt or equity securities of the issuers it writes on. Analysts arepaid in part based on the profitability of Deutsche Bank AG and its affiliates, which includes investment banking, tradingand principal trading revenues.

Opinions, estimates and projections constitute the current judgment of the author as of the date of this report. They donot necessarily reflect the opinions of Deutsche Bank and are subject to change without notice. Deutsche Bank providesliquidity for buyers and sellers of securities issued by the companies it covers. Deutsche Bank research analysts sometimeshave shorter-term trade ideas that are consistent or inconsistent with Deutsche Bank's existing longer term ratings. Tradeideas for equities can be found at the SOLAR link at http://gm.db.com. A SOLAR idea represents a high conviction beliefby an analyst that a stock will outperform or underperform the market and/or sector delineated over a time frame of noless than two weeks. In addition to SOLAR ideas, the analysts named in this report may from time to time discuss withour clients, Deutsche Bank salespersons and Deutsche Bank traders, trading strategies or ideas that reference catalystsor events that may have a near-term or medium-term impact on the market price of the securities discussed in this report,which impact may be directionally counter to the analysts' current 12-month view of total return or investment return asdescribed herein. Deutsche Bank has no obligation to update, modify or amend this report or to otherwise notify a recipientthereof if any opinion, forecast or estimate contained herein changes or subsequently becomes inaccurate. Coverage andthe frequency of changes in market conditions and in both general and company specific economic prospects make itdifficult to update research at defined intervals. Updates are at the sole discretion of the coverage analyst concerned or ofthe Research Department Management and as such the majority of reports are published at irregular intervals. This reportis provided for informational purposes only and does not take into account the particular investment objectives, financialsituations, or needs of individual clients. It is not an offer or a solicitation of an offer to buy or sell any financial instrumentsor to participate in any particular trading strategy. Target prices are inherently imprecise and a product of the analyst’sjudgment. The financial instruments discussed in this report may not be suitable for all investors and investors must maketheir own informed investment decisions. Prices and availability of financial instruments are subject to change withoutnotice and investment transactions can lead to losses as a result of price fluctuations and other factors. If a financialinstrument is denominated in a currency other than an investor's currency, a change in exchange rates may adverselyaffect the investment. Past performance is not necessarily indicative of future results. Unless otherwise indicated, pricesare current as of the end of the previous trading session, and are sourced from local exchanges via Reuters, Bloombergand other vendors. Data is sourced from Deutsche Bank, subject companies, and in some cases, other parties.

The Deutsche Bank Research Department is independent of other business areas divisions of the Bank. Details regardingour organizational arrangements and information barriers we have to prevent and avoid conflicts of interest with respectto our research is available on our website under Disclaimer found on the Legal tab.??Macroeconomic fluctuations often account for most of the risks associated with exposures to instruments that promiseto pay fixed or variable interest rates. For an investor who is long fixed rate instruments (thus receiving these cash flows),increases in interest rates naturally lift the discount factors applied to the expected cash flows and thus cause a loss.


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The longer the maturity of a certain cash flow and the higher the move in the discount factor, the higher will be theloss. Upside surprises in inflation, fiscal funding needs, and FX depreciation rates are among the most common adversemacroeconomic shocks to receivers. But counterparty exposure, issuer creditworthiness, client segmentation, regulation(including changes in assets holding limits for different types of investors), changes in tax policies, currency convertibility(which may constrain currency conversion, repatriation of profits and/or the liquidation of positions), and settlement issuesrelated to local clearing houses are also important risk factors to be considered. The sensitivity of fixed income instrumentsto macroeconomic shocks may be mitigated by indexing the contracted cash flows to inflation, to FX depreciation, or tospecified interest rates – these are common in emerging markets. It is important to note that the index fixings may -- byconstruction -- lag or mis-measure the actual move in the underlying variables they are intended to track. The choice of theproper fixing (or metric) is particularly important in swaps markets, where floating coupon rates (i.e., coupons indexed toa typically short-dated interest rate reference index) are exchanged for fixed coupons. It is also important to acknowledgethat funding in a currency that differs from the currency in which coupons are denominated carries FX risk. Naturally,options on swaps (swaptions) also bear the risks typical to options in addition to the risks related to rates movements.??Derivative transactions involve numerous risks including, among others, market, counterparty default and illiquidity risk.The appropriateness or otherwise of these products for use by investors is dependent on the investors' own circumstancesincluding their tax position, their regulatory environment and the nature of their other assets and liabilities, and as such,investors should take expert legal and financial advice before entering into any transaction similar to or inspired by thecontents of this publication. The risk of loss in futures trading and options, foreign or domestic, can be substantial. As aresult of the high degree of leverage obtainable in futures and options trading, losses may be incurred that are greaterthan the amount of funds initially deposited. Trading in options involves risk and is not suitable for all investors. Priorto buying or selling an option investors must review the "Characteristics and Risks of Standardized Options”, at http://www.optionsclearing.com/about/publications/character-risks.jsp. If you are unable to access the website please contactyour Deutsche Bank representative for a copy of this important document.?

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Unless governing law provides otherwise, all transactions should be executed through the Deutsche Bank entity in theinvestor's home jurisdiction. Aside from within this report, important conflict disclosures can also be found at https://gm.db.com/equities under the "Disclosures Lookup" and "Legal" tabs. Investors are strongly encouraged to review thisinformation before investing.??United States: Approved and/or distributed by Deutsche Bank Securities Incorporated, a member of FINRA, NFA and SIPC.Analysts located outside of the United States are employed by non-US affiliates that are not subject to FINRA regulations.

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India: Prepared by Deutsche Equities India Pvt Ltd, which is registered by the Securities and Exchange Board of India (SEBI)as a stock broker. Research Analyst SEBI Registration Number is INH000001741. DEIPL may have received administrativewarnings from the SEBI for breaches of Indian regulations.

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David Folkerts-LandauGroup Chief Economist and Global Head of Research

Raj HindochaGlobal Chief Operating Officer

Research

Michael SpencerHead of APAC Research

Global Head of Economics

Steve PollardHead of Americas Research

Global Head of Equity Research

Anthony KlarmanGlobal Head ofDebt Research

Paul ReynoldsHead of EMEA

Equity Research

Dave ClarkHead of APAC

Equity Research

Pam FinelliGlobal Head of

Equity Derivatives Research

Andreas NeubauerHead of Research - Germany

Stuart KirkHead of Thematic Research

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Documents

US ETF Compass 17 March 2017 Synthetic Equity & Index Strategy · 17 March 2017 US ETF Compass North America Synthetic Equity & Index Strategy US ETF Compass Date 17 March 2017 Deutsche