North America Synthetic Equity & Index Strategy US ETF Compass Date 16 April 2017 Deutsche Bank Markets Research Inflows of $45bn in March close an all- time record quarter for ETPs US Equity returns hit a speed bump last month... March marked a slowdown for US equities. Global Equities were up by 1.35% during last month, mainly boosted by EM and Intl DM Equities with returns of 3.69% and 3.23%, respectively; while, US equities recorded flat to negative performance. Fixed Income registered somewhat weak performance in general (-0.05%), Rates and Corporate Credit were weak, while EM Gov Debt Local (+2.24%), Convertible (+0.85%) and Intl DM debt (+0.76%) recorded stronger returns. Commodities registered losses of 3.24%, dragged by Energy commodity losses of 3.30%, meanwhile, Agriculture and Precious Metal recorded returns of -2.08% and -0.65%, respectively. On the currency side, the USD weakened against most major foreign currencies, as suggested by the -0.61% in UUP. ...but US equity inflows remained strong with $20bn, and +$45.3bn for all ETPs March flows were led by Equity leaving Fixed Income ETPs in second place; while, Commodity ETPs registered negative numbers. ETPs registered $45.3bn in new cash; helping assets to rise 1.7% from one month earlier, ending with a total of $2.78 trillion at the end of March. Equity and Fixed Income attracted inflows of $36.3bn and $9.6bn, while, Commodity recorded $0.5bn in outflows. US Equity ETPs dominated flow activity with $20bn inflows. Q1 makes history for ETPs with 10% growth in AUM, and +$132bn in CF The first quarter of 2017 has definitely won its place in the books of ETP records. ETPs grew by 10% during Q1, adding $252bn in assets under management, and $132bn in net new cash flows on the back of a US trade driven by discussions of fiscal stimulus and economic growth, and DOL tailwinds for passive vehicles, particularly ETFs. We believe that we are very much on track for a record year of growth for ETPs with inflows between $400bn to $500bn within total reach. European ETFs are back on the table with over $5bn inflows since early Dec Inflows have gained momentum recently and have been favoring both regional and country exposures, and DM and EM european markets; however, fx hedged ETFs have not seen the same fate. The 2016 Guide to Institutional ETF Ownership Institutional ETF assets grew by $213bn and reached $1.44 trillion in 2016. Hedge funds recorded the strongest relative YoY growth in ETF assets. Insurance companies and mutual funds grow, brokers and pension funds lag. Asset allocation remains top institutional usage for ETFs, but not the only one. 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 be aware that the firm may have a conflict of interest that could affect the objectivity of this report. Investors should consider this report as only a single factor in making their investment decision. DISCLOSURES AND ANALYST CERTIFICATIONS ARE LOCATED IN APPENDIX 1.MCI (P) 083/04/2017. Distributed on: 16/04/2017 19:45:11 GMT 0bed7b6cf11c
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16 April 2017
US ETF Compass
North America Synthetic Equity & Index Strategy
US ETF CompassDate16 April 2017
Deutsche BankMarkets Research
Inflows of $45bn in March close an all-time record quarter for ETPsUS Equity returns hit a speed bump last month...March marked a slowdown for US equities. Global Equities were up by 1.35%during last month, mainly boosted by EM and Intl DM Equities with returnsof 3.69% and 3.23%, respectively; while, US equities recorded flat to negativeperformance. Fixed Income registered somewhat weak performance in general(-0.05%), Rates and Corporate Credit were weak, while EM Gov Debt Local(+2.24%), Convertible (+0.85%) and Intl DM debt (+0.76%) recorded strongerreturns. Commodities registered losses of 3.24%, dragged by Energy commoditylosses of 3.30%, meanwhile, Agriculture and Precious Metal recorded returnsof -2.08% and -0.65%, respectively. On the currency side, the USD weakenedagainst most major foreign currencies, as suggested by the -0.61% in UUP.
...but US equity inflows remained strong with $20bn, and +$45.3bn for all ETPsMarch flows were led by Equity leaving Fixed Income ETPs in second place; while,Commodity ETPs registered negative numbers. ETPs registered $45.3bn in newcash; helping assets to rise 1.7% from one month earlier, ending with a total of$2.78 trillion at the end of March. Equity and Fixed Income attracted inflows of$36.3bn and $9.6bn, while, Commodity recorded $0.5bn in outflows. US EquityETPs dominated flow activity with $20bn inflows.
Q1 makes history for ETPs with 10% growth in AUM, and +$132bn in CFThe first quarter of 2017 has definitely won its place in the books of ETP records.ETPs grew by 10% during Q1, adding $252bn in assets under management, and$132bn in net new cash flows on the back of a US trade driven by discussionsof fiscal stimulus and economic growth, and DOL tailwinds for passive vehicles,particularly ETFs. We believe that we are very much on track for a record year ofgrowth for ETPs with inflows between $400bn to $500bn within total reach.
European ETFs are back on the table with over $5bn inflows since early DecInflows have gained momentum recently and have been favoring both regionaland country exposures, and DM and EM european markets; however, fx hedgedETFs have not seen the same fate.
The 2016 Guide to Institutional ETF OwnershipInstitutional ETF assets grew by $213bn and reached $1.44 trillion in 2016.Hedge funds recorded the strongest relative YoY growth in ETF assets. Insurancecompanies and mutual funds grow, brokers and pension funds lag. Assetallocation remains top institutional usage for ETFs, but not the only one.
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) 083/04/2017.
ETF Monthly Insights ....................................................... 3US Equity returns hit a speed bump last month... ......................................... 3...but US equity inflows remained strong with $20bn, and +$45.3bn ............ 4Q1 makes history for ETPs with 10% (+$252bn) growth in AUM, and + ........ 4European ETFs are back on the table ............................................................ 5The 2016 Guide to Institutional ETF Ownership ............................................. 7
Business Intelligence ...................................................... 17New Listing .................................................................................................. 17Delistings ...................................................................................................... 19Trends in products launched in the last 12 months ..................................... 20Popular Product Segments: Smart Beta & Currency Hedged ....................... 21Average Performance by Products Type and Size (Equity) ........................... 22Total Expense Ratio X-Ray ............................................................................ 24
ETF Statistics .................................................................. 25Global ETF Assets and Provider Ranking ..................................................... 25US Historical ETF Trends .............................................................................. 26ETF Issuer and Index Provider league tables ................................................ 27Monthly Snapshot ........................................................................................ 29Top 15 ETFs (includes ETNs) ........................................................................ 35
Appendix B: ETF List ...................................................... 37
Appendix C: Definitions ................................................. 40ETP Universe Definitions .............................................................................. 40Management Style or Product Strategy Definitions ..................................... 40Product Type Definitions .............................................................................. 41
Page 2 Deutsche Bank Securities Inc.
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US ETF Compass
ETF Monthly InsightsUS Equity returns hit a speed bump last month...
March marked a slowdown for US equities. Global Equities were up by 1.35%during last month, mainly boosted by EM and Intl DM Equities with returnsof 3.69% and 3.23%, respectively; while, US equities recorded flat to negativeperformance. Fixed Income registered somewhat weak performance in general(-0.05%), Rates and Corporate Credit were weak, while EM Gov Debt Local(+2.24%), Convertible (+0.85%) and Intl DM debt (+0.76%) recorded strongerreturns. Commodities registered losses of 3.24%, dragged by Energy commoditylosses of 3.30%, meanwhile, Agriculture and Precious Metal recorded returns of-2.08% and -0.65%, respectively. On the currency side, the USD weakened againstmost major foreign currencies, as suggested by the -0.61% in UUP.
Returns and flows were mostly consistent for Global Equities and Commodities;while, Fixed Income products were somewhat mixed. Flows and performancewere positive for Intl DM ETFs registering inflows of 2.7% of assets; meanwhile,the Eurozone and Europe recorded gains of 6.18% and 4.43% on the back ofstrong inflows, respectively. In the meantime, EM markets received inflows of3.1% of assets, highlighting BRIC and EM Asia with 2.57% and 3.62% in positiveperformance, and 7.3% and 2.2% of assets in inflows, respectively. In the fixedincome space, US Treasuries and Senior Loans had strong inflows, but weakreturns; meanwhile Intl DM debt had good returns with outflows. Convertibleshowed more consistency with positive returns (0.85%) and strong inflows (8.0%of asset). On the other hand, commodities were mostly consistent, with theexception of Crude Oil WTI, and Natural Gas which were mixed registering lossesof 7.1% and inflows of 10.4% of assets, and gains of 13.1%, and outflows of23.4% of assets, respectively.
Within US equities, performance and flows were more consistent with manysectors and industries experiencing moderate losses and outflows, and othersrecording mild inflows and gains last month. Energy ETFs, however, registeredmostly negative returns and positive flows. During March, Utilities and Energyregistered inflows of 2.4% and 1.5% of their assets, respectively; while, ConsumerDiscretionary and Materials experienced the largest outflows losing 4.5% and3.5% of their assets, respectively. On the other hand, at the industry level, EnergyE&P and Energy Eq. & Serv. experienced the largest inflows amounting to 22.7%and 13.2% of their assets, respectively; meanwhile, Retail and Capital marketsregistered outflows of 35.7% and 19.2%% of their assets, respectively.
In international equity markets, we saw mixed flows and mostly positiveperformance across most exposures. Spain registered the top performance(11.39%), followed by Italy and Portugal, with over 8.0% in returns each; while, onthe other hand, the most negative performance was Pakistan (-3.03%), followedby New Zealand with a loss of 2.13%. On the flow side, Malaysia experienced thelargest inflows with 11.8% of assets; meanwhile, Mexico saw the largest outflows(15.3% of assets).
In terms of correlation trends, we highlight the significant de-coupling of US andEM equities. Correlation between them was over 0.8 less than 1 year ago, andwent under 0.2 at the end of March.
Deutsche Bank Securities Inc. Page 3
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US ETF Compass
...but US equity inflows remained strong with $20bn, and+$45.3bn for all ETPs
March flows were led by Equity leaving Fixed Income ETPs in second place; while,Commodity ETPs registered negative numbers. ETPs registered $45.3bn in newcash; helping assets to rise 1.7% from one month earlier, ending with a total of$2.78 trillion at the end of March. Equity and Fixed Income attracted inflows of$36.3bn and $9.6bn, while, Commodity recorded $0.5bn in outflows.
Among the most relevant inflow trends, we saw US Equities with $20.2bn(71.3% of DM Equity total flows), DM ex-US Equities with $6.5bn, and regionalEurope and Eurozone-focused ETPs with almost $1.0bn each. Meanwhile, onthe fixed income space, Broad and US Treasury exposures recorded $3.3bn and$1.8bn in positive flows, respectively. On the outflow side, Japan and Mexicoequities registered negative flows of $1.1bn and $0.25bn, respectively. Beta,Smart Beta, Beta+ (leveraged and inverse), and Active products experiencedinflows of $36.9bn, $6.1bn, $1.3.0bn, and $1.1bn, respectively.
Within Equity Smart Beta products, Style and Equal-weighted ETFs were themost popular categories in March, the first of them adding $5.5bn; while, thesecond one posted $0.8bn in fresh new cash. Currency Hedged ETFs experiencedanother weak month registering outflows by $0.7bn. The largest negative flowswere experienced by ETFs offering FX hedged exposure to JPY (-$0.52bn); while,those offering FX hedged exposure to Multiple Currencies experienced inflowsof $0.12bn during March. In term of product types, all of them posted inflows.Asset Allocation, Cash Management, Pseudo Futures and Leveraged & Inverseregistered inflows of $18.7bn, $18.1bn, $7.2bn, and $1.3bn, respectively.
Total ETP turnover was $1.68 trillion last month, up 37% from the previous month.Furthermore, ETF turnover represented 26.1% of all cash equity traded in the USduring March, over its 12-month average of 25.5%.
Q1 makes history for ETPs with 10% (+$252bn) growth inAUM, and +$132bn in CF
The first quarter of 2017 has definitely won its place in the books of ETP records.ETPs grew by 10% during Q1, adding $252bn in assets under management, and$132bn in net new cash flows on the back of a US trade driven by discussionsof fiscal stimulus and economic growth, and DOL tailwinds for passive vehicles,particularly ETFs.
The growth exhibited by ETPs is an all-time record for absolute quarterly assetgrowth, and inflows. But what is more impressive to us is the fact that this cameduring the first quarter of the year which has usually been the weakest quarter forETP flows historically. Thus, the growth metrics observed during the past quarterare clear outliers among over 24 years of ETP history.
Although we believe that part of this impressive growth has been due to structuralchanges such as the DOL rule, we think that the outflows from active mutualfunds (-$20bn in the first two months of the year) relative to the inflows intopassive instruments (+$139bn in the same two months) don't suggest that thereal shift from active mutual funds towards ETFs or Index Funds has begun yet.
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US ETF Compass
Therefore our view is that we are very much on track for a record year of growthfor ETPs with inflows between $400bn to $500bn within total reach.
Figure 1: Last quarter inflows of $132bn are clearly anoutlier among historical Q1 flows
Figure 2: The growth in ETP assets this Q1 stands outclearly among historical quarterly asset growth in the last10 years
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Source: Deutsche Bank, Bloomberg Finance LP
Figure 3: Historical ETP flow dollar notional seasonalityclearly suggests weakness in the first half, particularly inQ1. However, last quarter inflows surpassed all historicaldollar comparisons...
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Figure 4: ...and still did quite well even in relative toassets terms.
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Source: Deutsche Bank, Bloomberg Finance LP
European ETFs are back on the table
DB's Global Asset Allocation strategist, Binky Chadha, recently downgraded theUS to neutral from overweight, and upgraded European equities to overweight.Similarly, recent ETF flows suggest that investor sentiment towards Europeanequities has also been improving. In fact, since flows turned the corner back inearly December, European ETFs listed in the US have gained over $5bn throughlast Thur April 13th. Furthermore, allocations have been favoring both regional andcountry exposures, and DM and EM european markets; however, fx hedged ETFshave not seen the same fate. We provide additional insights and a list of Europeanan Eurzone-focused ETFs for investors' reference.
Deutsche Bank Securities Inc. Page 5
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US ETF Compass
Figure 5: All segments of European ETF investing, withthe exception of currency hedged vehicles, have receivedinflows since flows turned around on December 6th 2016.
(2,000) - 2,000 4,000 6,000
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Source: Deutsche Bank, Bloomberg Finance LP.
Figure 6: Flows in ETFs with European DM focus aregaining momentum, while those focused in EM Europehave been more volatile.
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Source: Deutsche Bank, Bloomberg Finance LP.
Figure 7: In DM, flows into European and Eurozoneregional and country ETFs began improving after the USelection last year, and have gained significant momentumin the last month
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Figure 8: Still in DM, flows for ETFs with European FXunhedged exposure have improved significantly recently,however those ETFs offering similar exposures with an FXhedged have not seen a significant turn in their outflowtrend
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Source: Deutsche Bank, Bloomberg Finance LP.
Figure 9: Select list of European and Eurozone-focused ETFs (>$100m AUM)
Source: Deutsche Bank, Bloomberg Finance LP. Data as of April 13th 2017.
Page 6 Deutsche Bank Securities Inc.
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US ETF Compass
The 2016 Guide to Institutional ETF Ownership
Welcome to Deutsche Bank's institutional ETF ownership landscape guideOur comprehensive fact-driven analysis of the institutional ETF ownershiplandscape includes over 780,000 ETF positions across all US-domiciled ETFs inthe last 17 years from almost 6,000 firms from over 40 countries. Complementedwith additional insights from hundreds of meetings and interactions withinstitutional ETF users from over 20 countries. Featuring Investment Adviser,Private Bank/WM, Broker, Mutual Fund, Hedge Fund, Pension Fund, InsuranceCompany, and groups of special interest such as institutions in retail distributionchannels (e.g. wirehouses, RIAs, IBDs, RBDs, TAMPs, Robo-Advisors), LatinAmerican pension funds, and international asset managers.
Institutional ETF assets grew by $213bn and reached $1.44 trillion in 2016As of the end of 2016, almost 3,500 institutional investors held more than $1.44trillion in ETF assets accounting for about 59% of all ETF assets. InvestmentAdviser remained as the dominant group with $813bn representing 33% of allETF assets. Meanwhile, Private Bank/Wealth Management followed in a strongsecond place with $372bn in ETF assets or 15% of total assets.
Hedge funds recorded the strongest relative YoY growth in ETF assetsHedge funds saw an increase of 77% in ETF assets to $43.8bn, an increase from1.2% to 1.8% in ETF ownership, and an increase of 17% in the number of fundsusing ETFs. Overall, they continued to prefer a reduced sample of ultra liquid ETFs.And had a very sizeable allocation to US Financials at the end of the year.
Insurance companies and mutual funds grow, brokers and pension funds lagInsurance companies and mutual funds seem to be embracing ETFs more andmore and recorded healthy ETF asset growth of 43% and 38%, respectively. Whilebrokers and pension funds saw negative (-4%), and flat (1%) growth, respectively.The decline in brokers reflects the recent capital constraints in banks, while thetepid growth in pensions answers to a rotation of users.
Asset allocation remains top institutional usage for ETFs, but not the only oneInvestment advisers and private banks mostly use ETFs as core asset allocationbuilding blocks in multi asset portfolios. Hedge funds and brokers mostly useETFs for quick access to liquidity, and risk management, and in the case of hedgefunds also for tactical asset allocation. Meanwhile, mutual funds, pension funds,and insurance companies use ETFs for completion strategies, tactical satellitepositions, or cash management.
This report was published on April 12th, 2017. Contact us to request a copy of thefull report.
Deutsche Bank Securities Inc. Page 7
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Asset Allocation HeatmapsGlobal Multi Asset Allocator heatmaps
Figure 10: 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
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.
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Figure 11: Global Multi Asset Risk and Risk-adjusted Performance Measures
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.
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US ETF Compass
US Equity Allocator heatmaps
Figure 12: US Equity 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
VTI US Total Market 0.06% 5.68% 10.15% 18.09% 9.68% 13.15% 1.2% 3.8% 12.0% 18.5% 12.9% 15.7%
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.
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Figure 13: US Equity Risk and Risk-adjusted Performance Measure
1M 3M 6M 1Y 3Y 5Y 1Y 3Y 5Y 1Y 3Y 5Y
VTI US Total Market 8.6% 7.2% 8.1% 10.4% 13.2% 12.9% -5.9% -15.1% -15.1% 1.7 0.7 1.0
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.
Deutsche Bank Securities Inc. Page 11
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International Equity Allocator heatmaps
Figure 14: International Equity Performance and Net ETF Cash Flow Trends
1M Chg 3M Chg 6M Chg 1Y Chg 3Y Ann 5Y Ann 1M 3M 6M 1Y 3Y Ann 5Y Ann
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.
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Figure 15: International Equity Risk and Risk-adjusted Performance Measure
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.
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Figure 16: 3-Year Cross Asset Class Correlations of Weekly Total Returns3Y - Cross Asset Class Correlation of Weekly Total Returns
Source: Deutsche Bank, FactSet. Data as of the end of last month. Green cells denote highest correlations, while red cells denote lowest correlations.
Figure 17: 26W Rolling Correlation for selected asset class pairs (5Y)
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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).
16
Ap
ril 201
7
US
ETF C
om
pass
16 April 2017
US ETF Compass
12-Month Relative Performance Monitor1
Figure 18: Selected relative performance pairs
0.60
0.80
1.00
1.20
1.40
1.60
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
Mar-
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
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
Mar-
17
Global Equities
US Total Market/Intl DM
US Total Market/EM
0.80
0.85
0.90
0.95
1.00
1.05
1.10
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
Mar-
17
Intl DM Equities
Eurozone/Europe
Japan/Pacific ex JP
0.80
0.85
0.90
0.95
1.00
1.05
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
Mar-
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
1.30
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
Mar-
17
EM Equities
EM Asia/Latin America
China H/China A
0.70
0.75
0.80
0.85
0.90
0.95
1.00
1.05
1.10
1.15
1.20
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
Mar-
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
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
Mar-
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
1.20
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
Mar-
17
Precious Metals
Gold/Silver
Gold/Platinum
Gold/Palladium 0.80
0.90
1.00
1.10
1.20
1.30
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
Mar-
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
Deutsche Bank Securities Inc. Page 15
16 April 2017
US ETF Compass
House View Portfolio: Monthly Brief
Our House View Portfolio (HVP) and its benchmark were flat in March,underperforming Global Equities (ACWI) which were up by 1.35% during thesame period.
Figure 19: 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% 10.1% Long Satellite Equity US Banks
IBB 0.48% 10% 9.7% Long Satellite Equity US Biotech/Pharma
VXUS 0.13% 20% 21.0% Long Core Equity Global ex US
LQD 0.15% 15% 14.4% Long Core Credit Inv. Grade
TIP 0.20% 5% 4.8% 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 20: Portfolio performance vs. Global Equities andBenchmark since inception (10/01/2012)
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 21: Monthly performance of portfolio andbenchmark positions
-6% -4% -2% 0% 2% 4%
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 22: 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.
Page 16 Deutsche Bank Securities Inc.
16 April 2017
US ETF Compass
Business IntelligenceNew Listing
There were sixteen new ETFs and one new ETN listed during the previous month;twelve were listed in the NYSE Arca; four in the BATS; while the remaining fundwas listed in the Nasdaq. The new funds offer exposure to DM ex-US, GlobalGreen Bonds, US infrastructure sector, actively managed exposure to US equityfocusing on short squeeze, IG core debt, Corporate bonds, IG debt with shortterm, Energy commodity futures, three broad Commodity strategies, 3x inverseand leveraged exposure to Crude Oil, and two Multi-Asset strategies; while, thenote offers exposure to Natural Gas prices.
Figure 23: Products listed during last month
Ticker NameAsset Class &
StructureListing Date TER
AUM
$MM
GRNB VanEck Vectors Green Bond ETF Fixed Income ETF 6-Mar-17 0.40% 5
PAVE Global X U.S. Infrastructure Development ETF Equity ETF 8-Mar-17 0.47% 4
GAZB iPath Series B Bloomberg Natural Gas Subindex Total Return ETN Commodity ETN 9-Mar-17 0.45% 4
CEFS Saba Closed-End Funds ETF Multi Asset ETF 21-Mar-17 1.12% 4
SQZZ Active Alts Contrarian ETF Equity ETF 22-Mar-17 1.95% 3
ONTL O'Shares FTSE Russell International Quality Dividend ETF Equity ETF 22-Mar-17 0.48% 3
HQBD Hartford Quality Bond ETF Fixed Income ETF 22-Mar-17 0.39% 20
HCOR Hartford Corporate Bond ETF Fixed Income ETF 22-Mar-17 0.44% 15
IDEV iShares Core MSCI International Developed Markets ETF Equity ETF 23-Mar-17 0.07% 31
Equity■ Global X Funds listed one new ETF (PAVE) which offers exposure to
the US Infrastructure sector. PAVE tracks the Indxx U.S. InfrastructureDevelopment Index and comes with an annual expense ratio of 0.47%.This is the first ETF to focus completely in US Infrastructure.
■ Huntington Strategy Shares listed one new actively managed ETF (SQZZ)offering exposure to US equity securities focusing on “short squeeze”opportunities to generate potential income. The fund comes with anannual expense ratio of 1.95%.
■ O’Shares Investment listed one new ETF (ONTL) which offers exposure toLarge-Cap Developed Market ex-US companies focusing on fundamentalfactors as high quality, low volatility, and high dividend payments. ONTLtracks the FTSE Developed ex US Qual/Vol/Yield 5% capped Factor Indexand comes with annual expense ratio of 0.48%.
■ BlackRock listed one new ETF (IDEV) during last month offering exposureto International Developed Markets tracking the MSCI World ex USA
Deutsche Bank Securities Inc. Page 17
16 April 2017
US ETF Compass
Investable Market Index. The fund comes with an annual expense ratioof 0.07%.
Fixed Income■ VanEck Vectors listed one new ETF (GRNB) which offers exposure to
Global ESG-focused bonds. GRBN invests in debt issued by companiesto finance projects that have a positive impact in the environment. Thefund tracks the S&P Green bond Select Index and comes with an annualexpense ratio of 0.40%. This is a "first-of-its-kind" ETF and offers an ESG-friendly alternative for a core bond position.
■ Hartford Funds listed two new fixed income ETFs during March. The firstone (HQBD) offers actively managed exposure to a portfolio of InvestmentGrade US securities focusing on agency MBS; while, the second fund(HCOR) offers a similar strategy focusing on USD-denominated Corporatebonds. HQBD and HCOR come with an annual expense ratio of 0.39%and 0.44%, respectively.
■ ArrowShares listed one new ETF (ARCM) which is designed toprovide actively managed exposure to a portfolio of USD-denominatedInvestment Grade debt with maturity of 0-2 years. ARCM comes with anannual expense ratio of 0.38%.
Commoditiy■ ETF Securities listed three new broad commodity exposure ETFs during
last month. All of them present an actively managed alternative free of K-1tax form filing requirements by relying on a 1940 Act structure. The firstone (BCI) offers exposure to a diversified portfolio of commodity futurecontracts from different sectors such as agriculture, energy, industrialmetals, precious metals and livestock. The second one (BCD) offers thesame exposure through futures contracts 3-months ahead of the standardcalendar. Similarly, the last fund (BEF) offers exposure to a portfolio offutures 3-months ahead of the standard contract calendar, but in theEnergy sector including crude oil, heating oil, unleaded gasoline andnatural gas. BCI and BCD come with an annual expense ratio of 0.29%;while, BEF comes with an expense ratio of 0.39%, offering expense ratiosbelow the average which range from 70-80 basis points.
■ DirexionShares listed one new ETF (COM) which offers actively managedexposure to a broad commodity portfolio which includes twelve futurescontracts from Agriculture, Energy, and Metal sectors. The commoditiescan independently be switched from long to flat positions (i.e. going tocash) in case they are experiencing downward trends. COM comes withan annual expense ratio of 0.70%.
■ ProShares listed two new commodity ETFs, which provide 3x-inverse(OILD) and -long (OILU) leveraged exposure to Crude Oil prices. They trackthe Bloomberg WTI Crude Oil ER Index and come with an annual expenseratio of 0.95%.
■ Barclays Bank issued one new ETN (GAZB) which offers exposure toNatural Gas prices tracking the Bloomberg Natural Gas Total Return Index.The note comes with an annual expense ratio of 0.45%.
Multi-Asset■ Saba Capital made its debut in the ETF Market listing one new ETF (CEFS)
during March. CEFS is a “fund of funds” and offers exposure to Closed-
Page 18 Deutsche Bank Securities Inc.
16 April 2017
US ETF Compass
End Funds; while mitigating interest rate risk. The fund comes with anannual expense ratio of 1.12%.
■ StrongerVest Global debuted listing one new multi-asset ETF (CWAI)during last month. CWAI offers actively managed exposure to Broadequity and fixed income securities without geographic, maturity, creditquality, or market capitalization restrictions. Under normal conditions, theequity exposure is capped at 20% and comes with annual expense ratioof 0.75%.
Delistings
Figure 24: Delisted products during last month
Ticker NameAsset Class &
Structure
Delisting
dateTER
AUM at
Delisting $MM
ICN WisdomTree Indian Rupee Strategy Fund Currency ETF 23-Mar-17 0.45% 11
AUNZ WisdomTree Australia & New Zealand Debt Fund Currency ETF 23-Mar-17 0.45% 18
Number of ETPs** 1,213 1,666 2,041 2,580 3,124 3,492 3,711 4,019 4,453 4,733 4,827
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 47: Top 10 Global ETP Provider Ranking and Summary Statics
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 49: 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 50: 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 51: 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.
Page 26 Deutsche Bank Securities Inc.
16 April 2017
US ETF Compass
ETF Issuer and Index Provider league tables
Figure 52: ETP Issuer league table (excludes ETN assets)
Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of 12-Apr-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).
Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of 12-Apr-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).
Page 38 Deutsche Bank Securities Inc.
16 April 2017
US ETF Compass
Figure 76: 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% 43,832 254 n.a. n.a. 0.01 0.9
US Treasury GOVT iShares Core U.S. Treasury Bond ETF AA 16-Feb-12 0.15% 3,768 29 n.a. n.a. 0.01 4.4
Very Short SHV iShares Short Treasury Bond ETF CM 12-Jan-07 0.15% 4,873 73 n.a. n.a. 0.01 0.9
Short SHY iShares 1-3 Year Treasury Bond ETF CM 26-Jul-02 0.15% 11,023 76 n.a. n.a. 0.01 1.2
Intermediate IEI iShares 3-7 Year Treasury Bond ETF CM 12-Jan-07 0.15% 6,593 54 n.a. n.a. 0.02 1.3
Long TLT iShares 20+ Year Treasury Bond ETF PF 26-Jul-02 0.15% 6,052 1,004 n.a. n.a. 0.01 0.8
US Inflation TIP iShares TIPS Bond ETF CM 12-Apr-03 0.20% 23,003 151 n.a. n.a. 0.01 1.0
Municipal MUB iShares National AMT-Free Muni Bond ETF AA 9-Sep-07 0.25% 8,047 65 n.a. n.a. 0.01 1.3
Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of 12-Apr-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).
Deutsche Bank Securities Inc. Page 39
16 April 2017
US ETF Compass
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)
Page 40 Deutsche Bank Securities Inc.
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US ETF Compass
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.
Deutsche Bank Securities Inc. Page 41
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US ETF Compass
Figure 77: Selection Criteria depending on intended ETF usage
Criteria Measured by Source Pseudo Futures Cash Mgmt Asset Allocation
Secondary Liquidity (quantity) Avg. Daily Value traded in $ FactSet More Relevant More Relevant Less Relevant
Secondary Liquidity (cost) Avg. Bid/Ask Spreads Bloomberg Finance LP More Relevant More Relevant Less Relevant
Primary Liquidity Implied liquidity of basket Bloomberg Finance LP Less Relevant Less Relevant More Relevant
Short Liquidity (quantity) Short Interest/ Shrs. Out. % Bloomberg Finance LP More Relevant Less Relevant Less Relevant
Short Liquidity (cost) Avg. Borrow Rate Deutsche Bank More Relevant Less Relevant Less Relevant
Size AUM $ Bloomberg Finance LP More Relevant More Relevant Less Relevant
Ownership:
Brokers+Hedge Funds Ownership % FactSet More Relevant Relevant Less Relevant
Mutual Funds+Pension Funds Ownership % FactSet Relevant More Relevant Relevant
Invest. Adviser+Private Bank/WM+Retail Ownership % FactSet Less Relevant Less Relevant More Relevant
Flow Activity Abs(Daily Flows Median) $ Bloomberg Finance LP More Relevant Less Relevant Less Relevant
Cost Total Expense Ratio ETF Issuer Less Relevant Relevant More Relevant
Exposure/Benchmark Investor's objective Investor Relevant Relevant More Relevant
Tracking efficiency to Index NAV-Index Performance dif. Bloomberg Finance LP Less Relevant Relevant More Relevant
Tracking efficiency to NAV Price-NAV premium/discounts Bloomberg Finance LP Less Relevant Relevant More Relevant
Product Provider Assets, products, years Combination of above Less Relevant Less Relevant Relevant
Source: Deutsche Bank.
Page 42 Deutsche Bank Securities Inc.
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US ETF Compass
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.
Deutsche Bank Securities Inc. Page 43
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US ETF Compass
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.
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.
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.
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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.
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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Japan: Approved and/or distributed by Deutsche Securities Inc.(DSI). Registration number - Registered as a financialinstruments dealer by the Head of the Kanto Local Finance Bureau (Kinsho) No. 117. Member of associations: JSDA, TypeII Financial Instruments Firms Association and The Financial Futures Association of Japan. Commissions and risks involvedin stock transactions - for stock transactions, we charge stock commissions and consumption tax by multiplying thetransaction amount by the commission rate agreed with each customer. Stock transactions can lead to losses as a resultof share price fluctuations and other factors. Transactions in foreign stocks can lead to additional losses stemming fromforeign exchange fluctuations. We may also charge commissions and fees for certain categories of investment advice,products and services. Recommended investment strategies, products and services carry the risk of losses to principaland other losses as a result of changes in market and/or economic trends, and/or fluctuations in market value. Beforedeciding on the purchase of financial products and/or services, customers should carefully read the relevant disclosures,prospectuses and other documentation. "Moody's", "Standard & Poor's", and "Fitch" mentioned in this report are notregistered credit rating agencies in Japan unless Japan or "Nippon" is specifically designated in the name of the entity.Reports on Japanese listed companies not written by analysts of DSI are written by Deutsche Bank Group's analysts withthe coverage companies specified by DSI. Some of the foreign securities stated on this report are not disclosed accordingto the Financial Instruments and Exchange Law of Japan. Target prices set by Deutsche Bank's equity analysts are basedon a 12-month forecast period.
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