North America Synthetic Equity & Index Strategy US ETF Compass Date 17 March 2017 Deutsche Bank Markets Research Strong inflows drove ETP assets 4.4% higher in February February continued the trend and recorded mostly positive returns across asset classes February was another favorable month for both risky and safe haven assets. Global Equities were up by 2.51% during last month, mainly boosted by US equities with returns of 3.69%; EM equities and Intl DM also recorded positive performance of 1.74% and 1.19%, respectively. Similarly, Fixed Income registered another month of gains; while Commodities were slightly down, dragged by Energy commodity losses of 0.91%, meanwhile, Precious Metals recorded positive returns of 3.43%. On the currency side, the USD strengthened against most 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 cash ETPs 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 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. ETF flows clearly tell the Trump presidency story As of March 14 th , with just over 4 months since the election day, ETP flows clearly reflect the Trump trade. Overall, the "America First" chant is clearly reflected in ETF flows with US-focused ETFs dominating the flow activity (+$147bn). Moreover, the inflows into the small cap (+$23bn) segment highlights the focus on the domestic economy. The inflows into Industrials (+$6.8bn) reflect the focus in 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 proposed increases 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 the global economy from stronger US economic growth, while specific country flows reflect 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) and Rates support a stronger growth story with a more benevolent environment for risky 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 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) 057/04/2016. Distributed on: 17/03/2017 08:15:09 GMT
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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.
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
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 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%.
Page 4 Deutsche Bank Securities Inc.
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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.
Deutsche Bank Securities Inc. Page 5
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 $MM CF % AUM Tot. Ret
US Equities
Broad Sector
US (VTI) 146,715 11.2% 11.7% 44,219 49,817 47,224 7% -5%
US Large Cap (SPY) 78,872 11.8% 11.3% 33,687 35,521 34,114 1% -4%
US Small Cap (IWM) 22,599 20.3% 14.6% 3,841 5,786 5,282 38% -9%
Source: Deutsche Bank, Bloomberg Finance LP, FactSet
Page 6 Deutsche Bank Securities Inc.
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US ETF Compass
US Equity Flow trends
Figure 2: US Equity ETFs have experienced their strongest inflow run onrecord, and there are still no signs of abating
-
20,000
40,000
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Daily C
um
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et
Cash
Flo
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$m
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US
Source: Deutsche Bank, Bloomberg Finance LP
Figure 3: Both allocations to Large and Small caps havebeen strong and consistent
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um
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US Large Cap US Small Cap
Source: Deutsche Bank, Bloomberg Finance LP
Figure 4: Dividend and Value inflows continue strong,while Low Risk flows remain depressed
(5,000)
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10,000
15,000
20,000 D
aily C
um
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et
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Flo
ws $
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US Dividend US Value US Low Risk
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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2,000
4,000
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Daily C
um
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et
Cash
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ws $
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Financials Industrials
Source: Deutsche Bank, Bloomberg Finance LP
Figure 6: Banks inflows remain strong, Aero & Defenseinflows continue very steadily, while initial Biotechinflows have reversed and stayed low
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500
1,000
1,500
2,000
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Daily C
um
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et
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ws $
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Biotech Banks Aerospace & Defense
Source: Deutsche Bank, Bloomberg Finance LP
Deutsche Bank Securities Inc. Page 7
17 March 2017
US ETF Compass
Figure 7: Cyclicals and Healthcare remained mostlypositive, but Tech, Materials and Cons. Discretionary haveweakened recently
(2,000)
(1,000)
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um
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et
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ws $
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Cons. Discr. Energy
Materials Health Care
Technology
Source: Deutsche Bank, Bloomberg Finance LP
Figure 8: Bond Substitutes ex Real Estate have beenmostly negative or flat, although Consumer Staples hasrecovered some support recently
(3,000)
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um
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et
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ws $
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Cons. Staples Telecom
Utilities Real Estate
Source: Deutsche Bank, Bloomberg Finance LP
International Equity flow trends
Figure 9: DM Intl inflows have been very steady since election; EM flowsdropped initially, then picked up, and then flattened
(5,000)
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um
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et
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Source: Deutsche Bank, Bloomberg Finance LP
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.
(1,000)
(500)
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Europe
Japan
Canada
Source: Deutsche Bank, Bloomberg Finance LP
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
(1,500)
(1,000)
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um
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et
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ws $
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Latin America Mexico China Russia
Source: Deutsche Bank, Bloomberg Finance LP
Page 8 Deutsche Bank Securities Inc.
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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500
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Source: Deutsche Bank, Bloomberg Finance LP
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
(2,000)
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Very Short Short Intermediate Long
Source: Deutsche Bank, Bloomberg Finance LP
Figure 14: Senior Loans have been the most consistentinflow trend among a very mixed picture in the Creditspace.
(4,000)
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Daily C
um
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Corp. IG Corp. HY EM Debt Sr. Loans
Source: Deutsche Bank, Bloomberg Finance LP
Figure 15: Gold received some relief recently, but notenough to change the deep post-election pressure; CrudeOil has experienced weakness following a resilient start.
(8,000)
(7,000)
(6,000)
(5,000)
(4,000)
(3,000)
(2,000)
(1,000)
-
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Daily C
um
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et
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Gold Crude Oil
Source: Deutsche Bank, Bloomberg Finance LP
Deutsche Bank Securities Inc. Page 9
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
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.
Deutsche Bank Securities Inc. Page 11
17 March 2017
US ETF Compass
Figure 18: 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.
Page 12 Deutsche Bank Securities Inc.
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US ETF Compass
US Equity Allocator heatmaps
Figure 19: 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 3.69% 7.71% 10.31% 26.41% 9.85% 13.82% 1.4% 5.8% 11.3% 19.7% 12.8% 15.9%
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.
Deutsche Bank Securities Inc. Page 13
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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
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.
Page 14 Deutsche Bank Securities Inc.
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US ETF Compass
International Equity Allocator heatmaps
Figure 21: 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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US ETF Compass
Figure 22: 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.
Page 16 Deutsche Bank Securities Inc.
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tsche B
ank S
ecurities In
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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
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)
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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
Apr-11 Apr-12 Apr-13 Apr-14 Apr-15 Apr-16
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
Apr-11 Apr-12 Apr-13 Apr-14 Apr-15 Apr-16
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
Page 18 Deutsche Bank Securities Inc.
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)
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.
Deutsche Bank Securities Inc. Page 19
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.
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
Page 20 Deutsche Bank Securities Inc.
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 .
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
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.
Page 28 Deutsche Bank Securities Inc.
17 March 2017
US ETF Compass
ETF Issuer and Index Provider league tables
Figure 59: ETP Issuer league table (excludes ETN assets)
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).
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).
Page 40 Deutsche Bank Securities Inc.
17 March 2017
US ETF Compass
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
Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of 15-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).
Deutsche Bank Securities Inc. Page 41
17 March 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 42 Deutsche Bank Securities Inc.
17 March 2017
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 43
17 March 2017
US ETF Compass
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
Source: Deutsche Bank.
Page 44 Deutsche Bank Securities Inc.
17 March 2017
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 45
17 March 2017
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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