Deutsche Bank Markets Research
North America
United States
Synthetic Equity & Index Strategy
US ETF Compass
Date
9 December 2015
YTD Flows ahead of last year driven by strong $26bn inflows on November
ETF Monthly 2.0: Evolving content for an evolving industry
________________________________________________________________________________________________________________
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) 124/04/2015.
Author
Sebastian Mercado, CFA
Strategist
(+1) 212 250-8690
Team Contacts
Hallie Martin
Strategist
(+1) 212 250-7994
Srineel Jalagani
Strategist
(+1) 212 250-2060
Recent research Date
TAARSS says prefer US Equities into year-end
07 Dec 2015
Financials and The Fed through the ETF lens
13 Nov 2015
Position for USD Strength with Delta-1 Products
05 Nov 2015
Source: Deutsche Bank
Find out the latest ETF developments in our monthly insights, navigate the markets with our asset allocation dashboards, get ideas for your product strategy from our business intelligence analysis, and get a clean industry picture from our ETF statistics.
November saw very strong equity flows (+$25bn), despite weak performance across asset classes Although November was a weak month for most asset classes across equities, rates, credit, and commodities, ETPs still registered $26bn in inflows. At a broad asset class level, the dollar was the main winner with the bullish USD ETF (UUP) up 3.3% for the month. Small Caps (+3.3%) and Banks (4.6%-6.6%) in the US were also strong. Global equity markets were 0.5% down in the same period; however Equity ETFs received very strong inflows (+$25bn), mostly driven by ETFs with US (+$19.6bn) and Global ex-US regional (+$4.2bn) focus. As of Nov 30th, the industry reached $2.13 trillion in assets for an YTD growth of 7.6%.
Smart Beta and Currency Hedge products continue to dominate new listings Last month launches were dominated by low risk, multi-factor, and currency hedged equity ETFs. Actually since the beginning of the year, Smart Beta and Currency Hedged Equity ETFs have raised $63bn and $46bn in cash, respectively.
Low Risk ETFs organic growth has been six times faster than the rest of Equity ETFs in the last 12M During the last 12 months we have seen resurgence in the Low Risk theme with this group of ETFs recording a relative organic growth 6 times larger than the rest of Equity ETFs excluding Low Risk products. Moreover, on an absolute basis, Low Risk ETFs gathered $9.6bn of inflows in the same period, reaching a level of assets of $23.8bn as of the end of November.
Expect big inflows from December’s ETF Seasonal effect ETFs have exhibited clear seasonality patterns in the last 15 years, particularly in the case of SPY. Based on seasonal patterns and recent flow trends, we could easily see about $10bn-$15bn of inflows going into SPY, and another strong month of $20bn-$25bn inflows for ETFs in December
The time of the “Tax-Loss-Harvests” has arrived Using capital losses to offset capital gains within the fund has been a common method used by investors to improve the tax-efficiency of a fund. We provide two lists of ETFs which can provide suitable implementation for stock-ETF and ETF-ETF replacement strategies, respectively.
Systemic risk from Leveraged & Inverse ETFs is misunderstood and overstated Even under the worst (and very unlikely) scenario in which Leveraged and Inverse ETFs would have to redeem their assets all at once, we believe that the impact would not pose a systemic risk for the following reasons: (1) Actual assets and levered notional are relatively small compared to the rest of the markets, (2) many exposures offset each other, reducing the actual market activity required to liquidate positions, and (3) assets are highly diversified across hundreds of securities which in most cases are highly liquid.
9 December 2015
US ETF Market Monthly Review
Page 2 Deutsche Bank Securities Inc.
Table Of Contents
ETF Monthly Insights ........................................................... 3 Monthly global market trends through the ETF lens ........................................... 3 The ETF barometer: strong inflows to Equity ETFs (+$25bn) .............................. 3 Low Risk ETFs growing faster than the rest of Equity ETFs ................................ 4 Expect big inflows from December’s ETF Seasonal effect .................................. 6 The time of the “Tax-Loss-Harvest” has arrived .................................................. 7 Is the systemic risk threat from Leveraged & Inverse ETFs real? Not so much .. 8
Asset Allocation dashboard ............................................... 11 Global Multi Asset Allocator heatmaps .............................................................. 11 US Equity Allocator heatmaps ........................................................................... 13 International Equity Allocator heatmaps ............................................................ 15 Cross Asset Correlations (3Y) ............................................................................. 17 12-Month Relative Performance Monitor .......................................................... 18 House View Portfolio: Monthly Brief .................................................................. 19
Business Intelligence ......................................................... 20 New Listings ....................................................................................................... 20 Delistings ............................................................................................................ 22 Trends in products launched in the last 12 months ........................................... 23 Popular Product Segments: Smart Beta & Currency Hedged ........................... 24 Average Performance by Product Type and Size (Equity) ................................. 25 Total Expense Ratio X-ray .................................................................................. 27
ETF Statistics ..................................................................... 28 Global ETF Assets and Provider Ranking ........................................................... 28 US Historical ETF trends ..................................................................................... 29 ETF Issuer and Index Provider league tables ..................................................... 30 Monthly Snapshot .............................................................................................. 32 Top 15 ETFs (includes ETNs) .............................................................................. 38
Appendix A: ETN Snapshot ............................................... 39
Appendix B: ETF List ......................................................... 40
Appendix C: Definitions ..................................................... 43 ETP Universe Definitions .................................................................................... 43 Management Style or Product Strategy Definitions .......................................... 43 Product Type Definitions .................................................................................... 44
9 December 2015
US ETF Market Monthly Review
Deutsche Bank Securities Inc. Page 3
ETF Monthly Insights
Monthly global market trends through the ETF lens
With Central Bank talk and expectations coming from both sides of the
Atlantic, the US dollar took center stage during last month. November was a
weak month for most asset classes across equities, rates, credit, and
commodities. The dollar was the main winner with the bullish USD ETF (UUP)
up 3.3% for the month. Within equities US small caps were particularly strong
(+3.3%) reversing their previous month underperformance; while Japan was
also on the positive side (+0.5%). However, other asset classes such as EM
equities (-2.5%), US Treasuries (-0.4%), Corporate credit (-0.15% for IG and
-2.5% for HY), and Commodities (-6.6%) were all on the weak side.
Activity in the commodity space caught our attention. Energy, particularly
Crude Oil (-12.7%), recorded a weak performance with strong inflows (>20% of
AUM) while the largest ETF in the segment (USO) recorded some of the lowest
level of short interest in the last 12 months. Therefore with such inconsistency
and the price of oil near lows not seen since 2004 we can only infer that the
picture for oil remains both challenging and speculative. Also within
commodities, we saw significant divergence within the precious metals space
with Gold outperforming Platinum and Palladium by more than 15%.
Within US equity sectors and industries, Financial industries were particularly
strong with Regional Banks (+6.6%), Large Banks (+4.6%), and Capital
Markets (+4.9%) recording some of the strongest readings for November. In
the meantime, commodity related segments such as MLPs (-7.7%) and Metals
and Mining (-6.6%) were the weakest ones. Furthermore, healthy inflows
continue to be seen across most of the sectors and industries with the
exception of Utilities, and Healthcare which has recently began to turn
negative. While in terms of volatility, Energy and Metals and Mining continue
to be the most volatile segments.
In international equity markets, developed markets continue to fare better
compared to emerging markets recording better performance, healthier flows,
and lower volatility.
In terms of correlation trends, we observed that the correlation between US
equities and other equities have been on the rise and stood in the 0.8-0.9
positive range at the end of last month.
For full details please refer to the information contained in Figure 12 through
Figure 30 within the Asset Allocation dashboard section.
The ETF barometer: strong inflows to Equity ETFs (+$25bn)
November recorded a very strong month in terms of inflows for ETFs, which
gathered $26bn of inflows driven by $25bn of inflows into Equity products.
Within Equity, funds with US, and global ex-US regional focus received
$19.6bn and $4.2bn of inflows, respectively. The strong flows pushed industry
assets to $2.13 trillion or 7.6% growth YTD at the end of November.
9 December 2015
US ETF Market Monthly Review
Page 4 Deutsche Bank Securities Inc.
Smart Beta products continue to gain traction among ETF investors. Last
month they gathered $7.9bn in inflows, helping to take YTD inflows to $63bn
or over 30% of the total inflows received by the industry in the period. In
addition, Smart Beta ETFs represent about 50% of the 263 products and
$7.8bn in assets raised in new products launched in the last 12 months.
Another product trend which has seen significant interest from investors is
currency hedged equity ETFs. As of the end of November, they had gathered
$46bn in new money on an YTD basis with $1bn coming in during last month.
Overall, assets in currency hedged products reached almost $70bn on last Nov
30th. Furthermore, new product activity has been very strong in the last 12
months with 53 products out of the total 82 ETFs launched during this period1.
Total ETP turnover was $1.32 trillion last month down 21% from the previous
month as Volatility stabilized at lower levels relative to recent August highs.
Furthermore, ETF turnover represented 24% of all cash equity traded in the US
during November, slightly below its 12-month average of 26%.
ETF organic growth continues to eclipse that of Mutual Funds. As of the end of
October 2015, ETFs had gathered $170bn in inflows while Mutual Funds had
experienced outflows of $16bn. Moreover, when we looked at the passive
versus active breakdown by striping index mutual funds away from the mutual
fund numbers the picture is even more decisive with passive ETFs and Mutual
Funds receiving $309bn of inflows compared to outflows of $156bn for active
ETFs and Mutual Funds.
Additional details can be found in the Business Intelligence and ETF Statistics
sections.
Low Risk ETFs growing faster than the rest of Equity ETFs
Low Risk ETFs aim to offer downside protection, while
trying to capture as much of the upside in stock prices
moves they can. They come in many different flavors.
The most prominent ones are the ones following the
MSCI Minimum Volatility (offered by iShares), and the
S&P Low Volatility (offered by PowerShares) index
families. Nevertheless, investors can find several
variations adding currency hedging, high dividend, low
beta, downside risk hedging using VIX futures, dynamic
allocation using trend following systems, and defensive
equities, just to name a few.
Since the concept of low risk ETFs took shape back in
2011, this group of ETFs has been receiving significant
attention. Particularly, during the last 12 months we have
seen resurgence in the Low Risk theme with this group
of ETFs recording a relative organic growth 6 times larger
than the rest of Equity ETFs excluding Low Risk products (Figure 1). Moreover,
on an absolute basis, Low Risk ETFs have gathered $742m, $2.0bn, and
$9.6bn of inflows in the last 1-month, 3-month, and 12-month periods,
respectively. Overall, we were tracking 43 Low Risk ETFs with assets of
1 See Martin, Hallie. “Position for USD Strength with Delta-1 Products” for more on FX hedged ETFs
Figure 1: Equity Low Risk vs Equity ex Low Risk ETFs
organic growth during the last 12 months
(10)
0
10
20
30
40
50
60
70
80
No
rmalize
d D
aily C
um
. N
et
Cash
Flo
ws a
s %
AU
M
Eq - Low Risk Equity ex Low Risk
Source: Deutsche Bank, Bloomberg Finance LP
9 December 2015
US ETF Market Monthly Review
Deutsche Bank Securities Inc. Page 5
$23.8bn as of the end of last month. Figure 2 presents a list of the top 15 Low
Risk ETFs by assets.
Figure 2: Top 15 Low Risk ETFs by AUM
5-Day $ 5-Day bps
US Min Vol USMV iShares MSCI USA Minimum Volatility ETF 20-Oct-11 0.15% 6,854 64 844 908 0.01 2.7
US Low Vol SPLV PowerShares S&P 500 Low Volatility Portfolio 5-May-11 0.25% 5,171 52 877 929 0.01 2.7
DM Intl Min Vol EFAV iShares MSCI EAFE Minimum Volatility ETF 20-Oct-11 0.20% 3,809 47 246 293 0.06 8.6
EM Min Vol EEMV iShares MSCI Emerging Markets Minimum Volatility ETF 20-Oct-11 0.25% 2,704 30 67 97 0.05 10.8
Global Min Vol ACWV iShares MSCI All Country World Minimum Volatility ETF 20-Oct-11 0.20% 2,275 12 516 528 0.10 13.6
US High Div Low Vol SPHD PowerShares S&P 500 High Dividend Low Volatility Portfolio18-Oct-12 0.30% 553 3 300 303 0.03 8.9
US Downside Hedge PHDG PowerShares S&P 500 Downside Hedged Portfolio 6-Dec-12 0.39% 378 3 523 525 0.03 11.3
US Equity/Cash Trend-based PTLC Pacer Trendpilot 750 ETF 12-Jun-15 0.60% 300 3 4,943 4,946 0.04 15.8
DM Intl Low Vol IDLV PowerShares S&P International Developed Low Volatility Portfolio13-Jan-12 0.25% 222 7 73 79 0.10 33.0
US Defensive DEF Guggenheim Defensive Equity ETF 15-Dec-06 0.65% 175 1 79 80 0.02 6.8
EU Fx hedged Low Vol FXEU PowerShares Europe Currency Hedged Low Volatility Portfolio7-May-15 0.25% 171 0 62 62 0.06 24.3
EM Low Vol EELV PowerShares S&P Emerging Markets Low Volatility Portfolio13-Jan-12 0.29% 144 4 56 59 0.05 23.0
US Small Cap Low Vol XSLV PowerShares S&P SmallCap Low Volatility Portfolio 15-Feb-13 0.25% 138 1 23 24 0.09 26.8
US Mid Cap Low Vol XMLV PowerShares S&P MidCap Low Volatility Portfolio 15-Feb-13 0.25% 117 1 143 144 0.05 15.7
DM Intl Low Beta Equal Wgt IDLB PowerShares FTSE International Low Beta Equal Weight Portfolio5-Nov-15 0.45% 115 6 27 33 0.16 62.3
TERAUM
$M
20D ADV
$M
Implied
Liq. $M
Total
Liq. $M
Avg. Bid/Ask SpreadsInvestment Focus Ticker ETF Name Listing Date
Source: Deutsche Bank, Bloomberg Finance LP. Data as of Dec 7, 2015.
Although they share a common objective (i.e. reduce risk), their different
methodologies give origin to significant differences among them. Some of the
most notorious differences are their sector or country allocation, while others
relate to the level of cash the fund may hold. For example, MSCI’s Minimum
Volatility strategy employs the Barra factor model to optimize a portfolio for the
minimum total volatility subject to sector/country, style, and single-stock
concentration constraints relative to the standard market-cap weighted parent
index; while S&P’s Low Volatility strategy selects a sample of the stocks with
the lowest realized volatility during the last 252 trading days, and then weights
its constituents according to the inverse of their volatility giving the largest
weight to the least volatile components. Figure 3 presents a comparison of
these two popular strategies in their US-focused ETF versions (USMV-MSCI,
SPLV-S&P).
Figure 3: Low Volatility vs. Minimum Volatility Sector comparison – US-
focused ETFs
0% 5% 10% 15% 20% 25% 30%
Cons. Disc
Cons. Stap.
Energy
Financials
Healthcare
Industrials
Materials
Technology
Telecom
UtilitiesSPLV
USMV
Source: Deutsche Bank, Bloomberg Finance LP.
For a more in depth discussion about Low Risk ETF/index methodologies, refer
to our colleague Hallie Martin’s work published previously. Her most recent
paper on the subject discuses the significant risk/return profile differences
exhibited by EEMV (MSCI EM Min Vol) compared to EEM (MSCI EM)
9 December 2015
US ETF Market Monthly Review
Page 6 Deutsche Bank Securities Inc.
Expect big inflows from December’s ETF Seasonal effect
ETP flows have presented a clear seasonality pattern over the last 15 years.
Average monthly flows usually begin on the low end of their range in January
and then tend to follow an uptrend towards the end of the year. Between
January and December there is clearly a slowdown period during the summer,
particularly in the month of August, however this has often been quickly
leveled out in the month of September. In addition, we noticed that on average
no month has experienced negative flows consistently which is partly due to
ETFs being still a product on growth phase (Figure 4).
The flow dynamics of the month of December are of particular interest to us.
Actually, when we analyzed the average flows for all products, December
registered the highest magnitude in all of the periods analyzed (5, 10, and 15
years). However, the real force driving these flows is far from being consensus
and is more related to the way market participants use some ETFs around the
year end. More specifically, the way investors use pseudo futures ETFs, like
SPY, for non-asset allocation purposes such as tax loss harvesting, cash
equitization, window dressing, etc. creates a clear disparity between pseudo
futures ETF flows and the ETF flows of other products which are more asset
allocation driven such as Asset Allocation and Cash Management ETFs.
In the last 15 years, SPY, in average, has received its largest monthly flows
during the month of December, after which those flows tend to leave the fund
during the months of January and February. This dynamic determines the
unique uptrend linear pattern from January to December for SPY. We should
also note that SPY flows also exhibit a slowdown during the month of August
(Figure 5).
Figure 6 presents the average monthly flow trends for all ETPs excluding
Pseudo Futures products such as SPY. The idea of this sample of products
which includes Asset Allocation, Cash Management, and Leveraged and
Inverse ETPs is to provide a sample of flows that better represents the behavior
of asset allocators using ETFs for investment purposes rather than for other
operational or short term purposes. The flow seasonality pattern is significantly
different than that of SPY in this case. In fact, flows tend to start strong in the
first months of the year as investors position their portfolios for the year and
then trend lower towards the end of the year. Average flows have been
positive for every month, and have clearly increased over the years.
Nevertheless, this group of ETPs also exhibits signs of a summer slowdown.
Figure 4: Avg. Monthly Net Cash
Flows - ETPs
Figure 5: Avg. Monthly Net Cash
Flows - SPY
Figure 6: Avg. Monthly Net Cash
Flows – ETPs ex Pseudo Futures
-
5,000
10,000
15,000
20,000
25,000
30,000
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Avg
. M
on
thly
Net
Cash
Flo
ws f
or
ET
Ps
($M
M)
5Y Avg
10Y Avg
15Y Avg
(15,000)
(10,000)
(5,000)
-
5,000
10,000
15,000
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Avg
. M
on
thly
Net
Cash
Flo
ws f
or
SP
Y
($M
M)
5Y Avg
10Y Avg
15Y Avg
-
5,000
10,000
15,000
20,000
25,000
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Avg
. M
on
thly
Net
Cash
Flo
ws f
or
ET
Ps
ex P
seu
do
Fu
ture
s E
TP
s ($
MM
)
5Y Avg
10Y Avg
15Y Avg
Source: Deutsche Bank, Bloomberg Finance LP. Only completed periods are considered in the Monthly Averages
9 December 2015
US ETF Market Monthly Review
Deutsche Bank Securities Inc. Page 7
Based on seasonal patterns and recent flow trends, we could easily see about
$10bn-$15bn of inflows going into SPY, and another strong month of $20bn-
$25bn inflows for ETPs in December. A favorable market reading of the Fed’s
decision on the 16th, could boost inflows even further, while a less favorable
reading could put some pressure on our estimate for flows.
The time of the “Tax-Loss-Harvest” has arrived
Using capital losses to offset capital gains within the fund (aka tax-loss
harvesting) has been a common method used by investors to improve the tax-
efficiency of a fund. When engaging in tax-loss harvesting, investors look to
replace their losing stock or security with a substantially different one which
allows them to maintain the exposure to their objective or benchmark in the
best possible way; while realizing the losses on the liquidated positions.
Based on YTD total returns, most of the candidates for tax-loss harvesting
within equities are related to either sectors or countries exhibiting commodity-
dependency. In Figure 7, we present a list of specific equity segment
candidates given their YTD total return. Each of the ETFs mentioned represents
a liquid and investable instrument for each respective asset class. This list can
provide accessible and liquid tools for stock portfolio managers looking to
replace some stocks while trying to maintain exposure to their sector or
benchmark.
Figure 7: Equity ETF segments with significant YTD losses
5-Day $ 5-Day bps
Metals & Minig XME -50% SPDR S&P Metals and Mining ETF 22-Jun-06 0.35% 239 34 38 72 0.01 6.5
Greece GREK -38% Global X FTSE Greece 20 ETF 8-Dec-11 0.65% 255 6 0 6 0.03 29.8
MLPs AMLP -36% Alerian MLP ETF 25-Aug-10 0.85% 6,092 169 65 234 0.01 9.2
Brazil EWZ -35% iShares MSCI Brazil Capped ETF 10-Jul-00 0.62% 1,949 475 112 586 0.01 4.3
Peru EPU -34% iShares MSCI Peru Capped ETF 22-Jun-09 0.62% 112 3 0 3 0.05 25.3
Turkey TUR -29% iShares MSCI Turkey ETF 28-Mar-08 0.62% 320 12 7 19 0.08 20.6
Latin America ILF -29% iShares Latin America 40 ETF 26-Oct-01 0.49% 591 10 62 71 0.03 11.0
Indonesia EIDO -25% iShares MSCI Indonesia ETF 7-May-10 0.62% 266 14 1 15 0.02 9.1
Global Natural Resources GNR -25% SPDR S&P Global Natural Resources ETF 13-Sep-10 0.40% 502 7 197 203 0.07 21.6
Global Natural Resources GUNR -24% FlexShares Mstar Global Upstream Natural Resources Index Fund22-Sep-11 0.48% 1,779 15 88 102 0.04 14.5
Gold Miners GDX -23% Market Vectors Gold Miners ETF 22-May-06 0.52% 4,410 715 15 730 0.01 7.1
Canada EWC -23% iShares MSCI Canada ETF 12-Mar-96 0.47% 1,830 44 356 399 0.01 4.4
Malaysia EWM -21% iShares MSCI Malaysia ETF 12-Mar-96 0.47% 272 16 20 37 0.01 9.8
Energy XLE -21% Energy Select Sector SPDR Fund 22-Dec-98 0.14% 11,018 1,219 1,449 2,668 0.01 1.6
Chile ECH -20% iShares MSCI Chile Capped ETF 16-Nov-07 0.62% 199 11 6 17 0.04 12.4
Vietnam VNM -20% Market Vectors Vietnam ETF 14-Aug-09 0.76% 408 6 1 7 0.04 25.2
Thailand THD -19% iShares MSCI Thailand Capped ETF 28-Mar-08 0.62% 221 10 12 23 0.13 20.4
Singapore EWS -18% iShares MSCI Singapore ETF 12-Mar-96 0.47% 585 13 74 88 0.01 9.7
EM EEM -16% iShares MSCI Emerging Markets ETF 7-Apr-03 0.67% 21,796 2,048 438 2,486 0.01 3.0
EM VWO -15% Vanguard FTSE Emerging Markets ETF 3-Mar-05 0.15% 35,037 627 0 627 0.01 3.0
Australia EWA -14% iShares MSCI Australia ETF 12-Mar-96 0.47% 1,347 40 413 453 0.01 5.2
Mexico EWW -14% iShares MSCI Mexico Capped ETF 12-Mar-96 0.47% 1,193 126 18 145 0.01 2.1
India EPI -13% WisdomTree India Earnings Fund 22-Feb-08 0.83% 1,598 77 43 120 0.01 5.2
China FXI -12% iShares China Large-Cap ETF 8-Oct-04 0.74% 5,602 835 296 1,131 0.01 2.7
Spain EWP -12% iShares MSCI Spain Capped ETF 12-Mar-96 0.48% 1,448 34 117 151 0.01 3.3
International Dividends IDV -12% iShares International Select Dividend ETF 15-Jun-07 0.50% 2,892 22 47 69 0.01 4.4
India INDA -11% iShares MSCI India ETF 2-Feb-12 0.67% 3,470 57 100 156 0.01 3.8
Taiwan EWT -11% iShares MSCI Taiwan ETF 20-Jun-00 0.62% 2,876 114 119 233 0.01 7.4
Pacific ex Japan EPP -11% iShares MSCI Pacific ex Japan ETF 25-Oct-01 0.49% 1,950 13 242 256 0.02 5.9
Philippines EPHE -11% iShares MSCI Philippines ETF 29-Sep-10 0.62% 244 9 2 11 0.07 19.4
Materials XLB -8% Materials Select Sector SPDR Fund 22-Dec-98 0.14% 2,177 283 614 897 0.01 2.2
TER AUM $M20D ADV
$M
Implied
Liq. $M
Total
Liq. $M
Avg. Bid/Ask SpreadsInvestment Focus Ticker ETF Name Listing Date
YTD
Return
Source: Deutsche Bank, Bloomberg Finance LP., FactSet
9 December 2015
US ETF Market Monthly Review
Page 8 Deutsche Bank Securities Inc.
Figure 8 presents different alternatives for product replacement for asset
managers running ETF portfolios. We provide multiple investable alternatives
for tax-loss harvesting across 7 different equity segments. Along with the
ticker of the ETF we provide the YTD total return, total expense ratio, and the
YTD correlation of the daily total returns to other ETF candidates. Equity
segments were selected based on their YTD total returns and the availability of
enough (4 or more) investable ETFs within each segment. ETFs were selected
based on their asset size and liquidity characteristics; in addition to the
correlation of their returns within each segment.
Figure 8: Possible tax-loss harvesting equity segments and ETF candidates for replacement
XME PICK SIL SGDM GDX HAP GDXJ MXI IYM VAW FXZ XLB
Metals & Mining XME -50.3% 0.35% 0.75 0.63 0.59 0.60 0.80 0.56 0.91 0.92 0.88 0.92 0.47% -16.9% MXI Materials
Metals & Mining PICK -43.2% 0.39% 0.75 0.46 0.37 0.39 0.84 0.37 0.91 0.99 0.94 0.99 0.43% -12.4% IYM Materials
Metals & Mining SIL -32.1% 0.65% 0.63 0.46 0.95 0.94 0.54 0.93 0.92 0.99 0.96 0.99 0.14% -9.3% VAW Materials
Metals & Mining SGDM -24.1% 0.57% 0.59 0.37 0.95 0.99 0.47 0.94 0.88 0.94 0.96 0.94 0.70% -8.8% FXZ Materials
Metals & Mining GDX -23.4% 0.52% 0.60 0.39 0.94 0.99 0.48 0.95 0.92 0.99 0.99 0.94 0.14% -7.8% XLB Materials
Metals & Mining HAP -20.1% 0.49% 0.80 0.84 0.54 0.47 0.48 0.44
Metals & Mining GDXJ -19.3% 0.54% 0.56 0.37 0.93 0.94 0.95 0.44
Category TickerYTD
ReturnTER XOP FXN VDE IXC OIH IYE XLE YMLP ZMLP MLPA AMLP EMLP TER
YTD
ReturnTicker Category
Energy XOP -31.8% 0.35% 0.96 0.92 0.87 0.88 0.92 0.91 0.90 0.77 0.71 0.75 0.82% -53.8% YMLP MLPs
Energy FXN -30.8% 0.70% 0.96 0.96 0.92 0.95 0.95 0.95 0.90 0.88 0.81 0.84 0.65% -43.9% ZMLP MLPs
Energy VDE -22.3% 0.14% 0.92 0.96 0.97 0.91 1.00 1.00 0.77 0.88 0.92 0.84 0.45% -39.1% MLPA MLPs
Energy IXC -22.0% 0.47% 0.87 0.92 0.97 0.89 0.97 0.97 0.71 0.81 0.92 0.78 0.85% -35.5% AMLP MLPs
Energy OIH -21.7% 0.35% 0.88 0.95 0.91 0.89 0.91 0.90 0.75 0.84 0.84 0.78 0.95% -29.0% EMLP MLPs
Energy IYE -21.5% 0.43% 0.92 0.95 1.00 0.97 0.91 1.00
Energy XLE -20.5% 0.14% 0.91 0.95 1.00 0.97 0.90 1.00
Category TickerYTD
ReturnTER PID DWX IDV FGD SDIV EPI INDY INDA PIN TER
YTD
ReturnTicker Category
Intl Dividends PID -18.6% 0.56% 0.91 0.87 0.90 0.89 0.95 0.94 0.94 0.83% -12.9% EPI India
Intl Dividends DWX -16.9% 0.45% 0.91 0.94 0.94 0.93 0.95 0.97 0.97 0.93% -12.0% INDY India
Intl Dividends IDV -12.0% 0.50% 0.87 0.94 0.97 0.94 0.94 0.97 0.97 0.67% -11.4% INDA India
Intl Dividends FGD -10.6% 0.60% 0.90 0.94 0.97 0.95 0.94 0.97 0.97 0.81% -11.0% PIN India
Intl Dividends SDIV -9.5% 0.58% 0.89 0.93 0.94 0.95
Category TickerYTD
ReturnTER PXH DEM FNDE SCHE EEM VWO DGS IEMG FEM EWX ECON EEMV
EM PXH -21.3% 0.49% 0.97 0.97 0.96 0.96 0.96 0.92 0.96 0.95 0.88 0.89 0.93
EM DEM -19.8% 0.63% 0.97 0.97 0.95 0.95 0.95 0.93 0.95 0.94 0.87 0.88 0.93
EM FNDE -18.9% 0.46% 0.97 0.97 0.95 0.96 0.95 0.92 0.96 0.94 0.87 0.89 0.93
EM SCHE -15.5% 0.15% 0.96 0.95 0.95 0.99 0.99 0.96 0.99 0.96 0.93 0.92 0.97
EM EEM -15.5% 0.67% 0.96 0.95 0.96 0.99 0.99 0.96 0.99 0.95 0.92 0.92 0.97
EM VWO -15.3% 0.15% 0.96 0.95 0.95 0.99 0.99 0.96 0.99 0.96 0.93 0.93 0.96
EM DGS -15.1% 0.63% 0.92 0.93 0.92 0.96 0.96 0.96 0.97 0.93 0.94 0.90 0.96
EM IEMG -13.8% 0.18% 0.96 0.95 0.96 0.99 0.99 0.99 0.97 0.96 0.94 0.92 0.97
EM FEM -13.3% 0.80% 0.95 0.94 0.94 0.96 0.95 0.96 0.93 0.96 0.92 0.90 0.93
EM EWX -13.2% 0.65% 0.88 0.87 0.87 0.93 0.92 0.93 0.94 0.94 0.92 0.85 0.92
EM ECON -12.4% 0.85% 0.89 0.88 0.89 0.92 0.92 0.93 0.90 0.92 0.90 0.85 0.91
EM EEMV -12.4% 0.25% 0.93 0.93 0.93 0.97 0.97 0.96 0.96 0.97 0.93 0.92 0.91
TERYTD
ReturnTicker Category
YTD Daily Correlation of Total ReturnsCategory Ticker
YTD
ReturnTER
Source: Deutsche Bank, FactSet. YTD data as of Dec 8, 2015 for both daily total returns utilized in correlation calculation and YTD return calculation.
The information provided in this sub-section is provided for informational
purposes and is not intended to provide specific tax advice. Specific tax
implications should be consulted with a tax advisor.
Is the systemic risk threat from Leveraged & Inverse ETFs real? Not so much
Over the years, several segments of the ETF market have come under scrutiny
following reports or speculation that ETF activity can pose systemic risks to the
underlying markets, and therefore hurt investors. This has been the case with
Small Cap, EM, High Yield, and Leveraged and Inverse ETFs (to name a few).
However, no conclusive evidence of such claims has been found.
9 December 2015
US ETF Market Monthly Review
Deutsche Bank Securities Inc. Page 9
The main flaw when trying to assess the impact of ETFs in its underlying
market is to understand what type of ETF activity actually impacts the
underlying market (aka primary market) and which one doesn’t. The two
fundamental principles governing the impact on ETFs’ underlying securities
are:
Secondary ETF volume involving the exchange of ETF shares among
investors does not impact the underlying ETF securities.
Primary market activity (aka net cash flows or net creation/redemptions),
however, happens at the underlying ETF securities level, and therefore this
type of activity could potentially have an impact.
Understanding the link between Leveraged and Inverse ETFs and their
underlying primary markets
Most Leveraged and Inverse ETFs deliver their stated return objective by
holding a combination of securities (e.g. equities), cash equivalents, swaps
with multiple counterparties, and futures contracts. In practice, we can assume
that both equity and swap positions ultimately translate into primary market
positions/activity, while the other two have no impact on the primary market.
The assets of the fund usually correspond to the value of the securities and
cash held in the portfolio, while the notional of the fund also includes the value
of the derivatives positions and it is usually as many times larger than the
assets of the fund as the leverage factor sought by the fund. For example, If a
fund has $1bn in assets and a leverage factor of 2, then the notional value is
$2bn. Because securities and swaps tend to be the main holdings on most
ETFs we can say that the primary market exposure of a Leveraged or Inverse
fund is very close to its notional amount.
What is the potential primary market impact from Leveraged & Inverse ETFs?
Let’s assume a worst case scenario in which all investors decide to redeem the
assets in Leveraged and Inverse ETFs.
First, we need to look at the level of ETF assets and its notional. Assets in
Leveraged and Inverse ETFs as of the end of November 2015 were $32.9bn,
while notional assets were $72bn (Figure 9). Both of these numbers are fairly
small compared to the sizes of the ETF industry (under 5%), the mutual fund
industry (<1%), and let’s not even mention the relevant security markets.
Figure 9: Actual and Notional Assets for Leveraged and Inverse ETFs Figure 10: Days to trade Net
Notional based on ETP volume Actual Assets $MM -1 -2 -3 Short 1.25 2 3 Long Total
Equity 3,646 2,795 2,951 9,392 5 7,265 7,866 15,136 24,528
Fixed Income 1,076 2,915 691 4,682 0 114 68 181 4,863
Commodity 21 294 0 315 0 1,196 0 1,196 1,511
Currency 18 843 0 862 0 17 0 17 879
Alternative 585 0 0 585 0 528 0 528 1,112
Total 5,346 6,847 3,642 15,835 5 9,119 7,934 17,058 32,893
Notional Assets $MM -1 -2 -3 Short 1.25 2 3 Long Net
Equity (3,646) (5,589) (8,853) (18,088) 6 14,530 23,599 38,135 20,047
Fixed Income (1,076) (5,830) (2,073) (8,979) 0 227 203 430 (8,549)
Commodity (21) (588) 0 (609) 0 2,392 0 2,392 1,783
Currency (18) (1,687) 0 (1,705) 0 34 0 34 (1,671)
Alternative (585) 0 0 (585) 0 1,055 0 1,055 471
Total (5,346) (13,694) (10,926) (29,966) 6 18,238 23,802 42,047
ETP ADV
$MM ex
LevInv
Days to
Trade
Equity 20,047 54,759 0.4
Fixed Income (8,549) 5,082 1.7
Commodity 1,783 1,212 1.5
Currency (1,671) 167 10.0
Alternative 471 44 10.8
Net Notional Assets $MM
per Asset Class
Source: Deutsche Bank, Bloomberg Finance LP. Assets data as of the end of last month. ETP ADV ex LevInv is daily average for the month of November 2015.
9 December 2015
US ETF Market Monthly Review
Page 10 Deutsche Bank Securities Inc.
Second, the right way to look at the primary market impact is to look at the
Net Notional Assets instead of the absolute value of $72bn. In practice, some
of the underlying short and long positions on Leveraged and Inverse ETFs can
offset each other and reduce the actual activity passed onto the primary
market. In most cases, the net notional values are not only small compared to
the overall markets, but they are also small compared to the ETP’s recent daily
turnover (Figure 10). Therefore the ETF market liquidity and the liquidity of the
underlying markets could easily absorb the demands from massive
redemptions, reducing the systemic risk of such an event.
Third, the majority of the assets of Leveraged and Inverse
ETFs are concentrated on funds tracking some of the
most liquid asset class benchmarks such as US Large
Cap stocks or US Treasuries (Figure 11). Therefore
primary market exposure is highly diversified across
hundreds of liquid securities, which in turn reduces the
risk of a systemic risk episode even further.
Based on our analysis, we continue to believe that the
main risk from Leveraged and Inverse ETFs to investors
is lack of education and the wrong usage of them, and
not the product in itself. Leveraged and Inverse ETFs are
designed as trading tools, and should be used for short
term periods.
In this analysis we didn’t include Leveraged and Inverse
ETNs (such as the popular ones on the VIX), which are
not considered Funds and therefore are not affected by
the same set of rules or constraints.
Figure 11: Top 15 Leverage and Inverse ETFs
concentrating over 50% of assets
Ticker Name AUM $MM
TBT ProShares UltraShort 20+ Year Treasury 2,715
SSO ProShares Ultra S&P500 1,902
SH ProShares Short S&P500 1,732
SDS ProShares UltraShort S&P500 1,518
TQQQ ProShares UltraPro QQQ 1,402
FAS Direxion Daily Financial Bull 3x Shares 1,393
UPRO ProShares UltraPro S&P500 1,086
QLD ProShares Ultra QQQ 1,039
TNA Direxion Daily Small Cap Bull 3x Shares 964
UCO ProShares Ultra DJ-UBS Crude Oil 871
TBF ProShares Short 20+ Year Treasury 827
UYG ProShares Ultra Financials 800
BIB ProShares Ultra Nasdaq Biotechnology 780
NUGT Direxion Daily Gold Miners Index Bull 3x Shares 651
SPXL Direxion Daily S&P 500 Bull 3x Shares 616 Source: Deutsche Bank, Bloomberg Finance LP
9 December 2015
US ETF Market Monthly Review
Deutsche Bank Securities Inc. Page 11
Asset Allocation dashboard
Global Multi Asset Allocator heatmaps
Figure 12: Global Multi Asset 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
ACWI Global Equities -0.53% 3.40% -5.34% -2.47% 9.29% 8.04% 1.5% 3.2% 4.7% 11.6% 17.2% 15.7%
VTI US Total Market 0.60% 5.39% -1.03% 2.50% 15.98% 14.13% 1.7% 3.6% 5.1% 7.1% 15.7% 15.5%
SPY S&P 500 (Large Cap) 0.37% 6.13% -0.15% 2.76% 15.99% 14.29% 1.4% 3.8% 5.1% 1.9% 12.0% 12.5%
MDY S&P 400 (Mid Cap) 1.34% 3.55% -3.48% 2.61% 14.86% 12.72% 1.3% 3.6% 4.8% 13.9% 17.1% 11.9%
IWM Russell 2000 (SM Cap) 3.26% 3.69% -3.17% 3.50% 14.94% 12.04% 3.7% 5.4% 8.5% 13.3% 15.8% 10.2%
EFA Intl DM -0.75% 1.13% -7.45% -2.69% 6.41% 5.44% 1.7% 3.8% 9.7% 43.6% 39.4% 28.9%
VGK Europe -1.25% 0.26% -7.42% -4.03% 6.66% 6.40% 0.6% 3.2% 15.4% 41.8% 56.8% 40.5%
EZU Eurozone -0.79% 1.50% -5.08% -3.56% 7.31% 5.31% 0.4% 4.1% 12.4% 116.1% 87.4% 72.9%
EWJ Japan 0.49% 2.15% -4.66% 7.71% 11.38% 5.41% 0.6% 1.8% 8.5% 34.4% 85.8% 53.1%
EPP Pacific ex JP -0.46% 2.80% -13.71% -12.42% -1.65% 1.58% -1.8% -4.0% -12.3% -12.5% -8.6% -7.0%
EEM EM -2.52% 0.44% -16.72% -16.32% -4.85% -3.51% -0.8% -0.3% -7.3% -5.2% -0.7% 2.3%
ILF Latin America -3.50% -6.69% -22.63% -34.46% -15.99% -12.61% 0.9% 3.0% -11.1% -27.7% -12.9% -6.4%
EEMA EM Asia -2.88% 4.18% -16.43% -10.48% 0.03% -3.2% -6.0% -13.4% 5.0% 10.9% 4.8%
GUR EM Europe -3.77% -3.42% -15.90% -22.90% -12.81% -9.10% -1.5% 4.3% -0.8% 12.5% 18.9% 10.9%
MES Middle East -7.86% -12.20% -17.23% -25.13% 5.27% 2.26%
AFK Africa -7.84% -9.01% -27.45% -32.54% -12.19% -7.94% 0.8% 5.3% 1.7% -3.0% 1.0% -2.3%
FM Frontier Market -5.57% -4.68% -13.77% -17.65% 3.46% -1.4% -2.4% -2.2% 3.6% 48.2% 30.2%
BKF BRIC -1.72% 0.78% -19.79% -15.61% -4.72% -6.08% -1.3% -4.8% -12.6% -27.9% -29.5% -20.1%
AGG Fixed Income (Broad) -0.39% 0.49% -0.07% 0.82% 1.43% 3.03% 0.1% 6.4% 9.8% 20.1% 13.9% 20.6%
GOVT US Treasury -0.40% 0.22% 0.32% 0.99% 0.88% -9.1% 0.0% 25.7% 24.0% 17.5% 13.9%
SHV Very Short -0.01% -0.01% -0.01% 0.01% 0.02% 0.03% -14.6% -7.1% 39.5% -22.4% 8.6% 1.9%
SHY Short -0.26% -0.11% -0.08% 0.28% 0.42% 0.56% -10.6% -3.6% 26.0% 41.0% 13.8% 9.2%
IEI Intermediate -0.41% 0.19% 0.35% 1.55% 0.92% 2.21% -8.1% -0.3% 23.8% 31.1% 20.2% 23.8%
TLT Long -0.87% 0.67% 0.27% 1.71% 1.94% 7.54% -7.7% 10.3% 20.5% 16.7% 19.4% 17.0%
TIP US Inflation -0.14% -0.37% -1.80% -1.79% -2.28% 2.26% 0.8% 2.8% 2.1% 12.2% -4.1% -0.4%
MUB Municipal 0.50% 1.73% 2.41% 2.69% 1.57% 4.50% 2.2% 6.7% 8.8% 26.2% 13.4% 17.8%
MBB Securitized -0.22% 0.44% 0.33% 1.47% 1.84% 2.57% 1.0% 4.1% 16.1% 28.8% 11.8% 30.5%
LQD IG Corporates -0.15% 1.61% -0.30% -0.19% 1.81% 4.98% 0.7% 7.4% 9.4% 20.1% 13.2% 23.4%
HYG HY Corporates -2.50% -2.35% -6.12% -3.87% 1.93% 5.06% -1.6% 11.1% 1.5% 11.2% 9.1% 24.6%
FLOT Corp. Floater 0.09% -0.16% -0.23% -0.03% 0.44% -1.0% -2.2% 11.8% -13.1% 110.5%
BKLN Senior Loans -1.00% -1.93% -4.10% -3.14% 1.27% -6.7% -5.0% -11.8% -14.4% 65.2%
PFF Preferred 0.66% 2.14% 1.72% 4.25% 5.78% 6.49% 4.0% 9.0% 11.0% 29.6% 12.4% 18.2%
CWB Convertible -0.67% 1.28% -4.88% -1.40% 10.15% 7.46% 4.3% -4.0% -3.7% 5.5% 46.5% 42.8%
BWX Intl DM Debt -2.41% -1.51% -2.63% -8.76% -4.61% -0.33% -2.1% -2.0% -7.1% -12.6% 3.6% 14.5%
WIP Intl Inflation -1.56% -1.14% -5.92% -11.10% -4.42% 0.90% -9.1% -15.6% -15.7% -17.4% -14.8% 0.3%
EMB EM Gov Debt USD 0.30% 1.64% -1.18% -0.20% 0.35% 4.85% 7.7% 13.8% 2.9% 6.4% -1.0% 21.2%
EMLC EM Gov Debt Local -1.65% -0.89% -9.48% -17.50% -8.54% -2.86% 1.5% 1.7% -1.1% 10.8% -0.5% 44.0%
EMCB EM Corp USD -0.95% -0.10% -5.47% -5.63% -0.81% -9.3% -20.0% -23.2% -23.8% 46.8%
HYEM EM HY Corp USD 0.70% 2.16% -3.03% 0.04% 1.61%
DBC Commodities -6.64% -9.56% -19.88% -30.51% -20.37% -10.76% -0.7% -0.5% -1.5% 1.5% -9.6% -4.9%
DBE Energy Cmdty -7.78% -15.01% -28.29% -40.03% -23.50% -12.64% 23.6% 19.8% 48.2% 207.1% 20.7% 6.3%
USO Crude Oil WTI -12.69% -18.63% -36.34% -49.45% -26.50% -18.54% 26.2% 20.7% 57.1% 342.3% 31.4% 15.1%
UNG Natural Gas -11.11% -31.34% -32.25% -58.98% -24.66% -28.37% 14.5% 21.0% 22.8% 50.0% -9.4% -7.4%
DBA Agriculture -3.62% -1.77% -6.05% -19.69% -10.75% -6.75% -0.2% -4.4% -4.7% -14.6% -9.0% -9.4%
DBB Industrial Metals -7.33% -12.34% -24.43% -30.37% -15.73% -11.72%
DBP Precious Metals -7.32% -6.01% -12.24% -9.69% -18.20% -8.19% -3.4% -3.1% -5.9% -6.6% -12.0% -6.8%
GLD Gold Physical -6.75% -6.34% -10.67% -9.09% -15.02% -5.53% -4.4% -3.2% -6.9% -5.9% -14.1% -8.0%
SLV Silver Physical -9.19% -3.93% -15.95% -9.37% -25.39% -13.30% 1.2% -2.4% 0.7% -8.2% 1.4% -1.1%
PPLT Platinum Physical -15.63% -17.95% -25.58% -31.21% -20.16% -13.52% 0.0% -7.5% -5.5% -10.3% -0.4% 6.8%
PALL Palladium Physical -19.56% -9.60% -30.25% -33.12% -7.94% -5.53% 3.4% -9.3% -19.4% -30.1% -22.4% -15.5%
UUP Bull USD 3.29% 4.07% 2.44% 11.12% 5.96% 2.11% 10.0% -6.2% -20.7% 12.4% 15.3% 2.4%
FXY JPYUSD -2.00% -1.62% 0.63% -3.99% -12.86% -7.80%
FXE EURUSD -3.96% -5.96% -4.10% -15.49% -7.10% -4.31%
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 largest values, while red cells correspond to lowest values. Figures over 1Y are annualized. The ETFs mentioned in this figure are provided as reference and have been selected as investable and representative vehicles for each asset class considering the product’s asset class representation, liquidity, size, cost, and ease to borrow for tactical or risk hedging purposes; however, they should not be seen as the only or best alternative for each asset class as finding the right product will depend on the specific investor’s objective and intended usage. Please refer to “Product Type Definitions” on Appendix C for further details on product selection criteria depending on product usage.
9 December 2015
US ETF Market Monthly Review
Page 12 Deutsche Bank Securities Inc.
Figure 13: Global Multi Asset Risk and Risk-adjusted Performance Measures
1M 3M 6M 1Y 3Y 5Y 1Y 3Y 5Y 1Y 3Y 5Y
ACWI Global Equities 10.9% 17.3% 17.5% 15.4% 12.9% 16.7% -15.1% -15.1% -24.1% (0.2) 0.7 0.5
VTI US Total Market 12.4% 16.7% 17.0% 15.0% 12.6% 15.6% -12.1% -12.1% -20.3% 0.2 1.3 0.9
SPY S&P 500 (Large Cap) 12.1% 16.5% 17.1% 15.2% 12.5% 15.2% -11.9% -11.9% -18.6% 0.2 1.3 0.9
MDY S&P 400 (Mid Cap) 14.3% 16.9% 16.7% 15.0% 13.7% 17.9% -12.5% -12.5% -26.2% 0.2 1.1 0.7
IWM Russell 2000 (SM Cap) 15.0% 19.4% 18.0% 16.6% 15.6% 20.1% -16.1% -16.1% -28.9% 0.2 1.0 0.6
EFA Intl DM 10.6% 17.9% 18.3% 16.6% 14.2% 19.2% -16.4% -16.6% -25.9% (0.2) 0.5 0.3
VGK Europe 12.6% 18.0% 18.7% 17.7% 15.3% 22.2% -16.1% -18.0% -30.2% (0.2) 0.4 0.3
EZU Eurozone 12.9% 18.3% 20.7% 20.0% 17.5% 24.8% -15.8% -20.4% -37.6% (0.2) 0.4 0.2
EWJ Japan 9.7% 21.0% 20.8% 18.0% 17.8% 18.7% -15.6% -15.6% -23.9% 0.4 0.6 0.3
EPP Pacific ex JP 16.4% 22.0% 24.1% 19.9% 16.5% 20.7% -25.6% -28.0% -28.8% (0.6) (0.1) 0.1
EEM EM 20.2% 23.9% 24.0% 21.0% 18.5% 22.2% -28.4% -30.2% -31.8% (0.8) (0.3) (0.2)
ILF Latin America 27.6% 29.0% 27.7% 27.2% 23.5% 24.3% -38.0% -49.6% -55.5% (1.3) (0.7) (0.5)
EEMA EM Asia 15.3% 23.3% 26.4% 21.8% 17.8% -31.5% -31.5% (0.5) 0.0
GUR EM Europe 24.4% 24.0% 26.8% 28.7% 24.0% 27.7% -28.7% -45.3% -54.6% (0.8) (0.5) (0.3)
MES Middle East 16.1% 20.2% 23.5% 25.6% 20.8% 20.5% -25.0% -33.5% -33.5% (1.0) 0.3 0.1
AFK Africa 18.1% 20.2% 19.6% 19.2% 16.2% 18.3% -32.5% -43.8% -43.8% (1.7) (0.8) (0.4)
FM Frontier Market 14.5% 15.8% 16.5% 16.1% 13.7% -19.4% -28.1% (1.1) 0.3
BKF BRIC 18.5% 25.5% 27.3% 24.6% 20.5% 23.3% -30.2% -30.2% -38.6% (0.6) (0.2) (0.3)
AGG Fixed Income (Broad) 2.4% 3.3% 3.6% 3.8% 3.4% 3.4% -2.9% -5.1% -5.1% 0.2 0.4 0.9
GOVT US Treasury 2.9% 3.6% 3.9% 4.3% 3.5% -3.5% -4.6% 0.2 0.3
SHV Very Short 0.2% 0.2% 0.2% 0.2% 0.1% 0.2% -0.1% -0.1% -0.1% 0.0 0.1 0.2
SHY Short 0.7% 1.0% 1.0% 1.0% 0.8% 0.8% -0.6% -0.6% -0.6% 0.3 0.6 0.7
IEI Intermediate 2.2% 3.0% 3.3% 3.6% 3.1% 3.3% -2.2% -4.2% -4.2% 0.4 0.3 0.7
TLT Long 8.2% 12.5% 14.7% 15.5% 13.2% 15.2% -15.8% -17.2% -20.5% 0.1 0.1 0.5
TIP US Inflation 2.7% 4.4% 4.8% 5.7% 5.4% 5.7% -4.8% -11.1% -11.1% (0.3) (0.4) 0.4
MUB Municipal 1.9% 2.4% 2.6% 2.9% 4.3% 5.0% -2.9% -9.7% -9.7% 0.9 0.4 0.9
MBB Securitized 1.9% 2.2% 2.7% 2.7% 3.0% 2.8% -1.7% -4.8% -4.8% 0.5 0.6 0.9
LQD IG Corporates 3.5% 4.9% 5.4% 5.9% 5.4% 5.5% -6.0% -8.6% -8.6% (0.0) 0.3 0.9
HYG HY Corporates 5.4% 6.8% 6.2% 6.5% 5.8% 7.8% -7.5% -7.5% -10.1% (0.6) 0.3 0.7
FLOT Floater 0.6% 0.7% 1.1% 1.0% 0.9% -0.5% -0.6% (0.0) 0.5
BKLN Senior Loans 2.4% 2.7% 3.0% 3.4% 2.7% -4.4% -4.4% (0.9) 0.5
PFF Preferred 4.1% 3.8% 4.6% 4.5% 4.7% 8.0% -3.0% -8.7% -15.2% 0.9 1.2 0.8
CWB Convertible 7.2% 10.7% 10.7% 10.2% 9.3% 10.4% -9.8% -9.8% -17.1% (0.1) 1.1 0.7
BWX Intl DM Debt 7.2% 6.9% 7.6% 8.3% 7.2% 7.4% -9.7% -15.4% -15.4% (1.0) (0.6) (0.0)
WIP Intl Inflation 7.5% 7.2% 7.2% 8.7% 7.3% 7.7% -12.2% -17.0% -17.0% (1.3) (0.6) 0.1
EMB EM Gov Debt USD 4.2% 6.1% 6.1% 7.4% 7.5% 7.1% -6.5% -14.5% -14.5% (0.0) 0.0 0.7
EMLC EM Gov Debt Local 9.4% 11.0% 9.9% 10.3% 9.5% 10.1% -20.4% -30.3% -30.3% (1.7) (0.9) (0.3)
EMCB EM Corp USD 7.0% 8.4% 8.3% 9.0% 7.8% -10.4% -11.8% (0.6) (0.1)
HYEM EM HY Corp USD 5.3% 5.7% 6.0% 8.6% 7.6% -9.8% -14.0% 0.0 0.2
DBC Commodities 15.5% 16.6% 17.8% 17.8% 13.4% 15.5% -32.1% -50.5% -55.7% (1.7) (1.5) (0.7)
DBE Energy Cmdty 26.4% 30.0% 30.8% 31.9% 21.9% 22.3% -41.5% -59.9% -62.7% (1.3) (1.1) (0.6)
USO Crude Oil WTI 30.6% 38.0% 39.4% 42.5% 28.8% 29.0% -52.5% -68.3% -72.3% (1.2) (0.9) (0.6)
UNG Natural Gas 35.6% 31.9% 31.9% 39.4% 35.7% 37.7% -59.0% -68.5% -83.0% (1.5) (0.7) (0.8)
DBA Agriculture 11.7% 10.7% 12.5% 11.8% 10.8% 12.8% -21.4% -30.9% -42.7% (1.7) (1.0) (0.5)
DBB Industrial Metals 15.8% 20.2% 19.1% 18.3% 16.3% 19.4% -32.2% -42.7% -55.6% (1.7) (1.0) (0.6)
DBP Precious Metals 10.8% 14.2% 13.3% 16.5% 18.8% 20.0% -21.0% -45.6% -53.3% (0.6) (1.0) (0.4)
GLD Gold Physical 11.5% 13.1% 12.4% 14.8% 17.0% 17.5% -19.1% -39.1% -45.1% (0.6) (0.9) (0.3)
SLV Silver Physical 9.5% 20.4% 20.2% 24.6% 26.5% 31.9% -23.7% -58.7% -71.6% (0.4) (1.0) (0.4)
PPLT Platinum Physical 14.5% 20.3% 18.8% 18.5% 17.9% 18.7% -35.7% -53.0% -57.6% (1.7) (1.1) (0.7)
PALL Palladium Physical 38.8% 36.0% 34.7% 28.7% 24.3% 27.5% -36.3% -41.7% -41.7% (1.2) (0.3) (0.2)
UUP Bull USD 6.9% 7.7% 8.6% 9.4% 7.2% 7.6% -7.9% -7.9% -10.9% 1.2 0.8 0.3
FXY JPYUSD 5.7% 6.6% 8.6% 8.8% 9.7% 9.1% -7.6% -35.5% -40.6% (0.5) (1.3) (0.9)
FXE EURUSD 7.9% 9.7% 11.0% 11.7% 8.7% 9.3% -16.4% -25.1% -30.1% (1.3) (0.8) (0.5)
Sharpe (TR / Vol)Ticker Asset Class
Annualized Volatility Max Drawdown
Source: Deutsche Bank Factset. Note: Data as of the end of last month; Calculations based on total returns; Volatility based on daily total returns annualized using a 252 day factor; Sharpe ratio calculation assumes Risk Free rate equal to zero. For Max DD and Sharpe calculations, green cells correspond to largest values, while red cells correspond to lowest values. For Volatility calculations, green cells are the least volatile (lowest values), while red cells are the most volatile (highest values). The ETFs mentioned in this figure are provided as reference and have been selected as investable and representative vehicles for each asset class considering the product’s asset class representation, liquidity, size, cost, and ease to borrow for tactical or risk hedging purposes; however, they should not be seen as the only or best alternative for each asset class as finding the right product will depend on the specific investor’s objective and intended usage. Please refer to “Product Type Definitions” on Appendix C for further details on product selection criteria depending on product usage.
9 December 2015
US ETF Market Monthly Review
Deutsche Bank Securities Inc. Page 13
US Equity Allocator heatmaps
Figure 14: US 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
VTI US Total Market 0.60% 5.39% -1.03% 2.50% 15.98% 14.13% 1.7% 3.6% 5.1% 7.1% 15.7% 15.5%
SPY S&P 500 (Large Cap) 0.37% 6.13% -0.15% 2.76% 15.99% 14.29% 1.4% 3.8% 5.1% 1.9% 12.0% 12.5%
DIA DJI 0.74% 7.91% -0.35% 1.82% 13.40% 12.65% 1.4% 3.8% 5.1% 1.9% 12.0% 12.5%
QQQ NASDAQ-100 0.61% 9.58% 4.10% 8.72% 21.70% 18.30% 1.4% 3.8% 5.1% 1.9% 12.0% 12.5%
IWF Russell 1000 Growth 0.31% 6.19% 1.31% 5.94% 17.18% 14.87% 2.6% 4.4% 6.6% 15.2% 15.4% 13.5%
IWD Russell 1000 Value 0.45% 4.68% -3.11% -1.27% 14.48% 13.25% 1.5% 4.3% 5.0% 9.5% 17.6% 15.4%
MDY S&P 400 (Mid Cap) 1.34% 3.55% -3.48% 2.61% 14.86% 12.72% 1.3% 3.6% 4.8% 13.9% 17.1% 11.9%
IWM Russell 2000 (SM Cap) 3.26% 3.69% -3.17% 3.50% 14.94% 12.04% 3.7% 5.4% 8.5% 13.3% 15.8% 10.2%
VIG Div. Growth 0.27% 5.06% -1.53% -0.98% 12.13% 11.87% 0.5% 0.3% -2.6% -1.5% 11.8% 27.6%
DVY Div. Yield 0.10% 5.66% -0.12% 0.79% 13.81% 13.85% 0.5% 0.3% -2.6% -1.5% 11.8% 27.6%
VYM Div. Yield 0.22% 6.96% -0.74% 0.18% 14.48% 14.65% 0.5% 0.3% -2.6% -1.5% 11.8% 27.6%
SDY Div. Yield & Growth 0.21% 6.49% 0.62% 1.13% 14.42% 13.05% 0.5% 0.3% -2.6% -1.5% 11.8% 27.6%
XLY Cons. Discretionary -0.23% 8.15% 6.62% 14.13% 21.09% 19.24% 1.5% 3.5% 4.7% 44.7% 20.7% 23.3%
PEJ Hotels, Rest & Leisure -3.20% 5.05% 1.83% 7.22% 18.73% 16.30%
XHB Home Builders 1.71% 0.43% 1.33% 9.09% 11.92% 19.48% -3.7% -1.9% 6.3% 15.3% -7.6% 12.0%
ITB Household Durables 5.04% 2.99% 7.45% 10.44% 12.10% 20.83% -3.7% -1.9% 6.3% 15.3% -7.6% 12.0%
PBS Media -0.79% 8.25% -3.91% 2.51% 17.78% 15.57%
XRT Retail -2.88% -4.53% -8.40% -4.51% 13.32% 14.84% 18.4% -14.0% -25.1% -3.9% -3.9% -11.0%
XLP Cons. Staples -0.92% 5.14% 2.58% 2.87% 14.12% 14.89% -3.7% 5.0% 10.1% -2.5% 11.7% 20.0%
PBJ Food Products -2.85% 3.14% 1.89% 7.39% 18.64% 14.27%
XLE Energy -0.01% 3.17% -11.99% -12.46% 0.72% 3.65% 2.3% 3.4% 5.8% 35.9% 27.6% 21.0%
OIH Energy Eq. & Serv. 1.80% -1.08% -15.07% -16.49% -5.61% -5.30% 3.1% 15.0% 22.4% 42.0% 2.3% -0.5%
XES Energy Eq. & Serv. 3.36% -4.61% -25.16% -29.49% -14.00% -8.88% 3.1% 15.0% 22.4% 42.0% 2.3% -0.5%
IEZ Energy Eq. & Serv. 2.15% -2.00% -17.52% -18.81% -5.27% -3.66% 3.1% 15.0% 22.4% 42.0% 2.3% -0.5%
XOP Energy E&P 0.13% -2.35% -24.35% -26.11% -10.07% -4.04% 5.4% -1.8% 31.0% 79.0% 36.9% 23.7%
IEO Energy E&P 0.35% 3.52% -14.36% -12.02% 1.53% 2.55% 5.4% -1.8% 31.0% 79.0% 36.9% 23.7%
AMLP MLPs -7.72% -13.15% -22.68% -26.81% -2.84% 1.34% 5.2% 7.3% 4.3% 12.0% 33.3% 92.7%
XLF Financials 1.99% 5.35% 0.78% 2.50% 17.98% 13.07% 3.8% 2.4% 10.9% 10.3% 23.9% 22.6%
KBWB Large Banks 4.62% 5.00% 1.27% 5.99% 17.90% 5.9% 7.9% 23.3% 16.0% 21.3% 25.1%
KRE Regional Banks 6.58% 11.66% 9.27% 17.15% 20.37% 17.19% 5.9% 7.9% 23.3% 16.0% 21.3% 25.1%
KCE Capital Markets 4.88% 4.19% -6.98% -3.81% 14.79% 8.58% -7.3% -17.8% -11.5% -8.4% 74.1% 21.7%
KIE Insurance 1.71% 6.18% 7.51% 10.89% 20.31% 15.17% 3.2% 18.1% 94.3% 66.8% 45.8% 23.3%
XLV Healthcare -0.32% 1.25% -4.43% 3.55% 22.80% 20.73% -1.1% -4.1% 1.6% 20.3% 33.5% 29.5%
IBB Biotech & Pharma 2.74% -2.23% -8.38% 10.04% 34.21% 30.97% -1.2% -0.2% 6.5% 31.4% 42.1% 28.4%
BBH Large Biotech 0.54% -1.23% -7.57% 6.29% 31.88% 33.75% -1.2% -0.2% 6.5% 31.4% 42.1% 28.4%
IHI HC Eq. & Supplies 2.83% 3.48% 2.91% 9.29% 22.65% 18.31% 0.8% -11.0% -4.6% -14.4% 13.7% 3.4%
IHF HC Providers & Serv -0.88% -6.85% -11.07% 6.70% 23.03% 19.51% -6.6% -9.4% 3.0% 35.1% 44.8% 45.3%
PPH Large Pharma -0.25% -4.44% -10.54% -0.38% 20.12% 18.77% -3.1% -14.7% -15.3% -6.7% 20.2% 13.6%
XLI Industrials 0.87% 7.32% -0.88% -1.81% 16.14% 13.22% 1.9% 5.9% -5.7% -20.2% 20.0% 11.4%
ITA Aerospace & Def 1.45% 5.95% -0.90% 6.20% 23.08% 17.95% 18.4% 20.4% 14.2% 63.1% 86.9% 29.5%
IYT Transportation -0.13% 3.64% -1.64% -10.86% 18.17% 11.91% -8.0% 0.5% -16.7% -45.1% 11.5% 1.5%
XLB Materials 0.99% 6.06% -8.71% -5.08% 9.98% 7.70% 2.1% -2.6% -11.7% -17.8% -11.5% -5.9%
XME Metals & Mining -6.62% -21.14% -40.27% -51.62% -26.44% -22.37% 1.6% 10.3% 4.3% 17.9% -15.9% -4.5%
VNQ Real Estate -0.63% 8.31% 2.33% 2.48% 11.64% 12.37% 2.3% 4.7% 4.0% 3.2% 11.5% 18.3%
VGT Technology 1.19% 10.28% 2.06% 6.57% 18.74% 15.09% 5.7% 10.4% 4.6% 2.4% 15.4% 14.8%
IGN Comm. Equipment -0.10% 3.88% -4.06% 5.43% 12.53% 5.02%
FDN Int. Software & Serv. 2.53% 11.47% 13.76% 22.73% 26.04% 18.08% 16.2% 29.2% 50.3% 96.5% 87.7% 57.5%
SMH Semiconductors 2.93% 12.61% -6.70% 1.60% 22.28% 15.22% 16.8% 4.7% -8.5% -1.0% 2.4% -12.1%
IGV Software 2.09% 10.94% 4.71% 13.83% 20.02% 14.15% -4.7% 10.7% -19.7% -24.1% -3.4% 7.4%
VOX Telecom -1.01% 4.33% -0.74% -0.26% 10.65% 10.23% 7.8% 8.6% -16.7% 2.1% 9.7% 3.2%
XLU Utilities -2.13% 1.81% -1.97% -3.58% 10.65% 11.04% -9.0% -9.3% -4.0% -4.1% -1.4% 5.1%
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 largest values, while red cells correspond to lowest values. Figures over 1Y are annualized. The ETFs mentioned in this figure are provided as reference and have been selected as investable and representative vehicles for each asset class considering the product’s asset class representation, liquidity, size, cost, and ease to borrow for tactical or risk hedging purposes; however, they should not be seen as the only or best alternative for each asset class as finding the right product will depend on the specific investor’s objective and intended usage. Please refer to “Product Type Definitions” on Appendix C for further details on product selection criteria depending on product usage.
9 December 2015
US ETF Market Monthly Review
Page 14 Deutsche Bank Securities Inc.
Figure 15: US Equity Risk and Risk-adjusted Performance Measures
1M 3M 6M 1Y 3Y 5Y 1Y 3Y 5Y 1Y 3Y 5Y
VTI US Total Market 12.4% 16.7% 17.0% 15.0% 12.6% 15.6% -12.1% -12.1% -20.3% 0.2 1.3 0.9
SPY S&P 500 (Large Cap) 12.1% 16.5% 17.1% 15.2% 12.5% 15.2% -11.9% -11.9% -18.6% 0.2 1.3 0.9
DIA DJI 11.7% 16.0% 16.8% 15.1% 12.1% 14.2% -13.9% -13.9% -16.0% 0.1 1.1 0.9
QQQ NASDAQ-100 13.6% 18.8% 20.1% 17.5% 14.7% 16.9% -13.9% -13.9% -16.1% 0.5 1.5 1.1
IWF Russell 1000 Growth 12.1% 16.5% 17.4% 15.3% 12.9% 15.5% -11.7% -11.7% -18.3% 0.4 1.3 1.0
IWD Russell 1000 Value 12.4% 16.8% 17.1% 15.1% 12.5% 15.7% -13.4% -13.4% -21.4% (0.1) 1.2 0.8
MDY S&P 400 (Mid Cap) 14.3% 16.9% 16.7% 15.0% 13.7% 17.9% -12.5% -12.5% -26.2% 0.2 1.1 0.7
IWM Russell 2000 (SM Cap) 15.0% 19.4% 18.0% 16.6% 15.6% 20.1% -16.1% -16.1% -28.9% 0.2 1.0 0.6
VIG Div. Growth 11.0% 15.0% 15.9% 14.3% 11.8% 14.0% -12.1% -12.1% -16.9% (0.1) 1.0 0.8
DVY Div. Yield 12.8% 15.0% 14.6% 13.6% 11.5% 13.2% -12.0% -12.0% -15.6% 0.1 1.2 1.0
VYM Div. Yield 11.2% 16.0% 16.7% 14.8% 11.8% 13.4% -13.0% -13.0% -15.1% 0.0 1.2 1.1
SDY Div. Yield & Growth 12.4% 14.9% 15.2% 13.7% 11.6% 13.8% -10.8% -10.8% -16.1% 0.1 1.2 0.9
XLY Cons. Discretionary 15.9% 17.5% 18.0% 16.0% 14.0% 16.4% -11.4% -11.4% -18.4% 0.9 1.5 1.2
PEJ Hotels, Rest & Leisure 15.8% 19.8% 19.5% 18.4% 16.2% 19.0% -13.2% -13.4% -23.9% 0.4 1.2 0.9
XHB Home Builders 17.0% 21.8% 19.8% 18.8% 19.3% 24.0% -13.7% -17.7% -33.8% 0.5 0.6 0.8
ITB Household Durables 19.6% 24.2% 22.4% 21.9% 23.2% 27.5% -13.5% -21.2% -40.3% 0.5 0.5 0.8
PBS Media 12.1% 17.3% 17.7% 15.8% 15.7% 18.8% -16.9% -16.9% -27.7% 0.2 1.1 0.8
XRT Retail 25.5% 21.3% 19.8% 17.5% 15.6% 19.3% -16.6% -16.6% -22.2% (0.3) 0.9 0.8
XLP Cons. Staples 13.0% 15.0% 15.1% 13.4% 11.5% 11.8% -10.1% -10.1% -11.9% 0.2 1.2 1.3
PBJ Food Products 17.1% 17.8% 16.6% 14.6% 13.1% 14.5% -9.5% -9.5% -15.7% 0.5 1.4 1.0
XLE Energy 25.5% 27.0% 26.6% 24.6% 19.1% 22.0% -28.1% -40.1% -40.1% (0.5) 0.0 0.2
OIH Energy Eq. & Serv. 33.0% 36.1% 36.0% 33.3% 25.3% 28.4% -31.8% -52.9% -52.9% (0.5) (0.2) (0.2)
XES Energy Eq. & Serv. 43.5% 46.3% 44.2% 40.7% 29.3% 31.8% -41.3% -63.8% -63.8% (0.7) (0.5) (0.3)
IEZ Energy Eq. & Serv. 33.8% 37.1% 35.9% 33.1% 25.2% 29.0% -33.6% -53.0% -53.0% (0.6) (0.2) (0.1)
XOP Energy E&P 37.4% 42.2% 41.2% 40.5% 31.4% 33.4% -42.5% -61.3% -61.3% (0.6) (0.3) (0.1)
IEO Energy E&P 28.2% 31.9% 31.2% 29.4% 23.5% 26.8% -32.0% -45.1% -45.1% (0.4) 0.1 0.1
AMLP MLPs 26.8% 35.7% 28.9% 23.4% 16.2% 14.6% -32.9% -36.0% -36.0% (1.1) (0.2) 0.1
XLF Financials 12.9% 18.6% 19.0% 17.0% 14.7% 20.4% -12.7% -12.7% -33.7% 0.1 1.2 0.6
KBWB Large Banks 16.7% 22.9% 22.8% 20.6% 17.3% -15.5% -15.5% 0.3 1.0
KRE Regional Banks 18.1% 23.5% 22.3% 21.1% 18.1% 23.5% -15.0% -15.0% -31.7% 0.8 1.1 0.7
KCE Capital Markets 18.7% 24.2% 21.6% 19.5% 18.2% 23.3% -21.9% -21.9% -40.5% (0.2) 0.8 0.4
KIE Insurance 12.2% 14.8% 15.8% 14.6% 13.1% 18.8% -9.4% -9.4% -34.0% 0.7 1.5 0.8
XLV Healthcare 17.0% 21.8% 20.8% 18.3% 14.9% 15.3% -16.4% -16.4% -17.3% 0.2 1.5 1.4
IBB Biotech & Pharma 24.5% 36.0% 32.3% 28.7% 24.9% 23.8% -27.3% -27.3% -27.3% 0.3 1.4 1.3
BBH Large Biotech 21.9% 32.1% 30.1% 27.2% 24.7% 22.9% -24.0% -24.0% -24.0% 0.2 1.3 1.5
IHI HC Eq. & Supplies 14.0% 19.5% 18.2% 16.4% 14.0% 17.5% -14.2% -14.2% -22.0% 0.6 1.6 1.0
IHF HC Providers & Serv 24.0% 26.6% 22.9% 19.8% 15.8% 18.4% -18.9% -18.9% -27.2% 0.3 1.5 1.1
PPH Large Pharma 14.1% 21.8% 20.0% 17.2% 14.0% 14.3% -17.5% -17.5% -17.5% (0.0) 1.4 1.3
XLI Industrials 10.8% 17.7% 17.7% 16.0% 14.2% 17.8% -15.0% -15.0% -25.8% (0.1) 1.1 0.7
ITA Aerospace & Def 13.9% 17.5% 17.5% 15.9% 14.8% 17.9% -14.1% -14.1% -23.2% 0.4 1.6 1.0
IYT Transportation 13.5% 19.2% 19.6% 17.9% 16.6% 19.7% -18.4% -18.4% -28.1% (0.6) 1.1 0.6
XLB Materials 13.7% 20.2% 20.2% 18.1% 15.4% 19.9% -24.2% -24.2% -29.5% (0.3) 0.6 0.4
XME Metals & Mining 32.8% 38.3% 37.8% 32.6% 27.0% 31.2% -53.1% -65.1% -78.2% (1.6) (1.0) (0.7)
VNQ Real Estate 19.0% 16.6% 17.3% 16.8% 14.5% 18.2% -17.2% -18.0% -22.6% 0.1 0.8 0.7
VGT Technology 13.4% 18.5% 19.6% 17.7% 14.7% 17.4% -14.0% -14.0% -19.6% 0.4 1.3 0.9
IGN Comm. Equipment 16.2% 19.0% 19.2% 17.2% 16.9% 22.1% -13.6% -13.6% -39.5% 0.3 0.7 0.2
FDN Int. Software & Serv. 15.9% 20.4% 21.5% 18.9% 18.5% 20.9% -12.8% -19.5% -26.0% 1.2 1.4 0.9
SMH Semiconductors 18.6% 23.2% 23.6% 21.7% 18.7% 21.1% -23.7% -23.7% -25.1% 0.1 1.2 0.7
IGV Software 12.6% 18.3% 19.3% 17.9% 16.2% 20.2% -13.0% -13.0% -26.3% 0.8 1.2 0.7
VOX Telecom 10.8% 16.8% 16.4% 15.2% 13.2% 15.1% -12.3% -12.3% -19.8% (0.0) 0.8 0.7
XLU Utilities 18.2% 16.7% 17.0% 17.1% 14.3% 14.0% -15.7% -15.7% -15.7% (0.2) 0.7 0.8
Ticker Asset ClassMax DrawdownAnnualized Volatility Sharpe (TR / Vol)
Source: Deutsche Bank Factset. Note: Data as of the end of last month; Calculations based on total returns; Volatility based on daily total returns annualized using a 252 day factor; Sharpe ratio calculation assumes Risk Free rate equal to zero. For Max DD and Sharpe calculations, green cells correspond to largest values, while red cells correspond to lowest values. For Volatility calculations, green cells are the least volatile (lowest values), while red cells are the most volatile (highest values). The ETFs mentioned in this figure are provided as reference and have been selected as investable and representative vehicles for each asset class considering the product’s asset class representation, liquidity, size, cost, and ease to borrow for tactical or risk hedging purposes; however, they should not be seen as the only or best alternative for each asset class as finding the right product will depend on the specific investor’s objective and intended usage. Please refer to “Product Type Definitions” on Appendix C for further details on product selection criteria depending on product usage.
9 December 2015
US ETF Market Monthly Review
Deutsche Bank Securities Inc. Page 15
International Equity Allocator heatmaps
Figure 16: 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
EFA Intl DM -0.75% 1.13% -7.45% -2.69% 6.41% 5.44% 1.7% 3.8% 9.7% 43.6% 39.4% 28.9%
EWC Canada -2.23% -4.12% -15.59% -20.60% -3.98% -2.47% -1.2% 2.6% -10.8% -10.7% -18.5% -7.8%
EIS Israel 0.38% 0.60% -0.74% 6.56% 7.86% 0.58%
VGK Europe -1.25% 0.26% -7.42% -4.03% 6.66% 6.40% 0.6% 3.2% 15.4% 41.8% 56.8% 40.5%
EDEN Denmark 4.06% 2.13% 0.67% 14.12% 22.94%
NORW Norway 0.11% -1.28% -15.12% -15.73% -6.99% -1.34%
EWD Sweden 0.40% -0.21% -7.73% -5.86% 5.71% 5.02%
EWL Switzerland -2.77% -2.92% -10.66% -4.71% 8.08% 8.85% 1.8% 0.2% 6.0% 30.9% 23.1% 23.3%
EWU UK -1.66% 0.70% -9.50% -6.26% 3.30% 5.19% 0.0% -15.1% 0.4% 5.3% 32.5% 27.3%
EZU Eurozone -0.79% 1.50% -5.08% -3.56% 7.31% 5.31% 0.4% 4.1% 12.4% 116.1% 87.4% 72.9%
EWO Austria -1.56% 1.16% -5.17% -2.09% -0.24% -1.44%
EWK Belgium 1.48% 4.84% 1.33% 8.81% 13.99% 11.31%
EFNL Finland 0.67% 4.89% -0.74% 0.54% 13.09%
EWQ France -2.33% 0.68% -4.88% -1.77% 6.74% 5.23%
EWG Germany 0.52% 3.45% -4.76% -3.71% 6.96% 6.18% -6.1% -14.9% -7.9% 65.5% 27.3% 36.6%
EIRL Ireland 2.31% -0.39% 3.14% 16.99% 21.81% 19.08%
EWI Italy -2.84% -2.77% -5.89% -0.91% 6.56% 1.75% -0.3% 22.1% 41.0% 48.6% 58.8% 74.1%
EWN Netherlands -1.08% 1.06% -5.83% 0.79% 9.82% 7.83%
PGAL Portugal -5.56% -3.04% -14.30% -14.40%
EWP Spain -3.18% -4.93% -11.14% -17.47% 5.78% 2.76% -3.5% -5.4% -0.8% 6.0% 109.0% 66.5%
EWJ Japan 0.49% 2.15% -4.66% 7.71% 11.38% 5.41% 0.6% 1.8% 8.5% 34.4% 85.8% 53.1%
EPP Pacific ex JP -0.46% 2.80% -13.71% -12.42% -1.65% 1.58% -1.8% -4.0% -12.3% -12.5% -8.6% -7.0%
EWA Australia 0.90% 2.36% -13.25% -14.57% -3.72% 0.80% -1.9% 7.9% -2.6% -6.9% -8.5% -8.9%
EWH Hong Kong -2.05% 4.20% -14.05% -5.25% 4.67% 4.19% -1.6% -8.7% -16.0% -8.8% -0.5% 6.6%
ENZL New Zealand -1.55% 11.02% -3.74% -5.71% 5.86% 10.12%
EWS Singapore -5.49% -0.66% -17.25% -18.97% -4.61% -1.00% -0.3% -4.3% -13.0% -15.7% -19.5% -17.5%
EEM EM -2.52% 0.44% -16.72% -16.32% -4.85% -3.51% -0.8% -0.3% -7.3% -5.2% -0.7% 2.3%
ILF Latin America -3.50% -6.69% -22.63% -34.46% -15.99% -12.61% 0.9% 3.0% -11.1% -27.7% -12.9% -6.4%
EWZ Brazil -1.53% -9.49% -28.91% -44.53% -21.78% -18.66% -0.2% -1.0% -10.9% -26.8% -18.6% -6.4%
ECH Chile -7.02% -7.39% -20.22% -20.87% -17.36% -14.55% -10.6% -5.2% -9.5% -22.5% -5.8% -7.3%
GXG Colombia -14.56% -13.97% -31.96% -47.77% -27.17% -16.46%
EWW Mexico -2.07% 1.40% -7.76% -16.64% -5.99% -0.55% -3.1% 2.2% -19.7% -40.5% 8.2% 2.5%
EPU Peru -6.11% -6.88% -26.49% -34.60% -19.97% -12.81% 0.0% -8.9% -13.2% -31.2% -10.5% -6.5%
EEMA EM Asia -2.88% 4.18% -16.43% -10.48% 0.03% -3.2% -6.0% -13.4% 5.0% 10.9% 4.8%
FXI China H -2.14% 4.29% -22.80% -6.12% 2.47% -0.67% -2.8% -5.2% -6.6% 11.9% 2.8% 1.7%
ASHR China A 1.13% 12.14% -28.09% 18.89% -15.7% -10.9% -43.9% -50.9% 172.1% 61.6%
INDA India -3.58% -2.24% -9.74% -13.47% 2.78% -1.2% -1.1% -11.1% 35.2% 52.6% 27.7%
EIDO Indonesia 1.34% 2.46% -19.53% -24.57% -10.67% -4.72% -1.9% -2.6% -23.8% -35.9% -6.3% -6.4%
EWM Malaysia 3.01% 4.02% -16.37% -24.84% -7.56% -1.84% -7.6% -1.1% -18.7% -39.8% -23.7% -16.9%
EPHE Philippines -2.44% -1.58% -12.87% -10.30% 1.63% 9.42%
EWY South Korea -2.87% 10.41% -8.62% -6.02% -2.94% 0.52% 0.3% -5.8% -10.8% -14.5% 11.2% 0.8%
EWT Taiwan -2.66% 1.27% -17.20% -12.73% 1.88% 1.57% -10.2% -13.1% -17.4% 1.4% 4.8% 1.7%
THD Thailand -1.69% -0.65% -14.12% -20.94% -3.64% 2.99% -1.4% -2.6% -27.3% -42.1% -21.8% -18.2%
GUR EM Europe -3.77% -3.42% -15.90% -22.90% -12.81% -9.10% -1.5% 4.3% -0.8% 12.5% 18.9% 10.9%
GREK Greece -17.05% -5.33% -28.49% -46.45% -17.36%
EPOL Poland -9.06% -14.42% -22.54% -28.84% -9.30% -6.35%
RSX Russia -0.12% -0.77% -11.93% -11.13% -13.07% -11.37% -0.9% 8.6% 0.1% 13.1% 20.8% 12.7%
TUR Turkey -4.84% 0.18% -16.20% -32.01% -13.07% -8.69% -3.6% -12.7% -12.5% 7.5% -4.3% -3.4%
MES Middle East -7.86% -12.20% -17.23% -25.13% 5.27% 2.26%
QAT Qatar -12.53% -13.89% -18.68% -23.68%
UAE UAE -6.32% -14.65% -19.08% -25.58%
AFK Africa -7.84% -9.01% -27.45% -32.54% -12.19% -7.94% 0.8% 5.3% 1.7% -3.0% 1.0% -2.3%
EGPT Egypt -11.17% -9.71% -32.81% -45.39% -6.49% -11.33%
EZA South Africa -6.27% -7.15% -17.17% -19.87% -3.89% -1.64% 4.2% 13.0% 8.0% -0.4% -0.9% -5.3%
FM Frontier Market -5.57% -4.68% -13.77% -17.65% 3.46% -1.4% -2.4% -2.2% 3.6% 48.2% 30.2%
ARGT Argentina -5.36% 4.69% -10.09% -8.59% 6.13%
NGE Nigeria -4.73% -9.59% -25.87% -34.46%
PAK Pakistan -6.77% -10.19% -11.59%
VNM Vietnam -8.25% -4.42% -12.04% -21.78% 2.64% -7.20% -0.5% 0.7% 3.8% 5.8% 24.4% 25.2%
BKF BRIC -1.72% 0.78% -19.79% -15.61% -4.72% -6.08% -1.3% -4.8% -12.6% -27.9% -29.5% -20.1%
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 largest values, while red cells correspond to lowest values. Figures over 1Y are annualized. The ETFs mentioned in this figure are provided as reference and have been selected as investable and representative vehicles for each asset class considering the product’s asset class representation, liquidity, size, cost, and ease to borrow for tactical or risk hedging purposes; however, they should not be seen as the only or best alternative for each asset class as finding the right product will depend on the specific investor’s objective and intended usage. Please refer to “Product Type Definitions” on Appendix C for further details on product selection criteria depending on product usage.
9 December 2015
US ETF Market Monthly Review
Page 16 Deutsche Bank Securities Inc.
Figure 17: International Equity Risk and Risk-adjusted Performance Measures
1M 3M 6M 1Y 3Y 5Y 1Y 3Y 5Y 1Y 3Y 5Y
EFA Intl DM 10.6% 17.9% 18.3% 16.6% 14.2% 19.2% -16.4% -16.6% -25.9% (0.2) 0.5 0.3
EWC Canada 15.6% 21.4% 20.0% 18.8% 14.8% 18.0% -24.0% -30.8% -30.8% (1.1) (0.3) (0.1)
EIS Israel 12.1% 16.8% 17.6% 15.7% 14.3% 19.3% -15.2% -15.2% -40.3% 0.4 0.5 0.0
VGK Europe 12.6% 18.0% 18.7% 17.7% 15.3% 22.2% -16.1% -18.0% -30.2% (0.2) 0.4 0.3
EDEN Denmark 12.4% 13.8% 17.9% 17.1% 16.2% -8.9% -17.2% 0.8 1.4
NORW Norway 16.0% 23.9% 25.5% 25.9% 21.3% 27.0% -28.3% -42.9% -42.9% (0.6) (0.3) (0.0)
EWD Sweden 12.3% 19.8% 20.5% 19.4% 18.0% 26.3% -17.2% -19.6% -36.2% (0.3) 0.3 0.2
EWL Switzerland 11.0% 15.1% 15.6% 15.1% 13.3% 17.3% -15.4% -15.4% -25.5% (0.3) 0.6 0.5
EWU UK 15.7% 21.6% 19.9% 18.6% 14.8% 19.1% -18.0% -21.9% -22.9% (0.3) 0.2 0.3
EZU Eurozone 12.9% 18.3% 20.7% 20.0% 17.5% 24.8% -15.8% -20.4% -37.6% (0.2) 0.4 0.2
EWO Austria 16.2% 17.5% 19.1% 19.5% 17.6% 24.9% -18.3% -29.2% -45.9% (0.1) (0.0) (0.1)
EWK Belgium 12.5% 14.8% 16.7% 16.7% 15.3% 20.5% -11.1% -15.0% -33.3% 0.5 0.9 0.6
EFNL Finland 13.0% 17.7% 19.8% 19.0% 18.6% -14.6% -17.1% 0.0 0.7
EWQ France 13.8% 19.0% 21.1% 20.3% 17.8% 25.1% -14.3% -21.6% -36.2% (0.1) 0.4 0.2
EWG Germany 15.2% 20.1% 21.7% 20.7% 17.6% 25.1% -19.2% -21.9% -37.8% (0.2) 0.4 0.2
EIRL Ireland 11.1% 14.8% 16.2% 17.0% 16.4% 21.9% -7.9% -22.7% -27.3% 1.0 1.3 0.9
EWI Italy 15.9% 21.5% 25.8% 24.7% 23.3% 30.8% -13.4% -29.1% -51.1% (0.0) 0.3 0.1
EWN Netherlands 14.0% 18.1% 19.7% 19.0% 16.0% 22.0% -15.3% -15.3% -33.9% 0.0 0.6 0.4
PGAL Portugal 19.7% 23.2% 26.0% 26.4% -23.9% (0.5)
EWP Spain 13.6% 18.8% 21.8% 22.7% 21.8% 29.3% -21.5% -30.4% -50.9% (0.8) 0.3 0.1
EWJ Japan 9.7% 21.0% 20.8% 18.0% 17.8% 18.7% -15.6% -15.6% -23.9% 0.4 0.6 0.3
EPP Pacific ex JP 16.4% 22.0% 24.1% 19.9% 16.5% 20.7% -25.6% -28.0% -28.8% (0.6) (0.1) 0.1
EWA Australia 19.7% 25.0% 27.3% 23.4% 19.0% 22.9% -27.2% -32.9% -32.9% (0.6) (0.2) 0.0
EWH Hong Kong 14.5% 21.9% 25.6% 21.6% 17.5% 19.1% -24.6% -24.6% -29.7% (0.2) 0.3 0.2
ENZL New Zealand 10.7% 15.6% 17.2% 16.5% 15.5% 18.4% -22.9% -23.2% -23.2% (0.3) 0.4 0.5
EWS Singapore 17.3% 20.2% 19.8% 16.8% 14.4% 18.2% -26.6% -27.0% -27.0% (1.1) (0.3) (0.1)
EEM EM 20.2% 23.9% 24.0% 21.0% 18.5% 22.2% -28.4% -30.2% -31.8% (0.8) (0.3) (0.2)
ILF Latin America 27.6% 29.0% 27.7% 27.2% 23.5% 24.3% -38.0% -49.6% -55.5% (1.3) (0.7) (0.5)
EWZ Brazil 45.1% 42.9% 37.5% 35.2% 29.4% 28.8% -49.1% -61.1% -70.4% (1.3) (0.7) (0.6)
ECH Chile 16.3% 21.7% 22.6% 19.8% 19.2% 21.5% -26.7% -50.8% -57.2% (1.1) (0.9) (0.7)
GXG Colombia 30.6% 30.7% 29.9% 29.7% 21.3% 21.0% -48.3% -64.9% -64.9% (1.6) (1.3) (0.8)
EWW Mexico 16.0% 18.0% 19.0% 19.9% 18.8% 21.3% -23.9% -33.6% -33.6% (0.8) (0.3) (0.0)
EPU Peru 13.0% 18.3% 23.1% 20.1% 17.9% 22.1% -37.5% -55.1% -55.1% (1.7) (1.1) (0.6)
EEMA EM Asia 15.3% 23.3% 26.4% 21.8% 17.8% -31.5% -31.5% (0.5) 0.0
FXI China H 19.4% 29.8% 33.2% 30.0% 24.1% 25.7% -36.0% -36.0% -36.0% (0.2) 0.1 (0.0)
ASHR China A 42.2% 46.7% 64.8% 54.5% -45.4% 0.3
INDA India 16.6% 21.4% 23.5% 22.7% 23.1% -20.1% -29.6% (0.6) 0.1
EIDO Indonesia 30.4% 37.7% 36.3% 29.8% 29.6% 29.9% -40.6% -52.1% -52.1% (0.8) (0.4) (0.2)
EWM Malaysia 25.5% 29.9% 27.7% 23.6% 18.4% 18.1% -33.1% -40.2% -40.2% (1.1) (0.4) (0.1)
EPHE Philippines 21.5% 23.3% 24.1% 20.1% 22.5% 22.1% -24.2% -31.8% -31.8% (0.5) 0.1 0.4
EWY South Korea 19.8% 23.0% 21.7% 18.6% 17.5% 23.2% -29.0% -32.8% -34.7% (0.3) (0.2) 0.0
EWT Taiwan 20.2% 22.4% 24.7% 21.0% 17.4% 20.3% -29.6% -29.6% -29.6% (0.6) 0.1 0.1
THD Thailand 22.0% 24.2% 23.3% 21.8% 23.7% 24.9% -27.6% -33.7% -33.7% (1.0) (0.2) 0.1
GUR EM Europe 24.4% 24.0% 26.8% 28.7% 24.0% 27.7% -28.7% -45.3% -54.6% (0.8) (0.5) (0.3)
GREK Greece 33.1% 37.7% 58.4% 62.2% 47.1% -49.7% -65.8% (0.7) (0.4)
EPOL Poland 21.7% 22.0% 23.4% 23.3% 22.8% 29.2% -29.8% -38.1% -45.7% (1.2) (0.4) (0.2)
RSX Russia 34.9% 35.9% 36.3% 45.8% 33.7% 34.3% -30.9% -53.9% -65.3% (0.2) (0.4) (0.3)
TUR Turkey 43.5% 36.1% 35.0% 33.0% 31.4% 32.5% -40.1% -52.6% -52.6% (1.0) (0.4) (0.3)
MES Middle East 16.1% 20.2% 23.5% 25.6% 20.8% 20.5% -25.0% -33.5% -33.5% (1.0) 0.3 0.1
QAT Qatar 19.9% 22.2% 23.6% 23.8% -23.7% (1.0)
UAE UAE 22.4% 23.4% 28.4% 30.1% -27.5% (0.8)
AFK Africa 18.1% 20.2% 19.6% 19.2% 16.2% 18.3% -32.5% -43.8% -43.8% (1.7) (0.8) (0.4)
EGPT Egypt 26.4% 27.5% 31.0% 29.2% 26.5% 29.7% -45.7% -51.5% -53.8% (1.6) (0.2) (0.4)
EZA South Africa 31.9% 34.7% 30.8% 28.9% 25.7% 27.8% -28.6% -28.6% -28.6% (0.7) (0.2) (0.1)
FM Frontier Market 14.5% 15.8% 16.5% 16.1% 13.7% -19.4% -28.1% (1.1) 0.3
ARGT Argentina 19.0% 28.1% 29.2% 25.4% 23.9% -31.1% -34.0% (0.3) 0.3
NGE Nigeria 17.8% 21.4% 23.6% 33.7% -34.5% (1.0)
PAK Pakistan 12.7% 12.7% 14.1%
VNM Vietnam 17.6% 25.5% 28.2% 24.7% 24.7% 27.7% -28.4% -37.7% -51.1% (0.9) 0.1 (0.3)
BKF BRIC 18.5% 25.5% 27.3% 24.6% 20.5% 23.3% -30.2% -30.2% -38.6% (0.6) (0.2) (0.3)
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 ratio calculation assumes Risk Free rate equal to zero. For Max DD and Sharpe calculations, green cells correspond to largest values, while red cells correspond to lowest values. For Volatility calculations, green cells are the least volatile (lowest values), while red cells are the most volatile (highest values). The ETFs mentioned in this figure are provided as reference and have been selected as investable and representative vehicles for each asset class considering the product’s asset class representation, liquidity, size, cost, and ease to borrow for tactical or risk hedging purposes; however, they should not be seen as the only or best alternative for each asset class as finding the right product will depend on the specific investor’s objective and intended usage. Please refer to “Product Type Definitions” on Appendix C for further details on product selection criteria depending on product usage.
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Cross Asset Correlations (3Y)
Figure 18: 3-Year Cross Asset Class Correlations of Weekly Total Returns
Category Ticker ACWI VTI EFA EEM AGG GOVT TIP MUB MBB LQD HYG FLOT BKLN PFF CWB BWX WIP EMB EMLC EMCB DBC DBE DBA DBB DBP UUP FXY FXE
Global Equities ACWI 0.95 0.95 0.81 -0.11 -0.23 0.01 0.07 -0.03 -0.01 0.62 0.02 0.52 0.37 0.88 0.04 0.27 0.49 0.57 0.51 0.43 0.39 0.16 0.31 -0.04 0.00 -0.29 -0.01
US Total Market VTI 0.95 0.84 0.67 -0.16 -0.28 -0.06 0.03 -0.07 -0.05 0.61 0.00 0.51 0.37 0.90 -0.07 0.13 0.39 0.43 0.42 0.35 0.35 0.09 0.21 -0.09 0.09 -0.32 -0.09
Intl DM EFA 0.95 0.84 0.75 -0.08 -0.19 0.04 0.07 -0.03 0.00 0.56 0.03 0.48 0.31 0.80 0.13 0.34 0.48 0.58 0.48 0.43 0.38 0.18 0.35 0.01 -0.11 -0.24 0.10
EM EEM 0.81 0.67 0.75 0.03 -0.09 0.12 0.13 0.10 0.10 0.52 0.08 0.44 0.31 0.67 0.12 0.37 0.57 0.69 0.54 0.42 0.35 0.23 0.35 0.05 -0.01 -0.15 -0.03
US Agg Bond IG AGG -0.11 -0.16 -0.08 0.03 0.96 0.88 0.73 0.90 0.94 0.19 -0.02 0.06 0.48 -0.06 0.63 0.60 0.49 0.34 0.28 -0.19 -0.23 -0.04 -0.10 0.27 -0.27 0.46 0.18
US Treasury GOVT -0.23 -0.28 -0.19 -0.09 0.96 0.83 0.66 0.82 0.88 0.05 -0.06 -0.05 0.37 -0.18 0.61 0.55 0.35 0.25 0.15 -0.26 -0.30 -0.08 -0.17 0.30 -0.26 0.49 0.17
US Inflation TIP 0.01 -0.06 0.04 0.12 0.88 0.83 0.69 0.82 0.85 0.26 -0.05 0.11 0.48 0.02 0.62 0.66 0.55 0.46 0.35 -0.04 -0.07 0.02 0.03 0.26 -0.28 0.39 0.20
Municipal MUB 0.07 0.03 0.07 0.13 0.73 0.66 0.69 0.75 0.74 0.29 0.02 0.13 0.54 0.10 0.47 0.49 0.55 0.36 0.28 -0.10 -0.13 -0.03 -0.02 0.22 -0.16 0.30 0.09
MBS MBB -0.03 -0.07 -0.03 0.10 0.90 0.82 0.82 0.75 0.84 0.26 0.01 0.12 0.53 0.04 0.60 0.58 0.55 0.38 0.38 -0.14 -0.16 -0.05 -0.06 0.24 -0.27 0.43 0.19
IG Corporates LQD -0.01 -0.05 0.00 0.10 0.94 0.88 0.85 0.74 0.84 0.34 0.00 0.18 0.55 0.06 0.56 0.57 0.58 0.40 0.37 -0.13 -0.15 -0.04 -0.11 0.20 -0.18 0.39 0.09
HY Corporates HYG 0.62 0.61 0.56 0.52 0.19 0.05 0.26 0.29 0.26 0.34 0.08 0.69 0.55 0.64 0.20 0.32 0.66 0.57 0.63 0.36 0.35 0.10 0.19 0.05 -0.08 -0.02 0.04
Floater FLOT 0.02 0.00 0.03 0.08 -0.02 -0.06 -0.05 0.02 0.01 0.00 0.08 0.02 0.04 0.00 0.04 0.07 -0.02 0.09 0.09 0.10 0.09 0.09 0.02 0.10 -0.10 -0.02 0.09
Senior Loans BKLN 0.52 0.51 0.48 0.44 0.06 -0.05 0.11 0.13 0.12 0.18 0.69 0.02 0.46 0.57 0.03 0.15 0.49 0.40 0.56 0.23 0.24 0.04 0.17 -0.08 0.11 -0.17 -0.11
Preferred PFF 0.37 0.37 0.31 0.31 0.48 0.37 0.48 0.54 0.53 0.55 0.55 0.04 0.46 0.44 0.25 0.37 0.55 0.42 0.48 0.07 0.06 0.05 0.02 0.10 -0.02 0.03 -0.01
Convertible CWB 0.88 0.90 0.80 0.67 -0.06 -0.18 0.02 0.10 0.04 0.06 0.64 0.00 0.57 0.44 -0.01 0.16 0.45 0.43 0.45 0.33 0.32 0.05 0.21 -0.04 0.06 -0.27 -0.07
Intl DM Debt BWX 0.04 -0.07 0.13 0.12 0.63 0.61 0.62 0.47 0.60 0.56 0.20 0.04 0.03 0.25 -0.01 0.91 0.41 0.52 0.25 0.18 0.08 0.21 0.18 0.46 -0.85 0.63 0.75
Intl Inflation WIP 0.27 0.13 0.34 0.37 0.60 0.55 0.66 0.49 0.58 0.57 0.32 0.07 0.15 0.37 0.16 0.91 0.57 0.72 0.40 0.28 0.16 0.26 0.28 0.43 -0.74 0.43 0.64
EM Gov Debt USD EMB 0.49 0.39 0.48 0.57 0.49 0.35 0.55 0.55 0.55 0.58 0.66 -0.02 0.49 0.55 0.45 0.41 0.57 0.72 0.74 0.20 0.18 0.08 0.15 0.11 -0.13 0.07 0.06
EM Gov Debt Local EMLC 0.57 0.43 0.58 0.69 0.34 0.25 0.46 0.36 0.38 0.40 0.57 0.09 0.40 0.42 0.43 0.52 0.72 0.72 0.62 0.36 0.28 0.25 0.32 0.21 -0.36 0.10 0.31
EM Corp USD EMCB 0.51 0.42 0.48 0.54 0.28 0.15 0.35 0.28 0.38 0.37 0.63 0.09 0.56 0.48 0.45 0.25 0.40 0.74 0.62 0.19 0.19 0.08 0.15 -0.02 -0.05 0.01 0.00
Commodities DBC 0.43 0.35 0.43 0.42 -0.19 -0.26 -0.04 -0.10 -0.14 -0.13 0.36 0.10 0.23 0.07 0.33 0.18 0.28 0.20 0.36 0.19 0.92 0.46 0.55 0.23 -0.30 0.03 0.26
Energy Cmdty DBE 0.39 0.35 0.38 0.35 -0.23 -0.30 -0.07 -0.13 -0.16 -0.15 0.35 0.09 0.24 0.06 0.32 0.08 0.16 0.18 0.28 0.19 0.92 0.23 0.40 0.02 -0.20 -0.03 0.17
Agriculture DBA 0.16 0.09 0.18 0.23 -0.04 -0.08 0.02 -0.03 -0.05 -0.04 0.10 0.09 0.04 0.05 0.05 0.21 0.26 0.08 0.25 0.08 0.46 0.23 0.21 0.15 -0.26 0.09 0.24
Industrial Metals DBB 0.31 0.21 0.35 0.35 -0.10 -0.17 0.03 -0.02 -0.06 -0.11 0.19 0.02 0.17 0.02 0.21 0.18 0.28 0.15 0.32 0.15 0.55 0.40 0.21 0.15 -0.26 -0.04 0.26
Precious Metals DBP -0.04 -0.09 0.01 0.05 0.27 0.30 0.26 0.22 0.24 0.20 0.05 0.10 -0.08 0.10 -0.04 0.46 0.43 0.11 0.21 -0.02 0.23 0.02 0.15 0.15 -0.41 0.45 0.30
Bull USD UUP 0.00 0.09 -0.11 -0.01 -0.27 -0.26 -0.28 -0.16 -0.27 -0.18 -0.08 -0.10 0.11 -0.02 0.06 -0.85 -0.74 -0.13 -0.36 -0.05 -0.30 -0.20 -0.26 -0.26 -0.41 -0.50 -0.96
JPYUSD FXY -0.29 -0.32 -0.24 -0.15 0.46 0.49 0.39 0.30 0.43 0.39 -0.02 -0.02 -0.17 0.03 -0.27 0.63 0.43 0.07 0.10 0.01 0.03 -0.03 0.09 -0.04 0.45 -0.50 0.30
EURUSD FXE -0.01 -0.09 0.10 -0.03 0.18 0.17 0.20 0.09 0.19 0.09 0.04 0.09 -0.11 -0.01 -0.07 0.75 0.64 0.06 0.31 0.00 0.26 0.17 0.24 0.26 0.30 -0.96 0.30 Source: Deutsche Bank, FactSet. Data as of the end of last month. Green cells denote highest correlations, while red cells denote lowest correlations.
Figure 19: 26W Rolling Correlation for Global
Equities vs. Other Asset Classes (5Y)
Figure 20: 26W Rolling Correlation for US
Equities vs. Other Equities (5Y)
Figure 21: 26W Rolling Correlation for US Fixed
Income vs. Other Fixed Income segments (5Y)
-1
-0.8
-0.6
-0.4
-0.2
0
0.2
0.4
0.6
0.8
1
Dec-10 Dec-11 Dec-12 Dec-13 Dec-14
Global Equities - 26W Rolling Correlation
US Agg Bond IG Commodities Real EstateBull USD Gold
0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1
Dec-10 Dec-11 Dec-12 Dec-13 Dec-14
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
Dec-10 Dec-11 Dec-12 Dec-13 Dec-14
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).
Source: Deutsche Bank, FactSet. Correlations based on weekly total returns of US-listed ETFs: US Equity (VTI), DM Intl (EFA), EM (EEM), Japan (EWJ), Pacific ex JP (EPP), and Europe (VGK).
Source: Deutsche Bank, FactSet. Correlations based on weekly total returns of US-listed ETFs: US Fixed Income (AGG), US Treasury (GOVT), IG Corp (LQD), HY Corp (HYG), and Sr Loans (BKLN)
9 December 2015
US ETF Market Monthly Review
Page 18 Deutsche Bank Securities Inc.
12-Month Relative Performance Monitor2
Figure 22: Cross Asset Class Figure 23: Global Equities Figure 24: US Equity Size and Style
0.80
0.90
1.00
1.10
1.20
1.30
1.40
1.50
No
v-1
4
Dec-1
4
Jan
-15
Feb
-15
Mar-
15
Ap
r-1
5
May-1
5
Ju
n-1
5
Ju
l-1
5
Au
g-1
5
Sep
-15
Oct-
15
No
v-1
5
Global Equities/Fixed Income (Broad)
Global Equities/Commodities
0.90
0.95
1.00
1.05
1.10
1.15
1.20
1.25
No
v-1
4
Dec-1
4
Jan
-15
Feb
-15
Mar-
15
Ap
r-1
5
May-1
5
Ju
n-1
5
Ju
l-1
5
Au
g-1
5
Sep
-15
Oct-
15
No
v-1
5
US Total Market/Intl DM
US Total Market/EM
0.900.920.940.960.981.001.021.041.061.081.10
No
v-1
4
Dec-1
4
Jan
-15
Feb
-15
Mar-
15
Ap
r-1
5
May-1
5
Ju
n-1
5
Ju
l-1
5
Au
g-1
5
Sep
-15
Oct-
15
No
v-1
5
S&P 500/Russell 2000 (SM Cap)
Russell 1000 Growth/Russell 1000 Value
Source: Deutsche Bank, FactSet. Total Returns as of 30-nov-15
Source: Deutsche Bank, FactSet. Total Returns as of 30-nov-15
Source: Deutsche Bank, FactSet. Total Returns as of 30-nov-15
Figure 25: US Equity Sectors Figure 26: Intl DM Equities Figure 27: EM Equities
0.80
0.90
1.00
1.10
1.20
1.30
1.40
No
v-1
4
Dec-1
4
Jan
-15
Feb
-15
Mar-
15
Ap
r-1
5
May-1
5
Ju
n-1
5
Ju
l-1
5
Au
g-1
5
Sep
-15
Oct-
15
No
v-1
5
Healthcare/EnergyTechnology/IndustrialsFinancials/Real EstateFinancials/Utilities
0.90
0.95
1.00
1.05
1.10
1.15
1.20
1.25
1.30
No
v-1
4
Dec-1
4
Jan
-15
Feb
-15
Mar-
15
Ap
r-1
5
May-1
5
Ju
n-1
5
Ju
l-1
5
Au
g-1
5
Sep
-15
Oct-
15
No
v-1
5
Eurozone/Europe
Japan/Pacific ex JP
0.60
0.70
0.80
0.90
1.00
1.10
1.20
1.30
1.40
1.50
No
v-1
4
Dec-1
4
Jan
-15
Feb
-15
Mar-
15
Ap
r-1
5
May-1
5
Ju
n-1
5
Ju
l-1
5
Au
g-1
5
Sep
-15
Oct-
15
No
v-1
5
EM Asia/Latin America
China H/China A
Source: Deutsche Bank, FactSet. Total Returns as of 30-nov-15
Source: Deutsche Bank, FactSet. Total Returns as of 30-nov-15
Source: Deutsche Bank, FactSet. Total Returns as of 30-nov-15
Figure 28: Fixed Income Credit
Figure 29: Fixed Income duration
and EM debt
Figure 30: Precious Metals
0.80
0.85
0.90
0.95
1.00
1.05
No
v-1
4
Dec-1
4
Jan
-15
Feb
-15
Mar-
15
Ap
r-1
5
May-1
5
Ju
n-1
5
Ju
l-1
5
Au
g-1
5
Sep
-15
Oct-
15
No
v-1
5
HY Corporates/US Treasury
HY Corporates/IG Corporates
0.80
0.90
1.00
1.10
1.20
1.30
No
v-1
4
Dec-1
4
Jan
-15
Feb
-15
Mar-
15
Ap
r-1
5
May-1
5
Ju
n-1
5
Ju
l-1
5
Au
g-1
5
Sep
-15
Oct-
15
No
v-1
5
UST Short/UST Long
EM Gov Debt USD/EM Gov Debt Local
0.90
1.00
1.10
1.20
1.30
1.40
1.50
1.60
No
v-1
4
Dec-1
4
Jan
-15
Feb
-15
Mar-
15
Ap
r-1
5
May-1
5
Ju
n-1
5
Ju
l-1
5
Au
g-1
5
Sep
-15
Oct-
15
No
v-1
5
Gold/SilverGold/PlatinumGold/Palladium
Source: Deutsche Bank, FactSet. Total Returns as of 30-nov-15
Source: Deutsche Bank, FactSet. Total Returns as of 30-nov-15
Source: Deutsche Bank, FactSet. Total Returns as of 30-nov-15
2 Performance for each asset class is based on the ETFs mentioned in the heatmaps presented earlier in
this section.
9 December 2015
US ETF Market Monthly Review
Deutsche Bank Securities Inc. Page 19
House View Portfolio: Monthly Brief
Our House View Portfolio (HVP) was up by 1.09% in November outperforming
Global Equities (ACWI) and its benchmark which were down by 0.53% and
1.67% during the same period, respectively. YTD the HVP was up by 5.8% as
of the end of last month compared to losses of 0.11% and 4.5% for Global
Equities and its benchmark on a YTD basis, respectively.
Figure 31: House View Portfolio
Direction Type
QQQ 0.20% 15% 15.7% Long Core Equity US Large Caps
XLU 0.14% 5% 4.8% Long Satellite Equity US Utilities
DXJ 0.48% 15% 15.5% Long Core Equity Japan
DBEU 0.45% 25% 25.2% Long Core Equity Europe
EPI 0.83% 5% 4.6% Long Satellite Equity India
FXI 0.74% 5% 4.7% Long Satellite Equity China
LQD 0.15% 10% 9.7% Long Core Credit Inv. Grade
IEF 0.15% 10% 9.6% Long Satellite Rates Intermediate UST
UUP 0.80% 10% 10.2% Long Core FX Long USD
ETF TERActual
Weight
Position Asset
ClassExposure
Target
Weight
Source: Deutsche Bank. Actual weights as of the end of last month. Last rebalance as of 7-Oct-15.
Figure 32: Portfolio performance vs. Global Equities and
Benchmark since inception (10/01/2012)
Figure 33: Monthly performance of portfolio and
benchmark positions
90
100
110
120
130
140
150
Oct-12 Apr-13 Oct-13 Apr-14 Oct-14 Apr-15 Oct-15
No
rmalize
d L
evel (
10
0)
House View Port. ACWI Bnchmk
-8% -6% -4% -2% 0% 2% 4%
Fixed Income (BND)
Comdty (DBC)
Equity (ACWI)
FX Long USD (UUP)
Inv. Grade (LQD)
Intermediate UST (IEF)
Eq. China (FXI)
Eq. India (EPI)
Eq. Eurozone (DBEU)
Eq. Japan (DXJ)
Eq. US Utilities (XLU)
Eq. US Large Caps (QQQ)
Performance
Ho
use V
iew
Po
rt.
Bnchm
rk
Source: Deutsche Bank, FactSet. Benchmark is 50% Global Equities (ACWI), 30% Fixed Income (BND), and 20% Commodities (DBC) rebalanced at the end of each calendar quarter.
Source: Deutsche Bank, FactSet. Data as of last month.
Figure 34: Asset Class allocation Figure 35: Global Equity Allocation Figure 36: Regional Equity Allocation
0%
10%
20%
30%
40%
50%
60%
70%
80%
Equity Fixed Income Alternatives
Target Actual
0%
5%
10%
15%
20%
25%
30%
35%
40%
45%
US DM Intl EM
Target Actual
0%
5%
10%
15%
20%
25%
30%
North America
Europe Japan Asia ex JP
Target Actual
Source: Deutsche Bank, FactSet.
Source: Deutsche Bank, FactSet.
Source: Deutsche Bank, FactSet.
The HVP was up by 1.09% in
November with major
contributions from the
currency hedged positions in
European and Japanese
equities; in addition to its long
USD position.
9 December 2015
US ETF Market Monthly Review
Page 20 Deutsche Bank Securities Inc.
Business Intelligence
New Listings
There were twenty one new ETFs listed during the previous month; eight of
these were listed in the NYSE Arca; eight were listed in the BATS, while the
remaining five were listed in the NASDAQ. The new products offer FX hedged
exposure to Global Markets, EAFE DM, EM, and Europe; exposure to Europe
Small-Cap, FX hedged exposure to EM and DM ex-US, respectively, applying a
tilt to small cap and value stocks using a multi-factor modeling approach;
exposure to real assets investing in ETFs, DM ex-US, Global ex-US companies
in which hedge funds and institutional investors have disclosed significant
exposure through ADRs, the Russell 1000 Index and the FTSE Developed ex
US Index focused on five factors (Quality, Value, Momentum, Low Volatility,
and Size), high dividend yielding Global Small-Cap stocks, including a FX
hedged version; exposure to the companies in the Russell 1000 Index and the
FTSE Developed ex US Index with low beta characteristics, respectively; two
thematic funds, one offering exposure to Israeli technology companies and the
other to US companies with low carbon impact; two actively managed ETFs
offering exposure to US and non-US Real Estate securities and a portfolio of
US and non-US convertible securities, respectively; and Global ex-US dollar
denominated IG bonds.
Figure 37: Products listed during last month
Ticker NameAsset Class &
Structure
Listing
DateTER
AUM
$MM
ALFI AlphaClone International ETF Equity ETF 10-Nov-15 0.95% 2
ITEQ BlueStar TA-BIGTech Israel Technology ETF Equity ETF 3-Nov-15 0.75% 3
DEEF Deutsche X-Trackers FTSE Developed EX US Enhanced Beta ETF Equity ETF 26-Nov-15 0.35% 2
DEUS Deutsche X-Trackers Russell 1000 Enhanced Beta ETF Equity ETF 25-Nov-15 0.25% 3
ETHO Etho Climate Leadership US ETF Equity ETF 19-Nov-15 0.75% 3
PRME First Trust Heitman Global Prime Real Estate ETF Equity ETF 12-Nov-15 0.95% 2
FCVT First Trust SSI Strategic Convertible Securities ETF Fixed Income ETF 4-Nov-15 0.95% 5
TLDH FlexShares Currency Hedged Morningstar DM ex-US Factor Tilt Index Fund Equity ETF 10-Nov-15 0.47% 3
TLEH FlexShares Currency Hedged Morningstar EM Factor Tilt Index Fund Equity ETF 10-Nov-15 0.70% 2
ASET FlexShares Real Assets Allocation Index Fund Equity ETF 24-Nov-15 0.58% 2
GSIE Goldman Sachs ActiveBeta International Equity ETF Equity ETF 10-Nov-15 0.35% 35
HACV iShares Currency Hedged MSCI ACWI Minimum Volatility ETF Equity ETF 2-Nov-15 0.23% 2
HEFV iShares Currency Hedged MSCI EAFE Minimum Volatility ETF Equity ETF 2-Nov-15 0.23% 4
HEMV iShares Currency Hedged MSCI EM Minimum Volatility ETF Equity ETF 2-Nov-15 0.28% 2
HEUV iShares Currency Hedged MSCI Europe Minimum Volatility ETF Equity ETF 2-Nov-15 0.28% 3
HEUS iShares Currency Hedged MSCI Europe Small-Cap ETF Equity ETF 2-Nov-15 0.83% 3
IAGG iShares International Aggregate Bond Fund Fixed Income ETF 12-Nov-15 0.15% 53
IDLB PowerShares FTSE International Low Beta Equal Weight Portfolio Equity ETF 5-Nov-15 0.45% 2
USLB PowerShares Russell 1000 Low Beta Equal Weight Portfolio Equity ETF 5-Nov-15 0.35% 3
HGSD WisdomTree Global Hedged SmallCap Dividend Fund Equity ETF 19-Nov-15 0.43% 2
GSD WisdomTree Global SmallCap Dividend Fund Equity ETF 12-Nov-15 0.43% 3 Source: Deutsche Bank, Bloomberg Finance LP
Equity BlackRock listed five new FX hedged ETFs during November. Four of them
offer minimum volatility exposure to Global Markets (HACV), EAFE
Developed Markets (HEFV), Emerging Markets (HEMV), and Europe
Developed Markets (HEUV), respectively. HACV and HEFV come with an
9 December 2015
US ETF Market Monthly Review
Deutsche Bank Securities Inc. Page 21
annual expense ratio of 0.23%; while, HEMV and HEUV come with an
expense ratio of 0.28%. The remaining fund (HEUS) offers exposure to
Europe Small-Cap companies and comes with a total expense ratio of
0.83%.
FlexShares listed three new ETFs during last month. Two of them offer FX
hedged exposure to Emerging Markets (TLEH) and Developed Markets ex-
US (TLDH), respectively, applying a tilt to small cap and value stocks using
a multi-factor modeling approach. TLEH tracks the Morningstar Emerging
Markets Factor Tilt Hedged Index and comes with an annual expense ratio
of 0.70%; while, TLDH tracks the Morningstar Developed Markets ex-US
Factor Tilt Hedged and comes with an annual expense ratio of 0.47%. The
remaining product (ASET) is a fund of funds and offers exposure to real
assets by investing in three ETFs tracked by the Northern Trust Real Assets
Allocation Index. The fund comes with a total expense ratio of 0.58%.
Deutsche AWM entered both the multi-factor and US equity arena with
two new ETFs during the past month. The first one (DEUS) offers exposure
to US equities based on five factors: Quality, Value, Momentum, Low
Volatility and Size. DEUS tracks the Russell 1000 Comprehensive Factor
Index and comes with an annual expense ratio of 0.25%. In the meantime,
the second one (DEEF) is designed to provide exposure to Developed
Markets ex-US based on the same five factors previously mentioned. DEEF
tracks the FTSE Developed ex US Comprehensive Factor Net Tax (US RIC)
Index and comes with a total expense ratio of 0.35%.
WisdomTree listed two new ETFs during November. The first one (GSD)
offers exposure to Global Small-Cap equity securities based on annual
cash dividend paid; while, the second fund (HGSD) is designed to provide
the same exposure hedging foreign currencies. Both funds come with an
annual expense ratio of 0.43%.
PowerShares listed two new ETFs during last month. The first fund (USLB)
offers equally-weighted exposure to equities from the Russell 1000 Index
with low beta characteristics. USLB tracks the Russell 1000 Low Beta
Equal Weight Index and comes with an annual expense ratio of 0.35%.
Meanwhile, the second one (IDLB) offers equally-weighted exposure to
stocks in the FTSE Developed ex US Index which exhibit low beta
characteristics. IDLB comes with an annual expense ratio of 0.45%.
ETFMG listed two new thematic ETFs. The funds offer exposure to 60
Israeli technology companies in the TASA - BlueStar Israel Technology
Index (ITEQ), and US companies with a carbon impact at least 50% better
than the average carbon impact for a given company’s industry (ETHO) as
determined in the American Climate Leadership Index, respectively. Both
funds come with an annual expense ratio of 0.75%.
First Trust listed one new actively managed ETF (PRME) which offers
exposure to US and non-US Real Estate securities as common stocks and
investment trusts. PRME comes with an annual expense ratio of 0.95%.
Goldman Sachs listed its third ETF (GSIE) during this year, which offers
exposure to Developed Markets ex-US. GSIE tracks the Goldman Sachs
ActiveBeta International Equity Index, designed to capture common
sources of active returns including value, momentum, quality, and
volatility. The fund comes with an annual expense ratio of 0.35%.
9 December 2015
US ETF Market Monthly Review
Page 22 Deutsche Bank Securities Inc.
Exchange Traded Concepts launched one new ETF (ALFI) designed to offer
exposure of Global ex-US companies in which hedge funds and
institutional investors have disclosed significant exposure through ADRs.
ALFI tracks the AlphaCone International Downside Hedged Index and
comes with an annual expense ratio of 0.95%.
Fixed Income First Trust listed one new fixed income ETF during November. The actively
managed fund (FCVT) offers exposure to a portfolio of US and non-US
Convertible Securities. FCVT comes with an annual expense ratio of 0.95%.
BlackRock listed one new ETF (IAGG) which is designed to provide
exposure to Global non USD denominated Investment Grade Bonds while
at the same time reducing the fluctuations between the original bonds
currencies and the USD. IAGG tracks the Barclays Global Aggregate ex
USD 10% Issuer Capped (Hedged) Index and comes with an annual
expense ratio of 0.15%.
Delistings
Figure 38: Delisted products during last month
Ticker NameAsset Class &
Structure
Delisting
dateTER
AUM at
Delisting $MM
BRXX EGShares Brazil Infrastructure ETF Equity ETF 2-Nov-15 0.85% 9
BCHP EGShares Blue Chip ETF Equity ETF 2-Nov-15 0.60% 4
Source: Deutsche Bank, Bloomberg Finance LP.
9 December 2015
US ETF Market Monthly Review
Deutsche Bank Securities Inc. Page 23
Trends in products launched in the last 12 months
Figure 39: Main trends among those products launched in the last 12 months
Product
segment
Net Cash
Flows
12M $MM
AUM
Nov '15
$MM
New Funds
last 12MAsset Class Focus
Net Cash
Flows
12M $MM
AUM
Nov '15
$MM
New
Funds
last 12M
Total (All) 7,794 7,603 263 Top 5 by Geographic Focus (Equities)
By Asset Class US - US 2,323 2,225 85
Equity 5,311 5,176 214 Global - Global (reg) 1,191 1,162 25
Fixed Income 2,257 2,233 32 DM - Eurozone (Reg) 504 509 6
Commodities 1 1 1 EM - Global (reg) 277 258 13
Currency - - - EM - China A 227 246 6
Multi Asset 153 147 7 Top 5 by Category (Fixed Income)
Alternative 71 46 9 Broad 1,767 1,749 6
By Management Strategy Corporates 246 242 15
Beta 1,186 1,221 60 Municipal 160 162 4
Beta+ 664 554 31 EM debt 50 48 3
Smart Beta 3,726 3,650 147 Convertible 25 24 2
Active 2,219 2,178 25 Source: Deutsche Bank, Bloomberg Finance LP
Figure 40: Top 20 products by net cash flow raised in the last 12
months
Figure 41: Top 20 Issuers by inflows to
products launched in the last 12 months
Ticker Name TER
Net CF
12M
$MM
TOTL SPDR Doubleline Total Return Tactical ETF 0.55% 1,477
XT iShares Exponential Technologies ETF 0.47% 698
PTLC Pacer Trendpilot 750 ETF 0.60% 309
EUSC Wisdomtree Europe Hedged SmallCap Equity Fund 0.58% 255
CRBN iShares MSCI ACWI Low Carbon Target ETF 0.20% 222
GSLC Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF 0.09% 204
LABU Direxion Daily S&P Biotech Bull 3X Shares 0.95% 198
GEM Goldman Sachs ActiveBeta Emerging Markets Equity ETF 0.45% 182
SBIO ALPS Medical Breakthroughs ETF 0.50% 181
FXEU PowerShares Europe Currency Hedged Low Volatility Portfolio 0.25% 170
NFLT Virtus Newfleet Multi-Sector Unconstrained Bond ETF 0.80% 152
CHAD Direxion Daily CSI 300 China A Share Bear 1X Shares 0.80% 141
EQAL PowerShares Russell 1000 Equal Weight Portfolio 0.20% 126
MLPO Credit Suisse S&P MLP Index ETN 0.95% 120
HEWI iShares Currency Hedged MSCI Italy ETF 0.48% 118
PTMC Pacer Trendpilot 450 ETF 0.60% 118
CHAU Direxion Daily CSI 300 China A Share Bull 2X Shares 0.95% 113
XRLV PowerShares S&P 500 Ex-Rate Sensitive Low Volatility Portfolio 0.25% 109
CIBR First Trust NASDAQ CEA Cybersecurity ETF 0.60% 108
VTEB Vanguard Tax-Exempt Bond Index ETF 0.12% 105
Top 20 Issuers
Net Cash
Flows
12M $MM
AUM
Nov '15
$MM
New
Funds
last 12M
BlackRock 1,616 1,597 46
State Street 1,532 1,514 10
DirexionShares 586 505 23
PowerShares 508 510 10
Pacer Advisors 498 479 3
Goldman Sachs 421 423 3
Etfis Capital 347 337 6
WisdomTree 325 322 16
ALPS 215 199 5
ProShares 193 175 19
Deutsche AWM 147 146 20
First Trust 125 122 4
IndexIQ Advisors 113 113 6
Vanguard 105 106 1
John Hancock Inv. 98 102 6
Lattice Strategies 81 74 4
Innovator Mgmt 76 71 1
JPMorgan 72 62 2
ETC 60 61 6
Compass EMP 60 60 5 Source: Deutsche Bank, Bloomberg Finance LP
Source: Deutsche Bank, Bloomberg Finance LP
9 December 2015
US ETF Market Monthly Review
Page 24 Deutsche Bank Securities Inc.
Popular Product Segments: Smart Beta & Currency Hedged
Figure 42: Summary statistics for Smart Beta Equity ETFs
Smart Beta
(Equities)
Nov '15
$MM
YTD
$MM
Nov '15
$MM
MoM
Chg %
Mkt
Shr
Nov '15
$MM
MoM
Chg %
Mkt
Shr
Nov '15
All
Mkt
Shr
YTD
New
Dividend 846 16,577 18,925 -8% 21% 134,249 1% 29% 108 21% 31
Equal 457 5,171 30,613 -21% 34% 36,433 4% 8% 68 13% 5
ESG 17 84 138 26% 0% 1,820 1% 0% 14 3% 1
Fundamental 175 2,829 3,179 0% 4% 16,546 1% 4% 56 11% 16
Low Risk 752 8,268 4,353 -15% 5% 23,800 2% 5% 44 8% 16
Multi-factor 702 7,131 4,569 -23% 5% 32,660 3% 7% 121 23% 38
Single-factor 386 2,739 1,406 -29% 2% 8,954 5% 2% 40 8% 12
Style 4,436 19,279 27,563 -11% 30% 208,835 3% 45% 63 12% -
Other 6 (46) 75 -7% 0% 535 2% 0% 5 1% -
Total 7,777 62,032 90,821 -15% 100% 463,832 2% 100% 519 100% 119
Net Cash Flows Turnover AUM # of Funds
Source: Deutsche Bank, Bloomberg Finance LP
Figure 43: Summary statistics for Currency-Hedged Equity ETFs
Currency Hedged
(Equities)
Nov '15
$MM
YTD
$MM
Nov '15
$MM
MoM
Chg %
Mkt
Shr
Nov '15
$MM
MoM
Chg %
Mkt
Shr
Nov '15
All
Mkt
Shr
YTD
New
Multiple 414 22,277 4,094 -6% 25% 24,304 3% 35% 38 46% 29
AUD - 6 1 209% 0% 6 -1% 0% 2 2% 2
BRL 0 (2) 1 -45% 0% 4 12% 0% 1 1% -
CAD - 4 1 138% 0% 3 0% 0% 1 1% 1
CHF 1 6 3 1217% 0% 6 27% 0% 1 1% 1
CNY - 6 1 -7% 0% 6 1% 0% 2 2% 2
EUR 436 18,187 5,910 4% 35% 24,283 5% 35% 13 16% 8
GBP - 19 3 -55% 0% 47 0% 0% 3 4% 1
JPY 127 5,856 6,508 -16% 39% 20,034 2% 29% 16 20% 7
KRW - 137 168 -19% 1% 145 -2% 0% 3 4% 1
MXN - 2 1 182% 0% 7 -2% 0% 2 2% 1
Total 979 46,497 16,691 -7% 100% 68,845 4% 100% 82 100% 53
Net Cash Flows Turnover AUM # of Funds
Source: Deutsche Bank, Bloomberg Finance LP
Figure 44: Top 10 Issuers in Equity Smart Beta Figure 45: Top 10 Issuers in Equity Currency hedged
Top 10 Issuers
(Equity Smart Beta)
AUM
Nov '15
$MM
Net Cash
Flows
12M $MM
# of Funds
Nov '15
BlackRock 175,262 18,732 60
Vanguard 94,696 10,128 20
WisdomTree 57,894 21,486 57
State Street 33,782 3,063 51
First Trust 32,928 9,035 70
PowerShares 27,593 2,524 82
Guggenheim Inv. 18,041 1,220 27
Charles Schwab 10,298 4,139 9
FlexShares 3,154 213 14
ALPS 1,824 195 14
Top 10 Issuers
(Equity Currency Hedged)
AUM
Nov '15
$MM
Net Cash
Flows
12M $MM
# of Funds
Nov '15
WisdomTree 40,307 22,841 19
Deutsche AWM 20,391 18,515 25
BlackRock 7,775 7,534 22
PowerShares 181 175 3
IndexIQ Advisors 107 107 3
ProShares 52 54 2
State Street 20 19 3
O'Shares Investments 5 5 2
DirexionShares 4 4 2
CSOP AM 3 3 1 Source: Deutsche Bank, Bloomberg Finance LP
Source: Deutsche Bank, Bloomberg Finance LP
9 December 2015
US ETF Market Monthly Review
Deutsche Bank Securities Inc. Page 25
Average Performance by Product Type and Size (Equity)
1 Month Comparisons
Figure 46: US Equity ETFs - 1 Month Total Returns Figure 47: US Equity ETFs - # of Funds in 1M sample
BetaSmart
BetaActive All
Large Cap 0.4% 0.2% 0.5% 0.3%
Mid Cap 0.9% 0.8% 0.8%
Small Cap 2.8% 2.7% 1.8% 2.7%
Broad 0.8% 0.1% 0.7% 0.2%
All 1.1% 0.7% 0.7% 0.8%
US Equity, Broad sector,
non levered, 1M Total
Return by
Product Type
Siz
e
BetaSmart
BetaActive All
Large Cap 19 84 12 115
Mid Cap 7 29 - 36
Small Cap 11 39 2 52
Broad 10 61 9 80
All 47 213 23 283
US Equity, Broad sector,
non levered, # of funds by
Product Type
Siz
e
Source: Deutsche Bank, FactSet. Total Return corresponds to last month.
Source: Deutsche Bank
Figure 48: DM Equity ETFs - 1 Month Total Returns Figure 49: DM Equity ETFs - # of Funds in 1M sample
BetaSmart
BetaActive All
Large Cap -0.7% -1.0% -0.9% -0.9%
Mid Cap 0.0% -1.2% -0.8%
Small Cap 0.5% 0.7% -0.2% 0.5%
Broad 0.2% -0.8% -0.4%
All 0.1% -0.7% -0.5% -0.4%
DM Equity, Broad sector,
regional, non levered, 1M
Total Return by
Product Type
Siz
e
BetaSmart
BetaActive All
Large Cap 7 6 1 14
Mid Cap 1 2 - 3
Small Cap 7 6 1 14
Broad 26 56 - 82
All 41 70 2 113
DM Equity, Broad sector,
regional, non levered, # of
funds by
Product Type
Siz
e
Source: Deutsche Bank, FactSet. Total Return corresponds to last month.
Source: Deutsche Bank
Figure 50: EM Equity ETFs - 1 Month Total Returns Figure 51: EM Equity ETFs - # of Funds in 1M sample
BetaSmart
BetaActive All
Large Cap -1.8% -3.3% -2.3%
Mid Cap
Small Cap -1.3% -2.3% -1.8%
Broad -3.5% -3.2% -3.4%
All -3.2% -3.2% -3.2%
EM Equity, Broad sector,
regional, non levered, 1M
Total Return by
Product Type
Siz
e
BetaSmart
BetaActive All
Large Cap 4 2 - 6
Mid Cap - - - -
Small Cap 2 2 - 4
Broad 29 27 - 56
All 35 31 - 66
EM Equity, Broad sector,
regional, non levered, # of
funds by
Product Type
Siz
e
Source: Deutsche Bank, FactSet. Total Return corresponds to last month.
Source: Deutsche Bank
9 December 2015
US ETF Market Monthly Review
Page 26 Deutsche Bank Securities Inc.
1 Year Comparisons
Figure 52: US Equity ETFs - 1 Year Total Returns Figure 53: US Equity ETFs - # of Funds in 1Y sample
BetaSmart
BetaActive All
Large Cap 2.9% 1.2% 4.3% 1.9%
Mid Cap 2.3% 0.9% 1.2%
Small Cap 3.5% 2.8% 1.4% 2.9%
Broad 2.7% 0.9% -0.8% 1.1%
All 2.9% 1.4% 2.4% 1.8%
Product Type
Siz
e
US Equity, Broad sector,
non levered, 1Y Total
Return by
BetaSmart
BetaActive All
Large Cap 15 63 11 89
Mid Cap 7 26 - 33
Small Cap 11 34 1 46
Broad 10 49 6 65
All 43 172 18 233
US Equity, Broad sector,
non levered, # of funds by
Product Type
Siz
e
Source: Deutsche Bank, FactSet. Total Return corresponds to last month.
Source: Deutsche Bank
Figure 54: DM Equity ETFs - 1 Year Total Returns Figure 55: DM Equity ETFs - # of Funds in 1Y sample
BetaSmart
BetaActive All
Large Cap -5.2% -6.7% 0.7% -5.1%
Mid Cap 4.1% 1.5% 2.3%
Small Cap 4.7% 5.6% 6.0% 5.2%
Broad -1.0% -3.8% -2.7%
All -0.8% -2.9% 3.4% -1.8%
DM Equity, Broad sector,
regional, non levered, 1Y
Total Return by
Product Type
Siz
e
BetaSmart
BetaActive All
Large Cap 6 3 1 10
Mid Cap 1 2 - 3
Small Cap 5 4 1 10
Broad 21 33 - 54
All 33 42 2 77
DM Equity, Broad sector,
regional, non levered, # of
funds by
Product Type
Siz
e
Source: Deutsche Bank, FactSet. Total Return corresponds to last month.
Source: Deutsche Bank
Figure 56: EM Equity ETFs - 1 Year Total Returns Figure 57: EM Equity ETFs - # of Funds in 1Y sample
BetaSmart
BetaActive All
Large Cap -17.4% -20.2% -18.3%
Mid Cap
Small Cap -12.0% -16.7% -14.3%
Broad -21.2% -20.4% -20.8%
All -20.2% -20.0% -20.1%
EM Equity, Broad sector,
regional, non levered, 1Y
Total Return by
Product Type
Siz
e
BetaSmart
BetaActive All
Large Cap 4 2 - 6
Mid Cap - - - -
Small Cap 2 2 - 4
Broad 27 19 - 46
All 33 23 - 56
EM Equity, Broad sector,
regional, non levered, # of
funds by
Product Type
Siz
e
Source: Deutsche Bank, FactSet. Total Return corresponds to last month.
Source: Deutsche Bank
9 December 2015
US ETF Market Monthly Review
Deutsche Bank Securities Inc. Page 27
Total Expense Ratio X-ray
Figure 58: Average TER analysis by asset class and product type
TER By Beta Beta+ Smart Beta Active All Beta Beta+ Smart Beta Active All
Equity 0.46% 0.93% 0.48% 0.87% 0.55% 0.22% 0.94% 0.31% 0.91% 0.25%
Fixed Income 0.27% 0.88% 0.29% 0.55% 0.37% 0.22% 0.94% 0.32% 0.50% 0.24%
Commodity 0.80% 0.95% 0.78% 0.71% 0.82% 0.42% 0.95% 0.82% 0.69% 0.48%
Currency 0.45% 0.95% 0.75% 0.49% 0.59% 0.56% 0.95% 0.75% 0.48% 0.63%
Multi Asset 0.52% 0.69% 0.90% 0.72% 0.48% 0.77% 0.84% 0.56%
Alternative 1.86% 0.95% 0.81% 1.18% 1.20% 2.63% 0.95% 0.70% 0.97% 1.15%
All 0.45% 0.93% 0.48% 0.74% 0.54% 0.23% 0.94% 0.31% 0.59% 0.26%
Simple Average AUM-Weighted Average
Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month
Figure 59: Selected TER averages for the top 15 Issuers by AUM
BetaSmart
BetaBeta Active Beta
Smart
BetaBeta Active
BlackRock 827,758 0.46% 0.29% 0.24% 0.24% 0.37% 0.32% 0.24% 0.23% 0.26% 0.28%
Vanguard 483,690 0.14% 0.15% 0.13% 0.14% 0.11% 0.10% 0.11% 0.11%
State Street 416,593 0.34% 0.30% 0.28% 0.48% 0.33% 0.14% 0.34% 0.30% 0.60% 0.18%
PowerShares 98,807 0.43% 0.51% 0.42% 0.51% 0.25% 0.48% 0.53% 0.40%
WisdomTree 59,442 0.46% 0.50% 0.33% 0.54% 0.49% 0.43% 0.52% 0.43% 0.56% 0.52%
First Trust 43,081 0.61% 0.69% 0.79% 0.71% 0.60% 0.61% 0.92% 0.63%
Charles Schwab 38,807 0.09% 0.27% 0.08% 0.16% 0.07% 0.16% 0.07% 0.09%
Guggenheim Inv. 29,919 0.63% 0.50% 0.27% 0.47% 0.56% 0.42% 0.27% 0.41%
ProShares 26,046 0.29% 0.44% 0.51% 0.50% 0.88% 0.30% 0.35% 0.48% 0.50% 0.90%
Deutsche AWM 20,960 0.54% 0.43% 0.30% 0.50% 0.40% 0.43% 0.30% 0.40%
Van Eck Funds 19,551 0.60% 0.53% 0.35% 0.69% 0.52% 0.49% 0.35% 0.51%
PIMCO 11,050 0.27% 0.51% 0.39% 0.39% 0.44% 0.42%
ALPS 9,792 0.56% 0.59% 0.22% 0.57% 0.84% 0.49% 0.22% 0.74%
DirexionShares 9,137 0.57% 0.85% 0.62% 0.93%
FlexShares 8,073 0.48% 0.46% 0.20% 0.25% 0.39% 0.48% 0.39% 0.20% 0.25% 0.36%
AllEquity Fixed IncomeAUM Nov
'15 $MMTop 15 Issuers
Equity Fixed IncomeAll
Simple Average AUM-Weighted Average
Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month
9 December 2015
US ETF Market Monthly Review
Page 28 Deutsche Bank Securities Inc.
ETF Statistics
Global ETF Assets and Provider Ranking
Figure 60: Historical Growth of Global ETP Assets*
'05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15*
Asia Pacific ($) 43 48 61 53 66 86 91 136 169 202 245
Europe ($) 51 91 132 145 244 310 298 369 416 459 505
US ($) 298 427 612 535 782 995 1,046 1,333 1,678 1,979 2,130
US, Europe & Asia Pacific ($) 392 567 804 733 1,091 1,390 1,436 1,839 2,263 2,640 2,880
Europe (€) 43 69 90 104 170 231 230 280 302 379 478
Number of ETPs** 432 737 1,213 1,666 2,042 2,582 3,127 3,494 3,713 4,019 4,389
0
500
1,000
1,500
2,000
2,500
3,000
3,500
4,000
4,500
5,000
0
500
1,000
1,500
2,000
2,500
3,000
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 61: Top 10 Global ETP Provider Ranking and Summary Statistics
Rank IssuerCurrent
AUM
Mkt.
Share2014 AUM
2014 Mkt.
ShareNu.
Current
Month CF
Current
Month TOYTD CF
1 BlackRock 1,069,200 37.1% 987,699 37.4% 631 14,975 398,928 110,448
2 Vanguard 505,234 17.5% 443,404 16.8% 96 7,025 67,826 71,798
3 State Street 445,524 15.5% 481,063 18.2% 246 -785 604,203 -28,356
4 PowerShares 100,770 3.5% 98,537 3.7% 164 830 71,402 621
5 Deutsche AWM 83,639 2.9% 60,511 2.3% 268 452 10,258 26,997
6 Nomura Asset Management 62,442 2.2% 43,106 1.6% 49 -1,302 29,557 14,853
7 WisdomTree 59,877 2.1% 39,297 1.5% 103 823 14,279 20,451
8 Lyxor 52,046 1.8% 45,876 1.7% 244 440 11,172 9,129
9 First Trust 43,199 1.5% 33,266 1.3% 104 1,575 7,046 10,684
10 Charles Schwab 38,807 1.3% 26,922 1.0% 21 1,261 4,941 12,261
Total Top 10 2,460,738 85.4% 2,259,681 85.6% 1,926 25,295 1,219,611 248,887Others 419,136 14.6% 380,478 14.4% 2,463 385 251,415 58,830
Global Total 2,879,874 100.0% 2,640,158 100.0% 4,389 25,680 1,471,025 307,717 Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month.
9 December 2015
US ETF Market Monthly Review
Deutsche Bank Securities Inc. Page 29
US Historical ETF trends
Figure 62: Annual ETP historical growth in AUM and # of
funds
Figure 63: Monthly ETF Volume $ growth vs. VIX and
ETF Volume
-
200
400
600
800
1,000
1,200
1,400
1,600
1,800
-
200
400
600
800
1,000
1,200
1,400
1,600
1,800
2,000
2,200
Nu
mb
er
of
ET
Ps
AU
M $
billio
n
Others
Fixed Income
Equity
# Funds
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
ET
F t
rad
ing
as %
of
all U
S C
ash
Eq
uit
y
trad
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. ETPs include ETFs and ETVs; ETVs represent about 2% of ETP assets and track mostly non-Equity and non-Fixed Income exposures. Data as of the end of last month.
Source: Deutsche Bank, Bloomberg Finance LP. ETF Turnover excludes ETVs and ETNs. Data as of the end of last month.
Figure 64: Net Cash Flows and AUM historical
comparison between Mutual Funds and ETFs
Figure 65: Net Cash Flows and AUM historical
comparison between Active and Passive mgmt style
0%
2%
4%
6%
8%
10%
12%
14%
16%
18%
-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 F
un
d A
UM
Net
Cash
Flo
ws $
billio
n
MF CF ETF CF ETF/MF % AUM
0%
5%
10%
15%
20%
25%
30%
35%
40%
45%
-300,000
-200,000
-100,000
0
100,000
200,000
300,000
400,000
500,000
Passi
ve A
UM
as %
of
Acti
ve A
UM
Net
Cash
Flo
ws $
billio
n
Active MF+ETF Passive MF+ETF
Passive / Active %
Source: Deutsche Bank, ICI, Bloomberg Finance LP. *Data as of the end of October 2015. Mutual Funds only include Long Term Mutual Funds.
Source: Deutsche Bank, ICI, Bloomberg Finance LP. *Data as of the end of October 2015. Mutual Funds only include Long Term Mutual Funds.
9 December 2015
US ETF Market Monthly Review
Page 30 Deutsche Bank Securities Inc.
ETF Issuer and Index Provider league tables
Figure 66: ETP Issuer league table (excludes ETN assets)
Top 50 Issuers TotalMkt
ShrEquity
Fixed
IncomeCmdty Other
Nov '15
$MM
YTD
$MMNov '15
$MM
Mkt
ShrNov '15
YTD
New
BlackRock 827,758 38.9% 627,903 187,054 10,843 1,959 13,092 85,914 382,572 28.9% 324 44
Vanguard 483,690 22.7% 401,519 82,171 - - 6,538 66,630 67,179 5.1% 68 1
State Street 416,593 19.6% 356,551 37,302 22,348 392 (1,247) (33,171) 614,900 46.5% 152 10
PowerShares 98,807 4.6% 77,078 15,342 4,034 2,354 853 520 72,034 5.4% 143 9
WisdomTree 59,442 2.8% 57,980 657 - 805 662 20,029 14,555 1.1% 84 15
First Trust 43,081 2.0% 40,290 1,649 187 955 1,574 10,634 7,068 0.5% 97 4
Charles Schwab 38,807 1.8% 34,517 4,290 - - 1,261 12,261 4,947 0.4% 21 0
Guggenheim Inv. 29,919 1.4% 20,345 7,355 - 2,219 798 2,201 5,575 0.4% 75 4
ProShares 26,046 1.2% 17,427 4,463 1,490 2,665 32 2,416 62,009 4.7% 150 19
Deutsche AWM 20,960 1.0% 20,915 44 - - 55 17,152 4,858 0.4% 35 19
Van Eck Funds 19,551 0.9% 13,829 5,559 78 86 241 1,871 33,277 2.5% 55 3
PIMCO 11,050 0.5% - 11,050 - - (199) (219) 1,786 0.1% 14 0
ALPS 9,792 0.5% 9,326 464 - 3 347 1,245 2,969 0.2% 21 4
DirexionShares 9,137 0.4% 8,461 676 - - 82 2,735 35,578 2.7% 75 23
FlexShares 8,073 0.4% 5,518 2,555 - - (28) 303 809 0.1% 22 5
US Commodity Funds 4,619 0.2% 6 - 4,614 - 1,022 3,010 8,450 0.6% 12 0
Fidelity Investments 3,761 0.2% 3,431 330 - - 391 1,052 1,054 0.1% 15 1
Global X Funds 3,187 0.1% 2,892 261 - 34 402 533 648 0.0% 47 10
ETC 2,287 0.1% 1,764 412 - 111 (2) 395 205 0.0% 20 6
ETF Securities 1,798 0.1% 17 - 1,781 - 19 (218) 242 0.0% 10 4
Millington Securities 1,516 0.1% 983 - - 533 (18) 456 284 0.0% 10 0
IndexIQ Advisors 1,514 0.1% 267 - - 1,246 (2) 219 197 0.0% 17 6
AdvisorShares Trust 1,135 0.1% 454 579 30 73 (32) (24) 166 0.0% 21 1
ETFMG 1,133 0.1% 1,133 - - - (14) 1,155 213 0.0% 7 5
Revenue Shares 1,059 0.0% 1,059 - - - 2 138 74 0.0% 8 1
EGShares 1,019 0.0% 1,019 - - - (10) (404) 151 0.0% 9 1
Pacer Advisors 479 0.0% 479 - - - 29 498 75 0.0% 3 3
Goldman Sachs 423 0.0% 423 - - - 143 421 170 0.0% 3 3
Etfis Capital 356 0.0% 154 152 - 51 10 365 53 0.0% 7 4
Compass EMP 356 0.0% 356 - - - 35 224 159 0.0% 10 5
Cambria Funds 337 0.0% 278 - - 59 2 (0) 40 0.0% 6 1
Highland Capital 328 0.0% - 299 - 29 (4) 35 38 0.0% 4 3
GreenHaven Funds 236 0.0% - - 236 - 3 20 46 0.0% 2 1
JPMorgan 209 0.0% 209 - - - 21 158 44 0.0% 4 2
KraneShares 207 0.0% 168 39 - - (13) (91) 172 0.0% 5 1
Franklin Templeton 189 0.0% - 189 - - - 163 1 0.0% 1 0
ArrowShares 157 0.0% 6 - - 151 (9) 48 48 0.0% 3 1
Teucrium Trading 105 0.0% - - 105 - 2 (17) 23 0.0% 5 0
John Hancock Inv. 102 0.0% 102 - - - 22 98 39 0.0% 6 6
Lattice Strategies 74 0.0% 74 - - - 3 81 23 0.0% 4 4
Innovator Mgmt 71 0.0% 71 - - - 1 76 22 0.0% 1 1
Empowered Funds 66 0.0% 66 - - - 2 48 21 0.0% 2 0
U.S. Global Investors 48 0.0% 48 - - - 3 47 18 0.0% 1 1
Precidian 48 0.0% 48 - - - (10) (48) 8 0.0% 1 0
O'Shares Investments 44 0.0% 44 - - - 1 43 12 0.0% 5 5
ARK Inv. Mgmt 44 0.0% 44 - - - - 16 2 0.0% 4 0
Recon Capital 41 0.0% 41 - - - 2 19 9 0.0% 3 1
Columbia Mgmt 41 0.0% 28 13 - - - 5 3 0.0% 5 0
Reality Shares 40 0.0% 40 - - - 10 31 21 0.0% 1 0
Principal Financial Group 31 0.0% - - - 31 - 33 3 0.0% 1 1
Other 242 0.0% 207 7 - 27 (31) 119 105 0.0% 24 12
Total 2,130,011 100% 1,707,569 362,913 45,746 13,783 26,043 199,227 1,322,954 100% 1,623 250
Net Cash FlowsAssets Under Management Nov '15 $MM # of FundsTurnover
Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month
9 December 2015
US ETF Market Monthly Review
Deutsche Bank Securities Inc. Page 31
Figure 67: Index Provider league table (excludes ETN assets)
Turnover
Top 20 Index Providers TotalMkt
ShrEquity
Fixed
IncomeCmdty Other
Nov '15
$MM
YTD
$MMNov '15
$MM
Mkt
ShrNov '15
YTD
New
S&P Dow Jones 730,985 34.3% 697,748 28,334 1,764 3,138 7,370 (8,674) 715,887 54.1% 370 36
MSCI 309,148 14.5% 309,148 - - - 4,755 66,041 146,644 11.1% 218 44
FTSE Russell 308,351 14.5% 307,615 693 - 44 8,423 30,549 155,218 11.7% 135 21
Barclays 243,235 11.4% - 243,235 - - (1,077) 37,214 68,991 5.2% 114 10
CRSP 151,445 7.1% 151,445 - - - 1,892 20,880 12,105 0.9% 13 -
Nasdaq OMX 85,711 4.0% 84,558 276 - 876 780 (2,139) 90,765 6.9% 47 4
WisdomTree 57,985 2.7% 57,980 5 - - 584 20,403 14,154 1.1% 64 13
Markit iBoxx 43,976 2.1% - 43,976 - - 159 8,792 20,695 1.6% 15 1
Commodity - Physical 38,529 1.8% - - 38,529 - (367) 976 23,280 1.8% 21 -
NYSE Euronext 25,336 1.2% 24,663 673 - - 539 3,904 28,144 2.1% 39 2
Active 21,318 1.0% 3,251 16,076 455 1,536 506 6,175 3,825 0.3% 130 20
Morningstar 13,989 0.7% 13,603 126 - 260 (113) (182) 1,315 0.1% 26 4
Dorsey Wright 9,875 0.5% 9,875 - - - 453 5,246 1,603 0.1% 17 1
BofA Merrill Lynch 9,646 0.5% 140 9,465 - 40 (62) 86 1,725 0.1% 24 -
Market Vectors 8,816 0.4% 8,632 98 - 86 95 503 17,452 1.3% 35 3
Deutsche Bank 8,773 0.4% - 3,457 4,028 1,288 162 (368) 2,935 0.2% 16 -
Alerian 7,216 0.3% 7,216 - - - 354 896 2,713 0.2% 2 -
Accretive AM 6,850 0.3% - 6,850 - - 24 1,358 791 0.1% 20 2
J.P. Morgan 6,150 0.3% - 6,127 - 22 453 1,014 2,417 0.2% 4 -
STOXX 5,098 0.2% 5,098 - - - 2 876 1,313 0.1% 6 1
Other 37,581 1.8% 26,597 3,521 970 6,493 1,111 5,680 10,981 44.4% 307 88
Total 2,130,011 100% 1,707,569 362,913 45,746 13,783 26,043 199,227 1,322,954 100% 1,623 250
Assets Under Management Nov '15 $MM Net Cash Flows # of Funds
Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month
9 December 2015
US ETF Market Monthly Review
Page 32 Deutsche Bank Securities Inc.
Monthly Snapshot
Figure 68: ETP Summary Statistics by Asset Class
Asset ClassNov '15
$MM
YTD
$MMNov '15
$MM
MoM
Chg %
Mkt
ShrNov '15
$MM
MoM
Chg %
Mkt
ShrNov '15
All
Mkt
Shr
YTD
New
Equity 25,059 136,954 1,167,195 -21% 88% 1,707,569 1% 80% 1,187 73% 204
Fixed Income 342 57,816 103,702 -21% 8% 362,913 0% 17% 287 18% 30
Commodities (178) 1,660 28,240 -23% 2% 45,746 -8% 2% 53 3% 1
Currency 682 574 4,022 27% 0% 4,452 20% 0% 25 2% -
Multi Asset 163 468 929 33% 0% 5,462 2% 0% 35 2% 6
Alternative (37) 731 18,865 -9% 1% 3,869 -2% 0% 36 2% 9
Total 26,031 198,203 1,322,954 -21% 100% 2,130,011 1% 100% 1,623 100% 250
# of FundsAUMTurnover Net Cash Flows
Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month.
Figure 69: ETP Summary Statistics by Management Style (Active-Passive)
Passive-->ActiveNov '15
$MM
YTD
$MMNov '15
$MM
MoM
Chg %
Mkt
ShrNov '15
$MM
MoM
Chg %
Mkt
ShrNov '15
All
Mkt
Shr
YTD
New
Beta 17,573 124,629 1,129,075 -21% 85% 1,595,500 1% 75% 688 42% 56
Beta+ 46 4,335 96,743 -25% 7% 32,893 0% 2% 192 12% 31
Smart Beta 7,850 63,065 93,297 -15% 7% 479,955 2% 23% 610 38% 142
Active 562 6,173 3,839 -12% 0% 21,663 2% 1% 133 8% 21
Total 26,031 198,203 1,322,954 -21% 100% 2,130,011 1% 100% 1,623 100% 250
# of FundsTurnover AUMNet Cash Flows
Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month.
Figure 70: ETP Summary Statistics by Product Type
Product TypeNov '15
$MM
YTD
$MMNov '15
$MM
MoM
Chg %
Mkt
ShrNov '15
$MM
MoM
Chg %
Mkt
ShrNov '15
All
Mkt
Shr
YTD
New
Asset Allocation 15,119 149,350 129,128 -8% 10% 713,094 2% 33% 1,326 82% 219
Cash Management 5,754 84,578 191,320 -14% 14% 834,700 0% 39% 64 4% -
Pseudo Futures 5,112 (40,060) 905,762 -24% 68% 549,325 0% 26% 41 3% -
Leveraged & Inverse 46 4,335 96,743 -25% 7% 32,893 0% 2% 192 12% 31
Total 26,031 198,203 1,322,954 -21% 100% 2,130,011 1% 100% 1,623 100% 250
# of FundsTurnover AUMNet Cash Flows
Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month.
9 December 2015
US ETF Market Monthly Review
Deutsche Bank Securities Inc. Page 33
Equity Breakdowns
Figure 71: ETP Summary Statistics by Geographic Focus – Global and Developed Market Equities
Geographic Focus
(Equities)
Nov '15
$MM
YTD
$MMNov '15
$MM
MoM
Chg %
Mkt
ShrNov '15
$MM
MoM
Chg %
Mkt
ShrNov '15
All
Mkt
Shr
YTD
New
Global Markets Equities
Global (reg) 702 4,684 36,306 -36% 3% 34,570 -1% 2% 115 10% 23
Global ex US (reg) 679 7,631 5,050 0% 0% 30,075 1% 2% 30 3% 7
Asia Pacific (reg) - - 1 -18% 0% 25 -1% 0% 1 0% -
Asia Pacific ex JP (reg) (39) 103 1,035 -11% 0% 3,020 -5% 0% 7 1% -
Total GME 1,342 12,418 42,392 -33% 4% 67,690 0% 4% 153 13% 30
Developed Market Equities
Global (reg) 251 1,752 1,045 -7% 0% 10,091 2% 1% 23 2% 6
Global ex US (reg) 4,155 40,835 39,195 0% 3% 152,152 2% 9% 84 7% 24
Global ex JP (reg) - (154) 17 647% 0% 311 0% 0% 1 0% -
Europe & Middle East
Europe (reg) 145 9,439 5,730 -2% 0% 25,550 0% 1% 30 3% 11
Denmark 19 9 42 36% 0% 72 42% 0% 1 0% -
Norway (8) 9 33 64% 0% 88 -8% 0% 2 0% -
Sweden (2) 55 98 6% 0% 375 -1% 0% 1 0% -
Switzerland 25 367 390 -26% 0% 1,372 -1% 0% 3 0% 1
UK - 142 752 -10% 0% 2,971 -2% 0% 8 1% 2
Eurozone (Reg) 797 24,105 11,151 -16% 1% 41,721 3% 2% 12 1% 5
Austria (2) 3 18 -50% 0% 62 -4% 0% 1 0% -
Belgium 15 25 81 80% 0% 171 11% 0% 1 0% -
Finland - 5 7 -24% 0% 25 1% 0% 1 0% -
France 10 93 324 -9% 0% 403 -1% 0% 1 0% -
Germany (523) 3,753 2,806 -1% 0% 8,120 -5% 0% 8 1% -
Ireland (2) 73 36 -15% 0% 168 1% 0% 1 0% -
Israel (1) 8 163 164% 0% 173 -1% 0% 3 0% 1
Italy (4) 527 611 -5% 0% 1,395 -3% 0% 3 0% 2
Netherlands - 27 111 -7% 0% 168 -2% 0% 1 0% -
Portugal (2) 10 8 70% 0% 34 -10% 0% 1 0% -
Spain (59) 221 812 28% 0% 1,566 -7% 0% 4 0% 2
North America
North America (reg) 28 160 220 30% 0% 953 -4% 0% 3 0% 1
Canada (25) (303) 911 -22% 0% 1,978 -3% 0% 6 1% 1
US 19,614 36,226 928,142 -23% 80% 1,225,128 2% 72% 599 50% 80
Asia Pacific
Pacific (reg) 40 767 509 -18% 0% 3,612 1% 0% 5 0% 2
Japan 229 10,655 14,214 -26% 1% 41,228 1% 2% 32 3% 10
Pacific ex JP (reg) (47) (410) 282 9% 0% 1,936 -3% 0% 4 0% 1
Australia (27) (33) 845 -16% 0% 1,402 -1% 0% 7 1% 2
Hong Kong (47) 164 1,134 -24% 0% 2,710 -5% 0% 2 0% -
New Zealand 0 (46) 21 29% 0% 68 -1% 0% 1 0% -
Singapore (2) (105) 249 -16% 0% 576 -6% 0% 1 0% -
Total DME 24,579 128,379 1,009,958 -22% 87% 1,526,577 2% 89% 850 72% 151
Total Equities 25,059 136,954 1,167,195 -21% 100% 1,707,569 1% 100% 1,187 100% 204
# of FundsNet Cash Flows Turnover AUM
Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month.
9 December 2015
US ETF Market Monthly Review
Page 34 Deutsche Bank Securities Inc.
Figure 72: ETP Summary Statistics by Geographic Focus – Emerging Market Equities
Geographic Focus
(Equities)
Nov '15
$MM
YTD
$MMNov '15
$MM
MoM
Chg %
Mkt
ShrNov '15
$MM
MoM
Chg %
Mkt
ShrNov '15
All
Mkt
Shr
YTD
New
Emerging Market Equities
Global (reg) 45 (4,062) 62,545 -17% 5% 78,268 -4% 5% 59 5% 12
BRIC (reg) (5) (140) 27 -3% 0% 358 -3% 0% 3 0% -
Asia
Asia (reg) 1 (8) 113 -46% 0% 817 -2% 0% 4 0% -
China (318) 1,121 19,082 -13% 2% 9,443 -6% 1% 26 2% 1
China A (121) (360) 2,326 -9% 0% 911 -11% 0% 12 1% 6
India (84) 1,937 3,424 -2% 0% 6,953 -5% 0% 10 1% -
Indonesia (7) (259) 336 -19% 0% 347 -4% 0% 3 0% -
Malaysia (22) (159) 361 -17% 0% 268 -6% 0% 1 0% -
Philippines (12) (90) 204 -17% 0% 241 -8% 0% 1 0% -
South Korea 11 (514) 3,265 -14% 0% 3,420 -3% 0% 8 1% 1
Taiwan (335) 17 2,345 0% 0% 2,840 -13% 0% 3 0% -
Thailand (3) (186) 206 -16% 0% 227 -4% 0% 1 0% -
Europe
Europe (reg) - (179) 3 -13% 0% 42 -4% 0% 1 0% -
Poland (8) 30 98 8% 0% 187 -14% 0% 2 0% -
Russia (11) 353 5,695 0% 0% 2,442 -1% 0% 6 1% -
Turkey (13) (5) 328 0% 0% 326 -9% 0% 1 0% -
Greece (6) 268 122 25% 0% 263 -17% 0% 1 0% -
Middle East & Africa
ME & Africa (reg) - (13) 6 74% 0% 33 -8% 0% 1 0% -
Middle East (reg) (1) (16) 5 58% 0% 34 -10% 0% 2 0% -
Africa (reg) (6) (3) 20 123% 0% 64 -15% 0% 1 0% -
Egypt (7) 1 12 85% 0% 26 -30% 0% 1 0% -
South Africa 17 66 685 2% 0% 390 -3% 0% 1 0% -
Qatar - 9 2 -81% 0% 42 -13% 0% 1 0% -
UAE - (17) 6 131% 0% 25 -9% 0% 1 0% -
Latin America
Latin America (reg) 107 40 228 -40% 0% 642 14% 0% 6 1% -
Brazil (3) (842) 10,358 -2% 1% 1,961 -3% 0% 10 1% -
Chile (26) (16) 229 0% 0% 201 -18% 0% 1 0% -
Colombia 2 27 23 -23% 0% 70 -14% 0% 2 0% -
Mexico (41) (848) 2,494 -3% 0% 1,260 -6% 0% 6 1% 1
Peru - (54) 45 -45% 0% 112 -7% 0% 1 0% -
Frontier Markets
Frontier (reg) (18) 8 141 10% 0% 606 -7% 0% 3 0% -
Argentina 5 0 10 90% 0% 19 25% 0% 1 0% -
Nigeria (0) 13 8 -30% 0% 23 -8% 0% 1 0% -
Pakistan - 6 1 71% 0% 5 -7% 0% 1 0% 1
Saudi Arabia - 5 0 -89% 0% 5 2% 0% 1 0% 1
Vietnam (2) 53 93 -29% 0% 429 -8% 0% 1 0% -
Total EME (862) (3,815) 114,845 -13% 10% 113,302 -4% 7% 184 16% 23
Total Equities 25,059 136,954 1,167,195 -21% 100% 1,707,569 1% 100% 1,187 100% 204
# of FundsNet Cash Flows Turnover AUM
Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month.
9 December 2015
US ETF Market Monthly Review
Deutsche Bank Securities Inc. Page 35
Figure 73: ETP Summary Statistics by Size and Market – Equities
Market Cap Segment
(Equities)
Nov '15
$MM
YTD
$MM
Nov '15
$MM
MoM
Chg %
Mkt
Shr
Nov '15
$MM
MoM
Chg %
Mkt
Shr
Nov '15
All
Mkt
Shr
YTD
New
US Equities
Large Cap 8,351 (16,413) 697,474 -23% 60% 625,928 2% 37% 173 15% 30
Mid Cap 1,341 12,172 18,715 -5% 2% 109,338 2% 6% 43 4% 3
Small Cap 3,530 8,906 93,221 -23% 8% 104,786 6% 6% 75 6% 7
Broad 6,392 31,561 118,732 -22% 10% 385,076 2% 23% 308 26% 40
Total US Equities 19,614 36,226 928,142 -23% 80% 1,225,128 2% 72% 599 50% 80
DM Intl Equities
Large Cap 46 1,677 1,529 -13% 0% 8,145 -1% 0% 22 2% 7
Mid Cap - 46 31 43% 0% 347 -1% 0% 3 0% -
Small Cap 83 2,850 1,523 0% 0% 10,183 1% 1% 23 2% 5
Broad 4,836 87,563 78,734 -9% 7% 282,774 1% 17% 203 17% 59
Total DM Intl Equities 4,965 92,136 81,816 -9% 7% 301,449 1% 18% 251 21% 71
EM Equities
Large Cap (272) 1,122 18,194 -14% 2% 7,287 -8% 0% 15 1% 1
Mid Cap - (2) 0 -14% 0% 3 -1% 0% 1 0% -
Small Cap (41) (413) 497 -8% 0% 2,073 -4% 0% 14 1% -
Broad (549) (4,522) 96,154 -13% 8% 103,939 -4% 6% 154 13% 22
Total EM Equities (862) (3,815) 114,845 -13% 10% 113,302 -4% 7% 184 16% 23
Total Equities 25,059 136,954 1,167,195 -21% 100% 1,707,569 1% 100% 1,187 100% 204
# of FundsNet Cash Flows Turnover AUM
Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month.
Figure 74: ETP Summary Statistics by Style and Market – Equities
Style
(Equities)
Nov '15
$MM
YTD
$MMNov '15
$MM
MoM
Chg %
Mkt
ShrNov '15
$MM
MoM
Chg %
Mkt
ShrNov '15
All
Mkt
Shr
YTD
New
US Equities
Growth 2,835 11,771 14,031 -12% 1% 112,598 3% 7% 39 3% -
Value 1,419 6,900 13,258 -12% 1% 95,313 2% 6% 42 4% 1
Dividend 433 (2,893) 6,084 -10% 1% 80,140 1% 5% 43 4% 8
Blend 14,927 20,448 894,769 -23% 77% 937,077 2% 55% 475 40% 71
Total US Equities 19,614 36,226 928,142 -23% 80% 1,225,128 2% 72% 599 50% 80
DM Intl Equities
Growth 163 477 376 92% 0% 2,133 8% 0% 1 0% -
Value 58 461 326 9% 0% 2,776 0% 0% 1 0% -
Dividend 520 20,491 12,313 -8% 1% 50,111 3% 3% 40 3% 14
Blend 4,224 70,707 68,801 -10% 6% 246,429 1% 14% 209 18% 57
Total DM Intl Equities 4,965 92,136 81,816 -9% 7% 301,449 1% 18% 251 21% 71
EM Equities
Dividend (55) (866) 424 -23% 0% 2,952 -6% 0% 11 1% 2
Blend (807) (2,927) 114,421 -13% 10% 110,351 -4% 6% 173 15% 21
Total EM Equities (862) (3,815) 114,845 -13% 10% 113,302 -4% 7% 184 16% 23
Total Equities 25,059 136,954 1,167,195 -21% 100% 1,707,569 1% 100% 1,187 100% 204
# of FundsNet Cash Flows Turnover AUM
Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month.
9 December 2015
US ETF Market Monthly Review
Page 36 Deutsche Bank Securities Inc.
Figure 75: ETP Summary Statistics by Sectors – US Equities
Sector
(US Equities)
Nov '15
$MM
YTD
$MMNov '15
$MM
MoM
Chg %
Mkt
ShrNov '15
$MM
MoM
Chg %
Mkt
ShrNov '15
All
Mkt
Shr
YTD
New
Consumer Discretionary 363 3,117 21,215 -8% 2% 23,859 2% 2% 23 4% 6
Consumer Staples (590) (961) 10,390 -20% 1% 15,364 -4% 1% 13 2% -
Energy 685 7,297 43,289 -22% 5% 31,014 0% 3% 32 5% 4
Financials 1,347 (325) 30,900 -10% 3% 39,393 6% 3% 39 7% 4
Healthcare (483) 7,330 37,933 -51% 4% 48,082 1% 4% 34 6% 7
Industrials 234 (3,325) 15,674 -19% 2% 12,738 3% 1% 15 3% -
Materials 86 (868) 7,688 -26% 1% 4,299 2% 0% 12 2% -
Real Estate 927 81 24,810 3% 3% 41,474 2% 3% 20 3% 3
Technology 1,991 245 16,908 -19% 2% 37,739 7% 3% 32 5% 1
Telecom 109 (26) 362 48% 0% 1,489 7% 0% 5 1% -
Utilities (862) (3,111) 11,830 -1% 1% 8,487 -11% 1% 9 2% 1
Theme (38) (206) 1,424 -7% 0% 9,330 -1% 1% 36 6% 2
Overall 15,846 26,977 705,720 -22% 76% 951,860 2% 78% 329 55% 52
Total US Equities 19,614 36,226 928,142 -23% 100% 1,225,128 2% 100% 599 100% 80
# of FundsNet Cash Flows Turnover AUM
Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month.
Commodity Breakdowns
Figure 76: ETP Summary Statistics by Sectors and Sub Sectors– Commodity
Sector
(Commodities)
Nov '15
$MM
YTD
$MMNov '15
$MM
MoM
Chg %
Mkt
ShrNov '15
$MM
MoM
Chg %
Mkt
ShrNov '15
Mkt
Shr
YTD
New
Diversified Broad 21 (539) 856 -3% 3% 4,205 -6% 9% 10 19% -
Agriculture (2) (103) 144 -7% 1% 887 -4% 2% 7 13% -
Energy 1,149 4,437 12,138 -26% 43% 5,696 8% 12% 15 28% 1
Crude Oil 1,072 4,243 10,901 -26% 39% 4,936 9% 11% 7 13% -
Natural Gas 72 142 1,170 -31% 4% 572 1% 1% 4 8% -
Industrial Metals 5 (25) 28 -33% 0% 138 -4% 0% 2 4% -
Precious Metals (1,351) (2,109) 15,075 -21% 53% 34,819 -11% 76% 19 36% -
Gold (1,425) (1,672) 13,332 -20% 47% 28,952 -11% 63% 9 17% -
Silver 51 (177) 1,555 -32% 6% 5,037 -9% 11% 5 9% -
Platinum - (42) 63 22% 0% 381 -16% 1% 1 2% -
Palladium 8 (100) 43 -4% 0% 190 -17% 0% 1 2% -
Total Commodities (178) 1,660 28,240 -23% 100% 45,746 -8% 100% 53 100% 1
# of FundsNet Cash Flows Turnover AUM
Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month.
9 December 2015
US ETF Market Monthly Review
Deutsche Bank Securities Inc. Page 37
Fixed Income Breakdowns
Figure 77: ETP Summary Statistics by Category – Fixed Income
Categories
(Fixed Income)
Nov '15
$MM
YTD
$MMNov '15
$MM
MoM
Chg %
Mkt
ShrNov '15
$MM
MoM
Chg %
Mkt
ShrNov '15
All
Mkt
Shr
YTD
New
Broad 3,295 19,435 17,711 1% 17% 105,059 3% 29% 43 15% 6
Convertible 116 8 768 -24% 1% 2,815 4% 1% 3 1% 2
Corporates (43) 17,304 36,569 -28% 35% 115,229 -1% 32% 91 32% 14
EM debt 507 1,138 3,618 -8% 3% 11,203 4% 3% 23 8% 2
Inflation 87 2,066 2,552 11% 2% 22,262 0% 6% 17 6% -
International (65) (602) 694 6% 1% 2,966 -5% 1% 13 5% 1
Municipal 394 3,469 1,985 -13% 2% 18,536 2% 5% 36 13% 4
Preferred 798 4,597 3,102 14% 3% 21,039 4% 6% 9 3% -
Securitized 99 1,847 1,365 -50% 1% 10,321 1% 3% 9 3% -
Senior Loans (422) (663) 1,328 -12% 1% 5,795 -8% 2% 4 1% -
US Treasury (4,423) 9,217 34,012 -27% 33% 47,689 -9% 13% 39 14% 1
Total Fixed Income 342 57,816 103,702 -21% 100% 362,913 0% 100% 287 100% 30
# of FundsNet Cash Flows Turnover AUM
Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month.
Figure 78: ETP Summary Statistics by Credit Quality – Fixed Income
Credit Quality
(Fixed Income)
Nov '15
$MM
YTD
$MMNov '15
$MM
MoM
Chg %
Mkt
ShrNov '15
$MM
MoM
Chg %
Mkt
ShrNov '15
All
Mkt
Shr
YTD
New
Investment Grade (314) 44,964 70,973 -21% 68% 279,803 0% 77% 197 69% 18
High Yield (1,110) 4,093 25,153 -28% 24% 46,171 -5% 13% 46 16% 4
Mixed 1,766 8,826 7,576 2% 7% 36,939 5% 10% 44 15% 8
Total Fixed Income 342 57,883 103,702 -21% 100% 362,913 0% 100% 287 100% 30
# of FundsNet Cash Flows Turnover AUM
Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month.
Figure 79: ETP Summary Statistics by Duration – Fixed Income
Duration
(Fixed Income)
Nov '15
$MM
YTD
$MMNov '15
$MM
MoM
Chg %
Mkt
ShrNov '15
$MM
MoM
Chg %
Mkt
ShrNov '15
All
Mkt
Shr
YTD
New
Short (2,525) 10,252 19,411 -12% 19% 94,563 -3% 26% 70 24% 7
Intermediate (1,454) 13,409 31,621 -29% 30% 73,643 -3% 20% 41 14% 1
Long (726) 1,317 19,618 -31% 19% 18,307 -4% 5% 29 10% 2
Broad 4,958 31,091 32,147 -11% 31% 168,086 3% 46% 102 36% 9
Set Maturity 89 1,815 905 9% 1% 8,314 1% 2% 45 16% 11
Total Fixed Income 342 57,883 103,702 -21% 100% 362,913 0% 100% 287 100% 30
# of FundsNet Cash Flows Turnover AUM
Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month.
9 December 2015
US ETF Market Monthly Review
Page 38 Deutsche Bank Securities Inc.
Top 15 ETFs (includes ETNs)
Figure 80: Top 15 by 1M Total Return Gain (non-levered) Figure 81: Top 15 by 1M Total Return Loss (non-levered)
Ticker Name TERTotal
Return
BBC BioShares Biotechnology Clinical Trials Fund 0.85% 15.7%
CNCR Loncar Cancer Immunotherapy ETF 0.79% 11.4%
XPH SPDR S&P Pharmaceuticals ETF 0.35% 10.5%
XBI SPDR S&P Biotech ETF 0.35% 8.5%
SBIO ALPS Medical Breakthroughs ETF 0.50% 8.5%
PSCH PowerShares S&P SmallCap Health Care Portfolio 0.29% 8.3%
BIZD Market Vectors BDC Income ETF 9.17% 8.0%
BDCZ ETRACS Linked to the Wells Fargo Business
Development Company Index ETN Series B
0.85% 7.7%
FBT First Trust NYSE Arca Biotechnology Index Fund 0.60% 7.7%
DXJH WisdomTree Japan Hedged Health Care Fund 0.43% 7.5%
BDCS ETRACS Linked to the Wells Fargo Business
Development Company Index ETN
0.85% 7.3%
KWEB KraneShares CSI China Internet ETF 0.68% 7.3%
AIRR First Trust RBA American Industrial Renaissance ETF 0.70% 7.2%
KBWR PowerShares KBW Regional Banking Portfolio 0.35% 7.0%
QABA First Trust NASDAQ ABA Community Bank Index
Fund
0.60% 7.0%
Ticker Name TERTotal
Return
GAZ iPath Dow Jones-UBS Natural Gas Subindex Total
Return ETN
0.75% -20.3%
PALL ETFS Physical Palladium Shares 0.60% -19.6%
PGM iPath Dow Jones-UBS Platinum Subindex Total
Return ETN
0.75% -17.5%
GREK Global X FTSE Greece 20 ETF 0.65% -17.0%
PTM ETRACS CMCI Long Platinum Total Return 0.65% -16.9%
COPX Global X Copper Miners ETF 0.65% -16.5%
CU First Trust ISE Global Copper Index Fund 0.70% -16.0%
PPLT ETFS Physical Platinum Shares 0.60% -15.6%
ICOL iShares MSCI Colombia Capped ETF 0.61% -15.5%
GXG Global X FTSE Colombia 20 ETF 0.68% -14.6%
YMLP Yorkville High Income MLP 0.82% -14.5%
PLTM First Trust ISE Global Platinum Index Fund 0.70% -13.9%
JJC iPath Dow Jones-UBS Copper Subindex Total Return
ETN
0.75% -13.1%
WITE ETFS White Metals Basket Trust 0.60% -13.1%
SILJ PureFunds ISE Junior Silver ETF 0.69% -12.7% Source: Deutsche Bank, FactSet. Total Return corresponds to last month.
Source: Deutsche Bank, FactSet. Total Return corresponds to last month.
Figure 82: Top 15 by 1M Inflows Figure 83: Top 15 by 1M Outflows
Ticker Name TERInflows
$MM
AGG iShares Core U.S. Aggregate Bond ETF 0.08% 2,645
IWB iShares Russell 1000 ETF 0.15% 2,525
IWM iShares Russell 2000 ETF 0.24% 2,401
IEFA iShares Core MSCI EAFE ETF 0.14% 1,635
EFA iShares MSCI EAFE ETF 0.33% 1,017
VOO Vanguard S&P 500 ETF 0.05% 930
USO United States Oil Fund LP 0.45% 890
VEA Vanguard FTSE Developed Markets ETF 0.10% 831
IWF iShares Russell 1000 Growth ETF 0.20% 825
QQQ PowerShares QQQ 0.20% 702
XLF Financial Select Sector SPDR Fund 0.14% 683
FDN First Trust Dow Jones Internet Index Fund 0.60% 670
XLK Technology Select Sector SPDR Fund 0.14% 623
HEDJ WisdomTree Europe Hedged Equity Fund 0.58% 617
PFF iShares U.S. Preferred Stock ETF 0.47% 559
Ticker Name TEROutflows
$MM
SHY iShares 1-3 Year Treasury Bond ETF 0.15% (1,516)
GLD SPDR Gold Shares 0.40% (1,316)
XLU Utilities Select Sector SPDR Fund 0.14% (891)
IEF iShares 7-10 Year Treasury Bond ETF 0.15% (868)
JNK SPDR Barclays High Yield Bond ETF 0.40% (761)
EEM iShares MSCI Emerging Markets ETF 0.67% (585)
BIL SPDR Barclays 1-3 Month T-Bill ETF 0.13% (567)
TLT iShares 20+ Year Treasury Bond ETF 0.15% (540)
BKLN PowerShares Senior Loan Portfolio 0.65% (497)
XLP Consumer Staples Select Sector SPDR Fund 0.14% (460)
IEI iShares 3-7 Year Treasury Bond ETF 0.15% (407)
XLV Health Care Select Sector SPDR Fund 0.14% (352)
SHV iShares Short Treasury Bond ETF 0.15% (342)
EWT iShares MSCI Taiwan ETF 0.62% (332)
EWG iShares MSCI Germany ETF 0.48% (288) Source: Deutsche Bank, Bloomberg Finance LP. Inflows correspond to last month.
Source: Deutsche Bank, Bloomberg Finance LP. Outflows correspond to last month.
Figure 84: Top 15 by AUM Figure 85: Top 15 by $ Volume traded last month
Ticker Name TERAUM
$MM
SPY SPDR S&P 500 ETF 0.09% 180,509
IVV iShares Core S&P 500 ETF 0.07% 70,428
EFA iShares MSCI EAFE ETF 0.33% 58,436
VTI Vanguard Total Stock Market ETF 0.05% 58,084
QQQ PowerShares QQQ 0.20% 43,059
VOO Vanguard S&P 500 ETF 0.05% 39,510
VWO Vanguard FTSE Emerging Markets ETF 0.15% 35,852
IWF iShares Russell 1000 Growth ETF 0.20% 31,124
AGG iShares Core U.S. Aggregate Bond ETF 0.08% 30,099
IWM iShares Russell 2000 ETF 0.24% 29,239
VEA Vanguard FTSE Developed Markets ETF 0.10% 28,940
BND Vanguard Total Bond Market ETF 0.08% 27,257
IJH iShares Core S&P Mid-Cap ETF 0.15% 27,217
IWD iShares Russell 1000 Value ETF 0.21% 27,056
VNQ Vanguard REIT ETF 0.12% 26,907
Ticker Name TERVolume
$MM
SPY SPDR S&P 500 ETF 0.09% 407,755
IWM iShares Russell 2000 ETF 0.24% 70,128
QQQ PowerShares QQQ 0.20% 62,027
EEM iShares MSCI Emerging Markets ETF 0.67% 43,987
EFA iShares MSCI EAFE ETF 0.33% 23,793
XLE Energy Select Sector SPDR Fund 0.14% 22,766
VXX iPath S&P 500 VIX Short-Term Futures ETN 0.89% 20,335
XLF Financial Select Sector SPDR Fund 0.14% 19,409
DIA SPDR Dow Jones Industrial Average ETF 0.17% 18,721
FXI iShares China Large-Cap ETF 0.74% 17,323
GDX Market Vectors Gold Miners ETF 0.52% 16,636
XLV Health Care Select Sector SPDR Fund 0.14% 16,622
IVV iShares Core S&P 500 ETF 0.07% 16,220
IYR iShares U.S. Real Estate ETF 0.43% 16,218
TLT iShares 20+ Year Treasury Bond ETF 0.15% 16,035 Source: Deutsche Bank, Bloomberg Finance LP. AUM as of the end of last month.
Source: Deutsche Bank, Bloomberg Finance LP. Volume $ corresponds to total traded last month.
9 December 2015
US ETF Market Monthly Review
Deutsche Bank Securities Inc. Page 39
Appendix A: ETN Snapshot
Figure 86: ETN Summary by Asset Class
Asset ClassNov
2015
End of
2014%Chg
Nov
2015
Oct
2015YTD
YTD Chg
% AUM
Nov
2015
Oct
2015%Chg
Nov
2015
End of
2014%Chg AUM
Turn-
over
# of
ETNs
Equity 13,225 16,990 -22.2% (1) 103 515 3.0% 3,232 3,432 -5.8% 55 53 3.8% 59.0% 6.2% 27.4%
Fixed income 292 448 -34.8% (11) (1) (133) -29.8% 38 56 -32.2% 19 23 -17.4% 1.3% 0.1% 9.5%
Commodity 5,366 5,409 -0.8% 466 236 2,811 52.0% 11,132 15,073 -26.1% 90 96 -6.3% 24.0% 21.3% 44.8%
Currency 76 119 -36.5% (5) 5 (34) -28.2% 21 21 -0.4% 11 13 -15.4% 0.3% 0.0% 5.5%
Multi Asset 585 1,040 -43.8% (43) (25) (318) -30.5% 115 126 -8.7% 7 7 0.0% 2.6% 0.2% 3.5%
Alternative 2,860 2,803 2.1% 86 112 495 17.7% 37,756 49,053 -23.0% 19 19 0.0% 12.8% 72.2% 9.5%
Total 22,404 26,809 -16.4% 492 431 3,337 12.4% 52,295 67,761 -22.8% 201 211 -4.7% 100% 100% 100%
AUM ($ MM) Cash Flow ($ MM) Turnover ($ MM) # of ETNs Market Share %
Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month.
Figure 87: ETN Summary by Issuer
IssuerNov
2015
End of
2014%Chg
Nov
2015
Oct
2015YTD
YTD Chg
% AUM
Nov
2015
Oct
2015%Chg
Nov
2015
End of
2014%Chg AUM
Turn-
over
# of
ETNs
Barclays Bank 6,836 8,971 -23.8% (46) 267 (388) -4.3% 21,569 28,768 -25.0% 81 81 0.0% 30.5% 41.2% 40.3%
UBS 5,024 5,188 -3.2% 12 200 1,419 27.3% 1,075 1,165 -7.7% 45 34 32.4% 22.4% 2.1% 22.4%
Credit Suisse 4,959 3,961 25.2% 523 (45) 3,115 78.6% 27,356 35,256 -22.4% 26 27 -3.7% 22.1% 52.3% 12.9%
JPMorgan 3,726 5,694 -34.6% - - - 0.0% 1,954 2,013 -2.9% 1 1 0.0% 16.6% 3.7% 0.5%
Deutsche Bank 811 881 -8.0% 12 (10) (79) -9.0% 191 339 -43.7% 29 35 -17.1% 3.6% 0.4% 14.4%
Swedish Export CC 533 765 -30.4% (5) 15 (68) -8.9% 96 115 -17.1% 7 7 0.0% 2.4% 0.2% 3.5%
Citigroup 219 186 18.1% - - 103 55.7% 8 68 -88.1% 3 3 0.0% 1.0% 0.0% 1.5%
Goldman Sachs 114 158 -27.8% - - - 0.0% 29 17 72.7% 1 1 0.0% 0.5% 0.1% 0.5%
Van Eck Funds 64 79 -19.6% (3) 5 (4) -4.5% 14 13 7.0% 4 4 0.0% 0.3% 0.0% 2.0%
Morgan Stanley 62 111 -44.4% - - (8) -7.0% 2 2 -30.6% 1 2 -50.0% 0.3% 0.0% 0.5%
HSBC USA Inc 29 30 -1.8% - - - 0.0% 1 0 307.6% 1 1 0.0% 0.1% 0.0% 0.5%
RBC Global Asset Management 20 28 -29.9% - - 0 1.4% 2 4 -59.8% 1 1 0.0% 0.1% 0.0% 0.5%
Guggenheim Investments 8 9 -15.9% - - - 0.0% 0 0 34.4% 1 1 0.0% 0.0% 0.0% 0.5%
Total 22,404 26,062 -14.0% 492 431 4,090 15.7% 52,295 67,761 -22.8% 201 198 1.5% 100% 100% 100%
AUM ($ MM) Cash Flow ($ MM) Turnover ($ MM) # of ETNs Market Share %
Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month.
9 December 2015
US ETF Market Monthly Review
Page 40 Deutsche Bank Securities Inc.
Appendix B: ETF List
Figure 88: Global and US Equities Reference list
5-Day $ 5-Day bps
Global Equities ACWI iShares MSCI ACWI ETF CM 28-Mar-08 0.33% 6,225 130 90 220 2.01 144.3
US Total Market VTI Vanguard Total Stock Market ETF CM 31-May-01 0.05% 58,196 243 3,063 3,306 0.01 1.1
S&P 500 (Large Cap) SPY SPDR S&P 500 ETF PF 29-Jan-93 0.09% 182,186 20,251 7,437 27,689 0.01 0.5
DJI DIA SPDR Dow Jones Industrial Average ETF PF 14-Jan-98 0.17% 12,632 971 1,204 2,174 0.01 0.7
NASDAQ-100 QQQ PowerShares QQQ PF 10-Mar-99 0.20% 42,990 3,127 2,163 5,289 0.01 0.9
Russell 1000 Growth IWF iShares Russell 1000 Growth ETF PF 22-May-00 0.20% 31,255 237 1,064 1,300 0.01 1.3
Russell 1000 Value IWD iShares Russell 1000 Value ETF PF 22-May-00 0.21% 27,033 247 4,417 4,664 0.01 1.3
S&P 400 (Mid Cap) MDY SPDR S&P MidCap 400 ETF PF 4-May-95 0.25% 15,726 531 883 1,414 0.04 1.6
Russell 2000 (SM Cap) IWM iShares Russell 2000 ETF PF 22-May-00 0.24% 28,802 3,326 295 3,621 0.01 0.9
Div. Growth VIG Vanguard Dividend Appreciation ETF CM 27-Apr-06 0.10% 19,414 52 999 1,052 0.02 2.3
Div. Yield DVY iShares Select Dividend ETF CM 7-Nov-03 0.39% 13,408 62 601 663 0.02 2.0
Div. Yield VYM Vanguard High Dividend Yield ETF CM 16-Nov-06 0.10% 11,339 39 3,534 3,573 0.02 3.3
Div. Yield & Growth SDY SPDR S&P Dividend ETF CM 15-Nov-05 0.35% 13,018 54 418 472 0.03 3.9
Cons. Discretionary XLY Consumer Discretionary Select Sector SPDR Fund PF 22-Dec-98 0.14% 11,878 521 2,476 2,997 0.01 1.3
Hotels, Rest & Leisure PEJ PowerShares Dynamic Leisure and Entertainment PortfolioAA 23-Jun-05 0.63% 242 4 11 15 0.05 13.1
Home Builders XHB SPDR S&P Homebuilders ETF PF 2-Feb-06 0.35% 1,922 105 85 190 0.01 3.0
Household Durables ITB iShares U.S. Home Construction ETF CM 5-May-06 0.43% 2,048 89 24 113 0.01 3.6
Media PBS PowerShares Dynamic Media Portfolio AA 23-Jun-05 0.63% 139 1 11 12 0.02 9.2
Retail XRT SPDR S&P Retail ETF PF 22-Jun-06 0.35% 797 255 78 333 0.01 2.6
Cons. Staples XLP Consumer Staples Select Sector SPDR Fund PF 22-Dec-98 0.14% 7,663 400 1,060 1,460 0.01 2.1
Food Products PBJ PowerShares Dynamic Food & Beverage Portfolio AA 23-Jun-05 0.63% 236 3 12 15 0.04 10.9
Energy XLE Energy Select Sector SPDR Fund PF 22-Dec-98 0.14% 11,989 1,100 1,479 2,579 0.01 1.5
Energy Eq. & Serv. OIH Market Vectors Oil Services ETF PF 7-Feb-01 0.35% 1,309 166 374 541 0.01 3.3
Energy Eq. & Serv. XES SPDR S&P Oil & Gas Equipment & Services ETF AA 22-Jun-06 0.35% 203 10 70 80 0.03 13.8
Energy Eq. & Serv. IEZ iShares U.S. Oil Equipment & Services ETF AA 5-May-06 0.43% 293 4 61 65 0.04 10.8
Energy E&P XOP SPDR S&P Oil & Gas Exploration & Production ETF PF 22-Jun-06 0.35% 1,631 447 62 509 0.01 2.9
Energy E&P IEO iShares U.S. Oil & Gas Exploration & Production ETF AA 5-May-06 0.43% 412 9 648 657 0.05 8.5
MLPs AMLP Alerian MLP ETF CM 25-Aug-10 0.85% 6,919 139 65 204 0.01 8.9
Financials XLF Financial Select Sector SPDR Fund PF 22-Dec-98 0.14% 19,516 904 1,232 2,135 0.01 4.1
Large Banks KBWB PowerShares KBW Bank Portfolio AA 1-Nov-11 0.35% 516 11 494 505 0.02 6.3
Regional Banks KRE SPDR S&P Regional Banking ETF PF 22-Jun-06 0.35% 2,829 202 61 263 0.01 2.3
Capital Markets KCE SPDR S&P Capital Markets ETF AA 15-Nov-05 0.35% 123 0 57 57 0.04 8.3
Insurance KIE SPDR S&P Insurance ETF AA 15-Nov-05 0.35% 645 7 115 122 0.03 4.6
Healthcare XLV Health Care Select Sector SPDR Fund PF 22-Dec-98 0.14% 13,825 736 1,677 2,412 0.01 1.4
Biotech & Pharma IBB iShares Nasdaq Biotechnology ETF PF 5-Feb-01 0.48% 8,155 545 155 700 0.25 7.4
Large Biotech BBH Market Vectors Biotech ETF AA 23-Nov-99 0.35% 696 12 282 294 0.14 11.0
HC Eq. & Supplies IHI iShares U.S. Medical Devices ETF AA 5-May-06 0.43% 714 6 288 294 0.09 7.1
HC Providers & Serv IHF iShares U.S. Healthcare Providers ETF AA 5-May-06 0.43% 784 16 64 79 0.12 9.7
Large Pharma PPH Market Vectors Pharmaceutical ETF AA 1-Feb-00 0.35% 312 5 429 434 0.04 5.7
Industrials XLI Industrial Select Sector SPDR Fund PF 22-Dec-98 0.14% 7,028 674 1,704 2,378 0.01 1.9
Aerospace & Def ITA iShares U.S. Aerospace & Defense ETF AA 5-May-06 0.43% 646 11 92 103 0.05 4.5
Transportation IYT iShares Transportation Average ETF AA 10-Oct-03 0.43% 867 33 90 124 0.07 4.6
Materials XLB Materials Select Sector SPDR Fund PF 22-Dec-98 0.14% 2,193 293 653 946 0.01 2.3
Metals & Mining XME SPDR S&P Metals and Mining ETF PF 22-Jun-06 0.35% 238 34 41 75 0.01 6.9
Real Estate VNQ Vanguard REIT ETF CM 29-Sep-04 0.12% 26,840 305 294 599 0.01 1.4
Technology VGT Vanguard Information Technology ETF AA 30-Jan-04 0.12% 8,395 37 1,848 1,885 0.04 3.8
Comm. Equipment IGN iShares North American Tech-Multimedia Networking ETFAA 10-Jul-01 0.47% 143 1 38 39 0.04 10.5
Int. Software & Serv. FDN First Trust Dow Jones Internet Index Fund AA 23-Jun-06 0.60% 4,890 47 107 154 0.03 4.4
Semiconductors SMH Market Vectors Semiconductor ETF PF 5-May-00 0.35% 411 120 374 493 0.01 2.1
Software IGV iShares North American Tech-Software ETF AA 10-Jul-01 0.47% 1,040 15 297 311 0.05 4.7
Telecom VOX Vanguard Telecommunication Services ETF AA 29-Sep-04 0.14% 870 4 19 23 0.09 10.8
Utilities XLU Utilities Select Sector SPDR Fund PF 22-Dec-98 0.14% 5,603 514 488 1,002 0.01 2.4
AUM $M20D ADV
$M
Implied
Liq. $M
Total
Liq. $M
Avg. Bid/Ask SpreadsProduct
TypeAsset Class Ticker ETF Name Listing Date TER
Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of 3-Dec-15. Bid/Ask Spreads are provided only as reference, actual spreads are trade-specific. Product Type: Asset Allocation (AA), Cash Management (CM), Pseudo Futures (PF).
9 December 2015
US ETF Market Monthly Review
Deutsche Bank Securities Inc. Page 41
Figure 89: International Equities Reference list
5-Day $ 5-Day bps
Intl DM EFA iShares MSCI EAFE ETF CM 14-Aug-01 0.33% 58,750 1,227 1,626 2,853 0.01 1.7
Canada EWC iShares MSCI Canada ETF CM 12-Mar-96 0.47% 1,917 43 346 389 0.01 4.5
Israel EIS iShares MSCI Israel Capped ETF AA 28-Mar-08 0.62% 122 8 24 32 0.32 64.1
Europe VGK Vanguard FTSE Europe ETF CM 3-Mar-05 0.12% 15,377 193 448 641 0.01 2.0
Denmark EDEN iShares MSCI Denmark Capped ETF AA 26-Jan-12 0.53% 72 2 11 13 0.10 17.8
Norway NORW Global X FTSE Norway 30 ETF AA 10-Nov-10 0.50% 66 1 10 11 0.06 59.2
Sweden EWD iShares MSCI Sweden ETF AA 12-Mar-96 0.47% 376 5 230 234 0.29 151.2
Switzerland EWL iShares MSCI Switzerland Capped ETF AA 12-Mar-96 0.47% 1,178 18 0 18 0.01 3.6
UK EWU iShares MSCI United Kingdom ETF CM 12-Mar-96 0.47% 2,690 40 1,207 1,247 0.01 6.0
Eurozone EZU iShares MSCI Eurozone ETF CM 25-Jul-00 0.48% 13,463 221 1,305 1,526 0.02 4.3
Austria EWO iShares MSCI Austria Capped ETF AA 12-Mar-96 0.47% 57 1 2 4 0.04 25.1
Belgium EWK iShares MSCI Belgium Capped ETF AA 12-Mar-96 0.47% 171 4 15 19 0.03 17.7
Finland EFNL iShares MSCI Finland Capped ETF AA 26-Jan-12 0.53% 25 0 13 13 0.10 29.9
France EWQ iShares MSCI France ETF AA 12-Mar-96 0.47% 400 16 831 847 0.64 50.9
Germany EWG iShares MSCI Germany ETF CM 12-Mar-96 0.48% 5,889 120 437 557 0.01 3.8
Ireland EIRL iShares MSCI Ireland Capped ETF AA 7-May-10 0.47% 169 2 15 16 0.21 53.4
Italy EWI iShares MSCI Italy Capped ETF CM 12-Mar-96 0.47% 1,198 31 396 427 0.01 7.4
Netherlands EWN iShares MSCI Netherlands ETF AA 12-Mar-96 0.47% 167 5 80 85 1.91 108.3
Portugal PGAL Global X FTSE Portugal 20 ETF AA 13-Nov-13 0.61% 34 0 2 2 0.08 74.0
Spain EWP iShares MSCI Spain Capped ETF CM 12-Mar-96 0.48% 1,459 36 122 158 0.01 3.8
Japan EWJ iShares MSCI Japan ETF CM 12-Mar-96 0.47% 20,414 374 1,142 1,516 0.01 8.0
Pacific ex JP EPP iShares MSCI Pacific ex Japan ETF AA 25-Oct-01 0.49% 1,980 14 267 281 0.20 62.7
Australia EWA iShares MSCI Australia ETF CM 12-Mar-96 0.47% 1,389 41 427 467 0.01 5.3
Hong Kong EWH iShares MSCI Hong Kong ETF CM 12-Mar-96 0.47% 2,610 59 75 134 0.01 5.2
New Zealand ENZL iShares MSCI New Zealand Capped ETF AA 2-Sep-10 0.47% 69 1 4 6 0.14 39.2
Singapore EWS iShares MSCI Singapore ETF CM 12-Mar-96 0.47% 581 13 71 84 0.01 10.2
EM EEM iShares MSCI Emerging Markets ETF PF 7-Apr-03 0.67% 22,174 2,063 475 2,538 0.01 2.9
Latin America ILF iShares Latin America 40 ETF AA 26-Oct-01 0.49% 596 10 66 76 0.02 9.7
Brazil EWZ iShares MSCI Brazil Capped ETF PF 10-Jul-00 0.62% 1,824 477 122 599 0.01 5.0
Chile ECH iShares MSCI Chile Capped ETF AA 16-Nov-07 0.62% 200 11 6 17 0.05 14.6
Colombia GXG Global X FTSE Colombia 20 ETF AA 9-Feb-09 0.68% 56 1 0 1 0.05 59.4
Mexico EWW iShares MSCI Mexico Capped ETF PF 12-Mar-96 0.47% 1,261 121 18 139 0.02 4.2
Peru EPU iShares MSCI Peru Capped ETF AA 22-Jun-09 0.62% 111 3 0 3 0.08 39.1
EM Asia EEMA iShares MSCI Emerging Markets Asia ETF AA 9-Feb-12 0.49% 130 2 316 318 0.24 45.6
China H FXI iShares China Large-Cap ETF PF 8-Oct-04 0.74% 5,727 829 320 1,149 0.01 2.7
China A ASHR Deutsche X-trackers Harvest CSI 300 China A-Shares ETFAA 6-Nov-13 0.80% 475 75 1,379 1,454 0.01 3.9
India INDA iShares MSCI India ETF AA 2-Feb-12 0.67% 3,540 56 86 142 0.01 3.9
Indonesia EIDO iShares MSCI Indonesia ETF AA 7-May-10 0.62% 266 15 1 16 0.02 10.4
Malaysia EWM iShares MSCI Malaysia ETF CM 12-Mar-96 0.47% 271 17 23 40 0.01 10.2
Philippines EPHE iShares MSCI Philippines ETF AA 29-Sep-10 0.62% 245 10 2 12 0.05 14.9
South Korea EWY iShares MSCI South Korea Capped ETF CM 9-May-00 0.62% 3,276 147 231 378 0.01 2.1
Taiwan EWT iShares MSCI Taiwan ETF PF 20-Jun-00 0.62% 2,877 116 119 235 0.03 19.4
Thailand THD iShares MSCI Thailand Capped ETF AA 28-Mar-08 0.62% 223 10 12 22 0.17 25.2
EM Europe GUR SPDR S&P Emerging Europe ETF AA 23-Mar-07 0.49% 42 0 0 0 0.27 106.3
Greece GREK Global X FTSE Greece 20 ETF AA 8-Dec-11 0.65% 259 6 0 6 0.04 41.4
Poland EPOL iShares MSCI Poland Capped ETF AA 26-May-10 0.62% 160 5 3 8 0.03 17.0
Russia RSX Market Vectors Russia ETF PF 26-Apr-07 0.63% 1,859 201 0 201 0.01 6.0
Turkey TUR iShares MSCI Turkey ETF AA 28-Mar-08 0.62% 333 14 7 21 0.08 19.5
Middle East MES Market Vectors Gulf States Index ETF AA 25-Jul-08 0.98% 10 0 3 4 0.55 241.7
Qatar QAT iShares MSCI Qatar Capped ETF AA 1-May-14 0.62% 44 0 2 2 0.34 174.7
UAE UAE iShares MSCI UAE Capped ETF AA 1-May-14 0.62% 25 0 2 3 0.22 138.8
Africa AFK Market Vectors Africa Index ETF AA 14-Jul-08 0.78% 65 1 3 4 0.12 62.2
Egypt EGPT Market Vectors Egypt Index ETF AA 18-Feb-10 0.98% 28 1 1 1 1.11 314.5
South Africa EZA iShares MSCI South Africa ETF AA 7-Feb-03 0.62% 375 34 121 155 0.07 12.2
Frontier Market FM iShares MSCI Frontier 100 ETF AA 13-Sep-12 0.79% 465 8 35 43 0.07 26.1
Argentina ARGT Global X MSCI Argentina ETF AA 3-Mar-11 0.75% 19 0 4 5 0.12 63.0
Nigeria NGE Global X MSCI Nigeria ETF AA 3-Apr-13 0.68% 22 0 0 1 0.10 132.8
Pakistan PAK Global X MSCI Pakistan ETF AA 23-Apr-15 0.88% 5 0 1 1 0.16 124.0
Vietnam VNM Market Vectors Vietnam ETF AA 14-Aug-09 0.76% 422 5 1 6 0.04 23.3
BRIC BKF iShares MSCI BRIC ETF AA 16-Nov-07 0.67% 191 1 260 261 14.34 957.3
AUM $M20D ADV
$M
Implied
Liq. $M
Total
Liq. $M
Avg. Bid/Ask SpreadsProduct
TypeAsset Class Ticker ETF Name Listing Date TER
Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of 3-Dec-15. Bid/Ask Spreads are provided only as reference, actual spreads are trade-specific. Product Type: Asset Allocation (AA), Cash Management (CM), Pseudo Futures (PF).
9 December 2015
US ETF Market Monthly Review
Page 42 Deutsche Bank Securities Inc.
Figure 90: Non-Equity Reference list
5-Day $ 5-Day bps
Fixed Income (Broad) AGG iShares Core U.S. Aggregate Bond ETF CM 26-Sep-03 0.08% 30,129 342 n.a. n.a. 0.01 1.3
US Treasury GOVT iShares Core U.S. Treasury Bond ETF AA 16-Feb-12 0.15% 1,637 11 n.a. n.a. 0.18 74.0
Very Short SHV iShares Short Treasury Bond ETF CM 12-Jan-07 0.15% 3,141 64 n.a. n.a. 0.02 1.9
Short SHY iShares 1-3 Year Treasury Bond ETF CM 26-Jul-02 0.15% 11,192 200 n.a. n.a. 0.01 1.2
Intermediate IEI iShares 3-7 Year Treasury Bond ETF CM 12-Jan-07 0.15% 4,965 61 n.a. n.a. 0.02 1.8
Long TLT iShares 20+ Year Treasury Bond ETF PF 26-Jul-02 0.15% 5,877 756 n.a. n.a. 0.01 0.9
US Inflation TIP iShares TIPS Bond ETF CM 12-Apr-03 0.20% 13,882 72 n.a. n.a. 0.02 1.4
Municipal MUB iShares National AMT-Free Muni Bond ETF AA 9-Sep-07 0.25% 5,751 32 n.a. n.a. 0.05 4.1
Securitized MBB iShares MBS ETF AA 15-Mar-07 0.27% 7,567 42 n.a. n.a. 0.05 4.7
IG Corporates LQD iShares iBoxx $ Investment Grade Corporate Bond ETF CM 26-Jul-02 0.15% 24,788 343 n.a. n.a. 0.01 1.0
HY Corporates HYG iShares iBoxx $ High Yield Corporate Bond ETF PF 10-Apr-07 0.50% 15,526 672 n.a. n.a. 0.01 1.3
Floater FLOT iShares Floating Rate Bond ETF AA 17-Jun-11 0.20% 3,458 23 n.a. n.a. 0.01 2.6
Senior Loans BKLN PowerShares Senior Loan Portfolio CM 3-Mar-11 0.65% 4,301 52 n.a. n.a. 0.01 4.7
Preferred PFF iShares U.S. Preferred Stock ETF CM 30-Mar-07 0.47% 14,531 94 n.a. n.a. 0.01 2.6
Convertible CWB SPDR Barclays Convertible Securities ETF AA 16-Apr-09 0.40% 2,780 36 n.a. n.a. 0.02 5.1
Intl DM Debt BWX SPDR Barclays International Treasury Bond ETF AA 5-Oct-07 0.50% 1,435 14 n.a. n.a. 0.13 36.6
Intl Inflation WIP SPDR DB International Government Inflation-Protected Bond ETFAA 19-Mar-08 0.50% 621 8 n.a. n.a. 0.12 22.2
EM Gov Debt USD EMB iShares J.P. Morgan USD Emerging Markets Bond ETF CM 12-Dec-07 0.60% 4,905 97 n.a. n.a. 0.05 4.6
EM Gov Debt Local EMLC Market Vectors Emerging Markets Local Currency Bond ETFAA 23-Jul-10 0.47% 1,240 9 n.a. n.a. 0.09 46.0
EM Corp USD EMCB WisdomTree Emerging Markets Corporate Bond Fund AA 8-Mar-12 0.60% 75 2 n.a. n.a. 0.40 58.3
EM HY Corp USD HYEM Market Vectors Emerging Markets High Yield Bond ETF AA 9-May-12 0.40% 284 7 n.a. n.a. 1.41 1,055.4
Commodities DBC PowerShares DB Commodity Index Tracking Fund CM 3-Feb-06 0.85% 2,225 27 n.a. n.a. 0.01 7.2
Energy Cmdty DBE PowerShares DB Energy Fund AA 5-Jan-07 0.75% 108 1 n.a. n.a. 0.21 229.6
Crude Oil WTI USO United States Oil Fund LP PF 3-Apr-06 0.45% 3,085 359 n.a. n.a. 0.01 7.7
Natural Gas UNG United States Natural Gas Fund LP PF 18-Apr-07 1.11% 497 52 n.a. n.a. 0.01 12.0
Agriculture DBA PowerShares DB Agriculture Fund CM 5-Jan-07 0.85% 784 6 n.a. n.a. 0.02 7.6
Industrial Metals DBB PowerShares DB Base Metals Fund AA 5-Jan-07 0.75% 139 1 n.a. n.a. 0.03 24.9
Precious Metals DBP PowerShares DB Precious Metals Fund AA 5-Jan-07 0.75% 97 1 n.a. n.a. 3.27 1,014.6
Gold Physical GLD SPDR Gold Shares PF 18-Nov-04 0.40% 21,675 561 n.a. n.a. 0.01 1.1
Silver Physical SLV iShares Silver Trust PF 27-Apr-06 0.50% 4,514 66 n.a. n.a. 0.01 7.5
Platinum Physical PPLT ETFS Physical Platinum Shares AA 8-Jan-10 0.60% 382 3 n.a. n.a. 0.14 17.2
Palladium Physical PALL ETFS Physical Palladium Shares AA 8-Jan-10 0.60% 186 2 n.a. n.a. 0.17 31.6
Bull USD UUP PowerShares DB US Dollar Index Bullish Fund CM 20-Feb-07 0.80% 1,150 69 n.a. n.a. 0.01 3.9
JPYUSD FXY CurrencyShares Japanese Yen Trust PF 13-Feb-07 0.40% 232 15 n.a. n.a. 0.02 3.0
EURUSD FXE CurrencyShares Euro Currency Trust PF 12-Dec-05 0.40% 787 73 n.a. n.a. 0.01 1.1
AUM $M20D ADV
$M
Implied
Liq. $M
Total
Liq. $M
Avg. Bid/Ask SpreadsProduct
TypeAsset Class Ticker ETF Name Listing Date TER
Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of 3-Dec-15. Bid/Ask Spreads are provided only as reference, actual spreads are trade-specific. Product Type: Asset Allocation (AA), Cash Management (CM), Pseudo Futures (PF).
9 December 2015
US ETF Market Monthly Review
Deutsche Bank Securities Inc. Page 43
Appendix C: Definitions
ETP Universe Definitions
Exchange-Traded Products (ETPs)
We define an exchange-traded product (ETP) as a secure (funded or
collateralized) open-ended exchange-traded equity with no embedded
optionality and market-wide appeal to investors. This includes exchange traded
funds (ETF), and exchange-traded vehicles (ETV). The vast majority of
instruments are ETFs (~98% in AUM).
Exchange-Traded Funds (ETFs)
ETFs are open-ended funds which are listed on an exchange and offer intra-
day dual liquidity to access diversified investments in a transparent, cheap, and
tax efficient way. ETFs indexed to equity and fixed income benchmarks are
registered under the investment company act of 1940. Only physical index
replication techniques are permissible by this legislation while synthetic
replication is not allowed.
Exchange-traded vehicles (ETVs)
This terminology typically refers to grantor trusts that exist in the US market.
These instruments track primarily commodity benchmarks. They differ from
ETFs in that they are registered under the Securities Act of 1933 and not the
Investment Company Act of 1940, hence they are not classed as funds.
Vehicles that replicate commodity benchmarks, more often known as pools,
and funds targeting alternative index returns are formed under the
Commodities Exchange Act and are listed under the 33 Securities Act, and
report under 34 Corporate Act.
Management Style or Product Strategy Definitions
Beta
This is the main group with the largest number of products and assets. Within
this category we account for all those ETFs that track an index which employs
a market capitalization weighting methodology, and a simple selection
methodology usually involving screenings such as minimum market cap and
liquidity levels, or profitability levels. ETFs in this group are also referred to as
“plain-vanilla” ETFs. Some examples of indices falling within this category are:
S&P 500, S&P 400, S&P 600, MSCI EAFE, MSCI EM, Russell 2000, and Russell
1000, to name a few.
Beta+
In this group we include every product that offers any level of leverage or
inverse implementation. For example, an ETF offering access to twice the daily
returns of the S&P 500 on either direction (long or short) would be classified
under this category.
Active
Classifying products in this group is still easy; basically if the ETF doesn’t track
any index then we classify the fund as active.
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US ETF Market Monthly Review
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Enhanced Beta (aka Smart Beta)
This category is reserved for those ETFs that also track an index, but which
follow more elaborated strategies. After defining an index universe, there are
two main levers that determine most of the risk/return profile of the index: (1)
the selection criteria, and (2) the weighting criteria. In their selection process,
enhanced beta ETFs usually employ additional screening processes and
scoring systems involving multiple factors beyond just minimum market cap
and liquidity levels. For example, they could include growth or value scores,
dividends paid or dividend yield, earnings, volatility, or momentum screens, to
name a few. The weighting methodology of enhanced beta ETFs is usually
anything but market cap weighted, it can include simple equal weighting or
variations of it, optimized weights, and other metric-specific weights such as
those based on dividends paid, inverse volatility, dividend yield, fundamental
multi factor scores, earnings, and revenues, to name a few. An enhanced beta
ETF will either have a non-traditional selection methodology, a non-traditional
weighting methodology, or a combination of both.
Product Type Definitions
Asset Allocation ETFs
This group covers all ETFs with exception of levered and inverse products.
These are usually good products for market access strategies, portfolio
completion, and core positions. They are also efficient building blocks for multi
asset strategies. When selecting these products, major emphasis should be set
on the desired exposure, tracking efficiency, primary liquidity (i.e. the liquidity
of the underlying basket), and cost.
Cash Management ETFs
This group covers a more selected group of ETFs which in addition to being
good asset allocation tools, also serves a series of cash management portfolio
needs. For example, these products are very good for equitizing cash between
transitions, around reporting periods (window dressing), and during tax loss
harvesting. These ETFs usually have good liquidity, large fund size, and low
cost, all of which makes it easier to execute sizeable short-term transactions,
therefore secondary market liquidity and fund size tend to be a more relevant
factor compared to asset allocation ETFs. The most popular asset allocation
usage of these funds is as core building blocks.
Pseudo Futures ETFs
This group covers an even more selected sample of ETFs which in addition to
being good asset allocation and cash management tools can also be used for
fulfilling risk management functions such as risk hedging, portable alpha
strategies, or tactical shorts. Many times they also trade at a cheaper level
than their underlying basket, and offer large amounts of liquidity which can
make them attractive for market making activities as well. Secondary and short
liquidity (ease to borrow), and fund size tend to be more relevant
characteristics at the moment of selecting this type of ETFs. There is usually no
more than one pseudo futures ETF per asset class. The most popular asset
allocation usage of these funds is among portfolios that require more liquidity
given their size or more tactical nature.
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Figure 91: Selection criteria depending on intended ETF usage
Criteria Measured by Source Pseudo Futures Cash Mgmt Asset Allocation
Secondary Liquidity (quantity) Avg. Daily Value traded in $ FactSet More Relevant More Relevant Less Relevant
Secondary Liquidity (cost) Avg. Bid/Ask Spreads Bloomberg Finance LP More Relevant More Relevant Less Relevant
Primary Liquidity Implied liquidity of basket Bloomberg Finance LP Less Relevant Less Relevant More Relevant
Short Liquidity (quantity) Short Interest/ Shrs. Out. % Bloomberg Finance LP More Relevant Less Relevant Less Relevant
Short Liquidity (cost) Avg. Borrow Rate Deutsche Bank More Relevant Less Relevant Less Relevant
Size AUM $ Bloomberg Finance LP More Relevant More Relevant Less Relevant
Ownership:
Brokers+Hedge Funds Ownership % FactSet More Relevant Relevant Less Relevant
Mutual Funds+Pension Funds Ownership % FactSet Relevant More Relevant Relevant
Invest. Adviser+Private Bank/WM+Retail Ownership % FactSet Less Relevant Less Relevant More Relevant
Flow Activity Abs(Daily Flows Median) $ Bloomberg Finance LP More Relevant Less Relevant Less Relevant
Cost Total Expense Ratio ETF Issuer Less Relevant Relevant More Relevant
Exposure/Benchmark Investor's objective Investor Relevant Relevant More Relevant
Tracking efficiency to Index NAV-Index Performance dif. Bloomberg Finance LP Less Relevant Relevant More Relevant
Tracking efficiency to NAV Price-NAV premium/discounts Bloomberg Finance LP Less Relevant Relevant More Relevant
Product Provider Assets, products, years Combination of above Less Relevant Less Relevant Relevant Source: Deutsche Bank
9 December 2015
US ETF Market Monthly Review
Page 46 Deutsche Bank Securities Inc.
The authors of this report wish to acknowledge the contribution made by
Alfonso Delgado Valdivia, employee of Evalueserve, a third-party provider of
offshore research support services to Deutsche Bank.
9 December 2015
US ETF Market Monthly Review
Deutsche Bank Securities Inc. Page 47
Appendix 1
Important Disclosures
Additional information available upon request
*Prices are current as of the end of the previous trading session unless otherwise indicated and are sourced from local exchanges via Reuters, Bloomberg and other vendors . Other information is sourced from Deutsche Bank, subject companies, and other sources. For disclosures pertaining to recommendations or estimates made on securities other than the primary subject of this research, please see the most recently published company report or visit our global disclosure look-up page on our website at http://gm.db.com/ger/disclosure/DisclosureDirectory.eqsr
Analyst Certification
The views expressed in this report accurately reflect the personal views of the undersigned lead analyst(s). In addition, the undersigned lead analyst(s) has not and will not receive any compensation for providing a specific recommendation or view in this report. Sebastian Mercado
Equity rating key Equity rating dispersion and banking relationships
Buy: Based on a current 12- month view of total share-holder return (TSR = percentage change in share price from current price to projected target price plus pro-jected dividend yield ) , we recommend that investors buy the stock. Sell: Based on a current 12-month view of total share-holder return, we recommend that investors sell the stock Hold: We take a neutral view on the stock 12-months out and, based on this time horizon, do not recommend either a Buy or Sell. Notes:
1. Newly issued research recommendations and target prices always supersede previously published research. 2. Ratings definitions prior to 27 January, 2007 were:
Buy: Expected total return (including dividends) of 10% or more over a 12-month period Hold: Expected total return (including dividends) between -10% and 10% over a 12-month period Sell: Expected total return (including dividends) of -10% or worse over a 12-month period
49 % 49 %
2 %
53 %40 %
37 %0
50100150200250300350400450500
Buy Hold Sell
North American Universe
Companies Covered Cos. w/ Banking Relationship
9 December 2015
US ETF Market Monthly Review
Page 48 Deutsche Bank Securities Inc.
Regulatory Disclosures
1.Additional Information
Information on ETFs is provided strictly for illustrative purposes and should not be deemed an offer to sell or a
solicitation of an offer to buy shares of any fund that is described in this document. Consider carefully any fund's
investment objectives, risk factors, and charges and expenses before investing. This and other information can be found
in the fund's prospectus. Prospectuses about db X-trackers funds and Powershares DB funds can be obtained by calling
1-877-369-4617 or by visiting www.DBXUS.com. Read prospectuses carefully before investing. Past performance is not
necessarily indicative of future results. Investing involves risk, including possible loss of principal. To better understand
the similarities and differences between investments, including investment objectives, risks, fees and expenses, it is
important to read the products' prospectuses. Shares of ETFs may be sold throughout the day on an exchange through
any brokerage account. However, shares may only be redeemed directly from an ETF by authorized participants, in very
large creation/redemption units. Transactions in shares of ETFs will result in brokerage commissions and will generate
tax consequences. ETFs are obliged to distribute portfolio gains to shareholders. Deutsche Bank may be an issuer,
advisor, manager, distributor or administrator of, or provide other services to, an ETF included in this report, for which it
receives compensation. db X-trackers and Powershares DB funds are distributed by ALPS Distributors, Inc. The opinions
expressed are those of the authors and do not necessarily reflect the views of DB, ALPS or their affiliates.
Aside from within this report, important conflict disclosures can also be found at https://gm.db.com/equities under the
"Disclosures Lookup" and "Legal" tabs. Investors are strongly encouraged to review this information before investing.
2. Short-Term Trade Ideas
Deutsche Bank equity research analysts sometimes have shorter-term trade ideas (known as SOLAR ideas) that are
consistent or inconsistent with Deutsche Bank's existing longer term ratings. These trade ideas can be found at the
SOLAR link at http://gm.db.com.
9 December 2015
US ETF Market Monthly Review
Deutsche Bank Securities Inc. Page 49
Additional Information
The information and opinions in this report were prepared by Deutsche Bank AG or one of its affiliates (collectively
"Deutsche Bank"). Though the information herein is believed to be reliable and has been obtained from public sources
believed to be reliable, Deutsche Bank makes no representation as to its accuracy or completeness.
Deutsche Bank may consider this report in deciding to trade as principal. It may also engage in transactions, for its own
account or with customers, in a manner inconsistent with the views taken in this research report. Others within
Deutsche Bank, including strategists, sales staff and other analysts, may take views that are inconsistent with those
taken in this research report. Deutsche Bank issues a variety of research products, including fundamental analysis,
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Analysts are paid in part based on the profitability of Deutsche Bank AG and its affiliates, which includes investment
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Opinions, estimates and projections constitute the current judgment of the author as of the date of this report. They do
not necessarily reflect the opinions of Deutsche Bank and are subject to change without notice. Deutsche Bank has no
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purposes only. It is not an offer or a solicitation of an offer to buy or sell any financial instruments or to participate in any
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current as of the end of the previous trading session, and are sourced from local exchanges via Reuters, Bloomberg and
other vendors. Data is sourced from Deutsche Bank, subject companies, and in some cases, other parties.
Macroeconomic fluctuations often account for most of the risks associated with exposures to instruments that promise
to pay fixed or variable interest rates. For an investor who is long fixed rate instruments (thus receiving these cash
flows), increases in interest rates naturally lift the discount factors applied to the expected cash flows and thus cause a
loss. The longer the maturity of a certain cash flow and the higher the move in the discount factor, the higher will be the
loss. Upside surprises in inflation, fiscal funding needs, and FX depreciation rates are among the most common adverse
macroeconomic shocks to receivers. But counterparty exposure, issuer creditworthiness, client segmentation, regulation
(including changes in assets holding limits for different types of investors), changes in tax policies, currency
convertibility (which may constrain currency conversion, repatriation of profits and/or the liquidation of positions), and
settlement issues related to local clearing houses are also important risk factors to be considered. The sensitivity of fixed
income instruments to macroeconomic shocks may be mitigated by indexing the contracted cash flows to inflation, to
FX depreciation, or to specified interest rates – these are common in emerging markets. It is important to note that the
index fixings may -- by construction -- lag or mis-measure the actual move in the underlying variables they are intended
to track. The choice of the proper fixing (or metric) is particularly important in swaps markets, where floating coupon
rates (i.e., coupons indexed to a typically short-dated interest rate reference index) are exchanged for fixed coupons. It is
also important to acknowledge that funding in a currency that differs from the currency in which coupons are
denominated carries FX risk. Naturally, options on swaps (swaptions) also bear the risks typical to options in addition to
the risks related to rates movements.
Derivative transactions involve numerous risks including, among others, market, counterparty default and illiquidity risk.
The appropriateness or otherwise of these products for use by investors is dependent on the investors' own
circumstances including their tax position, their regulatory environment and the nature of their other assets and
liabilities, and as such, investors should take expert legal and financial advice before entering into any transaction similar
9 December 2015
US ETF Market Monthly Review
Page 50 Deutsche Bank Securities Inc.
to or inspired by the contents of this publication. The risk of loss in futures trading and options, foreign or domestic, can
be substantial. As a result of the high degree of leverage obtainable in futures and options trading, losses may be
incurred that are greater than the amount of funds initially deposited. Trading in options involves risk and is not suitable
for all investors. Prior to buying or selling an option investors must review the "Characteristics and Risks of Standardized
Options”, at http://www.optionsclearing.com/about/publications/character-risks.jsp. If you are unable to access the
website please contact your Deutsche Bank representative for a copy of this important document.
Participants in foreign exchange transactions may incur risks arising from several factors, including the following: ( i)
exchange rates can be volatile and are subject to large fluctuations; ( ii) the value of currencies may be affected by
numerous market factors, including world and national economic, political and regulatory events, events in equity and
debt markets and changes in interest rates; and (iii) currencies may be subject to devaluation or government imposed
exchange controls which could affect the value of the currency. Investors in securities such as ADRs, whose values are
affected by the currency of an underlying security, effectively assume currency risk.
Unless governing law provides otherwise, all transactions should be executed through the Deutsche Bank entity in the
investor's home jurisdiction.
United States: Approved and/or distributed by Deutsche Bank Securities Incorporated, a member of FINRA, NFA and
SIPC. Non-U.S. analysts may not be associated persons of Deutsche Bank Securities Incorporated and therefore may not
be subject to FINRA regulations concerning communications with subject company, public appearances and securities
held by the analysts.
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US ETF Market Monthly Review
Deutsche Bank Securities Inc. Page 51
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Research
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Deutsche Bank Research, Germany
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