Deutsche Bank Markets Research
North America
United States
Synthetic Equity & Index Strategy
US ETF Market Monthly Review
Date
14 March 2016
Massive flow rotation from equities to fixed income and gold in February
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 Gold and US Treasuries in March
03 Mar 2016
House View Portfolio: 2016 Annual Rebalance
12 Feb 2016
ETF Annual Review & Outlook 21 Jan 2016
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.
Global Equity markets remained soft in February Risky assets kicked off the month on the weak side, extending the January plunge until February 11th, after which markets recovered as they became more hopeful on improving macro data. However, the data surprises were not enough to fully bring Global Equities back from negative territory (-1.25%) last month. US equities ended flat, while DM Intl equities were down by over 3%, and EM equities were slightly negative (0.82%). In the meantime, Safe Haven assets continued their rally with the 10Y US Treasury yield dropping by another 20bps, and Gold advancing over 10% during the same period. The USD, however, weakened against the major currencies (UUP down by 1.43%).
Huge flow rotations, but within the ETP system Equity ETFs experienced significant outflows of $14.7bn in February for a total of $30.5bn outflows YTD, the toughest start for this group ever. However, February’s departure from Equity ETFs seems to have stayed within the “ETP system” given the $10.4bn and $5.9bn that flowed into Fixed Income ETFs and Commodity ETPs in February, respectively. Overall, the flat organic growth so far and the weakness among risky assets have industry assets at $2.01 trillion or 4.7% down from the end of 2015. Besides US Treasuries and Gold, Low Risk ETFs such as minimum volatility or low volatility were the biggest winner, among Equity ETFs, hauling a remarkable $3.2bn in new flows last month.
Institutional ETF Ownership nears 60% at the end of 2015 Institutional investors continue to jump into ETFs. As of the end of 2015, we estimate that 59.3% of ETF assets were owned by Institutional Investors up from 58.3% at the end of 2014, and up from 43% ten years ago. Investment advisers continue to dominate ETF usage with 29%, while Mutual Funds, Pension Funds, and Insurance Companies continue to increase their ETF utilization. Over 3,100 institutions had over $1.2 trillion invested in over 1,500 ETFs as of the end of last year. Our detailed ownership analysis reveals significant differences in usage among ETF investors. Look inside for full details on our 2015 Annual ETF Institutional Ownership Analysis.
First ETMF launch and latest Non-Transparent Active ETF developments Last February 26th, 2016 the first Exchange Traded Managed Fund was launched by Eaton Vance. The new product called Eaton Vance Stock NextShares (EVSTC) is an actively-managed product listed in the NASDAQ, and seeks long-term capital appreciation by investing in a diversified portfolio of equity securities. Although not an ETF, this product is the most material development in the quest for Non-Transparent Actively-Managed ETFs to date; therefore we revisit the different models approved and proposed. There are currently three main Non-Transparent Actively-Managed ETF models that seek to provide the benefits of the ETF structure without having the daily disclosure requirements of portfolio positions: (1) Exchange Traded Managed Fund, (2) Agent Model, and (3) Tracking Portfolio model.
14 March 2016
US ETF Market Monthly Review
Page 2 Deutsche Bank Securities Inc.
Table Of Contents
ETF Monthly Insights ........................................................... 3 Global Equity markets remained soft in February ............................................... 3 ETF flows: huge rotations, but within the ETP system ....................................... 4 Institutional ETF Ownership nears 60% at the end of 2015 ................................ 5 First ETMF launch and latest Non-Transparent Active ETF developments ....... 12
Asset Allocation dashboard............................................... 16 Global Multi Asset Allocator heatmaps ............................................................ 16 US Equity Allocator heatmaps .......................................................................... 18 International Equity Allocator heatmaps ........................................................... 20 Cross Asset Correlations (3Y) ........................................................................... 22 12-Month Relative Performance Monitor ......................................................... 23 House View Portfolio: Monthly Brief ................................................................ 24
Business Intelligence ......................................................... 25 New Listings ..................................................................................................... 25 Delistings .......................................................................................................... 26 Trends in products launched in the last 12 months .......................................... 27 Popular Product Segments: Smart Beta & Currency Hedged ........................... 28 Average Performance by Product Type and Size (Equity) ................................. 29 Total Expense Ratio X-ray ................................................................................. 31
ETF Statistics ..................................................................... 32 Global ETF Assets and Provider Ranking .......................................................... 32 US Historical ETF trends ................................................................................... 33 ETF Issuer and Index Provider league tables .................................................... 34 Monthly Snapshot ............................................................................................ 36 Top 15 ETFs (includes ETNs) ............................................................................ 42
Appendix A: ETN Snapshot ............................................... 43
Appendix B: ETF List ......................................................... 44
Appendix C: Definitions ..................................................... 47 ETP Universe Definitions .................................................................................. 47 Management Style or Product Strategy Definitions ......................................... 47 Product Type Definitions .................................................................................. 48
14 March 2016
US ETF Market Monthly Review
Deutsche Bank Securities Inc. Page 3
ETF Monthly Insights
Global Equity markets remained soft in February
Risky assets kicked off the month on the weak side, extending the January
plunge until February 11th, after which markets recovered as they became
more hopeful on improving macro data. However, the data surprises were not
enough to fully bring Global Equities back from negative territory (-1.25%) last
month. US equities ended flat, while DM Intl equities were down by over 3%,
and EM equities were slightly negative (0.82%). In the meantime, Safe Haven
assets continued their rally with the 10Y US Treasury yield dropping by another
20bps, and Gold advancing over 10% during the same period. The USD,
however, weakened against the major currencies (UUP down by 1.43%).
ETP flows were mostly consistent with performance during February with most
equity geographies experiencing outflows. The Eurozone, Japan, and Asia
Pacific ex Japan suffered the most significant outflows (5%-10% of assets),
while Latin America was one of the few notable exceptions on the positive side
with inflows of 2% of assets. In the fixed income space US Treasuries and
Investment Grade debt continued to attract inflows, while most of the sectors
in the lower credit space experienced outflows, with the exception of HY
Corporate debt which experienced a notable comeback with inflows consistent
with a strong performance rebound. Commodity flows were mostly positive
across the board, consistent with strong performance in Precious Metals, but
not with Energy returns which were negative.
Within US equities, sectors and industries were mixed. Materials (+7.8%),
Industrials (4.3%), and Telecom (+4.0%) were the strongest, while Financials
(-2.9%) and Energy (-2.8%) were the weakest. The most significant jump was
in Metals and Mining (+20%), while the most significant drop was experienced
by Energy E&P (-13.6%).
In international equity markets, we saw mostly outflows in developed markets,
while emerging markets received a larger number of inflows. Canada was an
exception in the DM with inflows of 16% of assets and returns of 3.4% for
February; while in EM, Chile and Indonesia experienced the most significant
inflows (about 35% of assets each). In general, most countries with strong ties
to mining or natural resources fared better than the rest of their peers.
In terms of correlation trends, we observed that the correlation between US
Real Estate (REITs) and Global equities continues to increase towards +0.8,
while the correlation of US Fixed Income with IG corporate debt has began to
decrease.
For full details please refer to the information contained in Figure 24 through
Figure 42 within the Asset Allocation dashboard section.
14 March 2016
US ETF Market Monthly Review
Page 4 Deutsche Bank Securities Inc.
ETF flows: huge rotations, but within the ETP system
Equity ETFs experienced significant outflows of $14.7bn in February for a total
of $30.5bn outflows YTD, the toughest start for this group ever. However, the
departure from Equity ETFs seems to have stayed within the “ETP system”
given the $10.4bn and $5.9bn that flowed into Fixed Income ETFs and
Commodity ETPs in February, respectively. Actually, if we look at ETP flows
YTD the net number is slightly positive, as the $23.7bn received by Fixed
Income ETFs and $8.4bn received by Commodity ETPs slightly offset the
$30.5bn outflows from Equity and $1.6bn outflows from other asset class
products. This suggests that investors may be dumping equities, but not ETFs.
Overall, the flat organic growth so far and the weakness among risky assets
have industry assets at $2.01 trillion or 4.7% down from the end of 2015.
Smart Beta products weren’t able to recover from the previous month
outflows, and added $50m of outflows for a total of $9.4bn in asset departures
YTD. In contrast, Beta, Beta+ (leveraged and inverse), and Active products
have all received positive flows YTD. Within Equity Smart Beta products, Equal
weighted (-$1.7bn), Multi Factor (-$0.64bn), and Style (-$0.6bn) were the main
casualties in February; while Low Risk ETFs such as minimum volatility or low
volatility were the biggest winner hauling a remarkable $3.2bn in new flows
last month.
Equity Currency Hedged ETFs haven’t had that much of a great start either. In
February, this group recorded $2.6bn in outflows, for a $3.6bn outflow total
YTD. ETFs offering currency hedging to EUR-denominated (-$1.4bn) and JPY-
denominated (-$0.8bn) equities suffered the most last month.
In terms of product types, Cash Management and Leveraged and Inverse ETPs
received inflows of $2.1bn and $1.1bn last month, respectively. On the other
hand, Asset Allocation and Pseudo Futures ETPs experienced outflows of
$1.6bn and $0.5bn during the same period, respectively. We believe that this
suggests two things: (1) that buy-and-hold investors continue to invest in their
ETF portfolios, and (2) that short-term traders are trying to benefit from recent
volatility spikes by using leveraged and inverse ETFs.
Total ETP turnover was $1.79 trillion last month, down 14% from the previous
month as volatility was mostly on retreat following VIX Feb 11th’s peak at 28.
Furthermore, ETP turnover represented 27% of all cash equity traded in the US
during February, slightly over its 12-month average of 26.3%.
Through the end of January, organic growth was positive for passive
investments (+$13bn); while it was weak for Active vehicles (-$37bn), Mutual
Funds (-$21bn), and ETFs (-$3.1bn).
Additional details can be found in the Business Intelligence and ETF Statistics
sections.
Low Risk ETFs such as
minimum volatility or low
volatility were the biggest
winner hauling a remarkable
$3.2bn in new flows last
month.
14 March 2016
US ETF Market Monthly Review
Deutsche Bank Securities Inc. Page 5
Institutional ETF Ownership nears 60% at the end of 2015
Institutional investors continue to jump into ETFs. As of the end of 2015, we
estimate that 59.3%1 of ETF assets were owned by Institutional Investors up
from 58.3% at the end of 2014, and up from 43% ten years ago. Similarly,
ETNs also recorded about 60% of institutional ownership; however institutional
investors continued to dispose of ETV positions, probably due to the
Commodities bear market experienced in recent years (Figure 1).
Back to ETFs, Investment Adviser continues to be the major institutional holder
group with 29%, followed by Private Banks with 13.2%, and Brokers with
9.8%. The next group of institutional investors corresponds to a more
traditional group including Mutual Funds (2.5%), Pension Funds (1.7%), Hedge
Funds (1.3%), and Insurance Companies (0.8%). Although most institutional
investors have been increasing their usage of ETFs, in recent years we have
seen a decrease in the relative relevance of Brokers as a holding group. We
believe that this is a combination of new regulation affecting banks’ balance
sheets and investment usage of ETFs growing faster than trading usage.
Overall, we believe that this development is good for the industry as
investment usage tends to be more stable, have better potential for organic
growth, and provides a more sustainable growth path for the industry (Figure
2).
Figure 1: Historical ETP Institutional Ownership Figure 2: Institutional ETF Ownership Summary Q4 ‘15
0%
10%
20%
30%
40%
50%
60%
70%
'00 '01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15
Insti
tuti
on
al O
wn
ers
hip
%
ETF ETV ETN
Institutional Investor
Investment Adviser 1,437 599,081 29.0%
Private Banking/WM 1,190 273,174 13.2%
Broker 1,441 203,313 9.8%
Mutual Fund Manager 970 51,923 2.5%
Pension Fund Manager 159 35,635 1.7%
Hedge Fund Manager 835 27,316 1.3%
Other (8 Others) 432 34,644 1.7%
Inst. Investor Total 1,521 1,225,085 59.3%
Retail Investor
Retail Investor Total 1,543 840,173 40.7%
Total ETFs 1,577 2,065,258 100.0%
Investor Type# of ETFs
Q4 2015
ETF AUM $M
Q4 2015
ETF Ownership %
Q4 2015
Source: Deutsche Bank, FactSet, Bloomberg Finance LP
Source: Deutsche Bank, FactSet, Bloomberg Finance LP
Historically, institutional investments in ETFs continue to grow in line with past
trends. At the end of 2015, over 3,000 institutional investors held over $1.2
trillion distributed across more than 1,500 ETFs. While ten years ago, there
were only about 1,000 institutional investors which held just $130bn
distributed across under 200 ETFs.
1 Ownership data is sourced from FactSet Ownership database based on SEC 13f filings and FactSet’s
definitions of institutional investors. Data as of Q4 2015.
14 March 2016
US ETF Market Monthly Review
Page 6 Deutsche Bank Securities Inc.
Figure 3: Historical Institutional ETF Assets and number
of ETFs held by institutions
Figure 4: Historical number of institutional investors
using ETFs
0
200
400
600
800
1,000
1,200
1,400
1,600
0
200
400
600
800
1,000
1,200
1,400
'00
'01
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'03
'04
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# o
f E
TFs u
sed
by
Insti
tuti
on
al I
nvesto
rs
Insti
tuti
on
al E
TF A
ssets
$B
N AUM $BN
# of ETFs (rhs)
0
500
1,000
1,500
2,000
2,500
3,000
3,500
'00'01'02'03'04'05'06'07'08'09'10'11'12'13'14'15
Nu
mb
er
of
Insti
tuti
on
al
Invest
ors
usin
g E
TFs
Source: Deutsche Bank, FactSet, Bloomberg Finance LP
Source: Deutsche Bank, FactSet, Bloomberg Finance LP
Who are the major institutional investors holding ETFs?
Some of the largest holders of ETFs are well-known institutional names.
Therefore as a reference for our readers we have included some tables with
the top 20 holders of ETFs, ETVs, and ETFs for each of the major six
institutional categories (Figure 5-Figure 12).
Figure 5: Top 20 Institutional ETF holders Q4 2015 Figure 6: Top 20 Institutional ETV holders Q4 2015
Institution Name Institution Type
ETF
Assets
$MMerrill Lynch, Pierce, Fenner & Smith, Inc. Broker 53,722
Morgan Stanley Smith Barney LLC Broker 50,210
Goldman Sachs & Co. (Private Banking) Private Banking/Wealth Mgmt 40,261
Wells Fargo Advisors LLC Private Banking/Wealth Mgmt 40,097
Managed Account Advisors LLC Investment Adviser 36,175
JPMorgan Chase Bank, NA (Invest. Management) Investment Adviser 35,819
Bank of America, NA (Private Banking) Private Banking/Wealth Mgmt 34,214
UBS Financial Services, Inc. Private Banking/Wealth Mgmt 33,760
BlackRock Fund Advisors Investment Adviser 27,456
LPL Financial LLC Private Banking/Wealth Mgmt 27,401
Wells Fargo Bank, NA (Private Banking) Private Banking/Wealth Mgmt 26,635
Morgan Stanley & Co. LLC Broker 22,250
Citigroup Global Markets, Inc. (Broker) Broker 17,517
PNC Bank, NA (Investment Management) Investment Adviser 16,935
Northern Trust Investments, Inc. Investment Adviser 15,633
Edward D. Jones & Co. LP (Investment Management) Investment Adviser 15,552
Envestnet Asset Management, Inc. Investment Adviser 14,779
Strategic Advisers, Inc. Investment Adviser 13,765
Susquehanna Financial Group LLLP Broker 12,082
Columbia Management Investment Advisers LLC Mutual Fund Manager 11,226
Institution Name Institution Type
ETV
Assets
$MPaulson & Co., Inc. Hedge Fund Manager 587
Morgan Stanley Smith Barney LLC Broker 554
BlackRock Advisors LLC Investment Adviser 544
First Eagle Investment Management LLC Investment Adviser 489
Bank of America, NA (Private Banking) Private Banking/Wealth Mgmt 480
Merrill Lynch, Pierce, Fenner & Smith, Inc. Broker 460
Morgan Stanley & Co. LLC Broker 459
Windhaven Investment Management, Inc. Investment Adviser 429
Wells Fargo Advisors LLC Private Banking/Wealth Mgmt 335
BlackRock Asset Management Canada Ltd. Fund of Funds Manager 325
Goldman Sachs & Co. (Private Banking) Private Banking/Wealth Mgmt 307
Citigroup Global Markets, Inc. (Broker) Broker 306
Jane Street Capital LLC Investment Adviser 278
Susquehanna Financial Group LLLP Broker 250
UBS Financial Services, Inc. Private Banking/Wealth Mgmt 244
FIAM (Canada) ULC Investment Adviser 243
Charles Schwab Investment Advisory, Inc. Investment Adviser 219
BlackRock Investment Management (UK) Ltd. Investment Adviser 209
Orbis Investment Management Ltd. Hedge Fund Manager 197
Barclays Capital, Inc. Broker 191 Source: Deutsche Bank, FactSet, Bloomberg Finance LP
Source: Deutsche Bank, FactSet, Bloomberg Finance LP
14 March 2016
US ETF Market Monthly Review
Deutsche Bank Securities Inc. Page 7
Figure 7: Top 20 ETF Holders -
Investment Adviser Q4 2015
Figure 8: Top 20 ETF Holders -
Private Banking Q4 2015
Figure 9: Top 20 ETF Holders -
Broker Q4 2015
Institution Name ETF Assets
$MManaged Account Advisors LLC 36,175
JPMorgan Chase Bank, NA (Investment 35,819
BlackRock Fund Advisors 27,456
PNC Bank, NA (Investment Management) 16,935
Northern Trust Investments, Inc. 15,633
Edward D. Jones & Co. LP (Investment 15,552
Envestnet Asset Management, Inc. 14,779
Strategic Advisers, Inc. 13,765
Windhaven Investment Management, Inc. 11,107
Milliman Financial Risk Management LLC 9,555
Creative Planning, Inc. 8,864
Raymond James & Associates, Inc. (Invt Mgmt) 8,630
TIAA-CREF Trust Co., FSB 8,300
Charles Schwab Investment Advisory, Inc. 8,083
BlackRock Financial Management, Inc. 6,802
Edelman Financial Services LLC 6,632
US Bancorp Asset Management, Inc. 6,125
First Trust Advisors LP 5,834
USAA Investment Management Co. 5,563
Commonwealth Equity Services, Inc. 5,494
Institution Name ETF Assets
$MGoldman Sachs & Co. (Private Banking) 40,261
Wells Fargo Advisors LLC 40,097
Bank of America, NA (Private Banking) 34,214
UBS Financial Services, Inc. 33,760
LPL Financial LLC 27,401
Wells Fargo Bank, NA (Private Banking) 26,635
SunTrust Banks, Inc. (Wealth Management) 3,391
Nomura Securities Co., Ltd. (Private Banking) 3,296
First Republic Investment Management, Inc. 2,911
Veritable LP 2,444
Robert W. Baird & Co., Inc. (Private Wealth 2,059
Brinker Capital, Inc. 1,033
Pinnacle Advisory Group, Inc. 1,030
Ballentine Partners LLC 952
Homrich & Berg, Inc. 828
Aspiriant LLC 739
Wharton Business Group LLC 725
Tiedemann Wealth Management LLC 721
Bingham Osborn & Scarborough LLC 709
Banque Pictet & Cie SA 669
Institution Name ETF Assets
$MMerrill Lynch, Pierce, Fenner & Smith, Inc. 53,722
Morgan Stanley Smith Barney LLC 50,210
Morgan Stanley & Co. LLC 22,250
Citigroup Global Markets, Inc. (Broker) 17,517
Susquehanna Financial Group LLLP 12,082
UBS Securities LLC 10,229
JPMorgan Securities LLC 9,987
Credit Suisse Securities (USA) LLC (Broker) 5,549
Barclays Capital, Inc. 5,106
SG Americas Securities LLC 3,444
Commerzbank AG (Broker) 2,803
BMO Capital Markets (Canada) 1,295
Goldman Sachs International 1,042
D. A. Davidson & Co. 982
NPC of America 725
KCG Americas LLC 702
Maple Securities USA, Inc. 663
Cetera Advisor Networks LLC 611
Timber Hill LLC 584
Old Mission Capital LLC 522 Source: Deutsche Bank, FactSet, Bloomberg Finance LP
Source: Deutsche Bank, FactSet, Bloomberg Finance LP
Source: Deutsche Bank, FactSet, Bloomberg Finance LP
Figure 10: Top 20 ETF Holders -
Pension Fund Q4 2015
Figure 11: Top 20 ETF Holders -
Mutual Fund Q4 2015
Figure 12: Top 20 ETF Holders -
Hedge Fund Q4 2015
Institution Name ETF Assets
$MAFP Provida SA (Investment Management) 4,100
AFP Integra SA (Investment Management) 3,620
Prima AFP SA 2,767
Keskinainen tyoelakevakuutusyhtio Varma 2,685
Clal Gemel Ltd. 2,315
Tennessee Consolidated Retirement System 2,023
New Jersey Division of Investment 2,000
Keskinainen Elakevakuutusyhtio Ilmarinen 1,442
The Public Sector Pension Investment Board 1,194
Amitim Senior Pension Funds 1,091
Lockheed Martin Investment Management Co. 961
Ontario Teachers' Pension Plan Board 880
The Dow Chemical Co. Pension Fund 815
Keskinainen Tyoelakevakuutusyhtio Elo 776
The Retirement Systems of Alabama 705
Employees Retirement System of Texas 657
National Pension Service of Korea 646
Sampension Administrationsselskab A/S 610
Michigan Department of Treasury (Investment
Management)
600
Coordinating Investment Fiduciary of Raytheon
Master Pension
560
Institution Name ETF Assets
$MColumbia Management Investment Advisers LLC 11,226
JPMorgan Investment Management, Inc. 7,154
SSgA Funds Management, Inc. 6,808
The Vanguard Group, Inc. 4,365
AllianceBernstein LP 3,412
Wilmington Trust Investment Advisors, Inc. 2,630
Psagot Mutual Funds Ltd. 2,120
Thrivent Investment Management, Inc. 1,228
Franklin Templeton Investments Corp. 1,019
Wellington Management Co. LLP 1,012
Franklin Advisers, Inc. 837
Neuberger Berman LLC 832
American Century Investment Management, Inc. 828
AGF Investments, Inc. 792
Voya Investment Management Co. LLC 691
FIL Investment Advisors (UK) Ltd 467
Harel-Pia Mutual Funds Ltd. 458
Invesco Canada Ltd. 405
Operadora Valmex de Sociedades de Inversion 349
Arrow Investment Advisors LLC 341
Institution Name ETF Assets
$MBridgewater Associates LP 6,052
SCS Capital Management LLC 2,227
Citadel Advisors LLC 1,459
IndexIQ Advisors LLC 1,284
York Capital Management Global Advisors LLC 806
Lumina Fund Management LLC 756
JBF Capital, Inc. 700
Millennium Management LLC 591
Parallax Volatility Advisers LP 572
Main Management LLC 563
Two Sigma Advisers LLC 523
NWI Management LP 420
BlueCrest Capital Management (UK) LLP 324
Broadmark Asset Management LLC 305
Hutchin Hill Capital LP 300
AQR Capital Management LLC 298
D. E. Shaw & Co. LP 292
Quantitative Investment Management LLC 279
Makena Capital Management LLC 264
Capital Fund Management SA 247
Source: Deutsche Bank, FactSet, Bloomberg Finance LP
Source: Deutsche Bank, FactSet, Bloomberg Finance LP
Source: Deutsche Bank, FactSet, Bloomberg Finance LP
How are institutional investors using ETFs?
In addition, not every type of investor uses ETFs for the same purposes. Some
institutional investors use ETFs as a core investment, others use them as a
liquidity or hedging tool, and others may use them as a short-term access
product to gain quick exposure or equitize cash. Thus for the purpose of
illustrating the different usage by specific type of investors we have provided a
table with the top 20 ETFs/ETVs held by each of the seven major institutional
investor groups (Figure 13).
14 March 2016
US ETF Market Monthly Review
Page 8 Deutsche Bank Securities Inc.
Figure 13: Top 20 ETF/ETV holdings by institutional investor
Rank Inv. Adviser Priv. Bank Broker Mutual Fund Hedge Fund Pension Fund Insurance Comp.
1 SPY ($51,391m) SPY ($30,986m) SPY ($45,064m) SPY ($7,834m) SPY ($6,177m) SPY ($5,882m) SPY ($2,735m)
2 EFA ($26,794m) EFA ($8,293m) IWM ($7,706m) EFA ($3,535m) VWO ($2,621m) EEM ($2,265m) LQD ($1,802m)
3 IVV ($21,523m) IVV ($7,429m) QQQ ($4,512m) VOO ($1,563m) EEM ($1,777m) IWM ($1,815m) IVV ($1,484m)
4 AGG ($16,050m) VNQ ($6,927m) XLV ($3,245m) DXJ ($1,309m) GLD ($1,238m) IVV ($1,802m) VOO ($1,361m)
5 BND ($14,466m) VEA ($6,747m) XLE ($2,914m) VWO ($1,241m) IWM ($969m) EWJ ($1,536m) EFA ($553m)
6 IJH ($11,376m) IWM ($6,297m) EFA ($2,648m) JNK ($1,220m) IWV ($811m) QQQ ($1,530m) VWO ($426m)
7 IWD ($11,331m) IWF ($5,722m) TLT ($2,576m) VEA ($1,029m) XLF ($737m) XLF ($1,089m) VEA ($343m)
8 IWF ($10,945m) VWO ($5,689m) IYR ($2,416m) DBEF ($986m) HYG ($675m) VNQ ($1,057m) IJH ($334m)
9 VOO ($10,470m) VTI ($5,381m) LQD ($2,405m) HYG ($931m) AGG ($670m) VOO ($954m) IJR ($268m)
10 LQD ($9,475m) IJH ($4,544m) VUG ($2,320m) VTI ($926m) XLE ($619m) EFA ($912m) XLV ($261m)
11 IWM ($9,447m) QQQ ($4,181m) IWF ($2,280m) IWD ($758m) XOP ($608m) XLK ($888m) IWB ($243m)
12 VTI ($9,269m) DBEF ($4,069m) DXJ ($1,943m) VNQ ($742m) EFA ($604m) XLY ($788m) BND ($241m)
13 VEA ($9,010m) IJR ($4,051m) XLF ($1,928m) AGG ($741m) QQQ ($555m) XLV ($743m) EEM ($241m)
14 VUG ($8,147m) IWD ($3,743m) XLP ($1,906m) IVV ($741m) LQD ($549m) EWG ($734m) DIA ($212m)
15 IWB ($7,812m) MDY ($3,437m) IBB ($1,897m) IWM ($734m) FXI ($468m) EWY ($674m) AGG ($211m)
16 VWO ($7,406m) AGG ($2,935m) VTV ($1,891m) TIP ($731m) GDX ($396m) VWO ($633m) VNQ ($208m)
17 VTV ($6,974m) BND ($2,882m) DIA ($1,862m) BIL ($708m) VOO ($330m) DXJ ($607m) VGK ($204m)
18 BSV ($6,759m) HEDJ ($2,872m) EWJ ($1,831m) XLK ($687m) XLU ($302m) VTV ($561m) QQQ ($196m)
19 EEM ($5,792m) IWR ($2,835m) VTI ($1,823m) HEDJ ($662m) VEA ($287m) HEDJ ($533m) CSJ ($189m)
20 IWR ($5,608m) EEM ($2,621m) XLY ($1,821m) XLV ($652m) XLV ($283m) HYG ($497m) XHB ($185m)
Source: Deutsche Bank, FactSet, Bloomberg Finance LP
As we examine the top holdings for each institutional investor group presented
on Figure 13, we can extract the following insights about each group’s ETF
usage:
Investment Adviser: mostly use ETFs as core investment, the top 20
holdings includes very cheap products which usually track plain-vanilla
equity and bond indices tracking major model portfolio building blocks.
The presence of many Vanguard and iShares Core ETFs supports this
observation. Investment Advisers tend to run simple asset allocation model
portfolios which tend to be very scalable, and don’t experience significant
turnover, therefore clean asset class exposure and cost tend to be key on
the selection of products.
Private Bank: like Investment Advisers, they also use ETFs mostly as core
investments; however management of ETF model portfolios may be less
concentrated and therefore less scalable. Usually they have some more
room for customization and more flexibility on asset class selection.
Besides the presence of multiple Vanguard and iShares Core products, the
presence of Real Estate, Currency Hedged, and sector-tilt (QQQ) ETFs
support the above views. Portfolio turnover is probably slightly higher than
investment advisers, but still relatively low. Clean asset class exposure and
cost continue to be key on the selection of products, but the investable
ETF universe is broader.
Broker: mostly use ETFs for market making (lead, inventory and hedging),
security lending, and seeding. However, all of these activities have become
more limited recently due to the new capital requirements and more
restricted use of banks’ balance sheet. The list of top 20 products held by
Brokers is dominated by ETFs that are characterized for being not only the
most liquid in the industry, but also in the whole market such as SPY,
IWM, and QQQ. Moreover, most of these ETFs tend to have the most
competitive shorting metrics for their respective asset class or benchmark.
And we also see a more diverse sample of ETFs including broad,
concentrated, sector, industry, currency hedged, and even Credit and US
Treasury. Cost is not as relevant for Brokers as it is liquidity both on the
long and short side. There is no portfolio as such; therefore turnover is
probably the highest among institutional investors.
14 March 2016
US ETF Market Monthly Review
Deutsche Bank Securities Inc. Page 9
Mutual Fund: we see a mix of product usage among Mutual Funds. We
believe that the most common usages of ETFs by Mutual Funds, in order
of relevance, are: cash equitization, liquidity management, and core
investment. Our top 20 product sample includes commonly-used active
manager benchmarks such as the S&P 500, MSCI EAFE, Russell 2000, etc;
as well as less liquid asset classes such as High Yield Credit, and short
term cash management vehicles (BIL). Apparently a combination of
underlying index exposure, liquidity, and cost seems more relevant than
just one of them on their own. ETFs, unless part of a fund of funds
portfolio, don’t play a structural role in the mutual fund manager portfolio
and therefore their usage tends to be more tactical with relatively high
turnover of ETF positions.
Hedge Fund: this group of investors uses ETFs for gaining quick and
efficient access both on the long and short side to their desired asset class,
similar to futures contracts. Some can hold ETFs for very long periods (>1
year), while many others may hold them for less than 1 day. The main
requirement is enough liquidity (on the long and short side) and size to be
able to execute large trades without major market impact, particularly on
those asset classes that may be harder to access. Cost is usually not the
main criteria for product selection. The presence of highly liquid products
covering diverse asset classes such as equities, fixed income, and
commodities support these views. Particularly, high positions on Gold,
Gold miners, High Yield Credit, EM countries, sectors and industries
further confirm the efficient access product thesis.
Pension Fund: ETFs are usually seen as a way to obtain access to different
asset classes in an efficient way. However, unlike Hedge Funds, ETFs tend
to play a more strategic role in pension portfolios. The better way to
describe Pension Fund usage of ETFs is completion. Usually pension funds
use ETFs as building blocks for more efficient financial markets, or markets
that are difficult to access. For example, it is common to see non-US based
pension funds use ETFs for accessing the US market (either via broad or
sector exposures), and countries outside their own region (e.g. Latin
American pension using Asian country ETFs), or US-based pension funds
using ETFs for accessing Emerging Markets, or specific factor exposures.
Although Pension Funds have focused mostly on using equity ETFs, we
have recently seen some pick up in the usage of Fixed Income ETFs such
as High Yield credit. Given the more strategic nature of ETFs in pension
portfolios, turnover tends to be somewhere in between Investment Adviser
and Mutual Fund. A combination of factors including exposure, liquidity,
size, and cost is usually more important than any single selection criterion
on its own.
Insurance Company: this group is relatively newer compared to the other
groups previously reviewed. However, ETFs are used in a similar way than
by Mutual Fund Managers. We believe that cash equitization and core
investment tend to be the most common usage. Exposure, size, cost, and
liquidity combined tend to be the main selection criteria. Turnover of ETF
positions is probably similar to that of Mutual Fund Managers. Fixed
Income ETFs also seem a more relevant segment to this group compared
to the other groups.
In addition to the insights we have already discussed, we can also understand
institutional investor usage of ETFs by looking at the product concentration
curve of each of these different groups. For example, Investment Adviser and
Private Bank have the lowest product concentration compared to the other
14 March 2016
US ETF Market Monthly Review
Page 10 Deutsche Bank Securities Inc.
groups; this characteristic is consistent with their usage of products as core
investment, but also suggests a very broad selection universe and satellite
investment usage. The Broker concentration curve has two clearly defined
patterns; first their usage is highly concentrated on a handful of ETFs, most
likely those highly liquid ETFs used for hedging; while the second pattern
shows less concentration suggesting Broker ownership in a broader universe
most likely due to other Broker activities such as seeding, leading, and
inventory for market making. The Mutual Fund concentration curve displays a
higher level of concentration than the investors groups discussed so far, a
possible sign of their narrower selection universe, and non-investment usage
such as cash equitization. The remaining groups (Hedge Fund, Pension Fund,
and Insurance Company) all show highly concentrated curves with a high
focus on just a few ETFs/ETVs suggesting traits of limited selection universe,
early adoption, non-investment usage, and satellite access or completion
investment (Figure 14).
Figure 14: Concentration of ETF/ETV holdings per institutional investor Q4 ‘15
0%
20%
40%
60%
80%
100%
1 25 49 73 97
% o
f E
TF
/ET
V I
nst
itu
tio
na
l
as
sets
Top 100 ETFs/ETVs used by institutional investors
Inv. Adviser Priv. BankBroker Mutual FundHedge Fund Pension FundInsurance Comp.
Source: Deutsche Bank, FactSet, Bloomberg Finance LP
Where are institutional investors allocating their ETF assets?
In addition to the insights we have discussed about institutional ETF usage, we
also examine some key allocations among the seven major institutional
investor groups. Most institutional investors allocate about 80% of their assets
to Equity products, and the rest mostly to Fixed Income. However, Pension
Funds allocate almost their entire ETF assets to Equity, while Hedge Funds
have the most significant Commodity allocation relative to the other investor
groups (Figure 15).
Within institutional equity ETF allocations, the majority of the assets are in Beta
vehicles, with Private Banks and Investment Adviser displaying the most
significant allocations to Smart Beta products. Furthermore, institutional
investors don’t show any significant allocation to Beta+ (i.e. leveraged and
inverse) or Active funds. We believe that the almost-inexistent allocation to
Beta+ ETFs can be a combination of two reasons: (1) institutional investors
don’t use these products as much as other ETFs, and (2) those that are using
them may be properly using them for the short term and therefore do not need
to report them (Figure 16).
14 March 2016
US ETF Market Monthly Review
Deutsche Bank Securities Inc. Page 11
Figure 15: Institutional Investor ETF/ETV allocation by
Asset Class – Q4 2015
Figure 16: Institutional Investor ETF allocation by
Management Style – Q4 2015 (Equity)
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
Inv. Adviser
Priv. Bank
Broker Mutual Fund
Hedge Fund
Pension Fund
Insurance Comp.%
of
Inst
itu
tio
na
l E
TF
/ET
V a
sse
ts
Equity Fixed Income Commodity Other
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
Inv. Adviser
Priv. Bank
Broker Mutual Fund
Hedge Fund
Pension Fund
Insurance Comp.%
of
Inst
itu
tio
na
l E
TF
/ET
V a
sse
ts
Beta Smart Beta Beta+ Active
Source: Deutsche Bank, FactSet, Bloomberg Finance LP
Source: Deutsche Bank, FactSet, Bloomberg Finance LP
From a market and regional equity allocation perspective, institutional
investors prefer US-focused products. However, Mutual Funds seem to use
them for international developed market allocations relatively more than other
groups of investors; while Hedge Funds and Pension Funds stand out for their
significant usage of emerging market focused funds. Furthermore, Pension
Funds have a higher interest in specific regional allocations among institutions
(Figure 17-Figure 18).
Figure 17: Institutional Investor ETF allocation by Market
focus – Q4 2015 (Equity)
Figure 18: Institutional Investor ETF allocation by Region
– Q4 2015 (Equity)
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
Inv. Adviser
Priv. Bank
Broker Mutual Fund
Hedge Fund
Pension Fund
Insurance Comp.%
of
Inst
itu
tio
na
l E
TF
/ET
V a
sse
ts
US DM EM Global
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
Inv. Adviser
Priv. Bank
Broker Mutual Fund
Hedge Fund
Pension Fund
Insurance Comp.%
of
Inst
itu
tio
na
l E
TF
/ET
V a
sse
ts
North America Global Europe Japan Asia Pacific ex JP Other
Source: Deutsche Bank, FactSet, Bloomberg Finance LP
Source: Deutsche Bank, FactSet, Bloomberg Finance LP
In terms of sector and style allocations within US-focused equity funds,
Brokers and Pension Funds have the highest allocations to sector ETFs, while
in the case of style investing Investment Advisers and Private Banks have the
most significant allocations to Style ETFs. We believe that these allocations are
a clear reflection of these investors’ investment strategies and product usage
(Figure 19-Figure 20).
14 March 2016
US ETF Market Monthly Review
Page 12 Deutsche Bank Securities Inc.
Figure 19: Institutional Investor ETF allocation by US
Sector – Q4 2015 (US Equity)
Figure 20: Institutional Investor ETF allocation by US
Style – Q4 2015 (US Equity)
0%
5%
10%
15%
20%
25%
% o
f In
stit
uti
on
al E
TF
/ET
V a
sse
ts Theme
Utilities
Real Estate
Cons. Stpls
Industrials
Cons. Discr.
Materials
Healthcare
Financials
Energy
0%
3%
6%
9%
12%
15%
Inv. Adviser
Priv. Bank Broker Mutual Fund
Hedge Fund
Pension Fund
Insurance Comp.%
of
Inst
itu
tio
na
l E
TF
/ET
V a
sse
ts
Growth Value Dividend
Source: Deutsche Bank, FactSet, Bloomberg Finance LP
Source: Deutsche Bank, FactSet, Bloomberg Finance LP
Lastly we looked at the ETF allocation by Equity index provider and all ETF/ETV
allocations by issuer. On the index provider side, Pension Funds called our
attention the most by displaying a significantly higher allocation to MSCI
compared to the other institutional investors in the group, suggesting higher
relevance attributed to the benchmark as a selection criterion among Pension
Funds (Figure 21). On the issuer side we found a high concentration on the top
3 providers (over 90% in some cases). Furthermore, the dichotomy exhibited
by State Street ETFs/ETVs was another finding worth highlighting; Brokers and
Hedge Funds allocated each about 40% to their products compared to the
much lower allocation of around 20% each allotted by Investment Advisers
and Private Banks; most likely driven by product usage and the high liquidity
profile of many of the State Street ETPs.
Figure 21: Institutional Investor ETF allocation by Index
Provider – Q4 2015 (Equity)
Figure 22: Institutional Investor ETF/ETV allocation by
Issuer – Q4 2015
0%
20%
40%
60%
80%
100%
Inv. Adviser
Priv. Bank
Broker Mutual Fund
Hedge Fund
Pension Fund
Insurance Comp.
% o
f In
stit
uti
on
al E
TF
/ET
V a
sse
ts
S&P Dow Jones MSCI FTSE Russell
CRSP Nasdaq OMX Other
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
% o
f In
stit
uti
on
al E
TF
/ET
V a
sse
ts
Other
Van Eck
Guggenheim
Deutsche AWM
Charles Schwab
First Trust
WisdomTree
PowerShares
Vanguard
State Street
BlackRock
Source: Deutsche Bank, FactSet, Bloomberg Finance LP
Source: Deutsche Bank, FactSet, Bloomberg Finance LP
First ETMF launch and latest Non-Transparent Active ETF developments
Last February 26th, 2016 the first Exchange Traded Managed Fund was
launched by Eaton Vance. The new product called Eaton Vance Stock
NextShares (EVSTC) is an actively-managed product listed in the NASDAQ,
and seeks long-term capital appreciation by investing in a diversified portfolio
of equity securities. The investment process is overseen by Charles Gaffney
and is grounded in hands-on fundamental research, which involves finding
14 March 2016
US ETF Market Monthly Review
Deutsche Bank Securities Inc. Page 13
companies with consistent earnings growth and leading business franchises.
EVSTC will disclose on its website its portfolio holdings approximately one
month after such month end. The fund carries a net expense ratio of 65bps
and will trade using the new NAV-based trading protocol. Although not an ETF,
this product is the most material development in the quest for Non-
Transparent Actively-Managed ETFs to date; therefore we believe this is a
good time to revisit the different models approved and proposed.
The road to Active ETFs
Even though back in the early 90s ETFs were envisioned and developed as
vehicles to offer passive or index-based strategies, the benefits of this new
fund structure technology such as tax efficiency, shareholder protection, lower
cost, secondary market trading, and intraday liquidity eventually attracted the
attention of the supporters of active management. Thus on November 8, 2001
the SEC issued a Concept Release on Active ETFs to assist them in the
consideration of sponsor’s potential proposals of Active ETFs. On the Concept
Release the SEC highlighted some specific concerns that could impact their
approval of Active ETFs. One of them was whether effective arbitrage of ETF
shares would exist, given that according to them an efficient arbitrage of
Shares depended on portfolio transparency and liquidity of the respective
components. Another concern was the potential that significant deviations
between the secondary market price and the NAV could hurt Active ETF
shareholders. Eventually, the first Active ETFs would be approved and
launched on the first half of 2008; however these ETFs would be fully
transparent disclosing their portfolio holdings on a daily basis.
Based on the current minimal ETF market share ($23bn or about 1%) of Active
ETFs, it is fair to say that the first round Active ETFs hasn’t been as successful
as expected. In fact, the daily disclosure of portfolio holdings has held back
many active managers from testing the ETF waters, despite all the known
benefits of the fund structure. Therefore, active managers have been exploring
different ways to overcome the transparency issue, while still keeping the ETF
technology benefits. Hence, the Non-Transparent Actively-Managed ETF
concept was born.
Non-Transparent Actively-Managed ETF models
There are currently three main Non-Transparent Actively-Managed ETF models
that seek to provide the benefits of the ETF structure without having the daily
disclosure requirements of portfolio positions.
Exchange Traded Managed Fund (ETMF): The first model is not even an
ETF. This is the model proposed by Eaton Vance under the NextShares
brand. The Eaton Vance model creates a new type of Investment Company
under the Investment Company Act of 1940 called Exchange Traded
Managed Fund. The ETMF is a hybrid between an ETF and a Mutual Fund.
It maintains the tax efficiency, cost savings, shareholder protection, and
secondary market trading common to ETFs; while at the same time,
offering active management and maintaining the privacy of the portfolio
holdings. Furthermore, because ETMFs trade at NAV +/- a
premium/discount using the new NAV-based trading protocol, intraday
pricing and arbitrage activities are not relevant; and premium and
discounts are expected to be minimal. So far this model is the only one
that has been approved by the SEC, and the only one under which a
product has been launched already. We do not believe that ETMFs will
develop significant secondary market liquidity; however we believe that
14 March 2016
US ETF Market Monthly Review
Page 14 Deutsche Bank Securities Inc.
this is not very relevant because ETMFs are more probable to be used like
Active Mutual Funds rather than ETFs. Therefore we see ETMFs as direct
competitors of traditional Active Mutual Funds.
Agent Model: this model proposes an ETF structure, but adds a Trusted
Agent-Confidential Account figure, and the calculation of a Verified
Intraday Indicative Value (VIIV). Authorized Participants (AP) and Non-
Authorized Participant Market Makers can establish Confidential Accounts
managed by a Trusted Agent in order to engage in: in-kind creation and
redemption activity, in the case of the AP, and arbitrage of shares in the
case of both. The Fund Custodian will transmit a Constituent file to the
Trusted Agent on a daily basis. The Trusted Agent-Confidential Account
figure is intended to protect the privacy of the portfolio holdings, while at
the same time allowing equal access to arbitrage of shares. The VIIV is
intended to be a real time, primary and centralized pricing signal that
should allow equal-opportunity and efficient arbitrage of shares; it also
proposes a halt feature triggered in the case of mispricing events to
protect shareholders from possible price deviations from NAV. This model
is being proposed independently by Precidian and BlackRock, and is still
under review. We believe that the latest iteration of this model has
addressed many of the initial concerns stated by the SEC, and in our
opinion is the most likely to be approved from those models still under
review. However addressing the SEC concerns is just one of the hurdles
faced for the success of this model; implementation of the model and
investor interest, would still remain uncertain.
Tracking Portfolio Model: the third model being proposed removes the
requirement of disclosing a Creation Basket that resembles a pro rata slice
of the portfolio holdings, and introduces the concept of a Tracking
Portfolio which can be utilized as a hedging vehicle for arbitrage activities.
The Tracking Portfolio is not equivalent to the actual portfolio holdings, but
is expected to be highly correlated to them. In fact, in addition to the
tracking portfolio the fund will provide specific metrics such as daily
deviation, and tracking error to help understand the quality of the tracking
portfolio as a hedging vehicle. The model also proposes the calculation of
an Intraday Indicative Value as a centralized pricing source signal. Similar
versions of this model are being proposed by T. Rowe Price, Fidelity, and
Cohen & Steers. All proposals are still under review. We believe that this
model is most likely to fall short from satisfying the concerns of the SEC
regarding Price-NAV premium/discounts; more specifically we think that
the 15 second dissemination period, the lack of safeguards against large
premium/discounts, and the INAV calculations based on the tracking
portfolios may not be sufficient to meet the desired standards of the
Commission. We think that INAVs calculated based on actual portfolio
holdings, disseminated as close to real time as possible (e.g. every 1
second), and in-built safeguards to trigger halts in the event of significant
price-NAV premium/discounts could come closer to ease the concerns of
the Commission.
We present a comparison summary of the different Active ETF and ETMF
models on Figure 23.
US
ETF M
ark
et M
on
thly
Revie
w
14
Marc
h 2
01
6
Deu
tsch
e B
an
k S
ecu
rities In
c.
Pag
e 1
5
Figure 23: Comparison Summary of major Active ETF and ETMF models
Vehicle Description Fully Transparent ETF Exchange Traded Managed Fund Non-Transparent Active ETF - Agent
Investment Company Type ETF ETMF Actively-managed ETF Actively-managed ETF Actively-managed ETF Actively-managed ETF
Fund Sponsor Multiple (e.g. BlackRock,
Vanguard, State Street GA,
PowerShares, Deutsche Asset
Management)
Eaton Vance and others (e.g. ALPS
Advisors, American Beacon,
Columbia Threadneedle
Investments, Gabelli Funds)
Precidian / BlackRock T. Rowe Price Fidelity Cohen & Steers
Status Over 2,000 vehicles in over 23
years
First ETMF launched on Feb 26,
2016
Yet to be approved Yet to be approved Yet to be approved Yet to be approved
Management Style Passive and Active Active Active Active Active Active
Portfolio Disclosure Daily At least quarterly with a lag Quarterly with a lag Quarterly with a lag Monthly with a 30-day lag Quarterly with a lag
Intraday Pricing Yes No Yes Yes Yes Yes
End of Day Pricing Yes, for creation units at NAV Yes, at NAV Yes, for creation units at NAV Yes, for creation units at
NAV
Yes, for creation units and
Fund Small Allotment
Redemption at NAV
exception.
Yes, for creation units at NAV
Arbitrage Vehicle Portfolio transparency
(Creation/Redemption baskets) and
availability of liquid hedging
vehicles (e.g. futures and other
ETFs) allow efficient arbitrage
necessary to keep price in line
with NAV.
ETMF Shares utilize NAV-Based
Trading and therefore arbitrage is
not a relevant feature. ETMFs trade
at NAV +/- premium/discount
determined by market factors
rather than pricing differences
between Price and NAV.
Authorized Participants and Non-Authorized
Participant Market Makers need to establish a
Confidential Account with a Trusted Agent. The Fund
Custodian will provide a daily Fund Constituent file to
each Trusted Agent. As a fiduciary, the Trusted Agent
may purchase or sell securities in the portfolio for
arbitrage purposes, and/or in-kind creation and
redemption activity. The APs and Non-AP Market
Makers are responsible for all order instructions and
associated profit and loss.
Hedge Portfolio with
daily deviation, tracking
error, and empirical
percentiles.
Daily optimized Tracking
basket comprised of recent
disclosed holdings and
representative ETFs.
Daily Tracking Portfolio with
Daily deviation and Tracking
Error data. Tracking Portfolio:
Proxy Portfolio optimized from
Selection Universe, Partial
Portfolio with representative
sample and minimal tracking
error, or Hedge Portfolio based
on an index or recently
disclosed portfolio holdings.
Primary Pricing Signal Calculated on real time by each
market maker, authorized
participant, or liquidity provider
based on the portfolio holdings
provided by the fund. Intraday
Indicative Value (IIV) is calculated
by third party agent, but it is not
very relevant as primary pricing
signal.
Not relevant. Provides Intraday
Indicative Value (IIV) only as a
reference for calculating the
number of shares to buy, for
example.
Verified Intraday Indicative Value (VIIV) calculated
using midpoint quotes derived from at leat two
independent pricing sources computed by one or more
independent pricing agents, verified by another
Independent Pricing Agent. If the prices from the
independent pricing sources are out of line by more
than 25bps for 60 seconds, the Sponsor can request
the trading halt of the fund on the Exchange.
Self-calculated based on
Hedge Portfolio or
Indicative Net Asset
Value (INAV), calculated
by the INAV provider
who will know the
portfolio holdings and
would be under
confidentiality
agreement.
Self-calculated based on
Tracking Basket or
Indicative Net Asset Value
(INAV) of the Tracking
Basket calculated by INAV
provider
Self-calculated based on
Tracking Portfolio or Intraday
Indicative Value (IIV) calculated
by Agent receiving portfolio
holding information from the
Fund in a secure and
confidential manner.
IIV Dissemination Every 15 secs Not more than every 15 minutes Every second Every 15 secs Every 15 secs Every 15 secs
Creation Basket Based on pro rata slice of portfolio
holdings
Creation Basket is not a pro rata
slice of the portfolio holdings. Buys
will be excluded and sells may not
be removed until the execution is
over.
Based on pro rata Portfolio Holdings. Same for
Creation and Redemptions. Creation Basket
information is provided daily to Trusted Agent.
Based on Hedge
Portfolio, issued at next
determined NAV. Deposit
and Redemption baskets
are the same.
Based on Tracking Basket.
Used for Deposit
Instruments and
Redemption Instruments.
Deposit basket published daily,
same for creation and
redemptions. Based on
Tracking Portfolio
Creation Unit Size 10k-600k Shares (50K most
common)
5k-50K Shares. At least 25k Shares. At least 25k Shares. At least 25k Shares. Not specified
In-kind Create/Redeem Yes Yes Yes Yes Yes Yes
Non-Transparent Active ETF - Tracking Portfolio
Source: Deutsche Bank, NextShares, SEC
14 March 2016
US ETF Market Monthly Review
Page 16 Deutsche Bank Securities Inc.
Asset Allocation dashboard
Global Multi Asset Allocator heatmaps
Figure 24: 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 -1.25% -8.46% -5.35% -12.18% 3.86% 3.70% -1.0% 0.3% 3.5% 8.3% 13.9% 13.7%
VTI US Total Market -0.01% -7.74% -2.77% -8.02% 10.00% 9.56% -0.8% 0.3% 3.9% 4.8% 13.0% 12.7%
SPY S&P 500 (Large Cap) -0.08% -6.69% -0.97% -6.20% 10.67% 10.00% -0.9% 1.1% 5.0% 3.1% 10.3% 10.0%
MDY S&P 400 (Mid Cap) 1.24% -8.38% -5.13% -10.24% 7.92% 7.99% -1.3% -1.5% 1.9% 6.8% 13.5% 10.0%
IWM Russell 2000 (SM Cap) -0.22% -13.37% -10.18% -14.96% 5.76% 6.13% -2.1% -2.4% 2.8% 6.6% 11.8% 8.6%
EFA Intl DM -3.33% -10.80% -9.79% -15.49% 0.19% 0.31% -1.8% 1.3% 5.2% 32.2% 33.2% 25.7%
VGK Europe -3.23% -10.99% -10.76% -15.96% 0.92% 0.79% -2.3% -1.6% 1.5% 32.5% 45.5% 34.1%
EZU Eurozone -4.22% -12.83% -11.52% -16.77% 1.08% -1.07% -6.6% -5.7% -2.1% 49.1% 75.9% 60.2%
EWJ Japan -5.30% -11.40% -9.49% -10.73% 3.43% 0.40% -5.8% -8.6% -7.2% 20.2% 45.4% 38.3%
EPP Pacific ex JP -0.62% -7.35% -4.76% -20.63% -6.93% -1.57% -9.1% -13.1% -16.9% -16.6% -14.3% -8.1%
EEM EM -0.82% -9.42% -9.02% -23.86% -9.15% -5.98% -0.6% -1.8% -2.1% -4.4% -4.3% 3.3%
ILF Latin America 1.61% -7.24% -13.45% -32.59% -19.46% -14.41% 2.0% 5.4% 8.3% -11.2% -11.0% -6.9%
EEMA EM Asia -0.62% -8.78% -4.97% -21.47% -4.16% -0.4% -3.2% -9.1% -2.8% 4.5% 5.3%
GUR EM Europe 2.41% -7.11% -10.28% -20.15% -16.07% -12.95% 0.9% 0.1% 4.5% 0.7% 16.5% 6.3%
MES Middle East 7.65% -2.22% -14.14% -20.15% 1.49% 3.10%
AFK Africa 3.21% -6.77% -15.17% -32.39% -15.40% -9.67% 10.7% -8.7% -3.1% -8.6% -2.8% -3.0%
FM Frontier Market 4.18% -4.99% -9.43% -19.98% -1.16% -7.4% -9.7% -11.6% -8.3% 29.1% 25.5%
BKF BRIC -1.80% -13.93% -13.26% -27.92% -10.74% -9.29% -0.4% -6.0% -10.6% -23.5% -28.1% -17.9%
AGG Fixed Income (Broad) 0.89% 1.94% 2.44% 1.47% 2.18% 3.52% 2.8% 7.4% 14.3% 18.7% 16.1% 22.1%
GOVT US Treasury 0.92% 2.83% 3.06% 2.83% 2.06% 8.3% 31.6% 31.6% 44.2% 33.9% 21.2%
SHV Very Short 0.04% 0.10% 0.08% 0.08% 0.05% 0.04% 2.9% 69.3% 57.2% 31.9% 31.5% 11.8%
SHY Short 0.11% 0.61% 0.51% 0.86% 0.59% 0.71% 2.5% 13.3% 9.2% 64.8% 23.3% 13.0%
IEI Intermediate 0.55% 2.42% 2.61% 3.41% 1.80% 3.08% 10.9% 26.7% 26.3% 42.4% 38.3% 33.1%
TLT Long 3.09% 8.50% 9.23% 3.70% 6.34% 10.47% 18.3% 51.0% 66.2% 31.0% 40.5% 28.1%
TIP US Inflation 1.22% 1.77% 1.39% -0.88% -1.33% 2.75% 2.1% 5.8% 8.7% 15.9% -1.5% 0.9%
MUB Municipal 0.02% 1.82% 3.58% 3.25% 2.62% 4.97% 3.1% 10.0% 17.5% 26.8% 15.0% 21.7%
MBB Securitized 0.38% 1.63% 2.08% 2.19% 2.36% 2.97% 3.8% 4.5% 8.8% 27.5% 14.0% 30.5%
LQD IG Corporates 1.05% 0.08% 1.69% -2.32% 2.02% 4.92% 2.4% 3.6% 11.3% 15.6% 14.1% 24.4%
HYG HY Corporates 1.50% -2.12% -4.42% -7.86% 0.31% 3.40% 4.6% -0.1% 11.0% -2.2% 9.6% 20.4%
FLOT Corp. Floater -0.19% -0.25% -0.40% -0.27% 0.19% -1.7% 2.5% 0.3% 4.9% 69.0%
BKLN Senior Loans 0.11% -1.40% -3.31% -4.77% 0.01% -6.0% -12.1% -16.1% -20.0% 30.2%
PFF Preferred 0.06% -1.02% 1.10% 0.99% 4.64% 5.72% 0.3% 3.6% 13.0% 23.1% 10.7% 17.3%
CWB Convertible 0.80% -5.85% -4.64% -7.45% 5.88% 4.78% -5.5% -10.0% -13.7% -9.8% 33.8% 28.0%
BWX Intl DM Debt 3.30% 4.82% 3.24% -0.71% -2.04% -0.30% -1.6% 1.0% -1.1% -15.5% 0.8% 12.9%
WIP Intl Inflation 0.38% -1.40% -2.53% -8.27% -4.79% -0.81% -1.5% -9.3% -23.3% -20.3% -22.7% -2.8%
EMB EM Gov Debt USD 1.76% 0.25% 1.89% 0.00% 1.07% 5.06% -2.7% -7.3% 5.4% 9.7% -1.5% 20.1%
EMLC EM Gov Debt Local 1.69% -0.73% -1.61% -12.22% -9.63% -3.39% -3.1% -10.4% -8.7% 2.5% -10.8% 29.5%
EMCB EM Corp USD 0.75% -2.82% -2.92% -5.24% -1.93% -2.7% -17.1% -33.5% -34.3% 24.1%
HYEM EM HY Corp USD 0.90% -2.81% -0.71% 1.87% -0.52%
DBC Commodities -0.23% -10.15% -18.74% -29.83% -22.25% -15.57% 12.5% 17.2% 15.4% 6.9% -6.5% -2.6%
DBE Energy Cmdty -3.91% -21.72% -33.47% -43.55% -29.57% -19.96% 10.0% 38.9% 58.2% 85.7% 41.0% 11.0%
USO Crude Oil WTI -6.74% -30.39% -43.36% -50.28% -35.19% -25.49% 10.0% 44.3% 65.4% 105.5% 61.3% 21.1%
UNG Natural Gas -29.09% -30.96% -52.60% -56.19% -32.04% -32.55% 13.0% 12.6% 31.9% 23.2% -5.8% -6.2%
DBA Agriculture -0.10% -2.63% -4.36% -13.44% -8.88% -10.60% -2.0% -16.6% -19.9% -11.2% -14.5% -14.2%
DBB Industrial Metals 5.12% 6.95% -6.25% -18.58% -12.70% -13.45%
DBP Precious Metals 9.88% 14.11% 7.25% -1.33% -11.52% -6.65% 14.3% 17.1% 12.6% 2.4% -9.4% -3.9%
GLD Gold Physical 10.93% 16.41% 9.02% 2.13% -8.13% -2.93% 16.7% 20.7% 15.8% 3.7% -10.6% -4.5%
SLV Silver Physical 4.49% 5.65% 1.50% -10.52% -19.81% -15.58% 0.7% -1.8% -4.1% -3.4% -1.7% -1.1%
PPLT Platinum Physical 7.53% 12.69% -7.54% -21.62% -16.58% -12.84% 4.6% 3.7% -4.7% -4.5% -1.8% 2.2%
PALL Palladium Physical -1.12% -9.42% -18.11% -40.14% -12.76% -9.77% 0.0% -9.4% -17.4% -25.1% -24.0% -17.6%
UUP Bull USD -1.43% -2.26% 1.72% 1.15% 4.45% 2.90% -6.5% -18.5% -24.1% -25.7% 16.7% 2.0%
FXY JPYUSD 7.34% 9.07% 7.30% 5.66% -6.71% -6.59%
FXE EURUSD 0.38% 2.78% -3.34% -3.41% -6.35% -4.95%
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.
14 March 2016
US ETF Market Monthly Review
Deutsche Bank Securities Inc. Page 17
Figure 25: Global Multi Asset Risk and Risk-adjusted Performance Measures
1M 3M 6M 1Y 3Y 5Y 1Y 3Y 5Y 1Y 3Y 5Y
ACWI Global Equities 19.6% 20.5% 18.9% 17.1% 13.8% 17.1% -19.4% -19.4% -24.1% (0.7) 0.3 0.2
VTI US Total Market 19.4% 20.3% 18.5% 16.6% 13.5% 16.1% -15.1% -15.1% -20.3% (0.5) 0.7 0.6
SPY S&P 500 (Large Cap) 18.8% 20.1% 18.4% 16.7% 13.4% 15.7% -13.0% -13.0% -18.6% (0.4) 0.8 0.6
MDY S&P 400 (Mid Cap) 20.0% 20.8% 18.9% 16.6% 14.5% 18.2% -19.3% -19.3% -26.2% (0.6) 0.5 0.4
IWM Russell 2000 (SM Cap) 21.1% 22.7% 21.1% 18.1% 16.5% 20.5% -25.7% -25.7% -28.9% (0.8) 0.4 0.3
EFA Intl DM 20.4% 21.0% 19.5% 18.2% 15.0% 19.4% -23.0% -23.1% -25.9% (0.9) 0.0 0.0
VGK Europe 22.5% 21.8% 19.9% 18.9% 15.9% 22.3% -23.2% -24.9% -30.2% (0.8) 0.1 0.0
EZU Eurozone 24.1% 22.0% 20.2% 20.3% 17.8% 24.9% -23.0% -27.1% -37.6% (0.8) 0.1 (0.0)
EWJ Japan 23.2% 24.3% 22.6% 20.4% 18.7% 19.3% -21.6% -21.6% -23.4% (0.5) 0.2 0.0
EPP Pacific ex JP 21.7% 24.2% 23.1% 22.3% 17.5% 21.0% -28.0% -30.4% -30.4% (0.9) (0.4) (0.1)
EEM EM 26.5% 26.1% 24.9% 22.9% 19.6% 22.6% -34.4% -36.1% -37.5% (1.0) (0.5) (0.3)
ILF Latin America 40.8% 35.0% 32.0% 28.7% 25.2% 25.2% -43.2% -56.1% -61.8% (1.1) (0.8) (0.6)
EEMA EM Asia 21.2% 23.9% 23.6% 23.6% 18.7% -31.5% -31.5% (0.9) (0.2)
GUR EM Europe 34.3% 31.5% 27.8% 27.2% 25.2% 28.1% -37.8% -51.8% -60.4% (0.7) (0.6) (0.5)
MES Middle East 29.2% 27.4% 24.0% 23.6% 21.8% 20.8% -33.0% -42.4% -42.4% (0.9) 0.1 0.1
AFK Africa 20.6% 22.6% 21.3% 19.6% 17.0% 18.4% -43.6% -54.0% -54.0% (1.6) (0.9) (0.5)
FM Frontier Market 12.9% 17.1% 16.4% 15.5% 14.4% -28.9% -36.6% (1.3) (0.1)
BKF BRIC 28.7% 27.0% 26.2% 25.9% 21.6% 23.8% -39.4% -39.4% -46.7% (1.1) (0.5) (0.4)
AGG Fixed Income (Broad) 2.9% 3.2% 3.2% 3.6% 3.4% 3.3% -2.8% -5.1% -5.1% 0.4 0.6 1.1
GOVT US Treasury 4.6% 4.2% 3.9% 4.1% 3.6% -2.8% -4.6% 0.7 0.6
SHV Very Short 0.2% 0.2% 0.2% 0.2% 0.1% 0.2% -0.1% -0.1% -0.1% 0.5 0.3 0.3
SHY Short 1.1% 1.0% 1.0% 1.0% 0.8% 0.8% -0.7% -0.7% -0.7% 0.9 0.7 0.9
IEI Intermediate 3.1% 3.1% 3.1% 3.3% 3.2% 3.1% -2.0% -4.2% -4.2% 1.0 0.6 1.0
TLT Long 15.1% 14.7% 13.6% 15.1% 13.4% 15.1% -12.6% -17.0% -20.5% 0.2 0.5 0.7
TIP US Inflation 4.4% 4.4% 4.4% 5.3% 5.4% 5.6% -5.2% -10.6% -11.1% (0.2) (0.2) 0.5
MUB Municipal 2.3% 2.3% 2.4% 2.8% 4.1% 4.5% -2.2% -9.2% -9.7% 1.2 0.6 1.1
MBB Securitized 1.8% 2.2% 2.2% 2.6% 3.1% 2.7% -1.7% -4.8% -4.8% 0.9 0.8 1.1
LQD IG Corporates 5.5% 5.6% 5.3% 5.8% 5.6% 5.5% -5.4% -8.6% -8.6% (0.4) 0.4 0.9
HYG HY Corporates 11.1% 12.0% 9.7% 7.7% 6.6% 8.1% -13.4% -13.4% -13.4% (1.0) 0.0 0.4
FLOT Floater 1.0% 1.1% 0.9% 1.0% 0.8% -0.6% -0.6% (0.3) 0.2
BKLN Senior Loans 3.6% 5.3% 4.2% 3.7% 3.0% -7.1% -7.1% (1.3) 0.0
PFF Preferred 14.7% 10.3% 7.7% 6.5% 5.5% 8.3% -6.8% -8.7% -15.2% 0.2 0.8 0.7
CWB Convertible 15.0% 14.0% 12.4% 11.2% 10.0% 10.7% -15.9% -15.9% -17.1% (0.7) 0.6 0.4
BWX Intl DM Debt 9.5% 7.0% 7.0% 8.2% 7.4% 7.4% -6.4% -15.4% -15.4% (0.1) (0.3) (0.0)
WIP Intl Inflation 8.1% 6.3% 6.8% 8.4% 7.4% 7.6% -12.5% -19.1% -19.1% (1.0) (0.7) (0.1)
EMB EM Gov Debt USD 5.1% 6.6% 6.3% 6.2% 7.6% 7.1% -6.4% -14.5% -14.5% 0.0 0.1 0.7
EMLC EM Gov Debt Local 11.7% 10.7% 10.8% 10.5% 9.8% 10.2% -17.7% -32.0% -32.0% (1.2) (1.0) (0.3)
EMCB EM Corp USD 6.2% 7.1% 7.7% 7.9% 7.9% -11.9% -13.3% (0.7) (0.2)
HYEM EM HY Corp USD 6.9% 7.0% 6.4% 6.4% 7.7% -8.8% -14.0% 0.3 (0.1)
DBC Commodities 22.5% 21.1% 18.9% 18.4% 14.5% 15.8% -35.6% -56.9% -62.8% (1.6) (1.5) (1.0)
DBE Energy Cmdty 43.9% 40.6% 35.5% 32.9% 24.5% 23.7% -51.2% -71.4% -73.4% (1.3) (1.2) (0.8)
USO Crude Oil WTI 64.2% 56.8% 48.0% 44.4% 32.7% 31.0% -61.8% -79.8% -82.4% (1.1) (1.1) (0.8)
UNG Natural Gas 46.7% 52.0% 42.8% 38.5% 37.6% 38.6% -59.6% -78.3% -87.8% (1.5) (0.9) (0.8)
DBA Agriculture 7.0% 10.0% 10.3% 11.6% 11.0% 12.5% -15.9% -33.2% -44.6% (1.2) (0.8) (0.8)
DBB Industrial Metals 21.0% 21.1% 20.7% 19.3% 16.8% 19.3% -34.2% -40.5% -57.0% (1.0) (0.8) (0.7)
DBP Precious Metals 24.1% 19.7% 17.2% 15.7% 19.3% 20.1% -16.7% -41.6% -53.9% (0.1) (0.6) (0.3)
GLD Gold Physical 23.9% 19.0% 16.5% 14.8% 17.6% 17.7% -14.5% -35.7% -45.6% 0.1 (0.5) (0.2)
SLV Silver Physical 24.6% 23.7% 22.0% 21.7% 26.7% 31.5% -22.7% -53.7% -72.4% (0.5) (0.7) (0.5)
PPLT Platinum Physical 26.1% 26.9% 24.0% 20.9% 18.9% 19.3% -31.3% -49.7% -58.2% (1.0) (0.9) (0.7)
PALL Palladium Physical 26.9% 32.3% 34.1% 31.2% 25.3% 27.5% -43.6% -48.4% -48.4% (1.3) (0.5) (0.4)
UUP Bull USD 9.5% 9.4% 8.5% 9.5% 7.6% 7.7% -7.9% -7.9% -8.4% 0.1 0.6 0.4
FXY JPYUSD 12.7% 10.6% 8.9% 8.7% 9.6% 9.2% -5.5% -26.9% -40.6% 0.6 (0.7) (0.7)
FXE EURUSD 11.1% 11.3% 10.5% 11.9% 9.0% 9.4% -9.0% -25.1% -30.1% (0.3) (0.7) (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.
14 March 2016
US ETF Market Monthly Review
Page 18 Deutsche Bank Securities Inc.
US Equity Allocator heatmaps
Figure 26: 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 -0.01% -7.74% -2.77% -8.02% 10.00% 9.56% -0.8% 0.3% 3.9% 4.8% 13.0% 12.7%
SPY S&P 500 (Large Cap) -0.08% -6.69% -0.97% -6.20% 10.67% 10.00% -0.9% 1.1% 5.0% 3.1% 10.3% 10.0%
DIA DJI 0.73% -6.30% 1.11% -6.76% 7.97% 8.74% -0.9% 1.1% 5.0% 3.1% 10.3% 10.0%
QQQ NASDAQ-100 -1.57% -9.82% -1.19% -4.48% 16.60% 13.46% -0.9% 1.1% 5.0% 3.1% 10.3% 10.0%
IWF Russell 1000 Growth 0.00% -7.11% -1.36% -5.26% 12.35% 10.71% -1.0% -1.0% 3.4% 8.0% 14.1% 10.9%
IWD Russell 1000 Value 0.00% -7.37% -3.04% -9.61% 8.09% 8.56% 0.6% 2.1% 6.5% 7.6% 15.8% 13.7%
MDY S&P 400 (Mid Cap) 1.24% -8.38% -5.13% -10.24% 7.92% 7.99% -1.3% -1.5% 1.9% 6.8% 13.5% 10.0%
IWM Russell 2000 (SM Cap) -0.22% -13.37% -10.18% -14.96% 5.76% 6.13% -2.1% -2.4% 2.8% 6.6% 11.8% 8.6%
VIG Div. Growth 1.13% -2.05% 2.91% -5.03% 8.65% 9.21% 2.2% 4.1% 4.6% -1.7% 11.8% 25.0%
DVY Div. Yield 2.89% 0.47% 6.16% -0.21% 11.45% 12.11% 2.2% 4.1% 4.6% -1.7% 11.8% 25.0%
VYM Div. Yield 0.51% -3.34% 3.38% -3.86% 10.28% 11.41% 2.2% 4.1% 4.6% -1.7% 11.8% 25.0%
SDY Div. Yield & Growth 3.03% -0.34% 6.12% -0.26% 10.95% 11.32% 2.2% 4.1% 4.6% -1.7% 11.8% 25.0%
XLY Cons. Discretionary 0.45% -7.46% 0.08% -0.58% 15.07% 15.26% -2.6% -10.1% -7.4% 5.2% 11.8% 19.1%
PEJ Hotels, Rest & Leisure 4.68% -6.30% -1.56% -7.58% 12.32% 13.78%
XHB Home Builders 1.15% -14.92% -14.56% -14.64% 3.41% 12.35% -2.3% -13.2% -14.9% -14.2% -15.2% 4.6%
ITB Household Durables 0.66% -14.16% -11.60% -11.10% 3.17% 13.44% -2.3% -13.2% -14.9% -14.2% -15.2% 4.6%
PBS Media -2.79% -11.80% -4.52% -12.79% 9.05% 9.27%
XRT Retail 5.56% -2.46% -6.88% -11.18% 9.86% 13.17% 7.4% -25.2% -34.8% -37.8% -20.0% -18.1%
XLP Cons. Staples 0.32% 3.81% 9.14% 4.52% 13.02% 14.44% 1.8% 8.1% 13.7% -2.2% 17.1% 23.6%
PBJ Food Products 0.16% -2.82% 0.23% 2.03% 14.31% 12.67%
XLE Energy -2.80% -16.05% -13.39% -26.21% -7.93% -4.41% -0.7% 7.6% 10.9% 21.1% 25.4% 13.8%
OIH Energy Eq. & Serv. -0.82% -20.72% -21.57% -29.22% -15.85% -13.75% -4.3% -6.7% 7.3% 18.5% -3.2% -4.6%
XES Energy Eq. & Serv. -3.03% -26.73% -30.10% -42.54% -26.43% -18.03% -4.3% -6.7% 7.3% 18.5% -3.2% -4.6%
IEZ Energy Eq. & Serv. -1.82% -21.43% -23.00% -32.26% -16.16% -12.34% -4.3% -6.7% 7.3% 18.5% -3.2% -4.6%
XOP Energy E&P -13.65% -33.42% -34.98% -50.74% -23.93% -15.81% -7.7% 14.0% 11.6% 36.1% 36.9% 11.2%
IEO Energy E&P -9.15% -28.44% -25.92% -39.09% -13.07% -8.29% -7.7% 14.0% 11.6% 36.1% 36.9% 11.2%
AMLP MLPs 0.77% -14.52% -25.76% -34.75% -9.60% -2.89% 2.4% 9.6% 16.1% 16.8% 28.8% 70.6%
XLF Financials -2.90% -13.58% -8.95% -11.68% 8.11% 6.43% -3.7% -7.4% -5.5% 6.0% 11.8% 13.4%
KBWB Large Banks -5.30% -20.20% -16.21% -15.19% 5.44% -4.9% -10.9% -4.8% 20.1% 9.1% 8.7%
KRE Regional Banks -4.34% -22.74% -13.74% -11.20% 6.67% 7.49% -4.9% -10.9% -4.8% 20.1% 9.1% 8.7%
KCE Capital Markets -1.83% -22.29% -19.03% -26.46% -0.27% 0.19% -31.3% -40.8% -53.3% -41.4% 6.0% -6.5%
KIE Insurance -0.85% -9.56% -3.98% -0.71% 11.79% 9.31% -6.4% -18.7% -5.2% 56.7% 22.3% 8.7%
XLV Healthcare -0.36% -6.46% -5.29% -7.01% 16.85% 17.20% -7.5% -8.8% -12.4% -0.3% 24.6% 25.7%
IBB Biotech & Pharma -4.85% -24.00% -25.69% -24.69% 19.89% 22.01% -12.2% -15.2% -15.2% -5.5% 27.6% 21.7%
BBH Large Biotech -1.16% -19.06% -20.05% -21.28% 19.26% 27.15% -12.2% -15.2% -15.2% -5.5% 27.6% 21.7%
IHI HC Eq. & Supplies 1.11% -4.32% -0.99% -1.03% 17.15% 13.51% 0.0% 16.4% 4.1% 15.7% 18.8% 6.8%
IHF HC Providers & Serv 0.11% -5.86% -12.31% -8.81% 17.10% 14.44% -6.9% -12.5% -19.9% 4.9% 31.6% 29.7%
PPH Large Pharma -4.68% -11.02% -14.97% -15.48% 12.52% 14.64% -5.5% -7.3% -20.6% -16.5% 14.1% 10.4%
XLI Industrials 4.26% -4.20% 2.81% -7.40% 10.52% 9.34% 1.3% -9.2% -4.3% -19.1% 3.5% 6.0%
ITA Aerospace & Def 2.51% -6.31% -0.74% -8.10% 17.79% 13.79% -6.8% 3.3% 24.6% 25.6% 90.7% 29.2%
IYT Transportation 6.63% -9.24% -5.94% -17.71% 8.41% 8.65% -4.6% -24.3% -24.6% -55.4% -9.7% -2.1%
XLB Materials 7.82% -7.90% -2.31% -17.05% 5.01% 3.38% 3.3% 2.3% -0.4% -12.1% -10.3% -6.6%
XME Metals & Mining 19.99% 4.86% -17.30% -41.71% -24.26% -24.13% 28.5% 46.0% 50.3% 27.9% -0.1% -0.6%
VNQ Real Estate -0.36% -2.04% 6.10% -4.27% 7.77% 9.21% -1.5% 1.0% 5.9% 1.0% 8.5% 15.7%
VGT Technology -0.97% -9.36% -0.04% -6.33% 13.76% 10.24% -3.7% -7.4% 1.6% 0.2% 9.5% 7.5%
IGN Comm. Equipment 6.91% -7.89% -4.31% -8.70% 6.70% -0.51%
FDN Int. Software & Serv. -1.12% -14.35% -4.53% -1.21% 15.33% 12.99% -16.4% -22.9% -3.3% 28.3% 41.1% 37.7%
SMH Semiconductors 1.43% -7.70% 3.95% -9.59% 14.64% 10.13% -3.7% -22.7% -21.5% -23.1% -7.8% -20.0%
IGV Software -2.08% -11.89% -2.25% -5.25% 11.83% 9.00% -15.4% -17.9% -11.1% -36.2% -14.5% -6.3%
VOX Telecom 3.97% 4.83% 9.37% 3.34% 10.89% 9.58% 7.2% 15.8% 26.0% 12.0% 22.9% 9.8%
XLU Utilities 1.94% 9.26% 11.23% 6.20% 11.36% 11.80% 24.8% 38.1% 25.6% 6.6% 10.6% 14.4%
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.
14 March 2016
US ETF Market Monthly Review
Deutsche Bank Securities Inc. Page 19
Figure 27: US Equity Risk and Risk-adjusted Performance Measures
1M 3M 6M 1Y 3Y 5Y 1Y 3Y 5Y 1Y 3Y 5Y
VTI US Total Market 19.4% 20.3% 18.5% 16.6% 13.5% 16.1% -15.1% -15.1% -20.3% (0.5) 0.7 0.6
SPY S&P 500 (Large Cap) 18.8% 20.1% 18.4% 16.7% 13.4% 15.7% -13.0% -13.0% -18.6% (0.4) 0.8 0.6
DIA DJI 18.2% 19.8% 18.0% 16.5% 13.0% 14.7% -13.9% -13.9% -16.0% (0.4) 0.6 0.6
QQQ NASDAQ-100 23.5% 24.4% 21.8% 19.8% 15.7% 17.5% -16.1% -16.1% -16.1% (0.2) 1.1 0.8
IWF Russell 1000 Growth 19.7% 20.4% 18.6% 16.9% 13.8% 16.0% -13.8% -13.8% -18.3% (0.3) 0.9 0.7
IWD Russell 1000 Value 19.4% 20.6% 18.8% 16.7% 13.4% 16.1% -16.2% -16.2% -21.4% (0.6) 0.6 0.5
MDY S&P 400 (Mid Cap) 20.0% 20.8% 18.9% 16.6% 14.5% 18.2% -19.3% -19.3% -26.2% (0.6) 0.5 0.4
IWM Russell 2000 (SM Cap) 21.1% 22.7% 21.1% 18.1% 16.5% 20.5% -25.7% -25.7% -28.9% (0.8) 0.4 0.3
VIG Div. Growth 15.5% 17.3% 16.2% 15.2% 12.4% 14.4% -12.1% -12.1% -16.9% (0.3) 0.7 0.6
DVY Div. Yield 12.4% 16.5% 15.7% 14.3% 12.1% 13.6% -10.4% -12.0% -15.6% (0.0) 0.9 0.9
VYM Div. Yield 16.0% 18.6% 17.3% 15.8% 12.6% 13.9% -13.0% -13.0% -15.1% (0.2) 0.8 0.8
SDY Div. Yield & Growth 14.2% 17.1% 16.0% 14.7% 12.2% 14.2% -10.6% -10.8% -16.1% (0.0) 0.9 0.8
XLY Cons. Discretionary 22.7% 21.2% 19.4% 17.6% 14.8% 16.9% -15.8% -15.8% -18.4% (0.0) 1.0 0.9
PEJ Hotels, Rest & Leisure 28.8% 26.2% 23.1% 20.9% 17.4% 19.6% -21.7% -21.7% -23.9% (0.4) 0.7 0.7
XHB Home Builders 26.4% 25.5% 23.7% 20.5% 19.7% 24.2% -28.2% -28.2% -33.8% (0.7) 0.2 0.5
ITB Household Durables 29.4% 28.7% 26.5% 23.2% 23.4% 27.7% -26.4% -26.4% -37.7% (0.5) 0.1 0.5
PBS Media 27.4% 24.4% 21.2% 18.3% 16.8% 19.3% -23.2% -23.2% -27.7% (0.7) 0.5 0.5
XRT Retail 24.4% 23.3% 22.2% 19.2% 16.5% 19.7% -24.2% -24.2% -24.2% (0.6) 0.6 0.7
XLP Cons. Staples 12.3% 15.8% 15.3% 14.3% 12.0% 12.2% -10.1% -10.1% -11.9% 0.3 1.1 1.2
PBJ Food Products 16.4% 17.1% 17.4% 15.5% 13.6% 14.8% -11.0% -11.0% -15.7% 0.1 1.1 0.9
XLE Energy 32.4% 36.6% 32.1% 27.4% 21.3% 23.1% -36.1% -46.7% -46.7% (1.0) (0.4) (0.2)
OIH Energy Eq. & Serv. 41.4% 42.1% 39.1% 35.5% 27.4% 29.4% -44.0% -61.3% -61.3% (0.8) (0.6) (0.5)
XES Energy Eq. & Serv. 59.3% 54.1% 50.2% 43.8% 32.5% 33.6% -55.8% -72.8% -72.8% (1.0) (0.8) (0.5)
IEZ Energy Eq. & Serv. 42.3% 43.1% 40.1% 35.5% 27.4% 30.0% -46.1% -61.8% -61.8% (0.9) (0.6) (0.4)
XOP Energy E&P 51.1% 55.9% 49.5% 42.9% 34.7% 35.4% -57.0% -71.0% -71.0% (1.2) (0.7) (0.4)
IEO Energy E&P 44.3% 46.5% 39.8% 33.4% 26.4% 28.4% -46.5% -56.8% -56.8% (1.2) (0.5) (0.3)
AMLP MLPs 68.0% 70.1% 55.1% 40.3% 25.4% 21.1% -49.2% -53.1% -53.1% (0.9) (0.4) (0.1)
XLF Financials 27.7% 25.2% 22.1% 19.4% 15.9% 20.8% -22.3% -22.3% -32.4% (0.6) 0.5 0.3
KBWB Large Banks 37.9% 31.5% 27.6% 23.5% 19.0% -29.1% -29.1% (0.6) 0.3
KRE Regional Banks 35.3% 29.2% 26.8% 22.7% 19.6% 23.9% -28.0% -28.0% -31.5% (0.5) 0.3 0.3
KCE Capital Markets 34.4% 32.0% 28.4% 23.0% 19.9% 24.1% -36.4% -36.4% -39.0% (1.2) (0.0) 0.0
KIE Insurance 17.6% 18.6% 16.9% 15.6% 13.7% 18.8% -15.2% -15.2% -32.7% (0.0) 0.9 0.5
XLV Healthcare 18.8% 20.6% 21.2% 19.3% 15.8% 15.8% -17.1% -17.1% -17.3% (0.4) 1.1 1.1
IBB Biotech & Pharma 33.3% 35.5% 35.8% 31.2% 26.6% 25.0% -38.7% -38.7% -38.7% (0.8) 0.7 0.9
BBH Large Biotech 29.3% 31.9% 31.9% 28.7% 26.0% 23.8% -33.8% -33.8% -33.8% (0.7) 0.7 1.1
IHI HC Eq. & Supplies 21.2% 21.3% 20.4% 18.0% 14.8% 17.9% -14.2% -14.2% -22.0% (0.1) 1.2 0.8
IHF HC Providers & Serv 26.3% 23.7% 25.1% 21.3% 16.8% 18.8% -26.3% -26.3% -27.2% (0.4) 1.0 0.8
PPH Large Pharma 20.4% 21.0% 21.4% 18.8% 15.0% 14.9% -23.8% -23.8% -23.8% (0.8) 0.8 1.0
XLI Industrials 20.4% 20.3% 19.0% 17.2% 14.9% 18.1% -15.5% -15.7% -25.8% (0.4) 0.7 0.5
ITA Aerospace & Def 20.9% 20.3% 18.9% 17.2% 15.5% 18.2% -17.2% -17.2% -23.2% (0.5) 1.2 0.8
IYT Transportation 24.4% 24.9% 22.1% 19.9% 17.6% 20.1% -26.8% -27.3% -28.1% (0.9) 0.5 0.4
XLB Materials 29.0% 27.1% 23.8% 20.5% 16.7% 20.4% -26.5% -26.9% -29.5% (0.8) 0.3 0.2
XME Metals & Mining 49.1% 45.1% 41.8% 36.9% 29.2% 32.2% -58.2% -71.8% -83.1% (1.1) (0.8) (0.7)
VNQ Real Estate 20.4% 20.3% 18.5% 17.9% 15.4% 18.4% -15.7% -18.0% -22.6% (0.2) 0.5 0.5
VGT Technology 23.8% 24.1% 21.5% 19.6% 15.7% 18.0% -16.4% -16.4% -18.6% (0.3) 0.9 0.6
IGN Comm. Equipment 31.9% 27.0% 23.2% 20.2% 17.9% 22.4% -24.9% -24.9% -39.2% (0.4) 0.4 (0.0)
FDN Int. Software & Serv. 38.4% 30.5% 26.0% 22.4% 19.9% 21.7% -25.8% -25.8% -26.0% (0.1) 0.8 0.6
SMH Semiconductors 28.5% 27.3% 25.3% 23.8% 19.5% 21.7% -23.7% -23.7% -25.1% (0.4) 0.8 0.5
IGV Software 36.7% 28.2% 23.8% 20.8% 17.6% 20.8% -21.5% -21.5% -26.3% (0.3) 0.7 0.4
VOX Telecom 15.3% 20.1% 18.4% 16.6% 14.0% 15.5% -12.3% -12.3% -19.8% 0.2 0.8 0.6
XLU Utilities 16.3% 16.7% 16.6% 16.6% 14.8% 14.3% -10.7% -15.7% -15.7% 0.4 0.8 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.
14 March 2016
US ETF Market Monthly Review
Page 20 Deutsche Bank Securities Inc.
International Equity Allocator heatmaps
Figure 28: 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 -3.33% -10.80% -9.79% -15.49% 0.19% 0.31% -1.8% 1.3% 5.2% 32.2% 33.2% 25.7%
EWC Canada 3.44% -5.79% -9.67% -21.15% -6.40% -6.44% 15.7% 10.1% 12.6% 1.9% -17.3% -9.0%
EIS Israel -0.65% -8.30% -7.76% -1.62% 3.78% -1.86%
VGK Europe -3.23% -10.99% -10.76% -15.96% 0.92% 0.79% -2.3% -1.6% 1.5% 32.5% 45.5% 34.1%
EDEN Denmark -2.25% -4.03% -1.98% 5.21% 16.35%
NORW Norway 0.83% -10.78% -11.93% -22.56% -12.23% -7.70%
EWD Sweden 0.26% -9.27% -9.46% -18.11% -1.76% 0.57%
EWL Switzerland -2.85% -8.29% -10.97% -12.95% 1.75% 4.37% -3.0% 0.0% 0.2% 30.1% 21.3% 20.7%
EWU UK -3.13% -11.66% -11.04% -19.09% -1.88% -0.17% -4.6% -10.4% -23.9% -3.4% 27.6% 17.3%
EZU Eurozone -4.22% -12.83% -11.52% -16.77% 1.08% -1.07% -6.6% -5.7% -2.1% 49.1% 75.9% 60.2%
EWO Austria -0.98% -9.79% -8.74% -11.91% -5.52% -6.74%
EWK Belgium -4.60% -7.45% -2.97% -3.68% 7.98% 7.15%
EFNL Finland -6.55% -9.26% -4.83% -11.81% 5.89%
EWQ France -2.53% -9.56% -8.94% -12.57% 1.51% -0.60%
EWG Germany -3.99% -14.28% -11.31% -19.98% 0.00% 0.06% -11.4% -8.1% -22.1% 18.0% 27.4% 23.5%
EIRL Ireland -3.69% -6.86% -7.23% -0.52% 13.59% 13.38%
EWI Italy -6.55% -21.38% -23.55% -22.62% -0.99% -6.99% -4.6% -25.6% -8.5% 18.4% 25.6% 50.9%
EWN Netherlands -2.70% -7.48% -6.50% -9.54% 5.95% 2.50%
PGAL Portugal -6.67% -8.24% -11.03% -18.91%
EWP Spain -5.01% -16.24% -20.37% -25.89% -2.18% -5.19% -4.3% -20.4% -23.8% 1.3% 78.8% 40.9%
EWJ Japan -5.30% -11.40% -9.49% -10.73% 3.43% 0.40% -5.8% -8.6% -7.2% 20.2% 45.4% 38.3%
EPP Pacific ex JP -0.62% -7.35% -4.76% -20.63% -6.93% -1.57% -9.1% -13.1% -16.9% -16.6% -14.3% -8.1%
EWA Australia -2.04% -6.95% -4.76% -23.17% -9.36% -3.18% 0.2% -3.7% 3.9% -4.2% -9.7% -9.1%
EWH Hong Kong 0.67% -8.97% -5.15% -14.66% -0.52% 2.30% -19.4% -27.1% -34.2% -23.1% -13.2% 0.4%
ENZL New Zealand 3.02% 2.94% 14.28% -7.76% 4.47% 10.03%
EWS Singapore 3.30% -5.44% -6.07% -21.39% -7.45% -2.09% -6.7% -11.9% -15.6% -19.9% -22.4% -18.0%
EEM EM -0.82% -9.42% -9.02% -23.86% -9.15% -5.98% -0.6% -1.8% -2.1% -4.4% -4.3% 3.3%
ILF Latin America 1.61% -7.24% -13.45% -32.59% -19.46% -14.41% 2.0% 5.4% 8.3% -11.2% -11.0% -6.9%
EWZ Brazil 3.33% -7.99% -16.72% -40.34% -25.83% -20.42% 0.0% 11.0% 8.8% -11.2% -12.9% -7.8%
ECH Chile 1.72% 2.68% -4.92% -18.18% -19.28% -12.51% 35.0% 18.7% 10.8% 34.4% -5.8% -7.2%
GXG Colombia 7.56% 8.67% -6.51% -29.17% -26.39% -15.03%
EWW Mexico 0.19% -8.20% -6.91% -17.71% -10.47% -2.98% 0.2% -0.3% 1.9% -26.0% -5.4% 4.4%
EPU Peru 11.89% 2.43% -4.62% -25.46% -20.03% -12.43% 0.0% 0.0% -8.9% -16.1% -18.6% -11.7%
EEMA EM Asia -0.62% -8.78% -4.97% -21.47% -4.16% -0.4% -3.2% -9.1% -2.8% 4.5% 5.3%
FXI China H -2.95% -17.39% -13.85% -28.94% -5.43% -4.07% -1.8% 0.5% -4.7% 11.7% -3.2% 4.9%
ASHR China A -1.85% -21.41% -11.86% -22.34% 7.1% 5.8% -5.1% -52.7% 90.3% 71.7%
INDA India -7.54% -11.89% -13.86% -27.41% -0.54% -0.9% -8.5% -9.3% 3.0% 45.6% 26.3%
EIDO Indonesia 4.80% 11.33% 14.06% -16.49% -11.40% -2.42% 36.7% 32.8% 28.5% -20.8% -3.0% 4.2%
EWM Malaysia -3.45% 0.74% 4.79% -20.28% -7.48% -2.66% 7.1% 11.0% 10.1% -9.6% -20.4% -13.8%
EPHE Philippines 1.02% -4.69% -6.19% -21.13% -5.67% 9.12%
EWY South Korea -2.41% -9.70% -0.30% -15.78% -7.42% -3.00% -0.3% 1.9% -3.9% -5.6% 8.3% -0.1%
EWT Taiwan 4.14% -2.17% -0.92% -17.27% 0.56% -0.17% -3.1% -15.5% -26.5% -18.0% -2.2% -3.5%
THD Thailand 3.31% -0.23% -0.88% -20.13% -8.64% 3.14% 4.3% 5.5% 2.7% -30.6% -23.3% -15.6%
GUR EM Europe 2.41% -7.11% -10.28% -20.15% -16.07% -12.95% 0.9% 0.1% 4.5% 0.7% 16.5% 6.3%
GREK Greece -8.77% -24.85% -28.85% -49.45% -29.21%
EPOL Poland 3.26% -4.97% -18.67% -24.30% -10.94% -9.57%
RSX Russia 0.28% -9.95% -10.64% -15.66% -17.73% -16.28% 0.9% 2.0% 10.7% 6.0% 21.0% 5.1%
TUR Turkey 0.78% -2.14% -1.96% -22.61% -15.53% -6.77% -5.2% -12.1% -23.3% -26.2% -10.3% 0.8%
MES Middle East 7.65% -2.22% -14.14% -20.15% 1.49% 3.10%
QAT Qatar 6.77% -0.36% -14.20% -20.22%
UAE UAE 12.18% 1.72% -13.18% -14.49%
AFK Africa 3.21% -6.77% -15.17% -32.39% -15.40% -9.67% 10.7% -8.7% -3.1% -8.6% -2.8% -3.0%
EGPT Egypt -0.91% -3.68% -13.03% -40.80% -8.77% -10.31%
EZA South Africa -2.25% -14.60% -20.70% -32.83% -9.21% -5.83% 14.2% -8.7% 3.9% -7.4% -4.1% -4.8%
FM Frontier Market 4.18% -4.99% -9.43% -19.98% -1.16% -7.4% -9.7% -11.6% -8.3% 29.1% 25.5%
ARGT Argentina 7.90% -1.14% 3.49% -7.00% 3.80%
NGE Nigeria -1.32% -16.27% -24.30% -27.30%
PAK Pakistan 1.79% -3.40% -13.25%
VNM Vietnam 0.00% -6.86% -10.98% -26.17% -10.48% -8.13% -3.9% -11.1% -10.0% -6.9% 8.1% 16.1%
BKF BRIC -1.80% -13.93% -13.26% -27.92% -10.74% -9.29% -0.4% -6.0% -10.6% -23.5% -28.1% -17.9%
Ticker Asset ClassTotal Return ETF Net Cash Flows as % of Initial AUM
Source: Deutsche Bank, FactSet, Bloomberg Finance LP. Note: Data as of the end of last month; performance is Total Returns; Cash flows are based on US-listed ETFs and ETVs excluding leveraged, inverse products, and ETNs. Asset Classes that had less than $500 million in AUM at the beginning of all periods are excluded from the Net Cash Flow calculations. Green cells correspond to 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.
14 March 2016
US ETF Market Monthly Review
Deutsche Bank Securities Inc. Page 21
Figure 29: International Equity Risk and Risk-adjusted Performance Measures
1M 3M 6M 1Y 3Y 5Y 1Y 3Y 5Y 1Y 3Y 5Y
EFA Intl DM 20.4% 21.0% 19.5% 18.2% 15.0% 19.4% -23.0% -23.1% -25.9% (0.9) 0.0 0.0
EWC Canada 28.5% 28.4% 24.9% 21.2% 16.6% 18.8% -35.5% -41.4% -41.4% (1.0) (0.4) (0.3)
EIS Israel 17.6% 15.8% 16.3% 16.4% 14.4% 19.2% -20.9% -20.9% -38.9% (0.1) 0.3 (0.1)
VGK Europe 22.5% 21.8% 19.9% 18.9% 15.9% 22.3% -23.2% -24.9% -30.2% (0.8) 0.1 0.0
EDEN Denmark 26.3% 21.8% 18.1% 18.2% 16.7% -14.1% -17.2% 0.3 1.0
NORW Norway 34.2% 32.5% 28.3% 26.6% 22.6% 27.5% -38.3% -50.9% -50.9% (0.8) (0.5) (0.3)
EWD Sweden 27.6% 26.0% 23.0% 21.1% 18.8% 26.5% -23.4% -25.6% -36.2% (0.9) (0.1) 0.0
EWL Switzerland 17.0% 18.2% 16.6% 16.0% 13.9% 17.5% -21.4% -21.4% -25.5% (0.8) 0.1 0.2
EWU UK 25.5% 24.7% 23.1% 20.5% 16.1% 19.6% -25.9% -29.3% -29.3% (0.9) (0.1) (0.0)
EZU Eurozone 24.1% 22.0% 20.2% 20.3% 17.8% 24.9% -23.0% -27.1% -37.6% (0.8) 0.1 (0.0)
EWO Austria 27.0% 24.1% 20.9% 20.1% 18.1% 25.0% -23.8% -32.6% -45.9% (0.6) (0.3) (0.3)
EWK Belgium 20.6% 19.2% 17.1% 17.3% 15.3% 20.5% -13.5% -15.0% -33.3% (0.2) 0.5 0.3
EFNL Finland 23.4% 22.3% 20.1% 20.0% 18.5% -16.7% -19.2% (0.6) 0.3
EWQ France 23.3% 22.0% 20.5% 20.5% 17.9% 25.1% -20.7% -25.8% -36.2% (0.6) 0.1 (0.0)
EWG Germany 22.0% 21.8% 21.0% 21.1% 18.1% 25.2% -24.0% -26.6% -37.8% (0.9) (0.0) 0.0
EIRL Ireland 24.3% 19.6% 17.3% 17.5% 16.5% 21.6% -15.4% -22.7% -27.3% (0.0) 0.8 0.6
EWI Italy 35.8% 28.8% 25.4% 25.2% 23.6% 31.0% -32.0% -39.2% -51.1% (0.9) (0.0) (0.2)
EWN Netherlands 22.4% 21.6% 19.9% 19.6% 16.5% 22.1% -19.6% -19.6% -33.9% (0.5) 0.4 0.1
PGAL Portugal 26.9% 27.3% 25.2% 25.8% -29.3% (0.7)
EWP Spain 30.5% 26.4% 22.8% 22.8% 21.7% 29.0% -32.0% -40.8% -50.9% (1.1) (0.1) (0.2)
EWJ Japan 23.2% 24.3% 22.6% 20.4% 18.7% 19.3% -21.6% -21.6% -23.4% (0.5) 0.2 0.0
EPP Pacific ex JP 21.7% 24.2% 23.1% 22.3% 17.5% 21.0% -28.0% -30.4% -30.4% (0.9) (0.4) (0.1)
EWA Australia 25.9% 28.8% 26.9% 26.2% 20.4% 23.5% -29.8% -35.4% -35.4% (0.9) (0.5) (0.1)
EWH Hong Kong 19.1% 20.0% 21.0% 22.7% 18.1% 19.3% -29.5% -29.5% -29.5% (0.6) (0.0) 0.1
ENZL New Zealand 19.9% 19.1% 17.4% 17.8% 15.7% 18.6% -22.9% -23.2% -23.2% (0.4) 0.3 0.5
EWS Singapore 22.8% 22.3% 21.2% 18.9% 15.5% 18.5% -32.1% -32.5% -32.5% (1.1) (0.5) (0.1)
EEM EM 26.5% 26.1% 24.9% 22.9% 19.6% 22.6% -34.4% -36.1% -37.5% (1.0) (0.5) (0.3)
ILF Latin America 40.8% 35.0% 32.0% 28.7% 25.2% 25.2% -43.2% -56.1% -61.8% (1.1) (0.8) (0.6)
EWZ Brazil 53.6% 44.9% 43.7% 38.0% 31.8% 30.1% -52.0% -67.0% -74.9% (1.1) (0.8) (0.7)
ECH Chile 22.8% 22.6% 22.1% 21.0% 20.0% 21.6% -31.8% -53.5% -59.1% (0.9) (1.0) (0.6)
GXG Colombia 31.1% 36.3% 33.6% 30.3% 23.5% 22.1% -47.6% -67.2% -68.3% (1.0) (1.1) (0.7)
EWW Mexico 30.4% 28.5% 23.7% 21.3% 20.1% 21.9% -26.0% -39.2% -39.2% (0.8) (0.5) (0.1)
EPU Peru 27.4% 23.7% 21.1% 21.2% 18.8% 22.3% -42.0% -58.1% -60.6% (1.2) (1.1) (0.6)
EEMA EM Asia 21.2% 23.9% 23.6% 23.6% 18.7% -31.5% -31.5% (0.9) (0.2)
FXI China H 29.4% 29.7% 29.8% 31.3% 25.0% 26.2% -44.6% -44.6% -44.6% (0.9) (0.2) (0.2)
ASHR China A 45.2% 44.9% 45.9% 54.5% -50.2% (0.4)
INDA India 23.8% 22.8% 22.0% 22.8% 23.4% -28.7% -28.7% (1.2) (0.0)
EIDO Indonesia 31.1% 30.0% 34.0% 31.3% 30.5% 29.9% -40.0% -52.1% -52.1% (0.5) (0.4) (0.1)
EWM Malaysia 26.5% 27.7% 28.7% 25.5% 19.7% 18.9% -32.9% -40.2% -40.2% (0.8) (0.4) (0.1)
EPHE Philippines 19.1% 22.9% 23.0% 22.0% 23.1% 22.1% -31.1% -31.8% -31.8% (1.0) (0.2) 0.4
EWY South Korea 22.4% 24.7% 23.9% 21.2% 18.4% 23.4% -29.0% -32.8% -34.7% (0.7) (0.4) (0.1)
EWT Taiwan 24.0% 25.8% 24.1% 23.0% 18.6% 20.7% -31.3% -31.3% -31.3% (0.8) 0.0 (0.0)
THD Thailand 22.5% 24.4% 24.2% 22.1% 24.3% 24.8% -32.7% -38.0% -38.0% (0.9) (0.4) 0.1
GUR EM Europe 34.3% 31.5% 27.8% 27.2% 25.2% 28.1% -37.8% -51.8% -60.4% (0.7) (0.6) (0.5)
GREK Greece 51.5% 40.2% 38.9% 51.9% 47.2% -55.6% -77.4% (1.0) (0.6)
EPOL Poland 25.6% 26.6% 24.3% 24.4% 23.4% 29.4% -39.5% -47.0% -52.8% (1.0) (0.5) (0.3)
RSX Russia 47.6% 45.3% 40.7% 38.6% 35.8% 35.3% -39.4% -55.1% -67.2% (0.4) (0.5) (0.5)
TUR Turkey 36.3% 32.1% 34.1% 33.3% 32.0% 32.5% -33.3% -53.9% -53.9% (0.7) (0.5) (0.2)
MES Middle East 29.2% 27.4% 24.0% 23.6% 21.8% 20.8% -33.0% -42.4% -42.4% (0.9) 0.1 0.1
QAT Qatar 18.8% 26.2% 24.2% 23.1% -32.8% (0.9)
UAE UAE 26.9% 32.3% 28.1% 27.8% -36.5% (0.5)
AFK Africa 20.6% 22.6% 21.3% 19.6% 17.0% 18.4% -43.6% -54.0% -54.0% (1.6) (0.9) (0.5)
EGPT Egypt 25.5% 36.4% 32.1% 31.4% 27.8% 29.6% -47.4% -55.7% -55.7% (1.3) (0.3) (0.3)
EZA South Africa 43.1% 46.6% 40.8% 33.9% 28.4% 29.2% -45.0% -45.0% -45.0% (1.0) (0.3) (0.2)
FM Frontier Market 12.9% 17.1% 16.4% 15.5% 14.4% -28.9% -36.6% (1.3) (0.1)
ARGT Argentina 27.4% 27.2% 27.5% 26.5% 24.4% -31.1% -34.0% (0.3) 0.2
NGE Nigeria 22.3% 28.2% 24.9% 30.0% -45.8% (0.9)
PAK Pakistan 18.7% 17.7% 15.3%
VNM Vietnam 28.4% 27.3% 26.3% 26.2% 23.4% 26.9% -33.0% -42.9% -42.9% (1.0) (0.4) (0.3)
BKF BRIC 28.7% 27.0% 26.2% 25.9% 21.6% 23.8% -39.4% -39.4% -46.7% (1.1) (0.5) (0.4)
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.
US
ETF M
ark
et M
on
thly
Revie
w
14
Marc
h 2
01
6
Pag
e 2
2
Deu
tsch
e B
an
k S
ecu
rities In
c.
Cross Asset Correlations (3Y)
Figure 30: 3-Year Cross Asset Class Correlations of Weekly Total Returns
3Y - Cross Asset Class Correlation of Weekly Total Returns
Category Ticker ACWI VTI EFA EEM AGG GOVT TIP MUB MBB LQD HYG FLOT BKLN PFF CWB BWX WIP EMB EMLC EMCB DBC DBE DBA DBB DBP UUP FXY FXE
Global Equities ACWI 0.96 0.96 0.84 -0.13 -0.26 0.02 0.02 -0.07 0.03 0.67 0.09 0.57 0.42 0.89 0.00 0.25 0.52 0.59 0.48 0.51 0.49 0.23 0.37 -0.08 0.06 -0.35 -0.08
US Total Market VTI 0.96 0.87 0.72 -0.17 -0.31 -0.03 -0.04 -0.11 0.00 0.67 0.09 0.57 0.42 0.91 -0.09 0.13 0.43 0.47 0.41 0.45 0.45 0.17 0.28 -0.13 0.13 -0.38 -0.14
Intl DM EFA 0.96 0.87 0.79 -0.10 -0.23 0.04 0.03 -0.07 0.02 0.61 0.09 0.52 0.39 0.82 0.08 0.31 0.52 0.59 0.46 0.50 0.47 0.24 0.40 -0.03 -0.04 -0.31 0.01
EM EEM 0.84 0.72 0.79 -0.01 -0.13 0.12 0.11 0.05 0.10 0.57 0.10 0.48 0.35 0.69 0.10 0.35 0.59 0.71 0.52 0.49 0.43 0.27 0.40 0.02 0.03 -0.22 -0.08
US Agg Bond IG AGG -0.13 -0.17 -0.10 -0.01 0.95 0.88 0.76 0.91 0.92 0.13 -0.07 0.01 0.35 -0.08 0.63 0.60 0.45 0.31 0.27 -0.19 -0.22 -0.07 -0.10 0.28 -0.29 0.45 0.21
US Treasury GOVT -0.26 -0.31 -0.23 -0.13 0.95 0.81 0.69 0.83 0.85 -0.04 -0.13 -0.14 0.22 -0.23 0.61 0.55 0.29 0.20 0.13 -0.29 -0.32 -0.13 -0.17 0.32 -0.29 0.49 0.22
US Inflation TIP 0.02 -0.03 0.04 0.12 0.88 0.81 0.71 0.83 0.85 0.25 -0.09 0.10 0.41 0.04 0.59 0.65 0.54 0.45 0.36 -0.01 -0.03 -0.01 0.04 0.27 -0.27 0.34 0.20
Municipal MUB 0.02 -0.04 0.03 0.11 0.76 0.69 0.71 0.77 0.75 0.22 0.03 0.08 0.39 0.05 0.51 0.52 0.54 0.35 0.28 -0.12 -0.15 -0.06 -0.03 0.21 -0.20 0.32 0.15
MBS MBB -0.07 -0.11 -0.07 0.05 0.91 0.83 0.83 0.77 0.83 0.19 -0.03 0.05 0.40 -0.01 0.59 0.57 0.51 0.34 0.36 -0.16 -0.17 -0.08 -0.08 0.24 -0.27 0.42 0.20
IG Corporates LQD 0.03 0.00 0.02 0.10 0.92 0.85 0.85 0.75 0.83 0.34 -0.04 0.19 0.49 0.10 0.53 0.56 0.58 0.38 0.38 -0.09 -0.09 -0.04 -0.08 0.20 -0.18 0.34 0.10
HY Corporates HYG 0.67 0.67 0.61 0.57 0.13 -0.04 0.25 0.22 0.19 0.34 0.13 0.75 0.57 0.69 0.12 0.27 0.68 0.58 0.60 0.47 0.47 0.17 0.25 0.03 0.01 -0.13 -0.05
Floater FLOT 0.09 0.09 0.09 0.10 -0.07 -0.13 -0.09 0.03 -0.03 -0.04 0.13 0.07 0.02 0.03 0.02 0.05 -0.01 0.07 0.07 0.08 0.06 0.13 0.04 0.08 -0.08 0.01 0.05
Senior Loans BKLN 0.57 0.57 0.52 0.48 0.01 -0.14 0.10 0.08 0.05 0.19 0.75 0.07 0.51 0.62 -0.04 0.11 0.52 0.42 0.51 0.37 0.38 0.14 0.23 -0.07 0.16 -0.25 -0.18
Preferred PFF 0.42 0.42 0.39 0.35 0.35 0.22 0.41 0.39 0.40 0.49 0.57 0.02 0.51 0.51 0.13 0.28 0.53 0.38 0.44 0.15 0.17 0.10 0.09 -0.01 0.06 -0.08 -0.10
Convertible CWB 0.89 0.91 0.82 0.69 -0.08 -0.23 0.04 0.05 -0.01 0.10 0.69 0.03 0.62 0.51 -0.06 0.13 0.50 0.44 0.44 0.41 0.41 0.13 0.26 -0.10 0.13 -0.33 -0.15
Intl DM Debt BWX 0.00 -0.09 0.08 0.10 0.63 0.61 0.59 0.51 0.59 0.53 0.12 0.02 -0.04 0.13 -0.06 0.90 0.38 0.49 0.24 0.14 0.04 0.16 0.18 0.50 -0.86 0.66 0.77
Intl Inflation WIP 0.25 0.13 0.31 0.35 0.60 0.55 0.65 0.52 0.57 0.56 0.27 0.05 0.11 0.28 0.13 0.90 0.56 0.70 0.41 0.27 0.16 0.24 0.28 0.45 -0.73 0.43 0.63
EM Gov Debt USD EMB 0.52 0.43 0.52 0.59 0.45 0.29 0.54 0.54 0.51 0.58 0.68 -0.01 0.52 0.53 0.50 0.38 0.56 0.73 0.74 0.28 0.26 0.11 0.19 0.10 -0.11 0.00 0.04
EM Gov Debt Local EMLC 0.59 0.47 0.59 0.71 0.31 0.20 0.45 0.35 0.34 0.38 0.58 0.07 0.42 0.38 0.44 0.49 0.70 0.73 0.61 0.40 0.31 0.27 0.35 0.22 -0.31 0.07 0.26
EM Corp USD EMCB 0.48 0.41 0.46 0.52 0.27 0.13 0.36 0.28 0.36 0.38 0.60 0.07 0.51 0.44 0.44 0.24 0.41 0.74 0.61 0.25 0.26 0.08 0.18 -0.01 -0.04 -0.01 -0.02
Commodities DBC 0.51 0.45 0.50 0.49 -0.19 -0.29 -0.01 -0.12 -0.16 -0.09 0.47 0.08 0.37 0.15 0.41 0.14 0.27 0.28 0.40 0.25 0.93 0.47 0.57 0.19 -0.22 -0.04 0.17
Energy Cmdty DBE 0.49 0.45 0.47 0.43 -0.22 -0.32 -0.03 -0.15 -0.17 -0.09 0.47 0.06 0.38 0.17 0.41 0.04 0.16 0.26 0.31 0.26 0.93 0.27 0.43 -0.01 -0.11 -0.12 0.07
Agriculture DBA 0.23 0.17 0.24 0.27 -0.07 -0.13 -0.01 -0.06 -0.08 -0.04 0.17 0.13 0.14 0.10 0.13 0.16 0.24 0.11 0.27 0.08 0.47 0.27 0.24 0.11 -0.22 0.03 0.20
Industrial Metals DBB 0.37 0.28 0.40 0.40 -0.10 -0.17 0.04 -0.03 -0.08 -0.08 0.25 0.04 0.23 0.09 0.26 0.18 0.28 0.19 0.35 0.18 0.57 0.43 0.24 0.15 -0.23 -0.05 0.23
Precious Metals DBP -0.08 -0.13 -0.03 0.02 0.28 0.32 0.27 0.21 0.24 0.20 0.03 0.08 -0.07 -0.01 -0.10 0.50 0.45 0.10 0.22 -0.01 0.19 -0.01 0.11 0.15 -0.46 0.50 0.36
Bull USD UUP 0.06 0.13 -0.04 0.03 -0.29 -0.29 -0.27 -0.20 -0.27 -0.18 0.01 -0.08 0.16 0.06 0.13 -0.86 -0.73 -0.11 -0.31 -0.04 -0.22 -0.11 -0.22 -0.23 -0.46 -0.56 -0.96
JPYUSD FXY -0.35 -0.38 -0.31 -0.22 0.45 0.49 0.34 0.32 0.42 0.34 -0.13 0.01 -0.25 -0.08 -0.33 0.66 0.43 0.00 0.07 -0.01 -0.04 -0.12 0.03 -0.05 0.50 -0.56 0.40
EURUSD FXE -0.08 -0.14 0.01 -0.08 0.21 0.22 0.20 0.15 0.20 0.10 -0.05 0.05 -0.18 -0.10 -0.15 0.77 0.63 0.04 0.26 -0.02 0.17 0.07 0.20 0.23 0.36 -0.96 0.40 Source: Deutsche Bank, FactSet. Data as of the end of last month. Green cells denote highest correlations, while red cells denote lowest correlations.
Figure 31: 26W Rolling Correlation for Global
Equities vs. Other Asset Classes (5Y)
Figure 32: 26W Rolling Correlation for US
Equities vs. Other Equities (5Y)
Figure 33: 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
Mar-11 Mar-12 Mar-13 Mar-14 Mar-15
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
Mar-11 Mar-12 Mar-13 Mar-14 Mar-15
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
Mar-11 Mar-12 Mar-13 Mar-14 Mar-15
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)
14 March 2016
US ETF Market Monthly Review
Deutsche Bank Securities Inc. Page 23
12-Month Relative Performance Monitor2
Figure 34: Cross Asset Class Figure 35: Global Equities Figure 36: US Equity Size and Style
0.80
0.90
1.00
1.10
1.20
1.30
1.40
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
Dec-1
5
Jan
-16
Feb
-16
Global Equities/Fixed Income (Broad)
Global Equities/Commodities
0.90
0.95
1.00
1.05
1.10
1.15
1.20
1.25
1.30
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
Dec-1
5
Jan
-16
Feb
-16
US Total Market/Intl DM
US Total Market/EM
0.90
0.95
1.00
1.05
1.10
1.15
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
Dec-1
5
Jan
-16
Feb
-16
S&P 500/Russell 2000 (SM Cap)
Russell 1000 Growth/Russell 1000 Value
Source: Deutsche Bank, FactSet.
Source: Deutsche Bank, FactSet.
Source: Deutsche Bank, FactSet.
Figure 37: US Equity Sectors Figure 38: Intl DM Equities Figure 39: EM Equities
0.80
0.90
1.00
1.10
1.20
1.30
1.40
1.50
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
Dec-1
5
Jan
-16
Feb
-16
Healthcare/EnergyTechnology/IndustrialsFinancials/Real EstateFinancials/Utilities
0.90
0.95
1.00
1.05
1.10
1.15
1.20
1.25
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
Dec-1
5
Jan
-16
Feb
-16
Eurozone/Europe
Japan/Pacific ex JP
0.60
0.70
0.80
0.90
1.00
1.10
1.20
1.30
1.40
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
Dec-1
5
Jan
-16
Feb
-16
EM Asia/Latin America
China H/China A
Source: Deutsche Bank, FactSet.
Source: Deutsche Bank, FactSet.
Source: Deutsche Bank, FactSet.
Figure 40: Fixed Income Credit
Figure 41: Fixed Income duration
and EM debt
Figure 42: Precious Metals
0.80
0.85
0.90
0.95
1.00
1.05
1.10
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
Dec-1
5
Jan
-16
Feb
-16
HY Corporates/US Treasury
HY Corporates/IG Corporates
0.80
0.90
1.00
1.10
1.20
1.30
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
Dec-1
5
Jan
-16
Feb
-16
UST Short/UST Long
EM Gov Debt USD/EM Gov Debt Local
0.800.901.001.101.201.301.401.501.601.701.80
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
Dec-1
5
Jan
-16
Feb
-16
Gold/SilverGold/PlatinumGold/Palladium
Source: Deutsche Bank, FactSet.
Source: Deutsche Bank, FactSet.
Source: Deutsche Bank, FactSet.
2 Performance for each asset class is based on the ETFs mentioned in the heatmaps presented earlier in
this section. Total return data is as of the end of last month.
14 March 2016
US ETF Market Monthly Review
Page 24 Deutsche Bank Securities Inc.
House View Portfolio: Monthly Brief
Our House View Portfolio (HVP) was down by 4.28% in February
underperforming Global Equities (ACWI) and its benchmark which were down
by 1.25% and 0.39% during the same period, respectively. We performed our
annual rebalance on February 9th, full details of the annual rebalance are found
in our US ETF Model Portfolios report published on February 12th.
Figure 43: House View Portfolio
Direction Type
USMV 0.15% 15% 15.3% Long Core Equity US LC Min Vol
KBWB 0.35% 5% 5.0% Long Satellite Equity US Banks
XLU 0.14% 10% 9.8% Long Satellite Equity US Utilities
EFAV 0.20% 25% 25.0% Long Core Equity DM Intl
LQD 0.15% 10% 9.9% Long Core Credit Inv. Grade
IEF 0.15% 20% 19.6% Long Core Rates Intermediate UST
IAU 0.25% 10% 10.3% Long Core Comdty Gold
UUP 0.80% 5% 5.0% 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 44: Portfolio performance vs. Global Equities and
Benchmark since inception (10/01/2012)
Figure 45: 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 (1
00
)
House View Port. ACWI Bnchmk
-15% -10% -5% 0% 5% 10%
Fixed Income (BND)
Comdty (DBC)
Equity (ACWI)
FX Long USD (UUP)
Gold (IAU)
Intermediate UST (IEF)
Inv. Grade (LQD)
Eq. DM Intl (EFAV)
Eq. US Utilities (XLU)
Eq. US Banks (KBWB)
Eq. US LC Min Vol (USMV)
Eq. US Large Caps (QQQ)
Eq. Japan (DXJ)
Eq. Europe (DBEU)
Eq. India (EPI)
Eq. China (FXI)
Performance
Ho
use V
iew
Po
rt.
Bnchm
k
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. *Based on Total Returns. FXI, EPI, DBEU, DXJ, and QQQ returns from Jan 31 to Feb 9. USMV, KBWB, EFAV, IAU returns from Feb 9 to Feb 29. Other returns are full month returns.
Figure 46: Asset Class allocation Figure 47: Global Equity Allocation Figure 48: Regional Equity Allocation
0%
10%
20%
30%
40%
50%
60%
Equity Fixed Income Alternatives
Target Actual
0%
5%
10%
15%
20%
25%
30%
35%
US DM Intl EM
Target Actual
0%
5%
10%
15%
20%
25%
30%
35%
North America
Europe Japan Asia ex JP
Target Actual
Source: Deutsche Bank, FactSet.
Source: Deutsche Bank, FactSet.
Source: Deutsche Bank, FactSet.
14 March 2016
US ETF Market Monthly Review
Deutsche Bank Securities Inc. Page 25
Business Intelligence
New Listings
There were seven new ETFs and six new ETNs listed during the previous
month; nine of these were listed in the NYSE Arca, two were listed in the
NASDAQ, while the remaining funds were listed in the BATS. The new
products offer exposure to Global IG bonds, Global Sovereign HY bonds; Small
Cap and Small/Mid Cap companies selected by a Smart Growth methodology,
respectively; Global companies with a high free cash flow yield and a high
dividend yield, an alternative actively managed strategy offering exposure to
futures, a Putwrite strategy, and notes offering exposure to Crude Oil, and 2x
leveraged exposure to Europe, Global high dividend yield stocks, and MLPs.
Figure 49: Products listed during last month
Ticker NameAsset Class &
Structure
Listing
DateTER
AUM
$MM
OIIL Credit Suisse X-Links WTI Crude Oil Index ETN Commodity ETN 9-Feb-16 0.55% 26
MLPZ ETRACS 2xMonthly Leveraged S&P MLP Index ETN Series B Equity ETN 9-Feb-16 0.95% 33
MLPQ ETRACS 2xMonthly Leveraged Alerian MLP Infrastructure Index ETN Series B Equity ETN 9-Feb-16 0.85% 33
GTO Guggenheim Total Return Bond ETF Fixed Income ETF 10-Feb-16 0.50% 20
FIEE UBS AG FI Enhanced Europe 50 ETN Equity ETN 16-Feb-16 0.95% 26
FUT ProShares Managed Futures Strategy ETF Alternative ETF 18-Feb-16 0.75% 4
OILX ETRACS S&P GSCI Crude Oil Total Return Index ETN Commodity ETN 18-Feb-16 0.50% 26
FIHD UBS AG FI Enhanced Global High Yield ETN Equity ETN 22-Feb-16 0.80% 25
PGHD Pacer Global High Dividend ETF Equity ETF 23-Feb-16 0.60% 2
SOVB Cambria Sovereign High Yield Bond ETF Fixed Income ETF 23-Feb-16 0.59% 2
PUTW WisdomTree Cboe S&P 500 Putwrite Strategy Fund Alternative ETF 24-Feb-16 0.38% 3
JSMD Janus Small/Mid Cap Growth ETF Equity ETF 25-Feb-16 0.50% 3
JSML Janus Small Cap Growth Alpha ETF Equity ETF 25-Feb-16 0.50% 3 Source: Deutsche Bank, Bloomberg Finance LP
Equity UBS listed four new equity ETNs during February. Two of them offer 2x
leveraged exposure to MLPs, the first (MLPZ) tracks the S&P MLP index,
while the second one (MLPQ) tracks the Alerian MLP Infrastructure Index.
The remaining two notes offer 2x leveraged exposure to Global high
dividend yielding stocks (FIHD) tracking the MSCI World High Dividend
Yield Index, and European markets (FIEE) tracking the STOXX Europe 50
USD (Gross Return) Index. MLPZ and FIEE come with an annual expense
ratio of 0.95%; meanwhile, MLPQ and FIHD with an annual expense ratio
of 0.85% and 0.80%, respectively.
Janus Capital launched two new ETFs during last month. One of them
(JSMD) offers exposure to US Small/Mid cap companies tracking the
Janus Small/Mip Cap Growth Alpha Index; while, the second fund (JSML)
offers exposure to US Small cap stocks tracking the Janus Small cap
Growth Alpha Index. Both funds use a “Smart Growth“ methodology that
evaluates every stock on different fundamental factors such as growth,
profitability, and capital efficiency to identify companies poised for long-
run sustainable growth from the top 10% of the eligible universe. Both
ETFs come with an annual expense ratio of 0.50%.
14 March 2016
US ETF Market Monthly Review
Page 26 Deutsche Bank Securities Inc.
Pacer Advisors listed one new ETF (PGHD), which is designed to provide
exposure to the Top 100 Global companies with the highest free cash flow
yield and the highest dividend yield weighted by the highest trailing 12-
month dividends. PGHD tracks the Pacer Global Cash Cows Dividends 100
Index and comes with an annual expense ratio of 0.60%.
Fixed Income Guggenheim Investment listed one new actively managed ETF (GTO),
which offers exposure to a Global IG fixed income portfolio that seeks
maximum total return. The fund comes with a total expense ratio of 0.50%.
Cambria Funds listed one new actively managed ETF (SOVB), offering
exposure to Global Sovereign and Semi-Sovereign HY bonds. SOVB comes
with an annual expense ratio of 0.59%.
Commodities UBS also listed one new Commodity ETN during February. The note (OILX)
offers exposure to WTI Crude Oil, through front-month futures contracts
rolled over monthly, according to the methodology of the S&P GSCI Crude
Oil Total Return Index and comes with an annual expense ratio of 0.50%.
Credit Suisse listed one new Commodity ETN (OIIL) which offers exposure
to Crude Oil futures contracts, tracking the Bloomberg WTI Crude Oil Total
Return Index. The note comes with an annual expense ratio of 0.55%.
Alternative: ProShares launched one new actively managed alternative ETF (FUT),
which offers exposure to Commodity, Currency and Treasury futures via a
managed futures strategy weighted by risk and taking long/short positions
in each contract. FUT comes with an annual expense ratio of 0.75%
WisdomTree listed one new ETF (PUTW), which tracks the CBOE S&P 500
PutWrite Index, a collateralized put-write strategy on the S&P 500 Index,
offering long exposure to 1-Month and 3-Month Treasury-bills while selling
S&P 500 Index put options. PUTW come with an annual expense ratio of
0.38%.
Delistings
Figure 50: Delisted products during last month
Ticker NameAsset Class &
Structure
Delisting
dateTER
AUM at
Delisting $MM
MLPL ETRACS 2xMonthly Leveraged Long Alerian MLP Infrastructure Index Equity ETN 1-Feb-16 0.85% 127
MLPV ETRACS 2xMonthly Leveraged S&P MLP Index ETN Equity ETN 1-Feb-16 0.95% 45
ERW Janus Equal Risk Weighted Large Cap ETF Equity ETF 25-Feb-16 0.65% 2 Source: Deutsche Bank, Bloomberg Finance LP.
14 March 2016
US ETF Market Monthly Review
Deutsche Bank Securities Inc. Page 27
Trends in products launched in the last 12 months
Figure 51: Main trends among those products launched in the last 12 months
Product
segment
Net Cash
Flows
12M $MM
AUM
Feb '16 $MM
New Funds
last 12MAsset Class Focus
Net Cash
Flows
12M $MM
AUM
Feb '16
$MM
New
Funds
last 12M
Total (All) 8,974 8,307 258 Top 5 by Geographic Focus (Equities)
By Asset Class US - US 3,587 3,178 83
Equity 7,605 6,977 212 Global - Global (reg) 1,017 923 20
Fixed Income 1,192 1,191 28 DM - North America (reg) 728 779 2
Commodities - - - EM - Global (reg) 640 602 11
Currency - - - DM - Eurozone (Reg) 512 472 9
Multi Asset 102 95 5 Top 5 by Category (Fixed Income)
Alternative 75 44 13 Broad 457 458 5
By Management Strategy Corporates 410 408 13
Beta 1,704 1,715 58 Municipal 281 285 4
Beta+ 757 472 26 Convertible 25 22 2
Smart Beta 6,042 5,680 154 EM debt 11 11 3
Active 472 440 20 Source: Deutsche Bank, Bloomberg Finance LP
Figure 52: Top 20 products by net cash flow raised in the last 12
months
Figure 53: Top 20 Issuers by inflows to
products launched in the last 12 months
Ticker Name TER
Net CF
12M
$MM
XT iShares Exponential Technologies ETF 0.47% 715
NANR SPDR S&P North American Natural Resources ETF 0.35% 701
GEM Goldman Sachs ActiveBeta Emerging Markets Equity ETF 0.45% 590
PTLC Pacer Trendpilot 750 ETF 0.60% 385
GSLC Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF 0.09% 358
ONEV SPDR Russell 1000 Low Volatility Focus ETF 0.20% 340
ONEO SPDR Russell 1000 Momentum Focus ETF 0.20% 340
ONEY SPDR Russell 1000 Yield Focus ETF 0.20% 338
LABU Direxion Daily S&P Biotech Bull 3X Shares 0.95% 322
EUSC WisdomTree Europe Hedged SmallCap Equity Fund 0.58% 286
VTEB Vanguard Tax-Exempt Bond Index ETF 0.12% 213
FXEU PowerShares Europe Currency Hedged Low Volatility Portfolio 0.25% 179
NFLT Virtus Newfleet Multi-Sector Unconstrained Bond ETF 0.80% 178
IAGG iShares Core International Aggregate Bond ETF 0.15% 174
DWTR PowerShares DWA Tactical Sector Rotation Portfolio 0.15% 152
PTMC Pacer Trendpilot 450 ETF 0.60% 140
IDLB PowerShares FTSE International Low Beta Equal Weight Portfolio 0.45% 129
USLB PowerShares Russell 1000 Low Beta Equal Weight Portfolio 0.35% 126
CHAU Direxion Daily CSI 300 China A Share Bull 2X Shares 0.95% 120
XRLV PowerShares S&P 500 Ex-Rate Sensitive Low Volatility Portfolio 0.25% 112
Top 20 Issuers
Net Cash
Flows
12M $MM
AUM
Nov '15
$MM
New
Funds
last 12M
State Street 1,850 1,858 14
BlackRock 1,727 1,602 45
Goldman Sachs 1,030 985 3
PowerShares 706 662 9
DirexionShares 677 440 22
Pacer Advisors 630 578 6
WisdomTree 524 492 22
Etfis Capital 218 213 3
Vanguard 213 216 1
ProShares 168 119 15
First Trust 113 92 3
IndexIQ Advisors 108 95 6
John Hancock Inv. 106 100 6
O'Shares Investments 96 96 5
Deutsche AWM 92 82 19
ETC 74 69 5
Compass EMP 72 68 5
Global X Funds 64 57 10
JPMorgan 56 54 2
Innovator Mgmt 56 40 1 Source: Deutsche Bank, Bloomberg Finance LP
Source: Deutsche Bank, Bloomberg Finance LP
14 March 2016
US ETF Market Monthly Review
Page 28 Deutsche Bank Securities Inc.
Popular Product Segments: Smart Beta & Currency Hedged
Figure 54: Summary statistics for Smart Beta Equity ETFs
Smart Beta
(Equities)
Feb '16
$MM
YTD
$MM
Feb '16
$MM
MoM
Chg %
Mkt
Shr
Feb '16
$MM
MoM
Chg %
Mkt
Shr
Feb '16
All
Mkt
Shr
YTD
New
Dividend (160) (2,965) 25,928 -10% 20% 118,418 0% 28% 113 21% 3
Equal (1,703) (3,620) 40,927 -8% 32% 26,954 -7% 6% 68 13% 1
ESG (9) (18) 126 -26% 0% 1,738 -1% 0% 15 3% -
Fundamental (237) (217) 3,516 -30% 3% 14,597 -2% 3% 59 11% 2
Low Risk 3,248 4,552 10,324 18% 8% 30,295 13% 7% 46 8% -
Multi-factor (636) (2,355) 8,700 15% 7% 27,556 -3% 7% 126 23% -
Single-factor (172) (606) 2,386 -12% 2% 8,230 -2% 2% 41 8% -
Style (606) (4,845) 36,677 -28% 29% 191,692 0% 46% 63 12% -
Other (30) (20) 94 -44% 0% 526 -5% 0% 13 2% 8
Total (306) (10,094) 128,678 -13% 100% 420,005 0% 100% 544 100% 14
Net Cash Flows Turnover AUM # of Funds
Source: Deutsche Bank, Bloomberg Finance LP
Figure 55: Summary statistics for Currency-Hedged Equity ETFs
Currency Hedged
(Equities)
Feb '16
$MM
YTD
$MM
Feb '16
$MM
MoM
Chg %
Mkt
Shr
Feb '16
$MM
MoM
Chg %
Mkt
Shr
Feb '16
All
Mkt
Shr
YTD
New
Multiple (316) 425 5,909 -18% 27% 22,846 -5% 44% 43 47% 3
AUD 6 6 0 481% 0% 12 89% 0% 2 2% -
BRL - (0) 0 -71% 0% 3 4% 0% 1 1% -
CAD 5 5 8 5134% 0% 8 167% 0% 1 1% -
CHF - (2) 0 -72% 0% 2 -5% 0% 1 1% -
CNY - 1 1 -66% 0% 4 -3% 0% 2 2% -
EUR (831) (1,645) 6,480 -9% 30% 16,180 -7% 31% 16 17% 2
GBP (3) (5) 10 111% 0% 37 -8% 0% 3 3% -
JPY (1,403) (2,307) 9,033 5% 42% 12,291 -20% 24% 18 20% 2
KRW (24) (33) 63 -30% 0% 140 -14% 0% 3 3% -
MXN - - 0 77% 0% 6 0% 0% 2 2% -
Total (2,566) (3,555) 21,506 -7% 100% 51,529 -10% 100% 92 100% 7
Net Cash Flows Turnover AUM # of Funds
Source: Deutsche Bank, Bloomberg Finance LP
Figure 56: Top 10 Issuers in Equity Smart Beta Figure 57: Top 10 Issuers in Equity Currency hedged
Top 10 Issuers
(Equity Smart Beta)
AUM
Feb '16
$MM
Net Cash
Flows
12M $MM
# of Funds
Feb '16
BlackRock 167,628 15,582 64
Vanguard 91,727 9,692 20
WisdomTree 41,632 6,383 62
State Street 29,381 1,686 56
First Trust 25,427 2,426 70
PowerShares 25,421 518 82
Guggenheim Inv. 14,858 (1,942) 27
Charles Schwab 10,473 4,229 9
FlexShares 3,309 605 14
ALPS 1,664 (309) 14
Top 10 Issuers
(Equity Currency Hedged)
AUM
Feb '16
$MM
Net Cash
Flows
12M $MM
# of Funds
Feb '16
WisdomTree 26,136 8,316 23
Deutsche AWM 17,320 13,507 25
BlackRock 7,720 6,628 25
PowerShares 173 182 3
IndexIQ Advisors 90 102 3
ProShares 42 51 2
State Street 18 21 3
FlexShares 18 19 2
O'Shares Investments 5 5 2
DirexionShares 3 4 2 Source: Deutsche Bank, Bloomberg Finance LP
Source: Deutsche Bank, Bloomberg Finance LP
14 March 2016
US ETF Market Monthly Review
Deutsche Bank Securities Inc. Page 29
Average Performance by Product Type and Size (Equity)
1 Month Comparisons
Figure 58: US Equity ETFs - 1 Month Total Returns Figure 59: US Equity ETFs - # of Funds in 1M sample
BetaSmart
BetaActive All
Large Cap 0.1% 1.2% 1.0% 1.0%
Mid Cap 1.2% 1.7% 1.6%
Small Cap 0.4% 1.5% 3.6% 1.4%
Broad 0.3% 1.2% 1.4% 1.1%
All 0.4% 1.3% 1.4% 1.2%
US Equity, Broad sector,
non levered, 1M Total
Return by
Product Type
Siz
e
BetaSmart
BetaActive All
Large Cap 19 89 9 117
Mid Cap 7 29 - 36
Small Cap 11 39 2 52
Broad 10 64 10 84
All 47 221 21 289
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 60: DM Equity ETFs - 1 Month Total Returns Figure 61: DM Equity ETFs - # of Funds in 1M sample
BetaSmart
BetaActive All
Large Cap -3.7% -1.3% -2.3% -2.6%
Mid Cap 0.2% -1.2% -0.7%
Small Cap -1.9% -2.0% 0.3% -1.8%
Broad -3.0% -1.8% -3.7% -2.2%
All -2.8% -1.8% -1.9% -2.1%
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 8 7 1 16
Broad 27 69 1 97
All 43 84 3 130
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 62: EM Equity ETFs - 1 Month Total Returns Figure 63: EM Equity ETFs - # of Funds in 1M sample
BetaSmart
BetaActive All
Large Cap 0.2% 2.1% 0.8%
Mid Cap
Small Cap 0.0% 3.0% 1.5%
Broad 1.5% 0.4% 0.9%
All 1.3% 0.6% 1.0%
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 32 - 61
All 35 36 - 71
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
14 March 2016
US ETF Market Monthly Review
Page 30 Deutsche Bank Securities Inc.
1 Year Comparisons
Figure 64: US Equity ETFs - 1 Year Total Returns Figure 65: US Equity ETFs - # of Funds in 1Y sample
BetaSmart
BetaActive All
Large Cap -6.1% -7.3% -6.0% -7.0%
Mid Cap -10.6% -10.7% -10.7%
Small Cap -13.1% -12.6% -9.3% -12.6%
Broad -9.0% -6.9% -11.1% -7.6%
All -9.3% -8.8% -8.3% -8.8%
Product Type
Siz
e
US Equity, Broad sector,
non levered, 1Y Total
Return by
BetaSmart
BetaActive All
Large Cap 15 66 9 90
Mid Cap 7 27 - 34
Small Cap 11 36 1 48
Broad 10 51 7 68
All 43 180 17 240
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 66: DM Equity ETFs - 1 Year Total Returns Figure 67: DM Equity ETFs - # of Funds in 1Y sample
BetaSmart
BetaActive All
Large Cap -17.0% -17.5% -9.7% -16.4%
Mid Cap -9.2% -10.8% -10.3%
Small Cap -8.6% -7.7% -5.0% -7.9%
Broad -14.4% -14.0% -14.2%
All -13.9% -13.6% -7.4% -13.5%
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 22 38 - 60
All 34 47 2 83
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 68: EM Equity ETFs - 1 Year Total Returns Figure 69: EM Equity ETFs - # of Funds in 1Y sample
BetaSmart
BetaActive All
Large Cap -23.3% -22.3% -23.0%
Mid Cap
Small Cap -18.8% -19.4% -19.1%
Broad -24.1% -24.1% -24.1%
All -23.7% -23.6% -23.7%
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 28 22 - 50
All 34 26 - 60
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
14 March 2016
US ETF Market Monthly Review
Deutsche Bank Securities Inc. Page 31
Total Expense Ratio X-ray
Figure 70: 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% 0.54% 0.21% 0.94% 0.29% 0.91% 0.24%
Fixed Income 0.27% 0.88% 0.30% 0.56% 0.37% 0.21% 0.94% 0.30% 0.49% 0.23%
Commodity 0.80% 0.95% 0.80% 0.76% 0.83% 0.41% 0.95% 0.82% 0.64% 0.46%
Currency 0.45% 0.95% 0.75% 0.49% 0.59% 0.57% 0.95% 0.75% 0.48% 0.64%
Multi Asset 0.53% 0.69% 0.90% 0.73% 0.46% 0.77% 0.86% 0.55%
Alternative 1.88% 0.95% 0.79% 1.01% 1.13% 2.74% 0.95% 0.71% 0.96% 1.11%
All 0.45% 0.93% 0.48% 0.74% 0.54% 0.22% 0.94% 0.29% 0.56% 0.25%
Simple Average AUM-Weighted Average
Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month
Figure 71: Selected TER averages for the top 15 Issuers by AUM
BetaSmart
BetaBeta Active Beta
Smart
BetaBeta Active
BlackRock 790,675 0.46% 0.30% 0.23% 0.32% 0.36% 0.30% 0.23% 0.21% 0.25% 0.27%
Vanguard 468,159 0.12% 0.15% 0.12% 0.13% 0.10% 0.10% 0.10% 0.10%
State Street 401,108 0.34% 0.30% 0.28% 0.48% 0.33% 0.14% 0.33% 0.28% 0.56% 0.19%
PowerShares 87,628 0.43% 0.51% 0.42% 0.51% 0.25% 0.45% 0.52% 0.39%
WisdomTree 43,405 0.46% 0.49% 0.33% 0.54% 0.50% 0.43% 0.52% 0.42% 0.55% 0.52%
Charles Schwab 39,107 0.09% 0.27% 0.08% 0.16% 0.07% 0.16% 0.00% 0.09%
First Trust 33,607 0.61% 0.69% 0.79% 0.71% 0.60% 0.62% 0.00% 0.64%
Guggenheim Inv. 25,549 0.63% 0.50% 0.39% 0.47% 0.54% 0.42% 0.28% 0.40%
ProShares 24,451 0.29% 0.47% 0.51% 0.50% 0.88% 0.32% 0.35% 0.48% 0.50% 0.89%
Van Eck Funds 20,669 0.63% 0.53% 0.35% 0.71% 0.53% 0.49% 0.34% 0.51%
Deutsche AWM 17,740 0.54% 0.43% 0.30% 0.50% 0.39% 0.43% 0.30% 0.39%
PIMCO 10,967 0.27% 0.51% 0.39% 0.37% 0.43% 0.41%
ALPS 8,993 0.56% 0.59% 0.22% 0.57% 0.84% 0.49% 0.22% 0.74%
DirexionShares 8,391 0.57% 0.85% 0.62% 0.93%
FlexShares 7,959 0.48% 0.46% 0.20% 0.25% 0.39% 0.48% 0.39% 0.20% 0.25% 0.36%
Equity Fixed IncomeAll
Simple Average AUM-Weighted Average
AllEquity Fixed IncomeAUM Feb
'16 $MMTop 15 Issuers
Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month
14 March 2016
US ETF Market Monthly Review
Page 32 Deutsche Bank Securities Inc.
ETF Statistics
Global ETF Assets and Provider Ranking
Figure 72: Historical Growth of Global ETP Assets*
'06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16*
Asia Pacific ($) 49 62 53 67 84 91 136 169 202 251 237
Europe ($) 91 132 145 244 309 297 368 416 459 507 487
US ($) 427 612 535 783 997 1,046 1,333 1,678 1,979 2,113 2,015
US, Europe & Asia Pacific ($) 567 804 733 1,094 1,390 1,435 1,838 2,262 2,640 2,872 2,739
Europe (€) 69 90 104 170 231 229 279 302 379 467 448
Number of ETPs** 737 1,213 1,666 2,041 2,580 3,124 3,492 3,711 4,019 4,420 4,480
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 73: Top 10 Global ETP Provider Ranking and Summary Statistics
Rank IssuerCurrent
AUM
Mkt.
Share2015 AUM
2015 Mkt.
ShareNu.
Current
Month CF
Current
Month TOYTD CF
1 BlackRock 1,021,949 37.3% 1,071,580 37.3% 641 2,426 494,133 3,372
2 Vanguard 488,562 17.8% 504,808 17.6% 108 2,671 93,139 6,952
3 State Street 428,819 15.7% 443,216 15.4% 266 1,419 857,276 2,522
4 PowerShares 89,411 3.3% 99,777 3.5% 165 -2,063 108,793 -4,252
5 Deutsche AWM 77,857 2.8% 83,073 2.9% 269 -610 12,786 354
6 Nomura Asset Management 61,733 2.3% 63,783 2.2% 49 1,444 54,045 5,468
7 Lyxor 48,515 1.8% 51,862 1.8% 245 -47 15,888 315
8 WisdomTree 43,893 1.6% 52,387 1.8% 115 -1,942 16,912 -3,706
9 Charles Schwab 39,107 1.4% 39,712 1.4% 21 494 7,411 1,350
10 First Trust 33,728 1.2% 42,877 1.5% 104 -2,413 14,189 -5,380
Total Top 10 2,333,573 85.2% 2,453,076 85.4% 1,983 1,379 1,674,572 6,996Others 404,996 14.8% 418,466 14.6% 2,497 7,590 330,871 13,728
Global Total 2,738,570 100.0% 2,871,542 100.0% 4,480 8,969 2,005,443 20,724 Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month.
14 March 2016
US ETF Market Monthly Review
Deutsche Bank Securities Inc. Page 33
US Historical ETF trends
Figure 74: Annual ETP historical growth in AUM and # of
funds
Figure 75: 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
Feb
-16
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. *YTD 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 76: Net Cash Flows and AUM historical
comparison between Mutual Funds and ETFs*
Figure 77: 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
20
00
20
01
20
02
20
03
20
04
20
05
20
06
20
07
20
08
20
09
20
10
20
11
20
12
20
13
20
14
20
15
20
16
*
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%
-400,000
-300,000
-200,000
-100,000
0
100,000
200,000
300,000
400,000
500,000
20
00
20
01
20
02
20
03
20
04
20
05
20
06
20
07
20
08
20
09
20
10
20
11
20
12
20
13
20
14
20
15
20
16
*
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 January 2016. Mutual Funds only include Long Term Mutual Funds.
Source: Deutsche Bank, ICI, Bloomberg Finance LP. *Data as of the end of January 2016. Mutual Funds only include Long Term Mutual Funds.
14 March 2016
US ETF Market Monthly Review
Page 34 Deutsche Bank Securities Inc.
ETF Issuer and Index Provider league tables
Figure 78: ETP Issuer league table (excludes ETN assets)
Top 50 Issuers TotalMkt
ShrEquity
Fixed
IncomeCmdty Other
Feb '16
$MM
YTD
$MMFeb '16
$MM
Mkt
ShrFeb '16
YTD
New
BlackRock 790,675 39.2% 570,486 205,197 13,052 1,939 1,983 1,699 456,185 25.5% 328 3
Vanguard 468,159 23.2% 380,619 87,539 - - 2,682 6,909 90,681 5.1% 68 0
State Street 401,108 19.9% 331,028 38,893 30,851 336 1,245 1,881 852,216 47.6% 158 1
PowerShares 87,628 4.3% 66,850 15,222 3,674 1,883 (2,028) (4,259) 108,463 6.1% 143 0
WisdomTree 43,405 2.2% 41,816 613 207 768 (1,914) (3,729) 16,875 0.9% 93 5
Charles Schwab 39,107 1.9% 34,094 5,013 - - 494 1,350 7,411 0.4% 21 0
First Trust 33,607 1.7% 30,451 2,108 160 888 (2,412) (5,380) 14,170 0.8% 97 0
Guggenheim Inv. 25,549 1.3% 16,838 7,116 - 1,596 (448) (1,463) 6,893 0.4% 74 1
ProShares 24,451 1.2% 17,340 3,436 1,438 2,236 966 1,017 105,861 5.9% 152 2
Van Eck Funds 20,669 1.0% 14,641 5,855 99 74 (10) 54 51,647 2.9% 58 1
Deutsche AWM 17,740 0.9% 17,695 45 - - (281) (252) 4,722 0.3% 35 0
PIMCO 10,967 0.5% - 10,967 - - (400) 56 2,932 0.2% 14 0
ALPS 8,993 0.4% 8,453 538 - 2 227 146 3,470 0.2% 21 0
DirexionShares 8,391 0.4% 7,914 476 - - 124 266 51,031 2.9% 78 0
FlexShares 7,959 0.4% 5,518 2,441 - - 238 496 996 0.1% 22 0
US Commodity Funds 5,082 0.3% 5 - 5,077 - 468 1,381 11,079 0.6% 12 0
Fidelity Investments 3,496 0.2% 3,031 466 - - (40) (55) 948 0.1% 15 0
Global X Funds 2,758 0.1% 2,500 226 - 32 (103) (143) 573 0.0% 47 0
ETF Securities 1,977 0.1% 10 - 1,966 - 44 36 342 0.0% 10 0
ETC 1,839 0.1% 1,318 408 - 113 49 54 213 0.0% 17 0
IndexIQ Advisors 1,491 0.1% 237 - - 1,254 2 (33) 226 0.0% 17 0
Millington Securities 1,375 0.1% 856 - - 519 (14) (57) 71 0.0% 10 0
AdvisorShares Trust 1,097 0.1% 459 542 26 70 43 18 355 0.0% 21 0
Goldman Sachs 985 0.0% 985 - - - 95 169 217 0.0% 3 0
EGShares 789 0.0% 789 - - - (1) (46) 169 0.0% 9 0
ETFMG 714 0.0% 714 - - - (66) (161) 213 0.0% 8 0
Pacer Advisors 578 0.0% 578 - - - 34 82 103 0.0% 6 1
Compass EMP 370 0.0% 370 - - - (26) 18 95 0.0% 10 0
Etfis Capital 343 0.0% 138 177 - 29 23 27 84 0.0% 7 0
JPMorgan 301 0.0% 301 - - - 51 90 61 0.0% 5 0
Highland Capital 290 0.0% - 283 - 6 (19) (28) 42 0.0% 4 0
Cambria Funds 269 0.0% 222 2 - 45 (6) (23) 32 0.0% 7 1
Franklin Templeton 193 0.0% - 193 - - 5 5 110 0.0% 1 0
KraneShares 179 0.0% 160 19 - - (3) (22) 163 0.0% 5 0
John Hancock Inv. 100 0.0% 100 - - - - 0 4 0.0% 6 0
ArrowShares 98 0.0% 4 - - 94 (1) (11) 31 0.0% 3 0
O'Shares Investments 96 0.0% 96 - - - 28 49 58 0.0% 5 0
Teucrium Trading 94 0.0% - - 94 - (3) (3) 23 0.0% 5 0
Empowered Funds 80 0.0% 80 - - - (7) 1 17 0.0% 4 0
Lattice Strategies 73 0.0% 73 - - - 3 3 13 0.0% 4 0
QuantShares 69 0.0% - - - 69 1 43 25 0.0% 5 0
U.S. Global Investors 51 0.0% 51 - - - 0 0 20 0.0% 1 0
Recon Capital 49 0.0% 49 - - - 2 4 10 0.0% 3 0
Reality Shares 47 0.0% 42 - - 5 - 9 2 0.0% 4 3
Precidian 42 0.0% 42 - - - - - 16 0.0% 1 0
Innovator Mgmt 40 0.0% 40 - - - (5) (15) 20 0.0% 1 0
ARK Inv. Mgmt 36 0.0% 36 - - - - - 1 0.0% 4 0
Principal Financial Group 27 0.0% - - - 27 (2) (2) 4 0.0% 1 0
Calamos Investments 25 0.0% 25 - - - - - 0 0.0% 1 0
AlphaMark Advisors 23 0.0% 23 - - - (3) (7) 1 0.0% 1 0
Other 1,046 0.1% 1,010 33 - 3 (27) (83) 118 0.0% 34 2
Total 2,014,531 100% 1,558,088 387,809 56,646 11,988 993 97 1,789,012 100% 1,659 20
Net Cash FlowsAssets Under Management Feb '16 $MM # of FundsTurnover
Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month
14 March 2016
US ETF Market Monthly Review
Deutsche Bank Securities Inc. Page 35
Figure 79: Index Provider league table (excludes ETN assets)
Turnover
Top 20 Index Providers TotalMkt
ShrEquity
Fixed
IncomeCmdty Other
Feb '16
$MM
YTD
$MMFeb '16
$MM
Mkt
ShrFeb '16
YTD
New
S&P Dow Jones 680,023 33.8% 647,701 27,635 1,701 2,986 (6,818) (11,997) 976,452 54.6% 383 -
MSCI 290,939 14.4% 290,939 - - - (1,262) (1,525) 169,446 9.5% 224 4
FTSE Russell 276,950 13.7% 276,228 694 - 28 (2,772) (6,695) 185,359 10.4% 138 -
Barclays 266,777 13.2% - 266,777 - - 7,800 19,713 88,415 4.9% 114 -
CRSP 141,757 7.0% 141,757 - - - 1,049 925 19,030 1.1% 13 -
Nasdaq OMX 73,673 3.7% 72,706 218 - 748 (1,396) (3,532) 137,692 7.7% 47 -
Commodity - Physical 49,953 2.5% - - 49,953 - 5,627 7,850 52,492 2.9% 21 -
Markit iBoxx 44,814 2.2% - 44,814 - - 2,423 2,175 34,043 1.9% 15 -
WisdomTree 41,838 2.1% 41,813 5 - 21 (1,823) (3,711) 16,503 0.9% 70 4
Active 23,493 1.2% 2,977 18,317 699 1,500 455 1,629 5,421 0.3% 132 4
NYSE Euronext 22,550 1.1% 22,077 473 - - (1,358) (2,599) 57,330 3.2% 39 -
Morningstar 13,734 0.7% 13,413 84 - 237 394 477 2,157 0.1% 26 -
BofA Merrill Lynch 10,058 0.5% 126 9,894 - 38 127 627 2,387 0.1% 24 -
Market Vectors 7,797 0.4% 7,625 97 - 74 (182) (315) 17,848 1.0% 35 -
Dorsey Wright 7,086 0.4% 7,086 - - - (828) (1,834) 2,502 0.1% 17 -
Deutsche Bank 7,055 0.4% - 2,661 3,418 976 (69) (314) 2,254 0.1% 15 -
Alerian 6,597 0.3% 6,597 - - - 178 186 3,062 0.2% 2 -
Accretive AM 6,434 0.3% - 6,434 - - 184 398 1,014 0.1% 18 -
J.P. Morgan 5,450 0.3% - 5,428 - 22 (109) (418) 2,652 0.1% 4 -
STOXX 3,949 0.2% 3,949 - - - (358) (398) 2,572 0.1% 6 -
Other 33,604 1.7% 23,093 4,280 874 5,358 (269) (547) 10,379 44.4% 316 8
Total 2,014,531 100% 1,558,088 387,809 56,646 11,988 993 97 1,789,012 100% 1,659 20
Assets Under Management Feb '16 $MM Net Cash Flows # of Funds
Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month
14 March 2016
US ETF Market Monthly Review
Page 36 Deutsche Bank Securities Inc.
Monthly Snapshot
Figure 80: ETP Summary Statistics by Asset Class
Asset ClassFeb '16
$MM
YTD
$MMFeb '16
$MM
MoM
Chg %
Mkt
ShrFeb '16
$MM
MoM
Chg %
Mkt
ShrFeb '16
All
Mkt
Shr
YTD
New
Equity (14,719) (30,532) 1,551,819 -16% 87% 1,558,088 -1% 77% 1,218 73% 15
Fixed Income 10,440 23,749 141,563 -4% 8% 387,809 3% 19% 287 17% 2
Commodities 5,884 8,362 59,228 56% 3% 56,646 19% 3% 53 3% -
Currency (264) (459) 3,098 -25% 0% 3,354 -8% 0% 25 2% -
Multi Asset (146) (777) 631 -51% 0% 5,013 -3% 0% 35 2% -
Alternative (205) (336) 32,673 -18% 2% 3,622 -4% 0% 41 2% 3
Total 991 7 1,789,012 -14% 100% 2,014,531 0% 100% 1,659 100% 20
AUMTurnover Net Cash Flows # of Funds
Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month.
Figure 81: ETP Summary Statistics by Management Style (Active-Passive)
Passive-->ActiveFeb '16
$MM
YTD
$MMFeb '16
$MM
MoM
Chg %
Mkt
ShrFeb '16
$MM
MoM
Chg %
Mkt
ShrFeb '16
All
Mkt
Shr
YTD
New
Beta (366) 6,672 1,495,960 -14% 84% 1,524,852 0% 76% 692 42% 1
Beta+ 1,081 1,334 155,685 -8% 9% 30,627 3% 2% 195 12% -
Smart Beta (50) (9,422) 132,028 -13% 7% 435,374 0% 22% 637 38% 16
Active 325 1,422 5,340 0% 0% 23,678 1% 1% 135 8% 3
Total 991 7 1,789,012 -14% 100% 2,014,531 0% 100% 1,659 100% 20
Turnover AUMNet Cash Flows # of Funds
Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month.
Figure 82: ETP Summary Statistics by Product Type
Product TypeFeb '16
$MM
YTD
$MMFeb '16
$MM
MoM
Chg %
Mkt
ShrFeb '16
$MM
MoM
Chg %
Mkt
ShrFeb '16
All
Mkt
Shr
YTD
New
Asset Allocation (1,758) (5,866) 171,862 -11% 10% 664,616 -1% 33% 1,359 82% 20
Cash Management 2,138 9,402 244,343 -18% 14% 805,661 0% 40% 64 4% -
Pseudo Futures (470) (4,864) 1,217,122 -14% 68% 513,628 1% 25% 41 2% -
Leveraged & Inverse 1,081 1,334 155,685 -8% 9% 30,627 3% 2% 195 12% -
Total 991 7 1,789,012 -14% 100% 2,014,531 0% 100% 1,659 100% 20
Turnover AUMNet Cash Flows # of Funds
Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month.
14 March 2016
US ETF Market Monthly Review
Deutsche Bank Securities Inc. Page 37
Equity Breakdowns
Figure 83: ETP Summary Statistics by Geographic Focus – Global and Developed Market Equities
Geographic Focus
(Equities)
Feb '16
$MM
YTD
$MMFeb '16
$MM
MoM
Chg %
Mkt
ShrFeb '16
$MM
MoM
Chg %
Mkt
ShrFeb '16
All
Mkt
Shr
YTD
New
Global Markets Equities
Global (reg) (290) (714) 60,403 87% 4% 34,380 8% 2% 117 10% 1
Global ex US (reg) (531) (1,017) 5,542 -30% 0% 26,977 -4% 2% 30 2% -
Asia Pacific (reg) (1) (1) 1 34% 0% 19 -10% 0% 1 0% -
Asia Pacific ex JP (reg) (65) (283) 1,018 -33% 0% 2,516 -3% 0% 7 1% -
Total GME (888) (2,014) 66,964 60% 4% 63,893 2% 4% 155 13% 1
Developed Market Equities
Global (reg) (86) (35) 2,035 -9% 0% 9,884 -2% 1% 24 2% 1
Global ex US (reg) 977 3,020 53,555 -16% 3% 145,749 -1% 9% 89 7% 3
Global ex JP (reg) (9) (19) 51 176% 0% 252 -4% 0% 1 0% -
Europe & Middle East
Europe (reg) (475) (373) 8,294 -10% 1% 22,553 -4% 1% 31 3% -
Denmark (5) (5) 57 -22% 0% 77 -8% 0% 1 0% -
Norway (2) (0) 23 23% 0% 74 0% 0% 2 0% -
Sweden - (34) 111 -52% 0% 308 1% 0% 1 0% -
Switzerland (40) (5) 672 -35% 0% 1,270 -4% 0% 3 0% -
UK (112) (146) 1,318 -22% 0% 2,303 -6% 0% 8 1% -
Eurozone (Reg) (2,176) (2,379) 15,194 -12% 1% 32,957 -9% 2% 16 1% 2
Austria 6 6 21 -21% 0% 57 11% 0% 1 0% -
Belgium (14) (32) 92 -12% 0% 185 -10% 0% 1 0% -
Finland - - 8 -7% 0% 23 -5% 0% 1 0% -
France - - 584 -34% 0% 362 -1% 0% 1 0% -
Germany (833) (761) 4,450 -5% 0% 6,276 -14% 0% 8 1% -
Ireland (2) 8 48 -12% 0% 166 -2% 0% 1 0% -
Israel 13 21 34 -53% 0% 162 9% 0% 3 0% -
Italy (40) (143) 497 -35% 0% 793 -10% 0% 3 0% -
Netherlands 23 9 132 -13% 0% 165 15% 0% 1 0% -
Portugal (0) (1) 3 -45% 0% 23 -7% 0% 1 0% -
Spain (47) (254) 665 -46% 0% 992 -8% 0% 4 0% -
North America
North America (reg) 38 36 179 -25% 0% 1,717 9% 0% 4 0% -
Canada 267 235 1,362 9% 0% 2,039 20% 0% 6 0% -
US (8,098) (20,425) 1,260,514 -18% 81% 1,127,213 -1% 72% 610 50% 5
Asia Pacific
Pacific (reg) (2) 74 844 -39% 0% 3,465 -3% 0% 5 0% -
Japan (2,052) (2,340) 21,505 -8% 1% 30,934 -12% 2% 34 3% 2
Pacific ex JP (reg) (73) (73) 403 -4% 0% 1,736 -4% 0% 4 0% -
Australia 3 6 1,138 -20% 0% 1,227 -1% 0% 7 1% -
Hong Kong (415) (614) 1,943 -24% 0% 1,707 -20% 0% 2 0% -
New Zealand (2) (9) 30 -36% 0% 61 1% 0% 1 0% -
Singapore (32) (42) 316 -19% 0% 465 -3% 0% 1 0% -
Total DME (13,188) (24,274) 1,376,079 -18% 89% 1,395,192 -1% 90% 875 72% 13
Total Equities (14,719) (30,532) 1,551,819 -16% 100% 1,558,088 -1% 100% 1,218 100% 15
Net Cash Flows Turnover AUM # of Funds
Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month.
14 March 2016
US ETF Market Monthly Review
Page 38 Deutsche Bank Securities Inc.
Figure 84: ETP Summary Statistics by Geographic Focus – Emerging Market Equities
Geographic Focus
(Equities)
Feb '16
$MM
YTD
$MMFeb '16
$MM
MoM
Chg %
Mkt
ShrFeb '16
$MM
MoM
Chg %
Mkt
ShrFeb '16
All
Mkt
Shr
YTD
New
Emerging Market Equities
Global (reg) (581) (2,798) 61,620 -9% 4% 69,305 -1% 4% 62 5% 1
BRIC (reg) (1) (16) 20 -44% 0% 282 -2% 0% 3 0% -
Asia
Asia (reg) (27) (44) 112 -11% 0% 627 -6% 0% 4 0% -
China (135) (198) 20,087 -21% 1% 7,814 -5% 1% 26 2% -
China A (21) (67) 1,065 -34% 0% 638 -5% 0% 12 1% -
India (49) (367) 2,961 -30% 0% 5,456 -9% 0% 10 1% -
Indonesia 128 114 406 41% 0% 502 43% 0% 3 0% -
Malaysia 15 15 351 -3% 0% 228 5% 0% 1 0% -
Philippines 16 (12) 185 16% 0% 229 8% 0% 1 0% -
South Korea (8) (68) 2,993 -18% 0% 3,099 -3% 0% 8 1% -
Taiwan (69) (494) 2,429 -24% 0% 2,229 1% 0% 3 0% -
Thailand 9 3 223 -7% 0% 236 8% 0% 1 0% -
Europe
Europe (reg) (2) (2) 6 2% 0% 34 -4% 0% 1 0% -
Poland 16 2 84 -16% 0% 170 15% 0% 2 0% -
Russia 22 (14) 4,568 -3% 0% 2,140 1% 0% 6 0% -
Turkey (15) (36) 254 20% 0% 281 -2% 0% 1 0% -
Greece 5 (3) 44 -15% 0% 203 -4% 0% 1 0% -
Middle East & Africa
ME & Africa (reg) (5) (5) 4 -65% 0% 24 -14% 0% 1 0% -
Middle East (reg) - (4) 1 -35% 0% 27 8% 0% 2 0% -
Africa (reg) (1) (4) 7 -59% 0% 52 1% 0% 1 0% -
Egypt - - 2 -2% 0% 23 0% 0% 1 0% -
South Africa 36 17 633 3% 0% 295 14% 0% 1 0% -
Qatar 2 2 7 35% 0% 44 13% 0% 1 0% -
UAE 2 2 7 108% 0% 28 19% 0% 1 0% -
Latin America
Latin America (reg) 10 (24) 233 46% 0% 565 4% 0% 7 1% -
Brazil 11 (71) 7,435 10% 0% 2,008 6% 0% 10 1% -
Chile 62 44 217 80% 0% 245 38% 0% 1 0% -
Colombia 4 4 19 -5% 0% 83 13% 0% 2 0% -
Mexico 2 (117) 2,338 -5% 0% 1,129 1% 0% 6 0% -
Peru - - 32 -4% 0% 114 12% 0% 1 0% -
Frontier Markets
Frontier (reg) (62) (86) 343 106% 0% 503 -8% 0% 3 0% -
Argentina 5 9 14 38% 0% 34 28% 0% 1 0% -
Nigeria - - 8 -52% 0% 17 -2% 0% 1 0% -
Pakistan - - 0 -55% 0% 5 1% 0% 1 0% -
Saudi Arabia - - 0 -80% 0% 4 4% 0% 1 0% -
Vietnam (13) (24) 68 -50% 0% 330 -4% 0% 1 0% -
Total EME (643) (4,243) 108,776 -11% 7% 99,003 -1% 6% 188 15% 1
Total Equities (14,719) (30,532) 1,551,819 -16% 100% 1,558,088 -1% 100% 1,218 100% 15
Net Cash Flows Turnover AUM # of Funds
Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month.
14 March 2016
US ETF Market Monthly Review
Deutsche Bank Securities Inc. Page 39
Figure 85: ETP Summary Statistics by Size and Market – Equities
Market Cap Segment
(Equities)
Feb '16
$MM
YTD
$MM
Feb '16
$MM
MoM
Chg %
Mkt
Shr
Feb '16
$MM
MoM
Chg %
Mkt
Shr
Feb '16
All
Mkt
Shr
YTD
New
US Equities
Large Cap (4,480) (8,567) 976,717 -18% 63% 586,532 -1% 38% 176 14% 2
Mid Cap (1,289) (3,297) 20,969 -38% 1% 97,754 0% 6% 43 4% -
Small Cap (1,863) (3,364) 111,190 -22% 7% 89,581 -2% 6% 76 6% 1
Broad (465) (5,196) 151,637 -15% 10% 353,346 0% 23% 315 26% 2
Total US Equities (8,098) (20,425) 1,260,514 -18% 81% 1,127,213 -1% 72% 610 50% 5
DM Intl Equities
Large Cap (432) (448) 2,880 -18% 0% 6,566 -8% 0% 23 2% 1
Mid Cap 4 11 60 -29% 0% 329 1% 0% 3 0% -
Small Cap (178) (14) 1,809 -29% 0% 9,754 -2% 1% 24 2% 1
Broad (4,485) (3,399) 110,817 -13% 7% 251,330 -4% 16% 215 18% 6
Total DM Intl Equities (5,090) (3,850) 115,565 -14% 7% 267,979 -4% 17% 265 22% 8
EM Equities
Large Cap (49) (98) 19,166 -21% 1% 5,919 -4% 0% 15 1% -
Mid Cap - - 0 -25% 0% 3 6% 0% 1 0% -
Small Cap (23) (54) 336 -24% 0% 1,687 -1% 0% 14 1% -
Broad (572) (4,092) 89,274 -9% 6% 91,394 -1% 6% 158 13% 1
Total EM Equities (643) (4,243) 108,776 -11% 7% 99,003 -1% 6% 188 15% 1
Total Equities (14,719) (30,532) 1,551,819 -16% 100% 1,558,088 -1% 100% 1,218 100% 15
Net Cash Flows Turnover AUM # of Funds
Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month.
Figure 86: ETP Summary Statistics by Style and Market – Equities
Style
(Equities)
Feb '16
$MM
YTD
$MMFeb '16
$MM
MoM
Chg %
Mkt
ShrFeb '16
$MM
MoM
Chg %
Mkt
ShrFeb '16
All
Mkt
Shr
YTD
New
US Equities
Growth (1,062) (4,030) 18,410 -26% 1% 101,029 -1% 6% 39 3% 2
Value 565 (869) 18,051 -29% 1% 89,453 1% 6% 41 3% -
Dividend 1,729 1,036 10,955 -11% 1% 81,167 4% 5% 48 4% 1
Blend (9,330) (16,561) 1,213,098 -18% 78% 855,563 -1% 55% 482 40% 2
Total US Equities (8,098) (20,425) 1,260,514 -18% 81% 1,127,213 -1% 72% 610 50% 5
DM Intl Equities
Growth (96) (96) 469 6% 0% 2,211 -6% 0% 1 0% -
Value (82) (64) 279 -42% 0% 2,460 -5% 0% 1 0% -
Dividend (1,817) (3,662) 14,821 -7% 1% 34,300 -10% 2% 45 4% 5
Blend (3,095) (27) 99,996 -15% 6% 229,007 -3% 15% 218 18% 3
Total DM Intl Equities (5,090) (3,850) 115,565 -14% 7% 267,979 -4% 17% 265 22% 8
EM Equities
Dividend (51) (114) 317 -43% 0% 2,448 1% 0% 12 1% 1
Blend (592) (4,129) 108,460 -11% 7% 96,555 -2% 6% 176 14% -
Total EM Equities (643) (4,243) 108,776 -11% 7% 99,003 -1% 6% 188 15% 1
Total Equities (14,719) (30,532) 1,551,819 -16% 100% 1,558,088 -1% 100% 1,218 100% 15
Net Cash Flows Turnover AUM # of Funds
Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month.
14 March 2016
US ETF Market Monthly Review
Page 40 Deutsche Bank Securities Inc.
Figure 87: ETP Summary Statistics by Sectors – US Equities
Sector
(US Equities)
Feb '16
$MM
YTD
$MMFeb '16
$MM
MoM
Chg %
Mkt
ShrFeb '16
$MM
MoM
Chg %
Mkt
ShrFeb '16
All
Mkt
Shr
YTD
New
Consumer Discretionary (521) (2,108) 23,743 -15% 2% 19,370 -2% 2% 23 4% -
Consumer Staples 291 993 18,298 4% 1% 16,933 2% 2% 13 2% -
Energy (150) 870 57,297 -8% 5% 27,557 -4% 2% 32 5% -
Financials (1,014) (3,501) 50,930 8% 4% 30,452 -6% 3% 39 6% -
Healthcare (2,983) (3,860) 47,960 -18% 4% 36,766 -10% 3% 36 6% -
Industrials 132 (155) 17,128 -1% 1% 10,813 5% 1% 15 2% -
Materials 118 91 8,975 6% 1% 4,054 11% 0% 12 2% -
Real Estate (615) 88 21,560 -25% 2% 40,348 -2% 4% 20 3% -
Technology (1,217) (3,743) 21,407 -14% 2% 31,307 -5% 3% 32 5% -
Telecom 113 115 581 -2% 0% 1,772 12% 0% 5 1% -
Utilities 2,435 3,367 24,119 76% 2% 12,458 27% 1% 9 1% -
Theme (501) (641) 1,671 -37% 0% 6,966 -7% 1% 38 6% 1
Overall (4,188) (11,938) 966,845 -22% 77% 888,415 0% 79% 336 55% 4
Total US Equities (8,098) (20,425) 1,260,514 -18% 100% 1,127,213 -1% 100% 610 100% 5
Net Cash Flows Turnover AUM # of Funds
Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month.
Commodity Breakdowns
Figure 88: ETP Summary Statistics by Sectors and Sub Sectors– Commodity
Sector
(Commodities)
Feb '16
$MM
YTD
$MMFeb '16
$MM
MoM
Chg %
Mkt
ShrFeb '16
$MM
MoM
Chg %
Mkt
ShrFeb '16
Mkt
Shr
YTD
New
Diversified Broad 86 89 906 -1% 2% 3,925 2% 7% 10 19% -
Agriculture (15) (35) 85 -27% 0% 715 -3% 1% 7 13% -
Energy 616 1,828 16,555 -10% 28% 6,106 2% 11% 15 28% -
Crude Oil 556 1,782 15,013 -12% 25% 5,483 5% 10% 7 13% -
Natural Gas 60 46 1,391 12% 2% 474 -17% 1% 4 8% -
Industrial Metals (7) (18) 31 42% 0% 100 -2% 0% 2 4% -
Precious Metals 5,204 6,499 41,651 126% 70% 45,800 25% 81% 19 36% -
Gold 5,162 6,610 39,092 133% 66% 39,771 28% 70% 9 17% -
Silver 29 (105) 2,386 55% 4% 5,145 5% 9% 5 9% -
Platinum 18 14 94 89% 0% 434 11% 1% 1 2% -
Palladium - (7) 21 -26% 0% 157 -1% 0% 1 2% -
Total Commodities 5,884 8,362 59,228 56% 100% 56,646 19% 100% 53 100% -
Net Cash Flows Turnover AUM # of Funds
Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month.
14 March 2016
US ETF Market Monthly Review
Deutsche Bank Securities Inc. Page 41
Fixed Income Breakdowns
Figure 89: ETP Summary Statistics by Category – Fixed Income
Categories
(Fixed Income)
Feb '16
$MM
YTD
$MMFeb '16
$MM
MoM
Chg %
Mkt
ShrFeb '16
$MM
MoM
Chg %
Mkt
ShrFeb '16
All
Mkt
Shr
YTD
New
Broad 2,061 5,183 17,289 -19% 12% 113,761 2% 29% 44 15% 1
Convertible (129) (168) 672 -41% 0% 2,234 -5% 1% 3 1% -
Corporates 3,420 4,139 54,946 -2% 39% 115,916 3% 30% 89 31% -
EM debt (298) (715) 4,009 3% 3% 10,023 -2% 3% 24 8% 1
Inflation 457 718 2,960 7% 2% 23,751 3% 6% 17 6% -
International (50) 63 556 -49% 0% 3,085 1% 1% 13 5% -
Municipal 622 1,363 3,172 -12% 2% 20,623 3% 5% 36 13% -
Preferred 57 516 4,611 9% 3% 21,249 -1% 5% 9 3% -
Securitized 400 277 1,234 -46% 1% 10,839 4% 3% 9 3% -
Senior Loans (319) (467) 1,352 -3% 1% 4,934 -7% 1% 4 1% -
US Treasury 4,219 12,841 50,763 3% 36% 61,394 8% 16% 39 14% -
Total Fixed Income 10,440 23,749 141,563 -4% 100% 387,809 3% 100% 287 100% 2
Net Cash Flows Turnover AUM # of Funds
Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month.
Figure 90: ETP Summary Statistics by Credit Quality – Fixed Income
Credit Quality
(Fixed Income)
Feb '16
$MM
YTD
$MMFeb '16
$MM
MoM
Chg %
Mkt
ShrFeb '16
$MM
MoM
Chg %
Mkt
ShrFeb '16
All
Mkt
Shr
YTD
New
Investment Grade 9,304 21,939 95,570 -2% 68% 307,262 4% 79% 196 68% -
High Yield 1,283 1,575 36,744 -8% 26% 43,724 3% 11% 46 16% 1
Mixed (146) 235 9,249 -5% 7% 36,823 -1% 9% 45 16% 1
Total Fixed Income 10,440 23,749 141,563 -4% 100% 387,809 3% 100% 287 100% 2
Net Cash Flows Turnover AUM # of Funds
Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month.
Figure 91: ETP Summary Statistics by Duration – Fixed Income
Duration
(Fixed Income)
Feb '16
$MM
YTD
$MMFeb '16
$MM
MoM
Chg %
Mkt
ShrFeb '16
$MM
MoM
Chg %
Mkt
ShrFeb '16
All
Mkt
Shr
YTD
New
Short 284 6,212 19,629 -23% 14% 101,310 0% 26% 70 24% -
Intermediate 4,620 7,524 48,944 -2% 35% 79,941 7% 21% 41 14% -
Long 1,733 3,666 34,289 15% 24% 22,073 9% 6% 29 10% -
Broad 3,495 5,702 37,427 -9% 26% 176,196 2% 45% 104 36% 2
Set Maturity 309 645 1,273 22% 1% 8,290 4% 2% 43 15% -
Total Fixed Income 10,440 23,749 141,563 -4% 100% 387,809 3% 100% 287 100% 2
Net Cash Flows Turnover AUM # of Funds
Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month.
14 March 2016
US ETF Market Monthly Review
Page 42 Deutsche Bank Securities Inc.
Top 15 ETFs (includes ETNs)
Figure 92: Top 15 by 1M Total Return Gain (non-levered) Figure 93: Top 15 by 1M Total Return Loss (non-levered)
Ticker Name TERTotal
Return
LD iPath Dow Jones-UBS Lead Subindex Total Return
ETN
0.75% 41.5%
RING iShares MSCI Global Gold Miners ETF 0.39% 38.4%
SGDJ Sprott Junior Gold Miners ETF 0.57% 37.3%
SILJ PureFunds ISE Junior Silver ETF 0.69% 37.0%
SLVP iShares MSCI Global Silver Miners ETF 0.39% 36.5%
GDX Market Vectors Gold Miners ETF 0.52% 36.4%
GDXJ Market Vectors Junior Gold Miners ETF 0.54% 36.0%
GLDX Global X Gold Explorers ETF 0.65% 35.2%
PSAU PowerShares Global Gold and Precious Metals
Portfolio
0.75% 34.3%
SGDM Sprott Gold Miners ETF 0.57% 32.7%
JJT iPath Dow Jones-UBS Tin Subindex Total Return ETN 0.75% 31.6%
SIL Global X Silver Miners ETF 0.65% 29.3%
XME SPDR S&P Metals and Mining ETF 0.35% 20.0%
COPX Global X Copper Miners ETF 0.65% 19.1%
CNDA IQ Canada Small Cap ETF 0.69% 13.2%
Ticker Name TERTotal
Return
GAZ iPath Dow Jones-UBS Natural Gas Subindex Total
Return ETN
0.75% -32.0%
UNG United States Natural Gas Fund LP 1.11% -29.1%
GRN iPath Global Carbon ETN 0.75% -27.1%
FCG First Trust ISE-Revere Natural Gas Index Fund 0.60% -20.2%
DXJF WisdomTree Japan Hedged Financials Fund 0.43% -19.4%
UNL United States 12 Month Natural Gas Fund 0.75% -16.7%
PXE PowerShares Dynamic Energy Exploration &
Production Portfolio
0.65% -16.7%
SCIF Market Vectors India Small-Cap Index ETF 0.85% -16.0%
SCIN EGShares India Small Cap ETF 0.85% -14.4%
DXJC WisdomTree Japan Hedged Capital Goods Fund 0.43% -14.1%
DPU DB Commodity Index Long ETN 0.75% -14.0%
XOP SPDR S&P Oil & Gas Exploration & Production ETF 0.35% -13.7%
SMIN iShares MSCI India Small-Cap ETF 0.74% -13.5%
HGJP ProShares Hedged FTSE Japan ETF 0.23% -12.7%
DXJ WisdomTree Japan Hedged Equity Fund 0.48% -12.5% Source: Deutsche Bank, FactSet. Total Return corresponds to last month.
Source: Deutsche Bank, FactSet. Total Return corresponds to last month.
Figure 94: Top 15 by 1M Inflows Figure 95: Top 15 by 1M Outflows
Ticker Name TERInflows
$MM
GLD SPDR Gold Shares 0.40% 4,186
USMV iShares MSCI USA Minimum Volatility ETF 0.15% 1,862
TLT iShares 20+ Year Treasury Bond ETF 0.15% 1,250
LQD iShares iBoxx $ Investment Grade Corporate Bond
ETF
0.15% 1,194
FXU First Trust Utilities AlphaDEX Fund 0.70% 1,146
HYG iShares iBoxx $ High Yield Corporate Bond ETF 0.50% 1,135
IEI iShares 3-7 Year Treasury Bond ETF 0.15% 992
AGG iShares Core U.S. Aggregate Bond ETF 0.08% 963
IAU iShares Gold Trust 0.25% 887
EFAV iShares MSCI EAFE Minimum Volatility ETF 0.20% 708
VTI Vanguard Total Stock Market ETF 0.05% 692
VYM Vanguard High Dividend Yield ETF 0.09% 668
SH ProShares Short S&P500 0.90% 642
XLU Utilities Select Sector SPDR Fund 0.14% 638
IEF iShares 7-10 Year Treasury Bond ETF 0.15% 560
Ticker Name TEROutflows
$MM
SPY SPDR S&P 500 ETF 0.09% (3,779)
IWM iShares Russell 2000 ETF 0.20% (1,780)
FBT First Trust NYSE Arca Biotechnology Index Fund 0.60% (1,376)
DXJ WisdomTree Japan Hedged Equity Fund 0.48% (1,199)
IVV iShares Core S&P 500 ETF 0.07% (935)
EZU iShares MSCI Eurozone ETF 0.48% (915)
QQQ PowerShares QQQ 0.20% (889)
EWJ iShares MSCI Japan ETF 0.48% (835)
IJH iShares Core S&P Mid-Cap ETF 0.12% (714)
XLF Financial Select Sector SPDR Fund 0.14% (662)
XLV Health Care Select Sector SPDR Fund 0.14% (651)
VWO Vanguard FTSE Emerging Markets ETF 0.15% (639)
FDN First Trust Dow Jones Internet Index Fund 0.60% (636)
IYR iShares U.S. Real Estate ETF 0.43% (611)
HEDJ WisdomTree Europe Hedged Equity Fund 0.58% (539) Source: Deutsche Bank, Bloomberg Finance LP. Inflows correspond to last month.
Source: Deutsche Bank, Bloomberg Finance LP. Outflows correspond to last month.
Figure 96: Top 15 by AUM Figure 97: Top 15 by $ Volume traded last month
Ticker Name TERAUM
$MM
SPY SPDR S&P 500 ETF 0.09% 170,845
IVV iShares Core S&P 500 ETF 0.07% 65,706
EFA iShares MSCI EAFE ETF 0.33% 54,774
VTI Vanguard Total Stock Market ETF 0.05% 54,378
VOO Vanguard S&P 500 ETF 0.05% 40,244
QQQ PowerShares QQQ 0.20% 36,228
AGG iShares Core U.S. Aggregate Bond ETF 0.08% 32,911
VWO Vanguard FTSE Emerging Markets ETF 0.15% 30,923
GLD SPDR Gold Shares 0.40% 30,851
BND Vanguard Total Bond Market ETF 0.08% 28,330
IWF iShares Russell 1000 Growth ETF 0.20% 28,197
VEA Vanguard FTSE Developed Markets ETF 0.10% 27,509
VNQ Vanguard REIT ETF 0.12% 26,990
LQD iShares iBoxx $ Investment Grade Corporate Bond
ETF
0.15% 25,072
IWD iShares Russell 1000 Value ETF 0.20% 24,412
Ticker Name TERVolume
$MM
SPY SPDR S&P 500 ETF 0.09% 554,936
QQQ PowerShares QQQ 0.20% 94,098
IWM iShares Russell 2000 ETF 0.20% 80,916
EEM iShares MSCI Emerging Markets ETF 0.69% 39,921
VXX iPath S&P 500 VIX Short-Term Futures ETN 0.89% 39,155
GLD SPDR Gold Shares 0.40% 36,367
GDX Market Vectors Gold Miners ETF 0.52% 34,466
XLF Financial Select Sector SPDR Fund 0.14% 33,435
XLE Energy Select Sector SPDR Fund 0.14% 32,793
EFA iShares MSCI EAFE ETF 0.33% 32,039
TLT iShares 20+ Year Treasury Bond ETF 0.15% 28,738
UVXY ProShares Ultra VIX Short-Term Futures ETF 0.95% 25,204
DIA SPDR Dow Jones Industrial Average ETF 0.17% 25,145
HYG iShares iBoxx $ High Yield Corporate Bond ETF 0.50% 23,133
XLU Utilities Select Sector SPDR Fund 0.14% 20,070 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.
14 March 2016
US ETF Market Monthly Review
Deutsche Bank Securities Inc. Page 43
Appendix A: ETN Snapshot
Figure 98: ETN Summary by Asset Class
Asset ClassFeb
2016
End of
2015%Chg
Feb
2016
Jan
2016YTD
YTD
Chg %
AUM
Feb
2016
Jan
2016%Chg
Feb
2016
End
of
2015
%Chg AUMTurn-
over
# of
ETNs
Equity 11,134 12,607 -11.7% 84 69 153 1.2% 3,589 5,052 -29.0% 57 55 3.6% 57.6% 4.5% 27.9%Fixed income 238 288 -17.3% (3) (4) (7) -2.3% 102 90 13.4% 19 19 0.0% 1.2% 0.1% 9.3%Commodity 4,938 5,262 -6.2% (364) 771 408 7.7% 19,003 16,524 15.0% 91 90 1.1% 25.5% 24.1% 44.6%Currency 75 73 2.5% (2) 4 2 2.9% 9 16 -47.9% 11 11 0.0% 0.4% 0.0% 5.4%Multi Asset 477 533 -10.4% (15) (14) (29) -5.4% 77 116 -33.5% 7 7 0.0% 2.5% 0.1% 3.4%Alternative 2,483 2,617 -5.1% (311) 182 (129) -4.9% 56,156 76,694 -26.8% 19 19 0.0% 12.8% 71.1% 9.3%Total 19,345 21,379 -9.5% (609) 1,008 399 1.9% 78,936 98,493 -19.9% 204 201 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.
Figure 99: ETN Summary by Issuer
IssuerFeb
2016
End of
2015%Chg
Feb
2016
Jan
2016YTD
YTD
Chg %
AUM
Feb
2016
Jan
2016%Chg
Feb
2016
End
of
2015
%Chg AUMTurn-
over
# of
ETNs
Barclays Bank 5,469 6,507 -15.9% (260) (335) (594) -9.1% 40,351 50,618 -20.3% 81 81 0.0% 28.3% 51.1% 39.7%Credit Suisse 4,747 4,682 1.4% (384) 1,358 974 20.8% 34,541 42,523 -18.8% 26 26 0.0% 24.5% 43.8% 12.7%UBS 4,513 4,932 -8.5% 132 53 185 3.7% 1,127 1,183 -4.7% 48 45 6.7% 23.3% 1.4% 23.5%JPMorgan 2,980 3,446 -13.5% - - - 0.0% 2,387 3,668 -34.9% 1 1 0.0% 15.4% 3.0% 0.5%Deutsche Bank 844 941 -10.2% (69) (74) (144) -15.3% 431 385 12.0% 29 29 0.0% 4.4% 0.5% 14.2%Swedish Export CC 352 391 -9.9% (28) 10 (17) -4.5% 82 57 43.5% 7 7 0.0% 1.8% 0.1% 3.4%Citigroup 191 206 -7.3% - - - 0.0% 4 40 -91.0% 3 3 0.0% 1.0% 0.0% 1.5%Goldman Sachs 98 105 -6.5% - - - 0.0% 3 6 -45.4% 1 1 0.0% 0.5% 0.0% 0.5%Van Eck Funds 61 61 -0.1% - - - 0.0% 8 7 10.8% 4 4 0.0% 0.3% 0.0% 2.0%Morgan Stanley 41 51 -20.0% - - - 0.0% 1 3 -80.8% 1 1 0.0% 0.2% 0.0% 0.5%HSBC USA Inc 30 29 2.9% - - - 0.0% 0 0 47.3% 1 1 0.0% 0.2% 0.0% 0.5%RBC GAM 12 20 -39.8% (0) (4) (4) -22.8% 2 4 -52.5% 1 1 0.0% 0.1% 0.0% 0.5%Guggenheim 7 8 -9.3% - - - 0.0% 0 0 -57.9% 1 1 0.0% 0.0% 0.0% 0.5%Total 19,345 21,379 -9.5% (609) 1,008 399 1.9% 78,936 98,493 -19.9% 204 201 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.
14 March 2016
US ETF Market Monthly Review
Page 44 Deutsche Bank Securities Inc.
Appendix B: ETF List
Figure 100: Global and US Equities Reference list
5-Day $ 5-Day bps
Global Equities ACWI iShares MSCI ACWI ETF CM 28-Mar-08 0.33% 5,303 118 103 221 0.01 1.9
US Total Market VTI Vanguard Total Stock Market ETF CM 31-May-01 0.05% 55,938 365 2,347 2,712 0.01 1.2
S&P 500 (Large Cap) SPY SPDR S&P 500 ETF PF 29-Jan-93 0.09% 174,679 27,043 11,349 38,392 0.01 0.5
DJI DIA SPDR Dow Jones Industrial Average ETF PF 14-Jan-98 0.17% 11,908 1,192 1,314 2,506 0.02 1.0
NASDAQ-100 QQQ PowerShares QQQ PF 10-Mar-99 0.20% 37,437 4,651 6,275 10,927 0.01 1.0
Russell 1000 Growth IWF iShares Russell 1000 Growth ETF PF 22-May-00 0.20% 28,831 267 1,022 1,289 0.01 1.4
Russell 1000 Value IWD iShares Russell 1000 Value ETF PF 22-May-00 0.20% 25,224 249 6,474 6,723 0.01 1.4
S&P 400 (Mid Cap) MDY SPDR S&P MidCap 400 ETF PF 4-May-95 0.25% 14,242 438 981 1,419 0.05 2.0
Russell 2000 (SM Cap) IWM iShares Russell 2000 ETF PF 22-May-00 0.20% 23,904 3,993 260 4,253 0.01 1.0
Div. Growth VIG Vanguard Dividend Appreciation ETF CM 27-Apr-06 0.10% 19,570 112 428 540 0.02 2.2
Div. Yield DVY iShares Select Dividend ETF CM 7-Nov-03 0.39% 13,736 84 721 805 0.01 1.6
Div. Yield VYM Vanguard High Dividend Yield ETF CM 16-Nov-06 0.09% 12,376 81 861 943 0.02 3.0
Div. Yield & Growth SDY SPDR S&P Dividend ETF CM 15-Nov-05 0.35% 12,545 52 417 469 0.03 3.3
Cons. Discretionary XLY Consumer Discretionary Select Sector SPDR Fund PF 22-Dec-98 0.14% 10,268 709 2,976 3,685 0.01 1.4
Hotels, Rest & Leisure PEJ PowerShares Dynamic Leisure and Entertainment PortfolioAA 23-Jun-05 0.63% 179 2 9 12 0.06 15.9
Home Builders XHB SPDR S&P Homebuilders ETF PF 2-Feb-06 0.35% 1,520 110 183 293 0.01 3.3
Household Durables ITB iShares U.S. Home Construction ETF CM 5-May-06 0.43% 1,452 93 25 117 0.01 4.1
Media PBS PowerShares Dynamic Media Portfolio AA 23-Jun-05 0.63% 88 2 9 11 0.04 16.0
Retail XRT SPDR S&P Retail ETF PF 22-Jun-06 0.35% 612 188 147 334 0.01 2.5
Cons. Staples XLP Consumer Staples Select Sector SPDR Fund PF 22-Dec-98 0.14% 9,449 825 1,439 2,264 0.01 2.0
Food Products PBJ PowerShares Dynamic Food & Beverage Portfolio AA 23-Jun-05 0.63% 308 1 13 14 0.05 14.3
Energy XLE Energy Select Sector SPDR Fund PF 22-Dec-98 0.14% 12,119 1,633 1,627 3,260 0.01 1.8
Energy Eq. & Serv. OIH Market Vectors Oil Services ETF PF 7-Feb-01 0.35% 977 158 411 569 0.01 4.2
Energy Eq. & Serv. XES SPDR S&P Oil & Gas Equipment & Services ETF AA 22-Jun-06 0.35% 169 6 58 64 0.02 14.7
Energy Eq. & Serv. IEZ iShares U.S. Oil Equipment & Services ETF AA 5-May-06 0.43% 219 3 63 66 0.04 12.5
Energy E&P XOP SPDR S&P Oil & Gas Exploration & Production ETF PF 22-Jun-06 0.35% 1,652 578 369 947 0.01 4.1
Energy E&P IEO iShares U.S. Oil & Gas Exploration & Production ETF AA 5-May-06 0.43% 330 10 724 734 0.04 9.6
MLPs AMLP Alerian MLP ETF CM 25-Aug-10 0.85% 6,838 150 171 322 0.01 10.0
Financials XLF Financial Select Sector SPDR Fund PF 22-Dec-98 0.14% 16,254 1,689 1,798 3,488 0.01 4.7
Large Banks KBWB PowerShares KBW Bank Portfolio AA 1-Nov-11 0.35% 440 39 765 804 0.03 9.5
Regional Banks KRE SPDR S&P Regional Banking ETF PF 22-Jun-06 0.35% 1,945 290 427 717 0.01 2.9
Capital Markets KCE SPDR S&P Capital Markets ETF AA 15-Nov-05 0.35% 47 1 79 80 0.04 11.9
Insurance KIE SPDR S&P Insurance ETF AA 15-Nov-05 0.35% 463 7 220 227 0.04 6.3
Healthcare XLV Health Care Select Sector SPDR Fund PF 22-Dec-98 0.14% 12,568 914 2,530 3,444 0.01 1.5
Biotech & Pharma IBB iShares Nasdaq Biotechnology ETF PF 5-Feb-01 0.48% 6,259 641 286 927 0.27 10.4
Large Biotech BBH Market Vectors Biotech ETF AA 23-Nov-99 0.35% 535 13 172 184 0.13 12.6
HC Eq. & Supplies IHI iShares U.S. Medical Devices ETF AA 5-May-06 0.43% 802 13 197 210 0.09 7.6
HC Providers & Serv IHF iShares U.S. Healthcare Providers ETF AA 5-May-06 0.43% 626 15 52 67 0.11 9.8
Large Pharma PPH Market Vectors Pharmaceutical ETF AA 1-Feb-00 0.35% 284 9 362 371 0.03 5.5
Industrials XLI Industrial Select Sector SPDR Fund PF 22-Dec-98 0.14% 6,495 746 2,094 2,840 0.01 1.9
Aerospace & Def ITA iShares U.S. Aerospace & Defense ETF AA 5-May-06 0.43% 625 9 93 102 0.09 8.1
Transportation IYT iShares Transportation Average ETF AA 10-Oct-03 0.43% 561 54 97 151 0.06 4.6
Materials XLB Materials Select Sector SPDR Fund PF 22-Dec-98 0.14% 2,113 374 699 1,074 0.01 2.4
Metals & Mining XME SPDR S&P Metals and Mining ETF PF 22-Jun-06 0.35% 396 59 39 98 0.01 6.3
Real Estate VNQ Vanguard REIT ETF CM 29-Sep-04 0.12% 27,858 316 435 751 0.01 1.4
Technology VGT Vanguard Information Technology ETF AA 30-Jan-04 0.10% 8,068 52 1,050 1,101 0.04 4.2
Comm. Equipment IGN iShares North American Tech-Multimedia Networking ETFAA 10-Jul-01 0.47% 63 6 68 74 0.04 10.4
Int. Software & Serv. FDN First Trust Dow Jones Internet Index Fund AA 23-Jun-06 0.60% 2,987 78 142 220 0.03 5.0
Semiconductors SMH Market Vectors Semiconductor ETF PF 5-May-00 0.35% 281 147 359 506 0.01 2.4
Software IGV iShares North American Tech-Software ETF AA 10-Jul-01 0.47% 732 34 328 362 0.06 5.9
Telecom VOX Vanguard Telecommunication Services ETF AA 29-Sep-04 0.10% 1,219 16 22 37 0.07 7.9
Utilities XLU Utilities Select Sector SPDR Fund PF 22-Dec-98 0.14% 7,836 1,022 859 1,881 0.01 2.2
Listing Date TERProduct
TypeAsset Class Ticker ETF Name AUM $M
20D ADV
$M
Implied
Liq. $M
Total
Liq. $M
Avg. Bid/Ask Spreads
Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of 4-Mar-16. Bid/Ask Spreads are provided only as reference, actual spreads are trade-specific. Product Type: Asset Allocation (AA), Cash Management (CM), Pseudo Futures (PF).
14 March 2016
US ETF Market Monthly Review
Deutsche Bank Securities Inc. Page 45
Figure 101: International Equities Reference list
5-Day $ 5-Day bps
Intl DM EFA iShares MSCI EAFE ETF CM 14-Aug-01 0.33% 56,105 1,562 1,482 3,044 0.01 1.8
Canada EWC iShares MSCI Canada ETF CM 12-Mar-96 0.48% 2,016 68 601 669 0.01 4.6
Israel EIS iShares MSCI Israel Capped ETF AA 28-Mar-08 0.62% 119 2 4 6 0.25 55.0
Europe VGK Vanguard FTSE Europe ETF CM 3-Mar-05 0.12% 13,844 279 285 565 0.01 2.2
Denmark EDEN iShares MSCI Denmark Capped ETF AA 26-Jan-12 0.53% 80 3 11 14 0.10 18.4
Norway NORW Global X FTSE Norway 30 ETF AA 10-Nov-10 0.50% 57 1 11 12 0.03 34.7
Sweden EWD iShares MSCI Sweden ETF AA 12-Mar-96 0.48% 309 5 357 363 0.02 7.9
Switzerland EWL iShares MSCI Switzerland Capped ETF AA 12-Mar-96 0.48% 1,155 30 0 30 0.01 3.8
UK EWU iShares MSCI United Kingdom ETF CM 12-Mar-96 0.48% 2,113 63 1,893 1,955 0.01 6.7
Eurozone EZU iShares MSCI Eurozone ETF CM 25-Jul-00 0.48% 12,786 282 1,589 1,870 0.01 3.1
Austria EWO iShares MSCI Austria Capped ETF AA 12-Mar-96 0.48% 55 1 4 5 0.04 26.4
Belgium EWK iShares MSCI Belgium Capped ETF AA 12-Mar-96 0.48% 125 10 15 26 0.02 12.3
Finland EFNL iShares MSCI Finland Capped ETF AA 26-Jan-12 0.53% 23 0 7 8 0.09 28.9
France EWQ iShares MSCI France ETF AA 12-Mar-96 0.48% 366 29 1,081 1,110 0.01 4.4
Germany EWG iShares MSCI Germany ETF CM 12-Mar-96 0.48% 5,064 174 489 663 0.01 4.2
Ireland EIRL iShares MSCI Ireland Capped ETF AA 7-May-10 0.48% 165 2 10 12 0.18 48.0
Italy EWI iShares MSCI Italy Capped ETF CM 12-Mar-96 0.48% 789 24 370 393 0.01 8.8
Netherlands EWN iShares MSCI Netherlands ETF AA 12-Mar-96 0.48% 168 6 61 67 0.02 9.2
Portugal PGAL Global X FTSE Portugal 20 ETF AA 13-Nov-13 0.61% 23 0 1 1 0.07 80.4
Spain EWP iShares MSCI Spain Capped ETF CM 12-Mar-96 0.48% 952 31 129 160 0.01 4.0
Japan EWJ iShares MSCI Japan ETF CM 12-Mar-96 0.48% 17,978 575 1,315 1,890 0.01 9.0
Pacific ex JP EPP iShares MSCI Pacific ex Japan ETF AA 25-Oct-01 0.49% 1,809 17 411 428 0.01 3.8
Australia EWA iShares MSCI Australia ETF CM 12-Mar-96 0.48% 1,231 56 470 527 0.01 5.7
Hong Kong EWH iShares MSCI Hong Kong ETF CM 12-Mar-96 0.48% 1,765 98 127 224 0.01 5.5
New Zealand ENZL iShares MSCI New Zealand Capped ETF AA 2-Sep-10 0.48% 64 1 4 6 0.14 37.8
Singapore EWS iShares MSCI Singapore ETF CM 12-Mar-96 0.48% 476 15 91 106 0.01 10.3
EM EEM iShares MSCI Emerging Markets ETF PF 7-Apr-03 0.69% 19,021 2,032 319 2,351 0.01 3.3
Latin America ILF iShares Latin America 40 ETF AA 26-Oct-01 0.49% 554 11 45 55 0.02 8.8
Brazil EWZ iShares MSCI Brazil Capped ETF PF 10-Jul-00 0.62% 2,008 384 90 474 0.01 4.8
Chile ECH iShares MSCI Chile Capped ETF AA 16-Nov-07 0.62% 257 12 6 17 0.04 11.2
Colombia GXG Global X FTSE Colombia 20 ETF AA 9-Feb-09 0.68% 70 1 0 1 0.04 46.7
Mexico EWW iShares MSCI Mexico Capped ETF PF 12-Mar-96 0.48% 1,226 122 11 133 0.01 2.3
Peru EPU iShares MSCI Peru Capped ETF AA 22-Jun-09 0.62% 119 2 0 2 0.09 39.2
EM Asia EEMA iShares MSCI Emerging Markets Asia ETF AA 9-Feb-12 0.49% 114 1 342 343 0.20 41.6
China H FXI iShares China Large-Cap ETF PF 8-Oct-04 0.73% 4,680 905 197 1,103 0.01 3.3
China A ASHR Deutsche X-trackers Harvest CSI 300 China A-Shares ETFAA 6-Nov-13 0.80% 351 36 46 82 0.01 5.1
India INDA iShares MSCI India ETF AA 2-Feb-12 0.68% 3,154 49 104 153 0.01 4.2
Indonesia EIDO iShares MSCI Indonesia ETF AA 7-May-10 0.62% 422 19 0 19 0.01 5.6
Malaysia EWM iShares MSCI Malaysia ETF CM 12-Mar-96 0.48% 236 17 18 36 0.01 12.9
Philippines EPHE iShares MSCI Philippines ETF AA 29-Sep-10 0.62% 239 9 7 16 0.05 14.2
South Korea EWY iShares MSCI South Korea Capped ETF CM 9-May-00 0.62% 3,068 148 197 345 0.01 2.2
Taiwan EWT iShares MSCI Taiwan ETF PF 20-Jun-00 0.62% 2,263 123 114 238 0.01 7.7
Thailand THD iShares MSCI Thailand Capped ETF AA 28-Mar-08 0.62% 254 11 9 20 0.12 19.1
EM Europe GUR SPDR S&P Emerging Europe ETF AA 23-Mar-07 0.49% 34 0 0 1 0.15 65.0
Greece GREK Global X FTSE Greece 20 ETF AA 8-Dec-11 0.65% 212 2 0 2 0.02 37.6
Poland EPOL iShares MSCI Poland Capped ETF AA 26-May-10 0.62% 155 4 5 9 0.02 11.5
Russia RSX Market Vectors Russia ETF PF 26-Apr-07 0.63% 1,746 179 0 179 0.01 6.9
Turkey TUR iShares MSCI Turkey ETF AA 28-Mar-08 0.62% 285 12 7 19 0.06 14.7
Middle East MES Market Vectors Gulf States Index ETF AA 25-Jul-08 0.98% 8 0 0 0 0.62 294.1
Qatar QAT iShares MSCI Qatar Capped ETF AA 1-May-14 0.63% 44 0 8 9 0.36 192.2
UAE UAE iShares MSCI UAE Capped ETF AA 1-May-14 0.63% 28 0 3 4 0.36 226.0
Africa AFK Market Vectors Africa Index ETF AA 14-Jul-08 0.78% 54 0 4 4 0.22 127.3
Egypt EGPT Market Vectors Egypt Index ETF AA 18-Feb-10 0.98% 23 0 0 0 1.55 456.0
South Africa EZA iShares MSCI South Africa ETF AA 7-Feb-03 0.62% 309 33 123 156 0.08 17.2
Frontier Market FM iShares MSCI Frontier 100 ETF AA 13-Sep-12 0.79% 414 14 55 69 0.04 15.8
Argentina ARGT Global X MSCI Argentina ETF AA 3-Mar-11 0.75% 34 1 2 3 0.10 51.6
Nigeria NGE Global X MSCI Nigeria ETF AA 3-Apr-13 0.68% 17 0 0 1 0.09 148.6
Pakistan PAK Global X MSCI Pakistan ETF AA 23-Apr-15 0.88% 5 0 1 1 0.15 121.3
Vietnam VNM Market Vectors Vietnam ETF AA 14-Aug-09 0.76% 336 3 1 4 0.04 28.7
BRIC BKF iShares MSCI BRIC ETF AA 16-Nov-07 0.69% 159 1 380 381 0.06 21.1
Listing Date TERProduct
TypeAsset Class Ticker ETF Name AUM $M
20D ADV
$M
Implied
Liq. $M
Total
Liq. $M
Avg. Bid/Ask Spreads
Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of 4-Mar-16. Bid/Ask Spreads are provided only as reference, actual spreads are trade-specific. Product Type: Asset Allocation (AA), Cash Management (CM), Pseudo Futures (PF).
14 March 2016
US ETF Market Monthly Review
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Figure 102: Non-Equity Reference list
5-Day $ 5-Day bps
BRIC BKF iShares MSCI BRIC ETF AA 16-Nov-07 0.69% 159 1 380 381 0.06 21.1
Fixed Income (Broad) AGG iShares Core U.S. Aggregate Bond ETF CM 26-Sep-03 0.08% 33,084 294 n.a. n.a. 0.01 0.9
US Treasury GOVT iShares Core U.S. Treasury Bond ETF AA 16-Feb-12 0.15% 2,017 16 n.a. n.a. 0.02 5.9
Very Short SHV iShares Short Treasury Bond ETF CM 12-Jan-07 0.15% 4,609 144 n.a. n.a. 0.01 0.9
Short SHY iShares 1-3 Year Treasury Bond ETF CM 26-Jul-02 0.15% 12,709 149 n.a. n.a. 0.01 1.3
Intermediate IEI iShares 3-7 Year Treasury Bond ETF CM 12-Jan-07 0.15% 6,346 123 n.a. n.a. 0.03 2.1
Long TLT iShares 20+ Year Treasury Bond ETF PF 26-Jul-02 0.15% 9,566 1,441 n.a. n.a. 0.01 0.8
US Inflation TIP iShares TIPS Bond ETF CM 12-Apr-03 0.20% 15,591 119 n.a. n.a. 0.02 1.4
Municipal MUB iShares National AMT-Free Muni Bond ETF AA 9-Sep-07 0.25% 6,240 48 n.a. n.a. 0.03 2.4
Securitized MBB iShares MBS ETF AA 15-Mar-07 0.29% 7,753 42 n.a. n.a. 0.04 4.0
IG Corporates LQD iShares iBoxx $ Investment Grade Corporate Bond ETF CM 26-Jul-02 0.15% 24,728 493 n.a. n.a. 0.01 1.0
HY Corporates HYG iShares iBoxx $ High Yield Corporate Bond ETF PF 10-Apr-07 0.50% 16,110 1,217 n.a. n.a. 0.01 1.3
Floater FLOT iShares Floating Rate Bond ETF AA 17-Jun-11 0.20% 3,501 28 n.a. n.a. 0.01 2.7
Senior Loans BKLN PowerShares Senior Loan Portfolio CM 3-Mar-11 0.65% 3,578 56 n.a. n.a. 0.01 4.6
Preferred PFF iShares U.S. Preferred Stock ETF CM 30-Mar-07 0.47% 13,939 148 n.a. n.a. 0.01 2.7
Convertible CWB SPDR Barclays Convertible Securities ETF AA 16-Apr-09 0.40% 2,242 34 n.a. n.a. 0.02 5.7
Intl DM Debt BWX SPDR Barclays International Treasury Bond ETF AA 5-Oct-07 0.50% 1,588 10 n.a. n.a. 0.09 16.9
Intl Inflation WIP SPDR DB International Government Inflation-Protected Bond ETFAA 19-Mar-08 0.50% 547 2 n.a. n.a. 0.14 27.8
EM Gov Debt USD EMB iShares J.P. Morgan USD Emerging Markets Bond ETF CM 12-Dec-07 0.40% 4,722 153 n.a. n.a. 0.03 2.6
EM Gov Debt Local EMLC Market Vectors Emerging Markets Local Currency Bond ETFAA 23-Jul-10 0.47% 1,151 11 n.a. n.a. 0.02 11.8
EM Corp USD EMCB WisdomTree Emerging Markets Corporate Bond Fund AA 8-Mar-12 0.60% 59 1 n.a. n.a. 0.54 83.0
EM HY Corp USD HYEM Market Vectors Emerging Markets High Yield Bond ETF AA 9-May-12 0.40% 226 5 n.a. n.a. 0.05 21.9
Commodities DBC PowerShares DB Commodity Index Tracking Fund CM 3-Feb-06 0.85% 1,876 29 n.a. n.a. 0.01 8.0
Energy Cmdty DBE PowerShares DB Energy Fund AA 5-Jan-07 0.75% 75 0 n.a. n.a. 0.03 28.5
Crude Oil WTI USO United States Oil Fund LP PF 3-Apr-06 0.45% 3,909 474 n.a. n.a. 0.01 11.2
Natural Gas UNG United States Natural Gas Fund LP PF 18-Apr-07 1.11% 432 70 n.a. n.a. 0.01 16.3
Agriculture DBA PowerShares DB Agriculture Fund CM 5-Jan-07 0.85% 616 3 n.a. n.a. 0.01 7.3
Industrial Metals DBB PowerShares DB Base Metals Fund AA 5-Jan-07 0.75% 100 1 n.a. n.a. 0.02 12.4
Precious Metals DBP PowerShares DB Precious Metals Fund AA 5-Jan-07 0.75% 156 3 n.a. n.a. 0.09 24.8
Gold Physical GLD SPDR Gold Shares PF 18-Nov-04 0.40% 31,408 1,862 n.a. n.a. 0.01 0.9
Silver Physical SLV iShares Silver Trust PF 27-Apr-06 0.50% 4,659 125 n.a. n.a. 0.01 7.1
Platinum Physical PPLT ETFS Physical Platinum Shares AA 8-Jan-10 0.60% 440 5 n.a. n.a. 0.14 16.1
Palladium Physical PALL ETFS Physical Palladium Shares AA 8-Jan-10 0.60% 164 2 n.a. n.a. 0.18 38.2
Bull USD UUP PowerShares DB US Dollar Index Bullish Fund CM 20-Feb-07 0.80% 831 32 n.a. n.a. 0.01 3.9
JPYUSD FXY CurrencyShares Japanese Yen Trust PF 13-Feb-07 0.40% 264 22 n.a. n.a. 0.03 3.0
EURUSD FXE CurrencyShares Euro Currency Trust PF 12-Dec-05 0.40% 259 54 n.a. n.a. 0.01 1.3
Listing Date TERProduct
TypeAsset Class Ticker ETF Name AUM $M
20D ADV
$M
Implied
Liq. $M
Total
Liq. $M
Avg. Bid/Ask Spreads
Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of 4-Mar-16. Bid/Ask Spreads are provided only as reference, actual spreads are trade-specific. Product Type: Asset Allocation (AA), Cash Management (CM), Pseudo Futures (PF).
14 March 2016
US ETF Market Monthly Review
Deutsche Bank Securities Inc. Page 47
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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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 103: 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
14 March 2016
US ETF Market Monthly Review
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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.
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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.
Newly issued research recommendations and target prices supersede previously published research.
49 % 49 %
3 %
52 %41 %
38 %0
50100150200250300350400450500
Buy Hold Sell
North American Universe
Companies Covered Cos. w/ Banking Relationship
14 March 2016
US ETF Market Monthly Review
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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.
14 March 2016
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Deutsche Bank Securities Inc. Page 53
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.
If you use the services of Deutsche Bank in connection with a purchase or sale of a security that is discussed in this
report, or is included or discussed in another communication (oral or written) from a Deutsche Bank analyst, Deutsche
Bank may act as principal for its own account or as agent for another person.
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US ETF Market Monthly Review
Page 54 Deutsche Bank Securities Inc.
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US ETF Market Monthly Review
Deutsche Bank Securities Inc. Page 55
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