Deutsche Bank Markets Research North America United States Synthetic Equity & Index Research US ETF Model Portfolios Date 12 February 2016 House View Portfolio: 2016 Annual Rebalance House View Update as of Feb 9th, 2016 ________________________________________________________________________________________________________________ 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 [email protected]Team Contacts Hallie Martin Strategist (+1) 212 250-7994 [email protected]Srineel Jalagani Strategist (+1) 212 250-2060 [email protected]Recent research Date TAARSS says prefer defensive asset classes in February 2 Feb 2016 ETF flows suggest rotation from Equities to Fixed Income in January 9 Feb 2016 Source: Deutsche Bank Adding fixed income and gold, reducing equity and USD. Within equities, increasing US, decreasing Europe and Japan, and exiting EM Asia; while maintaining credit quality and increasing rates exposure in debt allocations Market and Model Performance Our HVP is up 17.2% since its launch on Oct 2, 2012, and 8.1% lower since the last rebalancing on Oct 7, 2015. In the meantime, the equity market (ACWI) and our multi-asset-class benchmark are 15.6% up and 6.5% down since the launch of our HVP, and down 10% and 9.3% since the last rebal, respectively. Figure 1: Portfolio performance since launch 90.0 100.0 110.0 120.0 130.0 140.0 150.0 Oct-12 Apr-13 Oct-13 Apr-14 Oct-14 Apr-15 Oct-15 Normalized Level (100) House View Port. ACWI Bnchmk Source: Deutsche Bank, FactSet. Performance corresponds to Total Returns and it does not include transaction costs. Portfolio Updates and New Membership We changed our strategic asset allocation from 70% allotted to equities to 55%, from 20% to fixed income to 30%, and from 10% to 15% alternatives via FX and Gold. Within equities, we increased our allocation to the US (20% to 30%), dropped our Intl DM (40%) and EM (10%) allocation, and combined all the Intl equity exposure to 25% DM and no EM. In the US, we added Banks and increased Utilities. In fixed income, we added 10% more to rates via Intermediate US Treasuries. In alternatives we decreased our USD position to 5%, and added a new 10% allocation to Gold. Figure 2: New House View Portfolio* Direction Type USMV 0.15% 15% Long Core Equity US LC Min Vol KBWB 0.35% 5% Long Satellite Equity US Banks XLU 0.14% 10% Long Satellite Equity US Utilities EFAV 0.20% 25% Long Core Equity DM Intl LQD 0.15% 10% Long Core Credit Inv. Grade IEF 0.15% 20% Long Core Rates Intermediate UST IAU 0.25% 10% Long Core Comdty Gold UUP 0.80% 5% Long Core FX Long USD Exposure ETF TER Weight Position Asset Class Source: Deutsche Bank.. *Target weights. See Figure 7 for old basket and change details.
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.
TAARSS says prefer defensive asset classes in February
2 Feb 2016
ETF flows suggest rotation from Equities to Fixed Income in January
9 Feb 2016
Source: Deutsche Bank
Adding fixed income and gold, reducing equity and USD. Within equities, increasing US, decreasing Europe and Japan, and exiting EM Asia; while maintaining credit quality and increasing rates exposure in debt allocations
Market and Model Performance Our HVP is up 17.2% since its launch on Oct 2, 2012, and 8.1% lower since the last rebalancing on Oct 7, 2015. In the meantime, the equity market (ACWI) and our multi-asset-class benchmark are 15.6% up and 6.5% down since the launch of our HVP, and down 10% and 9.3% since the last rebal, respectively.
Figure 1: Portfolio performance since launch
90.0
100.0
110.0
120.0
130.0
140.0
150.0
Oct-12 Apr-13 Oct-13 Apr-14 Oct-14 Apr-15 Oct-15
No
rmaliz
ed
Le
ve
l (1
00
)
House View Port. ACWI Bnchmk
Source: Deutsche Bank, FactSet. Performance corresponds to Total Returns and it does not include transaction costs.
Portfolio Updates and New Membership We changed our strategic asset allocation from 70% allotted to equities to 55%, from 20% to fixed income to 30%, and from 10% to 15% alternatives via FX and Gold. Within equities, we increased our allocation to the US (20% to 30%), dropped our Intl DM (40%) and EM (10%) allocation, and combined all the Intl equity exposure to 25% DM and no EM. In the US, we added Banks and increased Utilities. In fixed income, we added 10% more to rates via Intermediate US Treasuries. In alternatives we decreased our USD position to 5%, and added a new 10% allocation to Gold.
Figure 2: New House View Portfolio*
Direction Type
USMV 0.15% 15% Long Core Equity US LC Min Vol
KBWB 0.35% 5% Long Satellite Equity US Banks
XLU 0.14% 10% Long Satellite Equity US Utilities
EFAV 0.20% 25% Long Core Equity DM Intl
LQD 0.15% 10% Long Core Credit Inv. Grade
IEF 0.15% 20% Long Core Rates Intermediate UST
IAU 0.25% 10% Long Core Comdty Gold
UUP 0.80% 5% Long Core FX Long USD
ExposureETF TER WeightPosition Asset
Class
Source: Deutsche Bank.. *Target weights. See Figure 7 for old basket and change details.
12 February 2016
US ETF Model Portfolios
Page 2 Deutsche Bank Securities Inc.
Table Of Contents
The House View Portfolio .................................................... 3 Latest views ........................................................................................................ 3 Performance analysis ......................................................................................... 4 Annual Performance Summary: 2015 ................................................................. 5 Summary of closed & changed portfolio positions ............................................. 6
ETF Standard Comparison ................................................. 14
12 February 2016
US ETF Model Portfolios
Deutsche Bank Securities Inc. Page 3
The House View Portfolio1
Latest views2
The year continues to be bruising for risk assets and recent attempts at
stabilisation have been unsuccessful. After a mild rebound, equities and US
credit spreads are again close to their year’s worst levels.
In addition to the initial concerns about China and energy, two new issues
further weigh on risk sentiment: the slowdown in US growth momentum and
the tightening of financial conditions especially in European financial credit.
Macro data in the US have been weaker than expected and have raised
questions about the sustainability of the recovery. Consumer spending and the
services sector, which had been the drivers of growth, have decelerated.
Fundamentals there still look sound, but weakness may persist and we have
revised our below consensus growth forecasts further down. The Fed turned
more dovish in response to the slower momentum and market volatility, and
we no longer expect a rate rise in March. Indeed, at this stage it is difficult to
see the Fed hiking more than once this year.
The Fed was not alone in this dovish turn. The Bank of Japan surprised
markets by cutting rates into negative territory, and we actually expect a
further cut later this year. As for the ECB, more easing should be forthcoming
in March. A deposit rate cut seemed like the best course of action in response
to purely external risks, but if the tightening of financial conditions does not
subside an increase in the size of the QE purchase programme may be
necessary.
Our macro outlook for 2016 is broadly unchanged so far, uninspiring but not a
disaster – but downside risks have risen both in the US and in Europe.
Meanwhile, the absence of new news has moved attention away from China,
but the underlying problem remains unresolved. As for oil, volatility is
becoming less relevant for macro and markets.
Despite this monetary policy support, until US growth, European financial
conditions, China and oil concerns are put aside, markets will remain volatile
and a sustained change in risk appetite is difficult. Fundamentally, we see 15-
20% upside to equities, US credit spreads fairly priced and still believe in the
stronger dollar story – but risks remain for all these views. Expectations for a
drift higher in rates have not materialised, and dovish central banks and
lingering macro concerns will continue to delay this normalization.
David Folkerts-Landau, Group Chief Economist
1 For further details on the House View portfolio, refer to our report titled “US ETF Investment Ideas:
Implementing the House View with ETFs”, Sebastian Mercado et al., published on October 2, 2012. 2This sub-section contains extracts from the report titled “The House View”, published on Feb 8, 2016 by
Deutsche Bank Research.
12 February 2016
US ETF Model Portfolios
Page 4 Deutsche Bank Securities Inc.
Performance analysis
At a headline level, we compare the performance of our HVP against the
performance of Global3 equities and of a multi-asset-class benchmark. The
Global equities benchmark is represented by ACWI which tracks the MSCI All
Country World index, while the multi-asset-class benchmark represents a
basket of Global equity (ACWI), US fixed income (BND), and commodity (DBC)
exposures with the following weights: 50%, 30%, and 20%, respectively. Our
HVP is up 17.2% since its Oct 2012 launch, while ACWI has gained 15.6% and
the multi-asset-class benchmark has lost 6.5% during the same period,
respectively. The multi asset class benchmark has been the least volatile with
annualized volatility of 8.2%, compared to 11.5% for our HVP and 13.4% for
ACWI, since inception.
Since the last rebalancing date on Oct 7, 2015, the HVP lost 8.1% vs. a 9.3%
loss for the benchmark. The market sold-off in the beginning of 2016 driven by
concerns about the Chinese Economy growth, softer economic data in the US,
and tighter financial conditions on both sides of the Atlantic. Equity positions
were the most hit by the sell-off with our China (-23.7%), India (-15.4%), and
Japan (-14.8%) positions being the most affected ones; while our US Utilities
(+8.3%) and US Treasury (+3.4%) positions were the best performers in this
period. The equity positions in Japan, and Europe were the main drag on
portfolio performance (Figures 3 & 4).
Figure 3: Performance by position Figure 4: Performance contribution by Position
-30% -25% -20% -15% -10% -5% 0% 5% 10%
Fixed Income (BND)
Comdty (DBC)
Equity (ACWI)
FX Long USD (UUP)
IG Credit (LQD)
Rates Interm. (IEF)
Eq. China (FXI)
Eq. India (EPI)
Eq. Europe (DBEU)
Eq. Japan (DXJ)
Eq. US Utilities (XLU)
Eq. US Large Caps (QQQ)
Performance
Ho
use V
iew
Po
rt.
Bnchm
rk
-6.0% -5.0% -4.0% -3.0% -2.0% -1.0% 0.0% 1.0%
Fixed Income (BND)
Comdty (DBC)
Equity (ACWI)
FX Long USD (UUP)
IG Credit (LQD)
Rates Interm. (IEF)
Eq. China (FXI)
Eq. India (EPI)
Eq. Europe (DBEU)
Eq. Japan (DXJ)
Eq. US Utilities (XLU)
Eq. US Large Caps (QQQ)
Performance
Contribution
Ho
use V
iew
Po
rt.
Bnchm
rk
Source: Deutsche Bank, FactSet. Total Return performance from Oct 7, 2015 to Feb 9, 2016.
Source: Deutsche Bank, FactSet. Total Return performance from Oct 7, 2015 to Feb 9, 2016.
3 Since Nov 1, 2013 we have changed the equity benchmark from US Equities (S&P 500 – SPY) to Global
Equities (MSCI All Country World Index – ACWI). The House View Portfolio is a global multi-asset-class
portfolio; therefore a Global equity benchmark is more appropriate than a US-centric one.
12 February 2016
US ETF Model Portfolios
Deutsche Bank Securities Inc. Page 5
Annual Performance Summary: 2015
For the full year 2015, our model portfolio posted a total return of 3.3% with an
annualized volatility of 14.6%, a Sharpe ratio of 0.23, and a maximum
drawdown of 12.9%. Meanwhile, the multi asset class benchmark posted a
total return of -6.6% with an annualized volatility of 9.6%, a Sharpe ratio of
-0.69, and a maximum drawdown of 11.5%. Lastly, global equities (ACWI)
posted a total return of -2.2% with an annualized volatility of 15.6%, a Sharpe
ratio of -0.14 and maximum drawdown of 15.1% (Figure 5).
Figure 5: 2015 Performance Summary – House View Portfolio.
-10.0%
-5.0%
0.0%
5.0%
10.0%
15.0%
20.0%
Total Return Volatility
HVP Benchmark ACWI
-0.8
-0.6
-0.4
-0.2
0
0.2
0.4
Sharpe
-20.0%
-15.0%
-10.0%
-5.0%
0.0%
Max. DD
Source: Deutsche Bank, FactSet. Data from Dec 31, 2014 to Dec 31, 2015. Sharpe= Tot Return / Volatility
12 February 2016
US ETF Model Portfolios
Page 6 Deutsche Bank Securities Inc.
Summary of closed & changed portfolio positions
Figure 6: Details for closed & changed positions (most recent changes on top)
Ticker ExposureOpen
Weight
Close
Weight
Weight
ChangeOPEN CLOSED Exit/Chg Performance
QQQ Equity - US Large Caps 15.0% 0.0% -15.0% 7-Oct-15 9-Feb-16 Full -8.54%
XLU US Utilities 5.0% 10.0% 5.0% 7-Oct-15 9-Feb-16 Increase 8.26%
DXJ Equity - Japan 15.0% 0.0% -15.0% 29-Jul-14 9-Feb-16 Full -3.04%
DBEU Europe 25.0% 0.0% -25.0% 7-Oct-15 9-Feb-16 Full -13.17%
EPI Equity - India 5.0% 0.0% -5.0% 5-Jan-15 9-Feb-16 Full -19.56%
FXI Equity - China 5.0% 0.0% -5.0% 12-Jun-15 9-Feb-16 Full -39.60%
We are increasing our allocation to US equities by 10% from 20% to 30%. We
have switched our 15% Mega Cap US exposure for a Large Cap US with
minimum variance tilt, added 5% to US Utilities, and enter into a new 5% US
Banks position. Conversely, we have exited all of our international equity
positions (Europe, Japan, China, and India), and entered into a 25% single
position to gain access to International DM equities with a minimum variance
tilt, while staying away from EM equities. Furthermore, we have maintained a
10% allocation to IG credit, and added 10% to rates. Lastly we reduced our
USD allocation by 5%, and entered a brand new position in Gold for 10%.
Figure 8: Asset Class allocation Figure 9: Market allocation (Equity) Figure 10: Region allocation (Equity)
0%
10%
20%
30%
40%
50%
60%
70%
80%
Equity Fixed Income Alternatives
Previous Current
0%
5%
10%
15%
20%
25%
30%
35%
40%
45%
US DM Intl EM
Previous Current
0%
5%
10%
15%
20%
25%
30%
35%
North America
Europe Japan Asia ex JP
Previous Current
Source: Deutsche Bank
Source: Deutsche Bank
Source: Deutsche Bank
New Portfolio constituent selection
US Equities: Low Risk Strategy
We analyzed four products that offer access to US equities with a focus on
lower volatility. In general these funds have experienced lower levels of
realized volatility compared to traditional indices such as the S&P 500.
Furthermore, these ETFs also exhibit defensive betas to the S&P 500 making
them less sensitive to market swings. Thus during market rallies these
products tend to lag the market, while during market sell-offs these funds tend
to outperform the market. The four alternatives we reviewed achieve their low
risk objectives in different ways, for example, USMV utilizes minimum variance
optimization, SPLV uses weighting based on the inverse of volatility in order to
allocate a higher exposure to less volatile names, SPHD adds dividend
screening to the low volatility framework, while OUSA uses a mix of
fundamental quality factors and dividend requirements.
USMV and SPLV are very large products with abundant liquidity and very
efficient trading; they are also very cost efficient with the first one charging
15bps and the latter one charging 25bps. SPHD is a mature product with a
very decent size and sufficient liquidity, although not at the same level than the
previous two and comes at an expense ratio of 30bps. On the other hand,
OUSA is a newer product compared to the other three, having less than 1 year
and under $100 million in assets; nevertheless its strategy seems very
attractive given the challenging market environment – investors may want to
involve a high touch trading desk to execute sizeable transactions on this fund.
Sector exposure varies considerably from one offering to another. USMV has
the highest exposure to those sectors rated as over/weight by our US Equity
Strategist, and therefore provides the best fit for our house fundamental views.
SPHD has a big tilt towards Utilities (20%), while SPLV and OUSA have a large
allocation to Consumer Staples (22% and 20%, respectively)
12 February 2016
US ETF Model Portfolios
Page 10 Deutsche Bank Securities Inc.
Figure 11: Comparison of US Low Risk ETFs
iShares MSCI USA
Minimum Volatility ETF
PowerShares S&P 500
Low Volatility Portfolio
PowerShares S&P 500
High Dividend Low
Volatility Portfolio
O'Shares FTSE US
Quality Dividend ETF
USMV SPLV SPHD OUSA
8,213 5,620 650 67
174 156 13 3
1,016 1,048 314 3,255
0.01 0.01 0.04 0.03
2.79 2.81 10.79 12.33
0.15% 0.25% 0.30% 0.48%
USMV SPLV SPHD OUSA
71.4% 57.0% 60.3% 45.5%
4.1% 2.5% 8.0% 8.7%
24.3% 40.6% 31.9% 45.0%
USMV SPLV SPHD OUSA
Health Care 18.8% 12.0% 4.6% 14.0%
Technology 14.4% 2.8% 6.1% 11.3%
Utilities 9.0% 12.8% 19.9% 6.9%
Financials 20.8% 26.3% 19.9% 6.4%
Cons. Discr. 8.3% 3.1% 9.8% 6.9%
Equal Telecom 4.1% 2.5% 8.0% 8.7%
Cons. Staples 15.3% 22.3% 8.5% 20.1%
Industrials 4.6% 16.0% 13.4% 12.2%
Materials 2.3% 2.3% 7.1% 2.5%
Energy 2.0% 0.0% 2.9% 10.2%
Sector Wgt
TER
Name
Sector Rating
Overweight
Equal Weight
Underweight
Ove
r/W
gtU
nd
er/W
gt
Ticker
AUM $MM
20D ADV $MM
Imp. Liquid. $MM
Bid/Ask Spread ($)
Bid/Ask Spread (bps)
Source: Deutsche Bank, Bloomberg Finance LP. Data as of Feb 10, 2016
Overall, USMV has the most stable risk profile relative to the other three ETFs
(OUSA doesn’t have enough history to prove the contrary). Given the
seasoning of USMV (i.e. asset size and liquidity), the cost, the methodology, its
sector exposure, and the stability of its risk profile, we have chosen this
product to implement our US Large Cap Min Volatility view.
Figure 12: 60D Realized Volatility Ratio to S&P 500 Vol Figure 13: 60D Beta to S&P 500
0.5
0.6
0.7
0.8
0.9
1.0
1.1
1.2
Rati
o E
TF V
ol /
S&
P 5
00
Vo
l
USMV SPHD SPLV OUSA
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1.0
1.1
ET
F B
eta
to
S&
P 5
00
USMV SPHD SPLV OUSA
Source: Deutsche Bank, FactSet. Based on Total Returns. Volatility is 60-day Rolling realized volatility. S&P 500 is represented by IVV.
Source: Deutsche Bank, FactSet. Based on Total Returns. S&P 500 returns are represented by IVV. The rolling Beta s calculated over a 60-day rolling window.
We have chosen USMV for its
capacity (size, and liquidity),
its cost, its sector exposure,
and its risk profile.
12 February 2016
US ETF Model Portfolios
Deutsche Bank Securities Inc. Page 11
US Banks
The US Banks position is not new to our portfolio. We have reviewed and held
Banks in the past, and we usually have looked at the following candidates:
KBWB, KBE, and KRE. KRE tends to have a focus on regional banks, while KBE
and KBWB focus on banks in general. However KBE utilizes an equal-
weighting approach which gives the fund a more significant bias towards mid
and small cap banks, compared to KBWB which employs a market cap-
weighting approach and therefore has a more significant large cap bias. On
this occasion we prefer a Large Cap bias and therefore we have chosen KBWB.
KBWB has over $400 million in assets, trades over $5mn on a daily basis on
exchange, and charges 35bps.
International DM equities: Low Risk strategy
We considered three ETFs for our international developed market equities
position. EFAV employs a minimum variance approach in order to provide a
less risky profile similar to USMV. IDLV focuses on realized volatility and seeks
to assign a higher weight to those companies with lower volatility like SPLV.
Finally, IDLB offers another alternative with a focus on Beta in order to deliver
a more defensive approach by equal weighting a basket of stocks with a beta
lesser than one relative to its parent benchmark, and positive trailing 12M
earnings.
EFAV is clearly a more established product when it comes to assets and
liquidity, however IDLV and IDLB can also provide interesting vehicles for
implementing a defensive approach in International DM. EFAV has almost
$5bn in assets and over $60mn in daily traded value on exchange; in addition,
it is the most cost efficient option from a holding and transaction cost
perspective charging 20bps and exhibiting competitive spreads, respectively.
Figure 14: Comparison of International DM Low Risk ETFs
iShares MSCI EAFE Minimum
Volatility ETF
PowerShares S&P International
Developed Low Volatility
Portfolio
PowerShares FTSE International
Low Beta Equal Weight Portfolio
EFAV IDLV IDLB
4,820 172 118
66 3 0
276 74 17
0.08 0.14 0.30
12.28 50.94 131.99
0.20% 0.25% 0.45%
EFAV IDLV IDLB
48.5% 37.8% 34.5%
29.1% 7.9% 34.8%
19.7% 34.0% 23.4%
2.0% 2.3% 2.6%
0.3% 18.2% 4.5%
Middle East & Africa
North America
Bid/Ask Spread (bps)
TER
Regional Wgt %
Western Europe
Japan
Asia ex Japan
Name
Ticker
AUM $MM
20D ADV $MM
Imp. Liquid. $MM
Bid/Ask Spread ($)
Source: Deutsche Bank, Bloomberg Finance LP. Data as of Feb 10, 2016
The regional exposure can vary significantly among these three products as
well. For example, EFAV holds almost 80% in Western Europe and Japan, and
nothing on North America (i.e. Canada). On the other hand, IDLV has a
significant allocation to Asia Pac ex Japan and North America; while IDLB has
more balanced allocation to Western Europe, Japan, and Asia ex Japan.
12 February 2016
US ETF Model Portfolios
Page 12 Deutsche Bank Securities Inc.
In terms of risk profile, the three ETFs exhibit a defensive profile, but EFAV
seems to have a more stable risk profile. For this reason and for the size of the
product, liquidity, cost, and regional allocations we have chosen EFAV to
implement our DM Intl equity exposure.
Figure 15: 60D Realized Volatility Ratio to MSCI EAFE Vol Figure 16: 60D Beta to MSCI EAFE
0.5
0.6
0.7
0.8
0.9
1.0
Rati
o E
TF V
ol /
MS
I E
AFE
Vo
l
EFAV IDLV IDLB
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1.0
ET
F B
eta
to
MS
CI E
AFE
EFAV IDLV IDLB
Source: Deutsche Bank, FactSet. Based on Total Returns. Volatility is 60-day Rolling realized volatility. MSCI EAFE is represented by EFA.
Source: Deutsche Bank, FactSet. Based on Total Returns. MSCI EAFE returns are represented by EFA. The rolling Beta s calculated over a 60-day rolling window.
Gold
In our most recent monthly report we discussed different Gold ETPs. Given the
nature of our position as a strategic Core addition, we wanted an ETF with very
good tracking to physical Gold, good liquidity, an established asset base, and
cost efficient. Therefore after reviewing different alternatives such as GLD,
IAU, and SGOL, we have decided that IAU fits our requirements in the best
way, and therefore we have chosen it to implement our Gold exposure. IAU
charges 25bps, and has $7.0bn in assets and close to $100mn in secondary
SPTR S&P United States 500 Total Return 1.38% 12.57% 7.31%
NDUEACWF MSCI AC World Daily TR Net USD -2.36% 6.09% 4.75%
LBUSTRUU Barclays US Aggregate TR Value Un-hedged USD 0.55% 3.25% 4.51%
Notes: Since Inception performance data is provided for those ETFs which do not have full 10 Year performance history.
Performance calculations are based on total returns (i.e. reinvested dividends). Price utilized corresponds to ETF NAV. *Index
returns do not reflect deductions for fees, expenses, or taxes. Source: Deutsche Bank, Bloomberg Finance LP. Additional information can be found in the prospectus for each fund at their respective Issuer’s ETF websites
†Performance data quoted represents past performance. Past performance is not a guarantee of future results and current performance may be higher or lower than performance quoted. Investment returns and principal value will fluctuate and shares when sold or redeemed, may be worth more or less than their original cost.
Notes: You may also incur usual and customary brokerage commissions when buying or selling shares of the Funds, which are not reflected in the fees above. Fee waivers are
temporary. Fund prospectus should be consulted for additional details. Source: Deutsche Bank, Bloomberg Finance LP
12 February 2016
US ETF Model Portfolios
Page 16 Deutsche Bank Securities Inc.
Appendix 1
Important Disclosures
Additional information available upon request
*Prices are current as of the end of the previous trading session unless otherwise indicated and are sourced from local exchanges via Reuters, Bloomberg and other vendors . Other information is sourced from Deutsche Bank, subject companies, and other sources. For disclosures pertaining to recommendations or estimates made on securities other than the primary subject of this research, please see the most recently published company report or visit our global disclosure look-up page on our website at http://gm.db.com/ger/disclosure/DisclosureDirectory.eqsr
Analyst Certification
The views expressed in this report accurately reflect the personal views of the undersigned lead analyst(s). In addition, the undersigned lead analyst(s) has not and will not receive any compensation for providing a specific recommendation or view in this report. Sebastian Mercado
Equity rating key Equity rating dispersion and banking relationships
Buy: Based on a current 12- month view of total share-holder return (TSR = percentage change in share price from current price to projected target price plus pro-jected dividend yield ) , we recommend that investors buy the stock. Sell: Based on a current 12-month view of total share-holder return, we recommend that investors sell the stock Hold: We take a neutral view on the stock 12-months out and, based on this time horizon, do not recommend either a Buy or Sell. Notes:
1. Newly issued research recommendations and target prices always supersede previously published research. 2. Ratings definitions prior to 27 January, 2007 were:
Buy: Expected total return (including dividends) of 10% or more over a 12-month period Hold: Expected total return (including dividends) between -10% and 10% over a 12-month period Sell: Expected total return (including dividends) of -10% or worse over a 12-month period
