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10 December 2018
Investor Positioning and Flows
Strategy Update
North America Asset Allocation & Delta-1 Strategy
Investor Positioningand Flows
Date10 December 2018
Deutsche BankResearch
How Much Further Do The UnwindsHave To Go?Starting in early October, US and global equities corrected by -10%, thenfluctuated sharply in a wide range; US 10y yields fell -35bps; and oil pricescollapsed -35%; while the dollar continued to rise and is now 8% above itsFebruary lows. So where do positioning and flows stand after these big moves?
In equities, futures positioning has been cut sharply, but with single stock shortinterest barely budging, net positioning is still near the upper end of its postGFC range, in line with broad indicators of macro growth, which remain strong:
■ US equity futures positioning has been cut sharply and is nearing thebottom of its range. Futures positioning fell to the bottom of the range ithas been in since 2010 during past large growth slowdowns and shockssuch as the US debt downgrade and European financial crisis in 2011, theChina devaluation and global growth panics in 2015-16.
■ CTAs are now short the S&P 500 in aggregate but not extremely so.More CTAs flipped short last week, however, the short was bigger inQ1 2016 and prior risk-off episodes. Vol Control funds sold equities,specifically those with vol targets of 20%+ as both VIX and 1M realizedvol spiked above that level. Risk Parity funds have the lowest allocationsto equities in 4 years.
■ Short interest in cash equities (and ETFs) has risen slightly but remainsnear its lowest levels since 2010. Long/short equity returns were hurt byoutperformance of popular shorts in Q2-Q3, and we see limited appetitecurrently to outright short stocks/ETFs. A historically low put/call ratio andskew for the S&P 500 also signals limited appetite to spend premium ondownside protection relative to upside exposure.
■ L/S gross leverage has come down in recent weeks, primarily on shortcovering. Net beta exposure to equities bottomed in mid-November atlevels below the bottom after the Q1 selloff but has increased to similarlevels since then.
■ Equity flows resilient, tilted towards EM. Flows into equity funds haveheld up very well over the last 2 months with the US seeing no net flows,EM and Japan seeing strong inflows but large outflows from Europecontinuing. EM equities have now seen inflows in each of the last 8weeks. Across sectors, cyclicals have borne the brunt of outflows whileHealthcare has been the biggest beneficiary. Across styles, Growth hasseen outflows, Value has held up and blend funds have seen inflows.
Parag Thatte
Strategist
+1-212-250-6605
Hallie Martin
Strategist
+1-212-250-7994
Srineel Jalagani, CFA
Strategist
+1-212-250-4509
Binky Chadha
Chief Strategist
+1-212-250-4776
Deutsche Bank Securities Inc.
Deutsche Bank does and seeks to do business with companies covered in its research reports. Thus, investors should beaware that the firm may have a conflict of interest that could affect the objectivity of this report. Investors should considerthis report as only a single factor in making their investment decision. DISCLOSURES AND ANALYST CERTIFICATIONSARE LOCATED IN APPENDIX 1. MCI (P) 091/04/2018.
Distributed on: 11/12/2018 00:57:32 GMT
7T2se3r0Ot6kwoPa
10 December 2018
Investor Positioning and Flows
Across sizes, there have been outflows from small and mid-caps butinflows to large caps.
■ Vol shocks last a while. Past episodes when vol got elevated (>1.5sigma jump) outside of recessions, the market took 7 weeks to bottomon average, but as long as 11 weeks in some episodes as trailing volis typically an input into risk management models (DB: When will theBlack Swan Land?, Oct 2008). The current episode, which began in earlyOctober, is now in its 10th week, so still within the historical range onduration but approaching the upper end of it.
In rates, short futures positioning, which mid-year had moved to recordlevels, has moved back to near its historical range, but a full unwind to neutralsuggests significant further downside to 10y yields (2.2%):
■ Bond shorts have been getting covered from extremes. Aggregatepositions in bond futures have been in a wide range for the last 2 decadesbut since July became increasingly short and fell well below the range.Since the equity sell-off began in October, the shorts have been gettingcovered. A move all the way back to neutral suggests significant furtherdownside to 10y yields. The last time futures positions moved from shortto neutral was in Q2 of last year when inflation slowed sharply.
■ Inflows into government bond funds, especially short term, butoutflows everywhere else. Since the October corrections began, bondfunds overall have experienced over $60bn in outflows, led by HY (-$22bn), IG (-$21bn), EM (-$7bn) and bank loans (-$5bn). Almost everycategory has seen outflows with the exception of government bonds (+$17bn) with most of that going into short-term funds (+$14bn).
Net longs in oil are now at the bottom of their historical rangeOil positioning last week was at 2½ year lows and approaching levels last seenin early 2016. The decline in positioning has been driven largely by long positionsfalling but shorts have also risen. Oil prices are near our estimate of medium-termfair value ($52).
Dollar longs climb to a two-year highAs prices and positioning across a range of asset classes have corrected sinceOctober, the dollar has continued to move higher as longs have risen to neara 2-year high. Positions are long the dollar against every major DM currency.Interestingly, across EM currencies, while long positioning in the Mexican pesohas come down sharply to near neutral, that in the Brazilian real and Russian rublehas flipped from short to long over the last few weeks.
Page 2 Deutsche Bank Securities Inc.
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Figure 1: Since early October, US and global equities corrected by -10%, then fluctuated sharply in a widerange; US 10y yields fell -35bps; and oil prices collapsed -35%; while the dollar continued to rise and is now8% above its February lows
Source: Bloomberg Finance LP, Deutsche Ban
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Futures positioning has been cut sharply, but single stock short interest has barely budged
Figure 2: US equity futures positioning is down sharply Figure 3: Futures positioning and S&P 500 movements
-10%
-5%
0%
5%
10%
15%
20%
25%
30%
-10%
-5%
0%
5%
10%
15%
20%
25%
30%
Jan-1
0
Jul-1
0
Jan-1
1
Jul-1
1
Jan-1
2
Jul-1
2
Jan-1
3
Jul-1
3
Jan-1
4
Jul-14
Jan-1
5
Jul-15
Jan-1
6
Jul-16
Jan-1
7
Jul-1
7
Jan-1
8
Jul-1
8
Jan-1
9
Aggregated US equity futures positions*
(as % of open interest)Asset mgrs + Lev funds
Net long futures positions in S&P 500, NASDAQ 100, DJIA, S&P 400 and R2K
US downgrade, European
Financial crisis
China deval,
global growth
scare
Brexit
vote
0.900.920.940.960.981.001.021.041.061.081.101.121.14
-10%
-5%
0%
5%
10%
15%
20%
25%
30%
Jan-1
0
Jul-1
0
Jan-1
1
Jul-1
1
Jan-1
2
Jul-1
2
Jan-1
3
Jul-1
3
Jan-1
4
Jul-1
4
Jan-1
5
Jul-1
5
Jan-1
6
Jul-1
6
Jan-1
7
Jul-1
7
Jan-1
8
Jul-1
8
Jan-1
9
Aggregated US equity futures positions* (% of OI)
Asset mgrs + Lev funds (lhs) S&P 500 relative to its 200dma (rhs)
Net long futures positions in S&P 500, NASDAQ 100, DJIA, S&P 400 and R2K
US downgrade, European
fin crisis
China deval,
global growth
scare
Brexit
vote
Source: CFTC, Haver, Deutsche Bank Source: CFTC, Haver, Deutsche Bank
Figure 4: Shorts in single stocks and ETFs are still very low Figure 5: Net positioning is high but in line with strong growth
-3.4%
-3.2%
-3.0%
-2.8%
-2.6%
-2.4%
-2.2%
-2.0%
-3.4%
-3.2%
-3.0%
-2.8%
-2.6%
-2.4%
-2.2%
-2.0%
Jan-1
0
Jul-10
Jan-1
1
Jul-11
Jan-1
2
Jul-12
Jan-1
3
Jul-13
Jan-1
4
Jul-14
Jan-1
5
Jul-15
Jan-1
6
Jul-16
Jan-1
7
Jul-17
Jan-1
8
Jul-18
Single stock plus ETF shorts (shown as -ve)
% of S&P mkt cap
-3.5%
-3.3%
-3.1%
-2.9%
-2.7%
-2.5%
-2.3%
-2.1%
-1.9%
-1.7%
44
46
48
50
52
54
56
58
60
62
Jan-0
8
Jan-0
9
Jan-1
0
Jan-1
1
Jan-1
2
Jan-1
3
Jan-1
4
Jan-1
5
Jan-1
6
Jan-1
7
Jan-1
8
Jan-1
9
US ISM Mfg (lhs)
Net longs in futures minus shorts in cash equities (% of SPX mcap, rhs)
Note: Futures net longs minus single stock and ETF shorts. Shorts data as of Nov 15, futures Dec 04
Source: Compustat, Factset, Haver, Deutsche Bank Source:CFTC, Haver, Deutsche Bank
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Equity flows resilient, tilted to EM
Figure 6: Equity fund flows in the recent sell-off favor EM, Asia ex-Japan, Japan over Europe, US
Figure 7: Outflows from Financials, Real Estate, Technology funds havebeen most significant
-30
-20
-10
0
10
20
-30
-20
-10
0
10
20D
M E
quit
y
Euro
pe
US
All
Eq
uity
Inte
rnatio
nal
UK
EM
EA
GE
M
Lata
m
EM
Eq
uity
Asia
ex J
ap
an
Jap
an
Cumulative Flows since October 03
-8
-6
-4
-2
0
2
4
-8
-6
-4
-2
0
2
4
Fin
ancia
ls
Real E
sta
te
Techno
log
y
Ind
ustr
ials
Mate
rials
Energ
y
Utilit
ies
Co
ns G
oo
ds
Tele
co
m
Health C
are
Cumulative Flows since October 03
Source: EPFR, Haver, Deutsche Bank Source: EPFR, Haver, Deutsche Bank
Vol shocks can last a while
Figure 8: This is the 5th vol shock for US equities since 2010 Figure 9: S&P 500 has taken up to 11 weeks to bottom in vol shocks
0
50
100
150
200
250
0
50
100
150
200
250
19
38
19
39
20
08
20
18
19
82
19
55
20
18
19
97
20
00
19
46
20
15
19
89
19
50
19
31
19
98
Med
ian
19
70
19
87
19
63
19
40
19
29
20
11
19
30
Avera
ge
20
10
19
32
19
33
19
31
19
37
19
57
19
31
19
82
19
73
19
46
20
02
20
07
19
33
19
62
19
74
20
01
19
41
19
48
19
37
19
66
20
08
Duration of S&P decline in high vol episodes (trading
days)
Ex-recession
median (37)
High vol episodes
outside of a recession
*High vol episodes defined as when realized volatility is 1.5 standard deviations above its 12-month
Ex-recession
average (55)
Source: Bloomberg, Haver, Deutsche Bank Source: Bloomberg, Haver, Deutsche Bank
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Figure 10: Aggregate CTA beta flipped short last week, however it is notyet extreme
Figure 11: S&P 500 futures implied funding costs also dropped -especially on Tuesday - reflecting lower demand
0
20
40
60
80
100
120
140
0
20
40
60
80
100
120
140
2-J
an
16-J
an
30-J
an
13-F
eb
27-F
eb
13-M
ar
27-M
ar
10-A
pr
24-A
pr
8-M
ay
22-M
ay
5-J
un
19-J
un
3-J
ul
17-J
ul
31-J
ul
14-A
ug
28-A
ug
11-S
ep
25-S
ep
9-O
ct
23-O
ct
6-N
ov
20-N
ov
4-D
ec
SP
X N
et N
on
-Deale
r F
utu
res($
bn)
Non Dealers Net Notional (RHS) Spread to 3M OIS (LHS)
SP
X f
utu
res
roll
fu
nd
ing
sp
rea
d v
3M
OIS
Source: Deutsche Bank Asset Allocation & Delta-1 Strategy. Bloomberg LP. Data as of 7-Dec-18 Source: Deutsche Bank Delta-1 Strategy, CFTC, Markit, Bloomberg Finance LP
Figure 12: US Momentum has rallied from Nov 23rd, even controlled forsector skews
Figure 13: 12M-1M Momentum is now tilted towards Profitability overGrowth
0.98
1.00
1.02
1.04
1.06
1.08
1.10
1.12
Dec-1
7
Jan
-18
Feb-1
8
Mar-
18
Ap
r-18
May-1
8
Jun
-18
Jul-1
8
Au
g-1
8
Se
p-1
8
Oct-
18
Nov-1
8
Top/Bottom Decile Momentum
DB Fast Momentum (sector/factor-neutral)
-1.0
-0.8
-0.6
-0.4
-0.2
0.0
0.2
0.4
0.6
0.8
1.0
Dec-0
9
Ju
l-10
Feb
-11
Sep
-11
Ap
r-12
No
v-1
2
Ju
n-1
3
Jan
-14
Au
g-1
4
Mar-
15
Oct-
15
May-1
6
Dec-1
6
Ju
l-17
Feb
-18
Sep
-18
S&P 500 Momentum's Exposure to Other Factors
Profitibility Growth
Source: Deutsche Bank Asset Allocation & Delta-1 Strategy. Axioma, Bloomberg Finance LP Source: Deutsche Bank Asset Allocation & Delta-1 Strategy. Axioma, Bloomberg Finance LP
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Bond shorts back near normal range
Figure 14: Bond shorts are now back near the historical range Figure 15: An unwind all the way back to neutral suggests furtherdownside in yields
-20%
-15%
-10%
-5%
0%
5%
10%
15%
-20%
-15%
-10%
-5%
0%
5%
10%
15%
Jan-9
7
Jan-9
9
Jan-0
1
Jan-0
3
Jan-0
5
Jan-0
7
Jan-0
9
Jan-1
1
Jan-1
3
Jan-1
5
Jan-1
7
Jan-1
9
Bonds net longs in 10y equivalents
(as % of Open Interest)
Aggregate non commercial net longs
Upper/Lower Band
2.0
2.2
2.4
2.6
2.8
3.0
3.2-18%
-16%
-14%
-12%
-10%
-8%
-6%
-4%
-2%
0%
2%
Jan-1
7
Ap
r-1
7
Jul-1
7
Oct-
17
Jan-1
8
Ap
r-1
8
Jul-1
8
Oct-
18
Bonds net longs in 10y equivalents (as % of OI)
Aggregated Non commercial net long
contracts (lhs)
10y yield (%, inverted on rhs)
Source: CFTC, Haver, Deutsche Bank Source: CFTC, Haver, Deutsche Bank
Figure 16: Oil positioning now at the bottom of its range Figure 17: Dollar longs continue to climb
100
300
500
700
900
1100
100
300
500
700
900
1100
Jan-1
1
Jul-1
1
Jan-1
2
Jul-1
2
Jan-1
3
Jul-1
3
Jan-1
4
Jul-1
4
Jan-1
5
Jul-1
5
Jan-1
6
Jul-1
6
Jan-1
7
Jul-17
Jan-1
8
Jul-1
8
Jan-1
9
Net long crude oil futures positions
(Managed Money, million barrels)
Note: Net positions of combined WTI and Brent crude oil positions
85
87
89
91
93
95
97
-50
-30
-10
10
30
50
70
90
Sep
-15
Dec-1
5
Mar-
16
Jun-1
6
Sep
-16
Dec-1
6
Mar-
17
Jun-1
7
Sep
-17
Dec-1
7
Mar-
18
Jun-1
8
Sep
-18
Dec-1
8
Trade wtd dollar futures positions vs USDTWINon commercial net long contracts (thous, lhs) USTWI (rhs)
Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, CFTC, Haver Analytics, Data as of 10-Dec-18 Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, CFTC, Haver Analytics, Data as of 10-Dec-18
Cross-Asset Futures Positioning and Flows
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Figure 18: Investors are net long USD and net short GBP, CHF, JPY; Equities positioning is near the middle of its 5Y range, while long VIX is elevated
Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, CFTC, Bloomberg Finance LP, Data as of 04-Dec-18.
Figure 19: Investors cut Gold shorts and added to NASDAQ shorts in the latest weekly data
Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, CFTC, Bloomberg Finance LP, Data as of 04-Dec-18
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vFLARE: Volatility-Sensitive Systematic Strategies
Figure 20: Vol Control funds were sellers of equities as 1M realized voland VIX spiked above 20
Figure 21: Risk parity's equity allocations are near 4Y lows
Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, SEC filings, Bloomberg Finance LP, Data as of -Dec-18 Source:Deutsche Bank Asset Allocation & Delta-1 Strategy, SEC filings, Bloomberg Finance LP, Data as of 07-Dec-18
Figure 22: CTAs went short S&P 500 and cut short Treasury and longUSD positions
Figure 23: Aggregate CTA beta to S&P 500 is now negative
Source:Deutsche Bank Asset Allocation & Delta-1 Strategy, SEC filings, Bloomberg Finance LP, Data as of 07-Dec-18 Source:Deutsche Bank Asset Allocation & Delta-1 Strategy, SEC filings, Bloomberg Finance LP, Data as of 07-Dec-18
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Futures Positioning: US Equities, USD, WTI Oil, & 10Y Treasuries
Figure 24: S&P 500 futures positioning Figure 25: Dollar futures positioning
Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, CFTC, Bloomberg Finance LP, Data as of 04-Nov-18 Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, CFTC, Bloomberg Finance LP, Data as of 04-Dec-18
Figure 26: Oil futures positioning Figure 27: Treasury futures positioning
Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, CFTC, Bloomberg Finance LP, Data as of 04-Dec-18 Source:Deutsche Bank Asset Allocation & Delta-1 Strategy, CFTC, Bloomberg Finance LP, Data as of 04-Dec-18.
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Futures Positioning: US Equities
Figure 28: Leveraged Funds and Asset Managers futures positioning Figure 29: Aggregate futures positions and shorts in single stocks andETFs
-3.5%
-3.3%
-3.1%
-2.9%
-2.7%
-2.5%
-2.3%
-2.1%
-1.9%
-1.7%
-1.5%
-3.5%
-3.3%
-3.1%
-2.9%
-2.7%
-2.5%
-2.3%
-2.1%
-1.9%
-1.7%
-1.5%
Jan-1
0
Jul-10
Jan-1
1
Jul-11
Jan-1
2
Jul-12
Jan-1
3
Jul-13
Jan-1
4
Jul-14
Jan-1
5
Jul-15
Jan-1
6
Jul-16
Jan-1
7
Jul-17
Jan-1
8
Jul-18
Jan-1
9
Net longs in futures minus shorts in cash equities (% of SPX mcap, rhs)
Note: Futures net longs minus single stock and ETF shorts. Shorts data as of Nov 15, S&P futures Dec 04
Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, CFTC, Bloomberg Finance LP, Data as of 04-Dec-18. Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, CFTC, Bloomberg Finance LP.
Figure 30: US equity futures positioning- 1Y Percentile Ranks Figure 31: US equity futures WoW Change - 1Y Z-score
Source:Deutsche Bank Asset Allocation & Delta-1 Strategy, CFTC, Bloomberg Finance LP, Data as of 04-Dec-18. Source:Deutsche Bank Asset Allocation & Delta-1 Strategy, CFTC, Bloomberg Finance LP, Data as of 04-Dec-18.
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tsche B
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ecurities In
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Equity L/S Hedge Funds were down -0.5% on average in the first days of December
Figure 32: DB's L/S Hedge Fund signal ticked down but not significantlythis week
Figure 33: Equity L/S HFs are down -1.5% in December versus -2.3% forS&P 500
0.92
0.94
0.96
0.98
1
1.02
1.04D
ec-1
6
Jan
-17
Feb-1
7
Mar-
17
Ap
r-17
May-1
7
Ju
n-1
7
Jul-1
7
Au
g-1
7
Se
p-1
7
Oct-
17
No
v-1
7
De
c-1
7
Ja
n-1
8
Feb-1
8
Mar-
18
Ap
r-18
May-1
8
Jun
-18
Ju
l-1
8
Au
g-1
8
Se
p-1
8
Oct-
18
Nov-1
8
DBUSXFN/DBUSXSIN
-10.0%
-8.0%
-6.0%
-4.0%
-2.0%
0.0%
2.0%
4.0%
6.0%
8.0%
Jan
-03
Jul-0
3Jan
-04
Jul-0
4Jan
-05
Jul-0
5Jan
-06
Jul-0
6Jan
-07
Jul-0
7Jan
-08
Jul-0
8Jan
-09
Jul-0
9Jan
-10
Jul-1
0Jan
-11
Jul-1
1Jan
-12
Jul-1
2Jan
-13
Jul-1
3Jan
-14
Jul-1
4Jan
-15
Jul-1
5Jan
-16
Jul-1
6Jan
-17
Jul-1
7Jan
-18
Jul-1
8
Month
ly R
etu
rns (
%)
HFRXEH
Equity Long-Short Hedge Funds
Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, Bloomberg Finance LP, Factset, Axioma. Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, Bloomberg Finance LP. Data as of 6-Dec-18.
Figure 34: L/S Fundamental Equity took down Gross Leverage, primarilyon covering of shorts
Figure 35: L/S Fundamental Equity increased their net long exposure toequities from mid-November lows
Source: Deutsche Bank Global Prime Finance, Reuters. Data as of 7-Dec-18. Source: Deutsche Bank Global Prime Finance, Reuters. Data as of 7-Dec-18. Net Bias is Net Exposure/Gross Exposure.
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ETFs: Volumes and Flows
Figure 36: Cash volumes picked-up as the week progressed Figure 37: ETFs were 35%+ of cash volumes on Friday, as stock tradingdropped off
Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, Factset, Reuters, Bloomberg Finance LP, Data as of 07-Dec-18. Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, Factset, Reuters, Bloomberg Finance LP, Data as of 07-Dec-18.
Figure 38: ETF flows were mixed over the week Figure 39: But outflows came primarily from trading liquidity products
Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, Factset, Reuters, Bloomberg Finance LP, Data as of 07-Dec-18. Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, Factset, Reuters, Bloomberg Finance LP, Data as of 07-Dec-18
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c.
Equity Premia: Momentum rallied, Value sold-off as market re-priced Fed expectations and macro regime
Figure 40: US Fast Factors: Momentum rallied last week, Value sold-off Figure 41: Europe Fast Factors: Momentum rallied last week, Valuesold-off
Source:Deutsche Bank Quantitative & Delta-1 Strategy, Axioma, Factset, Bloomberg Finance LP, Data as of 07-Dec-18 Source:Deutsche Bank Quantitative & Delta-1 Strategy, Axioma, Factset, Bloomberg Finance LP, Data as of 07-Dec-18
Figure 42: Late-Cycle Macro baskets rallied during Q1 sell-off; End-Cycle Macro Cycle baskets rallied in the Q4 sell-off
Figure 43: Long/Short Equity Pairs reflect re-pricing of Fed expectationsand macro regime
0.95
0.97
0.99
1.01
1.03
1.05
1.07
1.09
Dec-1
7
Jan
-18
Feb-1
8
Mar-
18
Ap
r-18
May-1
8
Jun
-18
Jul-1
8
Au
g-1
8
Se
p-1
8
Oct-
18
Nov-1
8
Late Cycle: DBUSLATL/DBUSLATS
End Cycle: DBUSENDL/DBUSENDS
7.3%3.9%
6.1%1.9%2.8%4.6%
3.6%4.4%
2.3%4.8%
-3.6%-1.4%
-2.0%-6.8%-1.3%-1.5%-2.5%-1.3%-3.9%
-7.7%
(3) (2) (1) - 1 2 3 4
Reinsurance/FinancialsCorp HY/S&P 500
Utilities/S&P 500Min Vol/S&P 500
P&C Insurance/FinancialsReal Estate/S&P 500
Goldminers/GoldLow/High Beta ETFs
End-Stage Macro CycleSocial Media/QQQ
Inflation Winners/LosersBuyback Alpha/S&P 500
Industrials/S&P 500Energy/Oil
Dividend Growth/S&P 500Cheap Quality/S&P 500
Financials/S&P 500Value Fast Factor
Infrastructure/S&P 500Rates Sensitivity
Standard Deviation
Fri-Fri Return
Source: Deutsche Bank Asset Allocation & Delta-1 Strategy. Haver Analytics, Bloomberg Finance LP. Data as of 07-Dec-18. Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, Axioma, Factset, Bloomberg Finance LP, Data as of 06-Dec-18
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S&P 500 Options: Open Interest, Vol, Skew, Correlation
Figure 44: Put options were active on Thursday for next Friday's expiry Figure 45: Put-call ratio for S&P 500 lowest since 2014 on preference forbuying upside
Source: Deutsche Bank Quant & Delta-1 Strategy, OptionMetrics, Bloomberg Finance LP. Data as of 07-Dec-18. Source: Deutsche Bank Quant & Delta-1 Strategy, OptionMetrics, Bloomberg Finance LP. Data as of 07-Dec-18.
Figure 46: 1M realized volatility and correlation moved down Figure 47: Implied volatility and skew also moved down
Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, Bloomberg Finance LP, Reuters. Data as of 07-Dec-18. Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, Bloomberg Finance LP, Reuters. Data as of 07-Dec-18.
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Cross-asset flows
Figure 48: Flows across asset classes last 4 weeks Figure 49: Flows across asset classes cumulative since 2017
-0.3
-0.1
0.1
0.3
0.5
0.7
0.9
-1.1
-0.9
-0.7
-0.5
-0.3
-0.1
0.1
0.3
All Equity All Bonds MM
Fund Flows (last 4 weeks, % of assets)
14-Nov 21-Nov
28-Nov 5-Dec
-100
0
100
200
300
400
500
600
700
-100
0
100
200
300
400
500
600
700
Dec-1
6
Mar-
17
Jun-1
7
Sep
-17
Dec-1
7
Mar-
18
Jun-1
8
Sep
-18
Dec-1
8
Cumulative flows since Jan 2017 ($bn)
Equity
Bonds
MM funds
Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, EPFR, Haver Analytics, Data as of 5-Dec-18 Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, EPFR, Haver Analytics, Data as of 5-Dec-18
Figure 50: Cross asset flows last 4 weeks Figure 51: Cross asset flows cumulative since 2017
-1.1
-0.9
-0.7
-0.5
-0.3
-0.1
0.1
0.3
0.5
0.7
0.9
-1.1
-0.9
-0.7
-0.5
-0.3
-0.1
0.1
0.3
0.5
0.7
0.9
MM Govt
Bonds
Corp
HG
EM
Bonds
Corp
HY
Bal
Funds
Div
Funds
DM
Equity
EM
Equity
Cross asset flows as a % of assets
(last 4 weeks)14-Nov 21-Nov
28-Nov 5-Dec
Safer Riskier-125
-75
-25
25
75
125
175
225
275
-125
-75
-25
25
75
125
175
225
275
Dec-1
6
Mar-
17
Jun-1
7
Sep
-17
Dec-1
7
Mar-
18
Jun-1
8
Sep
-18
Dec-1
8
Cross asset flows (Cumulative since Jan 2017, $bn) DM equity
MM funds
EM equity
Govt Bonds
Corp HG
EM bonds
Balanced
fundsDividend
fundsCorp HY
Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, EPFR, Haver Analytics, Data as of 5-Dec-18 Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, EPFR, Haver Analytics, Data as of 5-Dec-18
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Equity Flows
Figure 52: Regional equity fund flows last 4 weeks Figure 53: Equity flows across region
-0.9
-0.7
-0.5
-0.3
-0.1
0.1
0.3
0.5
-0.9
-0.7
-0.5
-0.3
-0.1
0.1
0.3
0.5A
ll E
quity
US
Euro
pe
Jap
an
Lata
m
Asia
ex J
p
EM
EA
EM
Glo
bal
Regional equity flows (last 4 weeks,% of assets)
14-Nov 21-Nov
28-Nov 5-Dec
-100
-50
0
50
100
150
200
250
300
-100
-50
0
50
100
150
200
250
300
Dec-1
6
Mar-
17
Jun-1
7
Sep
-17
Dec-1
7
Mar-
18
Jun-1
8
Sep
-18
Dec-1
8
Cumulative equity flows since Jan 2017
(monthly, $bn)US
Europe
Japan
EM
International*
*Funds with a global mandate, overwhelmingly tend to be focused on DM ex-US
Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, EPFR, Haver Analytics, Data as of 5-Dec-18 Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, EPFR, Haver Analytics, Data as of 5-Dec-18
Figure 54: Equity flows by fund style last 4 weeks Figure 55: Equity flows by fund style
-0.20
-0.15
-0.10
-0.05
0.00
0.05
0.10
0.15
0.20
-0.20
-0.15
-0.10
-0.05
0.00
0.05
0.10
0.15
0.20
Growth Value Blend
Equity fund flows (last 4 weeks,% of assets)
14-Nov 21-Nov 28-Nov 5-Dec
-150
-100
-50
0
50
100
150
-150
-100
-50
0
50
100
150
Dec-1
6
Mar-
17
Jun-1
7
Sep
-17
Dec-1
7
Mar-
18
Jun-1
8
Sep
-18
Dec-1
8
Cumulative equity flows since Jan 2017 ($bn)Growth Value Blend
Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, EPFR, Haver Analytics, Data as of 5-Dec-18 Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, EPFR, Haver Analytics, Data as of 5-Dec-18
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Figure 56: Equity fund flows by size last 4 weeks Figure 57: Equity fund flows by size
-0.50
-0.40
-0.30
-0.20
-0.10
0.00
0.10
0.20
-0.50
-0.40
-0.30
-0.20
-0.10
0.00
0.10
0.20
Large cap Mid cap Small cap
Equity fund flows (last 4 weeks,% of assets)
14-Nov 21-Nov
28-Nov 5-Dec
-60
-50
-40
-30
-20
-10
0
10
20
-60
-50
-40
-30
-20
-10
0
10
20
Dec-1
6
Mar-
17
Ju
n-1
7
Sep
-17
Dec-1
7
Mar-
18
Ju
n-1
8
Sep
-18
Dec-1
8
Cumulative equity flows since Jan 2017 ($bn)Large cap Mid cap Small cap
Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, EPFR, Haver Analytics, Data as of 5-Dec-18 Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, EPFR, Haver Analytics, Data as of 5-Dec-18
Figure 58: Sector fund flows last 4 weeks Figure 59: Sector fund flows
-4.0
-3.0
-2.0
-1.0
0.0
1.0
2.0
3.0
-4.0
-3.0
-2.0
-1.0
0.0
1.0
2.0
3.0
Mate
rials
Co
ns G
oo
ds
Energ
y
Fin
ancia
ls
Health C
are
Ind
ustr
ials
Real E
sta
te
Techno
log
y
Tele
co
m
Utilit
ies
Global sector flows (last 4 weeks,% of assets)
14-Nov 21-Nov
28-Nov 5-Dec
-50
-40
-30
-20
-10
0
10
20
30
40
50
-50
-40
-30
-20
-10
0
10
20
30
40
50
Dec-1
6
Mar-
17
Jun-1
7
Sep
-17
Dec-1
7
Mar-
18
Jun-1
8
Sep
-18
Dec-1
8
Cumulative sector flows since 2017 (monthly, $bn)Technology
Financials
Materials
Industrials
Cons Goods
Telecom
Utilities
Health Care
Energy
Real Estate
Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, EPFR, Haver Analytics, Data as of 5-Dec-18 Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, EPFR, Haver Analytics, Data as of 5-Dec-18
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Bond fund flows
Figure 60: Bond fund flows by category last 4 weeks Figure 61: Bond flows by category
-1.8
-1.4
-1.0
-0.6
-0.2
0.2
0.6
1.0
-1.8
-1.4
-1.0
-0.6
-0.2
0.2
0.6
1.0A
ll B
ond
s
Co
rp H
Y
Co
rp H
G
EM
Bo
nd
s
Go
vt
Bo
nd
s
Munis
MB
S
TIP
S
Ban
k L
oans
Bond flows (last 4 weeks, % of assets)
14-Nov 21-Nov
28-Nov 5-Dec
-125
-100
-75
-50
-25
0
25
50
75
100
-125
-100
-75
-50
-25
0
25
50
75
100
Dec-1
6
Mar-
17
Jun-1
7
Sep
-17
Dec-1
7
Mar-
18
Jun-1
8
Sep
-18
Dec-1
8
Cumulative bond flows since 2017 ($bn)
Corp HY EM
Corp HG Govt Bonds
Munis MBS
TIPS Banks Loans
Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, EPFR, Haver Analytics, Data as of 5-Dec-18 Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, EPFR, Haver Analytics, Data as of 5-Dec-18
Figure 62: Bond fund flows by maturity last 4 weeks Figure 63: Bond fund flows by maturity
-0.75
-0.60
-0.45
-0.30
-0.15
0.00
0.15
0.30
0.45
0.60
-0.75
-0.60
-0.45
-0.30
-0.15
0.00
0.15
0.30
0.45
0.60
Long term Intermediate term Short term
Bond fund flows (last 4 weeks,% of assets)
14-Nov 21-Nov
28-Nov 5-Dec
0
50
100
150
200
250
300
350
0
50
100
150
200
250
300
350
Dec-1
6
Mar-
17
Ju
n-1
7
Sep
-17
Dec-1
7
Mar-
18
Ju
n-1
8
Sep
-18
Dec-1
8
Cumulative bond flows since Jan 2017 ($bn)
Long Term
Intermediate Term
Short Term
Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, EPFR, Haver Analytics, Data as of 5-Dec-18 Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, EPFR, Haver Analytics, Data as of 5-Dec-18
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Bond futures positioning
Figure 64: Aggregate bond futures positioning Figure 65: Bond futures positioning by maturity
-2200
-1800
-1400
-1000
-600
-200
200
-2200
-1800
-1400
-1000
-600
-200
200
Jan-1
6
Ap
r-1
6
Jul-1
6
Oct-
16
Jan-1
7
Ap
r-1
7
Jul-1
7
Oct-
17
Jan-1
8
Ap
r-18
Jul-1
8
Oct-
18
Bonds net longs in 10y equivalents (thous)Aggregated Non commercial net long contracts
-17.3%
-13.7%
-7.3%-6.2% -7.5%
-27%
-22%
-17%
-12%
-7%
-2%
3%
-27%
-22%
-17%
-12%
-7%
-2%
3%
ED 2y
5y
10y
15-2
5y
25y+
Bond futures positions as % of open interest
Latest 1 week ago
Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, CFTC, Haver Analytics, Data as of 04-Dec-18 Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, CFTC, Haver Analytics, Data as of 04-Dec-18
Figure 66: Eurodollar futures positioning Figure 67: Bond futures positioning by maturity
1.0
1.5
2.0
2.5
3.0
3.5-4500
-3500
-2500
-1500
-500
Jan-1
6
Mar-
16
May-1
6
Jul-16
Sep
-16
No
v-1
6
Jan-1
7
Mar-
17
May-1
7
Jul-17
Sep
-17
No
v-1
7
Jan-1
8
Mar-
18
May-1
8
Jul-18
Sep
-18
No
v-1
83m Eurodollar futures positions vs 3m LIBOR
Non commercial net long contracts (thous, lhs) ED12 (rhs, inv)
-26%
-21%
-16%
-11%
-6%
-1%
4%
9%
14%
-26%
-21%
-16%
-11%
-6%
-1%
4%
9%
14%
Jan-1
6
Ap
r-16
Jul-16
Oct-
16
Jan-1
7
Ap
r-1
7
Jul-1
7
Oct-
17
Jan-1
8
Ap
r-1
8
Jul-18
Oct-
18
Net long contracts as % of open interest2y 5y 10y 15-25y 25y+ ED
Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, CFTC, Haver Analytics, Data as of 04-Dec-18 Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, CFTC, Haver Analytics, Data as of 04-Dec-18
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FX futures positioning
Figure 68: Trade weighted dollar positioning Figure 69: Euro futures positioning
84
86
88
90
92
94
96
-50
-30
-10
10
30
50
70
Jan-1
6
Mar-
16
May-1
6
Jul-16
Sep
-16
No
v-1
6
Jan-1
7
Mar-
17
May-1
7
Jul-17
Sep
-17
No
v-1
7
Jan-1
8
Mar-
18
May-1
8
Jul-18
Sep
-18
No
v-1
8
Trade wtd dollar futures positions vs USTWINon commercial net long contracts (thous, lhs) USTWI (rhs)
Trade weighted positions in JPY, EUR, GBP, AUD, CHF and CAD are used for calculating
1.04
1.08
1.12
1.16
1.20
1.24
-150
-100
-50
0
50
100
150
Jan-1
6
Ap
r-1
6
Jul-1
6
Oct-
16
Jan-1
7
Ap
r-1
7
Jul-1
7
Oct-
17
Jan-1
8
Ap
r-1
8
Jul-1
8
Oct-
18
Euro futures positions vs EURUSDNon commercial net long contracts (thous, lhs) EURUSD (rhs)
Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, CFTC, Haver Analytics, Data as of 04-Dec-18 Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, CFTC, Haver Analytics, Data as of 04-Dec-18
Figure 70: Yen futures positioning Figure 71: Futures positioning across currencies
100
102
104
106
108
110
112
114
116
118
120-150
-125
-100
-75
-50
-25
0
25
50
75
Jan-1
6
Ap
r-16
Jul-16
Oct-
16
Jan-1
7
Ap
r-17
Jul-17
Oct-
17
Jan-1
8
Ap
r-18
Jul-18
Oct-
18
JPY futures positions vs USDJPYNon commercial net long contracts (thous, lhs)
USDJPY (rhs, inv)
-48%
-38%-34%
-25%
-17%-11%
-8%
2% 4%
20%
29%
-50%
-40%
-30%
-20%
-10%
0%
10%
20%
30%
40%
-50%
-40%
-30%
-20%
-10%
0%
10%
20%
30%
40%
JP
Y
NZD
AU
D
CH
F
GB
P
Euro
CA
D
MX
N
BR
L
US
D
RU
B
Currency positioning as % of open interest
Latest
1 week ago
Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, CFTC, Haver Analytics, Data as of 04-Dec-18 Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, CFTC, Haver Analytics, Data as of 04-Dec-18
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Commodity futures positioning
Figure 72: Oil futures positioning Figure 73: Oil futures gross longs vs shorts
100
300
500
700
900
1100
100
300
500
700
900
1100Jan-1
1
Jul-1
1
Jan-1
2
Jul-1
2
Jan-1
3
Jul-1
3
Jan-1
4
Jul-1
4
Jan-1
5
Jul-1
5
Jan-1
6
Jul-1
6
Jan-1
7
Jul-17
Jan-1
8
Jul-1
8
Jan-1
9
Net long crude oil futures positions
(Managed Money, million barrels)
Note: Net positions of combined WTI and Brent crude oil positions
0
250
500
750
1000
1250
0
250
500
750
1000
1250
Jan-1
6
Ap
r-16
Jul-16
Oct-
16
Jan-1
7
Ap
r-17
Jul-17
Oct-
17
Jan-1
8
Ap
r-18
Jul-18
Oct-
18
Managed Money combined crude oil futures positions
(million barrels)Gross longs
Gross shorts
Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, CFTC, Haver Analytics, Data as of 04-Dec-18 Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, CFTC, Haver Analytics, Data as of 04-Dec-18
Figure 74: Copper futures positioning Figure 75: Gold futures positioning
2.0
2.2
2.4
2.6
2.8
3.0
3.2
3.4
-50
0
50
100
Jan-1
6
Mar-
16
May-1
6
Jul-16
Sep
-16
No
v-1
6
Jan-1
7
Mar-
17
May-1
7
Jul-17
Sep
-17
No
v-1
7
Jan-1
8
Mar-
18
May-1
8
Jul-18
Sep
-18
No
v-1
8Managed Money Copper futures positions
Net long contracts (thous, lhs)
Copper ($/lb, rhs)
1125
1175
1225
1275
1325
1375
-130
-80
-30
20
70
120
170
220
270
Jan-1
6
Mar-
16
May-1
6
Jul-16
Sep
-16
No
v-1
6
Jan-1
7
Mar-
17
May-1
7
Jul-17
Sep
-17
No
v-1
7
Jan-1
8
Mar-
18
May-1
8
Jul-18
Sep
-18
No
v-1
8
Managed Money Gold futures positions Net long contracts (thous, lhs)
Gold ($/troy oz, rhs)
Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, CFTC, Haver Analytics, Data as of 04-Dec-18 Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, CFTC, Haver Analytics, Data as of 04-Dec-18
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and
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10 December 2018
Investor Positioning and Flows
Appendix 1
Important Disclosures
*Other information available upon request
*Prices are current as of the end of the previous trading session unless otherwise indicated and are sourced fromlocal exchanges via Reuters, Bloomberg and other vendors . Other information is sourced from Deutsche Bank, subjectcompanies, and other sources. For disclosures pertaining to recommendations or estimates made on securities other thanthe primary subject of this research, please see the most recently published company report or visit our global disclosurelook-up page on our website at https://research.db.com/Research/Disclosures/CompanySearch. Aside from within thisreport, important risk and conflict disclosures can also be found at https://research.db.com/Research/Topics/Equities?topicId=RB0002. Investors are strongly encouraged to review this information before investing.
Analyst Certification
The views expressed in this report accurately reflect the personal views of the undersigned lead analyst(s). In addition,the undersigned lead analyst(s) has not and will not receive any compensation for providing a specific recommendationor view in this report. Parag Thatte, Hallie Martin, Srineel Jalagani, Binky Chadha
Equity Rating Key Equity rating dispersion and banking relationships
Buy: Based on a current 12- month view of total share-holderreturn (TSR = percentage change in share price from currentprice to projected target price plus pro-jected dividend yield ) ,we recommend that investors buy the stock.Sell: Based on a current 12-month view of total share-holderreturn, we recommend that investors sell the stock.Hold: We take a neutral view on the stock 12-months out and,based on this time horizon, do not recommend either a Buyor Sell.
Newly issued research recommendations and target pricessupersede previously published research.
Additional ETF InformationInformation on ETFs is provided strictly for illustrative purposes and should not be deemed an offer to sell or asolicitation of an offer to buy shares of any fund that is described in this document. Consider carefully any fund'sinvestment objectives, risk factors, and charges and expenses before investing. This and other information can be foundin the fund's prospectus. Prospectuses about db X-trackers funds and Powershares DB funds can be obtained by calling1-877-369-4617 or by visiting www.DBXUS.com . Read prospectuses carefully before investing. Past performance is notnecessarily indicative of future results. Investing involves risk, including possible loss of principal. To better understandthe similarities and differences between investments, including investment objectives, risks, fees and expenses, it isimportant to read the products' prospectuses. Shares of ETFs may be sold throughout the day on an exchange throughany brokerage account. However, shares may only be redeemed directly from an ETF by authorized participants, in verylarge creation/redemption units. Transactions in shares of ETFs will result in brokerage commissions and will generatetax consequences. ETFs are obliged to distribute portfolio gains to shareholders. Deutsche Bank may be an issuer,advisor, manager, distributor or administrator of, or provide other services to, an ETF included in this report, for which itreceives compensation. db X-trackers and Powershares DB funds are distributed by ALPS Distributors, Inc. The opinionsexpressed are those of the authors and do not necessarily reflect the views of DB, ALPS or their affiliates.
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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.
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Additional Information
The information and opinions in this report were prepared by Deutsche Bank AG or one of its affiliates (collectively"Deutsche Bank"). Though the information herein is believed to be reliable and has been obtained from public sourcesbelieved to be reliable, Deutsche Bank makes no representation as to its accuracy or completeness. Hyperlinks to third-party websites in this report are provided for reader convenience only. Deutsche Bank neither endorses the content noris responsible for the accuracy or security controls of those websites.??If you use the services of Deutsche Bank in connection with a purchase or sale of a security that is discussed in this report,or is included or discussed in another communication (oral or written) from a Deutsche Bank analyst, Deutsche Bank mayact as principal for its own account or as agent for another person.??Deutsche Bank may consider this report in deciding to trade as principal. It may also engage in transactions, for itsown account or with customers, in a manner inconsistent with the views taken in this research report. Others withinDeutsche Bank, including strategists, sales staff and other analysts, may take views that are inconsistent with those takenin this research report. Deutsche Bank issues a variety of research products, including fundamental analysis, equity-linkedanalysis, quantitative analysis and trade ideas. Recommendations contained in one type of communication may differfrom recommendations contained in others, whether as a result of differing time horizons, methodologies, perspectivesor otherwise. Deutsche Bank and/or its affiliates may also be holding debt or equity securities of the issuers it writeson. Analysts are paid in part based on the profitability of Deutsche Bank AG and its affiliates, which includes investmentbanking, trading and principal trading revenues.??Opinions, estimates and projections constitute the current judgment of the author as of the date of this report. They donot necessarily reflect the opinions of Deutsche Bank and are subject to change without notice. Deutsche Bank providesliquidity for buyers and sellers of securities issued by the companies it covers. Deutsche Bank research analysts sometimeshave shorter-term trade ideas that may be inconsistent with Deutsche Bank's existing longer-term ratings. Some tradeideas for equities are listed as Catalyst Calls on the Research Website ( https://research.db.com/Research/ ) , and can befound on the general coverage list and also on the covered company ’ s page. 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The financial instruments discussedin this report may not be suitable for all investors, and investors must make their own informed investment decisions.Prices and availability of financial instruments are subject to change without notice, and investment transactions can leadto losses as a result of price fluctuations and other factors. If a financial instrument is denominated in a currency otherthan an investor's currency, a change in exchange rates may adversely affect the investment. Past performance is notnecessarily indicative of future results. Performance calculations exclude transaction costs, unless otherwise indicated.Unless otherwise indicated, prices are current as of the end of the previous trading session and are sourced from localexchanges via Reuters, Bloomberg and other vendors. Data is also sourced from Deutsche Bank, subject companies, andother parties.??The Deutsche Bank Research Department is independent of other business divisions of the Bank. 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Macroeconomic fluctuations often account for most of the risks associated with exposures to instruments that promiseto pay fixed or variable interest rates. For an investor who is long fixed-rate instruments (thus receiving these cashflows), increases in interest rates naturally lift the discount factors applied to the expected cash flows and thuscause a loss. The longer the maturity of a certain cash flow and the higher the move in the discount factor, thehigher will be the loss. Upside surprises in inflation, fiscal funding needs, and FX depreciation rates are among themost common adverse macroeconomic shocks to receivers. But counterparty exposure, issuer creditworthiness, clientsegmentation, regulation (including changes in assets holding limits for different types of investors), changes in taxpolicies, currency convertibility (which may constrain currency conversion, repatriation of profits and/or liquidation ofpositions), and settlement issues related to local clearing houses are also important risk factors. The sensitivity of fixed-income instruments to macroeconomic shocks may be mitigated by indexing the contracted cash flows to inflation, toFX depreciation, or to specified interest rates – these are common in emerging markets. The index fixings may – byconstruction – lag or mis-measure the actual move in the underlying variables they are intended to track. The choice ofthe proper fixing (or metric) is particularly important in swaps markets, where floating coupon rates (i.e., coupons indexedto a typically short-dated interest rate reference index) are exchanged for fixed coupons. Funding in a currency that differsfrom the currency in which coupons are denominated carries FX risk. Options on swaps (swaptions) the risks typical tooptions in addition to the risks related to rates movements.??Derivative transactions involve numerous risks including market, counterparty default and illiquidity risk. Theappropriateness of these products for use by investors depends on the investors' own circumstances, including theirtax position, their regulatory environment and the nature of their other assets and liabilities; as such, investors shouldtake expert legal and financial advice before entering into any transaction similar to or inspired by the contents of thispublication. The risk of loss in futures trading and options, foreign or domestic, can be substantial. As a result of thehigh degree of leverage obtainable in futures and options trading, losses may be incurred that are greater than theamount of funds initially deposited – up to theoretically unlimited losses. Trading in options involves risk and is notsuitable for all investors. Prior to buying or selling an option, investors must review the "Characteristics and Risks ofStandardized Options”, at http://www.optionsclearing.com/about/publications/character-risks.jsp . If you are unable toaccess the website, please contact your Deutsche Bank representative for a copy of this important document.??Participants in foreign exchange transactions may incur risks arising from several factors, including the following: (i)exchange rates can be volatile and are subject to large fluctuations; (ii) the value of currencies may be affected by numerousmarket factors, including world and national economic, political and regulatory events, events in equity and debt marketsand changes in interest rates; and (iii) currencies may be subject to devaluation or government-imposed exchange controls,which could affect the value of the currency. Investors in securities such as ADRs, whose values are affected by thecurrency of an underlying security, effectively assume currency risk.?
Unless governing law provides otherwise, all transactions should be executed through the Deutsche Bank entity inthe investor's home jurisdiction. Aside from within this report, important conflict disclosures can also be found athttps://research.db.com/Research/ on each company ’ s research page. Investors are strongly encouraged to review thisinformation before investing.
Deutsche Bank (which includes Deutsche Bank AG, its branches and affiliated companies) is not acting as a financialadviser, consultant or fiduciary to you or any of your agents (collectively, “You” or “Your”) with respect to any informationprovided in this report. Deutsche Bank does not provide investment, legal, tax or accounting advice, Deutsche Bank is notacting as your impartial adviser, and does not express any opinion or recommendation whatsoever as to any strategies,products or any other information presented in the materials. Information contained herein is being provided solely on thebasis that the recipient will make an independent assessment of the merits of any investment decision, and it does notconstitute a recommendation of, or express an opinion on, any product or service or any trading strategy.
The information presented is general in nature and is not directed to retirement accounts or any specific person or accounttype, and is therefore provided to You on the express basis that it is not advice, and You may not rely upon it in makingYour decision. The information we provide is being directed only to persons we believe to be financially sophisticated,who are capable of evaluating investment risks independently, both in general and with regard to particular transactionsand investment strategies, and who understand that Deutsche Bank has financial interests in the offering of its products
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and services. If this is not the case, or if You are an IRA or other retail investor receiving this directly from us, we askthat you inform us immediately.
In July 2018, Deutsche Bank revised its rating system for short term ideas whereby the branding has been changed toCatalyst Calls (“CC”) from SOLAR ideas; the rating categories for Catalyst Calls originated in the Americas region havebeen made consistent with the categories used by Analysts globally; and the effective time period for CCs has beenreduced from a maximum of 180 days to 90 days.
United States: Approved and/or distributed by Deutsche Bank Securities Incorporated, a member of FINRA, NFA and SIPC.Analysts located outside of the United States are employed by non-US affiliates that are not subject to FINRA regulations.??Germany: Approved and/or distributed by Deutsche Bank AG, a joint stock corporation with limited liability incorporatedin the Federal Republic of Germany with its principal office in Frankfurt am Main. Deutsche Bank AG is authorized underGerman Banking Law and is subject to supervision by the European Central Bank and by BaFin, Germany ’ s FederalFinancial Supervisory Authority.??United Kingdom: Approved and/or distributed by Deutsche Bank AG acting through its London Branch at WinchesterHouse, 1 Great Winchester Street, London EC2N 2DB. Deutsche Bank AG in the United Kingdom is authorised by thePrudential Regulation Authority and is subject to limited regulation by the Prudential Regulation Authority and FinancialConduct Authority. Details about the extent of our authorisation and regulation are available on request.??Hong Kong: Distributed by Deutsche Bank AG, Hong Kong Branch or Deutsche Securities Asia Limited (save that anyresearch relating to futures contracts within the meaning of the Hong Kong Securities and Futures Ordinance Cap. 571shall be distributed solely by Deutsche Securities Asia Limited). The provisions set out above in the "Additional Information"section shall apply to the fullest extent permissible by local laws and regulations, including without limitation the Code ofConduct for Persons Licensed or Registered with the Securities and Futures Commission. .??India: Prepared by Deutsche Equities India Private Limited (DEIPL) having CIN: U65990MH2002PTC137431 and registeredoffice at 14th Floor, The Capital, C-70, G Block, Bandra Kurla Complex Mumbai (India) 400051. Tel: + 91 22 71804444. It is registered by the Securities and Exchange Board of India (SEBI) as a Stock broker bearing registrationnos.: NSE (Capital Market Segment) - INB231196834, NSE (F&O Segment) INF231196834, NSE (Currency DerivativesSegment) INE231196834, BSE (Capital Market Segment) INB011196830; Merchant Banker bearing SEBI Registrationno.: INM000010833 and Research Analyst bearing SEBI Registration no.: INH000001741. DEIPL may have receivedadministrative warnings from the SEBI for breaches of Indian regulations. The transmission of research through DEIPLis Deutsche Bank's determination and will not make a recipient a client of DEIPL. Deutsche Bank and/or its affiliate(s)may have debt holdings or positions in the subject company. With regard to information on associates, please refer to the“Shareholdings” section in the Annual Report at: https://www.db.com/ir/en/annual-reports.htm .??Japan: Approved and/or distributed by Deutsche Securities Inc.(DSI). Registration number - Registered as a financialinstruments dealer by the Head of the Kanto Local Finance Bureau (Kinsho) No. 117. Member of associations: JSDA, TypeII Financial Instruments Firms Association and The Financial Futures Association of Japan. Commissions and risks involvedin stock transactions - for stock transactions, we charge stock commissions and consumption tax by multiplying thetransaction amount by the commission rate agreed with each customer. Stock transactions can lead to losses as a resultof share price fluctuations and other factors. Transactions in foreign stocks can lead to additional losses stemming fromforeign exchange fluctuations. We may also charge commissions and fees for certain categories of investment advice,products and services. Recommended investment strategies, products and services carry the risk of losses to principaland other losses as a result of changes in market and/or economic trends, and/or fluctuations in market value. Beforedeciding on the purchase of financial products and/or services, customers should carefully read the relevant disclosures,prospectuses and other documentation. "Moody's", "Standard & Poor's", and "Fitch" mentioned in this report are notregistered credit rating agencies in Japan unless Japan or "Nippon" is specifically designated in the name of the entity.Reports on Japanese listed companies not written by analysts of DSI are written by Deutsche Bank Group's analysts withthe coverage companies specified by DSI. Some of the foreign securities stated on this report are not disclosed accordingto the Financial Instruments and Exchange Law of Japan. Target prices set by Deutsche Bank's equity analysts are basedon a 12-month forecast period..??
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Korea: Distributed by Deutsche Securities Korea Co.??South Africa: Deutsche Bank AG Johannesburg is incorporated in the Federal Republic of Germany (Branch RegisterNumber in South Africa: 1998/003298/10).??Singapore: This report is issued by Deutsche Bank AG, Singapore Branch or Deutsche Securities Asia Limited, SingaporeBranch (One Raffles Quay #18-00 South Tower Singapore 048583, +65 6423 8001), which may be contacted in respectof any matters arising from, or in connection with, this report. Where this report is issued or promulgated by DeutscheBank in Singapore to a person who is not an accredited investor, expert investor or institutional investor (as defined in theapplicable Singapore laws and regulations), they accept legal responsibility to such person for its contents.??Taiwan: Information on securities/investments that trade in Taiwan is for your reference only. Readers shouldindependently evaluate investment risks and are solely responsible for their investment decisions. Deutsche Bank researchmay not be distributed to the Taiwan public media or quoted or used by the Taiwan public media without written consent.Information on securities/instruments that do not trade in Taiwan is for informational purposes only and is not to beconstrued as a recommendation to trade in such securities/instruments. Deutsche Securities Asia Limited, Taipei Branchmay not execute transactions for clients in these securities/instruments.??Qatar: Deutsche Bank AG in the Qatar Financial Centre (registered no. 00032) is regulated by the Qatar Financial CentreRegulatory Authority. Deutsche Bank AG - QFC Branch may undertake only the financial services activities that fall withinthe scope of its existing QFCRA license. Its principal place of business in the QFC: Qatar Financial Centre, Tower, WestBay, Level 5, PO Box 14928, Doha, Qatar. This information has been distributed by Deutsche Bank AG. Related financialproducts or services are only available only to Business Customers, as defined by the Qatar Financial Centre RegulatoryAuthority.??Russia: The information, interpretation and opinions submitted herein are not in the context of, and do not constitute, anyappraisal or evaluation activity requiring a license in the Russian Federation.
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Deutsche Bank Securities Inc. Page 29
David Folkerts-LandauGroup Chief Economist and Global Head of Research
Pam FinelliGlobal Chief Operating Officer
Research
Michael SpencerHead of APAC Research
Steve PollardHead of Americas Research
Global Head of Equity Research
Anthony KlarmanGlobal Head ofDebt Research
Kinner LakhaniHead of EMEA
Equity Research
Joe LiewHead of APAC
Equity Research
Jim ReidGlobal Head of
Thematic Research
Francis YaredGlobal Head ofRates Research
George SaravelosHead of FX Research
Peter HooperGlobal Head of
Economics Research
Andreas NeubauerHead of Germany Research
Spyros MesomerisGlobal Head of Quantitative
and QIS Research
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