Morningstar Direct SM U.S. Asset Flows Update

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Morningstar Direct

SM

U.S. Asset Flows Update

Taxable- and Municipal-Bond Funds Continued to Attract the Highest Flows in May

After outflows for most of last year, the tide turned for taxable-bond funds; they once again became popular with investors in February 2016, after the January sell-off in the stock market. The taxable-bond Morningstar category group received the highest inflow of all category groups in May: $15.4 billion. Municipal-bond funds took second place, with an $8.2 billion inflow. The taxable-bond category saw its inflow almost evenly distributed between active and passive funds. For muni-bond funds, active funds received the bulk of the inflows, which makes sense given the scarcity of passive muni-bond fund options out there.

U.S. equity remained stuck in its pattern of passive inflows and active outflows. Worries over weakness in the most recent employment report were offset by hopes that the same weakness might lead the Federal Reserve to postpone raising interest rates. (This will be discussed at the next meeting on June 14–15.)

International equity sustained outflows across the board, active and passive, prompted by concerns over potential disruption in Europe if Britain decides to leave the European Union at the upcoming June 23 referendum. May’s $6.6 billion outflow was the worst since August 2011 for international equity.

Active Passive

Estimated Net Flows*

$Mil 2016 May 1 Year

Assets May 2016 1 Year Assets $Bil $Bil U.S. Equity (18,701) (185,785) 3,506 8,105 133,905 2,564 Sector Equity (2,142) (15,701) 388 2,667 11,883 365 International Equity (4,546) (11,505) 1,431 (2,072) 93,906 837 Allocation (2,619) (55,870) 1,133 390 873 57 Taxable Bond 7,276 (80,290) 2,234 8,155 108,377 836 Municipal Bond 7,539 34,504 631 691 5,169 25 Alternative (384) 6,919 174 1,530 10,204 48 Commodities 40 (362) 24 2,450 11,116 65

All Long Term (13,537) (308,090) 9,520 21,917 375,433 4,798

Money Market 2,256 123,970 2,721

*Includes liquidated and merged funds. Source: Morningstar Direct Asset Flows.

Morningstar Manager Research 16 June 2016

Data through May 31, 2016 U.S. Mutual Funds and Exchange-Traded Products Alina Lamy Senior Analyst Markets Research +1 312-384-3924 alina.lamy@morningstar.com

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Total (Active and Passive) Estimated Net Flows

$Mil May 2016 1 Year Assets $Bil U.S. Equity (10,596) (51,880) 6,070 Sector Equity 525 (3,818) 753 International Equity (6,618) 82,402 2,268 Allocation (2,229) (54,998) 1,190 Taxable Bond 15,431 28,087 3,069 Municipal Bond 8,231 39,673 656 Alternative 1,146 17,123 223 Commodities 2,491 10,754 89

All Long Term 8,380 67,342 14,318

Money Market 2,256 123,970 2,721

Recent economic and market news has been mixed, and there is always some source of uncertainty looming around the corner. The U.S. stock market has recovered after its January and February losses, and monthly returns since then have been positive. Now, however, investors are worried over Britain’s potential exit from the European Union (commonly known as Brexit), and these worries are reflected in the flows. (I cover Brexit and its potential implications in more detail in my video here.)

Exhibit 1. Category Group Flows During the Past 12 Months ($ Billion)

Source: Morningstar Direct Asset Flows. -60 -40 -20 0 20 40 60

Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May

2015 2016

U.S. Equity Sector Equity International Equity

Allocation Taxable Bond Municipal Bond

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Exhibit 2 takes a closer look at fixed-income flows, illustrating how flows into taxable-bond funds have been positive since February but decreasing since March. Muni-bond flows have been increasing, slowly but steadily, for the past 12 months. With the interest-rate uncertainty nowhere near to being resolved and no stellar news on the equity front (domestic or

international), investors are turning to muni bonds for their relative safety and tax benefits.

Exhibit 2. Taxable- and Municipal-Bond Monthly Flows ($ Billion)

Source: Morningstar Direct Asset Flows.

Exhibit 3. Flows for Commodity Categories in the Past Six Months ($ Billion)

Source: Morningstar Direct Asset Flows. (40) (30) (20) (10) 0 10 20 30 40

Jun-15 Sep-15 Dec-15 Mar-16

Taxable Bond Municipal Bond

(1) 0 1 2 3 4 5 6

Dec-15 Jan-16 Feb-16 Mar-16 Apr-16 May-16

Agriculture Broad Basket

Energy Industrial Metals

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Gold Sees Another Surge in Flows in May

Flows into commodities spiked again in May, after being on the decline since February. The majority of these inflows, $2.5 billion, went into passive funds, especially precious-metals funds. May’s inflow was nowhere near February’s in magnitude; however, gold prices

increased by 14% so far this year, so it could be a case of chasing returns. Furthermore, market disruption and volatility caused by Brexit (if it happens) could spur a flight to safety that would push gold prices even higher.

Intermediate-Bond and Foreign Large-Blend Are the Top-Flowing Categories

Once again, no surprise: Intermediate-term bond was the category with the highest flows in May. Intermediate bonds are a reasonable middle-of-the-road choice for most investors, because short-term bonds don’t yield enough and long-term ones have higher interest-rate risk. The same reasoning applies to muni bonds (the muni national intermediate category had the third-largest flows), plus the tax benefits, of course.

Top- and Bottom-Flowing Morningstar Categories

Estimated Net Flows*

$Mil 2016 May 1 Year

Assets _May 2016 1 Year Assets $Bil $Bil Leading Intermediate-Term Bond 7,077 20,391 778 5,319 41,503 400

Foreign Large Blend (56) 10,183 342 5,979 100,798 455

Muni National Intermediate 2,988 20,291 173 349 2,715 10

Large Value 42 (29,825) 800 2,542 19,028 209

Commodities Precious Metals 5 14 0 2,330 8,365 50

Lagging

Large Growth (9,235) (44,044) 1,166 (372) 6,958 167

High Yield Bond (391) (12,535) 250 (2,795) 2,069 37

World Allocation (3,121) (29,763) 305 (0) (76) 0

Europe Stock (205) 1,547 15 (2,643) 535 56

Mid-Cap Growth (2,094) (15,461) 238 (277) 118 24

*Excludes money market.

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What is surprising is that foreign large-blend appeared on the list with highest inflows despite the fact that the overall category group, international equity, sustained outflows. Even more of a contradiction: Europe stock was among the categories with the largest outflows and foreign

large-blend was among the categories with the largest inflows, but foreign large-blend is

concentrated mostly in Europe. So, apparently, investors took money out of a category concentrated in European equity and poured money into another category concentrated in European equity.

Within the Europe stock category, the two funds with the highest outflows were iShares MSCI Eurozone EZU and WisdomTree Europe Hedged Equity Fund HEDJ. Since the dollar has stayed relatively flat against the euro this year, it looks like investors are deciding that hedging is no longer worth it. This may all change going forward, however, if the pound and the euro

depreciate in Brexit’s aftermath, diminishing the returns of European holdings for U.S. investors. On the foreign large-blend side, inflows were led by Vanguard Total International Stock Index Fund VGTSX, Vanguard Developed Markets Index Fund VTMGX, and iShares Edge MSCI EAFE Minimum Volatility EFAV. We have seen this happen in the past, since Vanguard decided to increase allocations to international stocks within its fund-of-funds lineup. The majority of flows into the top two funds in the foreign large-blend category most likely originated from other Vanguard funds, principally their date open-end funds, as well as risk and target-date offerings from 529 plans. These funds of funds are privileged in the sense that they tend to enjoy regular flows in the form of monthly investor contributions as opposed to lump sums, and then they turn around and invest these flows into their constituent individual funds. Last month, we discussed how iShares Edge MSCI USA Minimum Volatility USMV pulled the large-blend category up to second place in the top-flowing five. The exact same thing is happening this month with iShares Edge MSCI EAFE Minimum Volatility EFAV and the foreign large-blend category.

These minimum-volatility exchange-traded funds seek to track the investment results of an index composed of U.S. or international equities that, in aggregate, have lower volatility characteristics relative to their broader equity market. Investors have been turning to these vehicles lately because they are still interested in U.S. and international equity’s potential returns but unwilling to shoulder the increased risk and volatility these markets have

experienced recently. USMV returned 6.8% this year through the end of May, a more attractive prospect than SPDR S&P 500 ETF’s SPY 3.5% return during the same time period. Both ETFs have reasonable expense ratios of 0.15% and 0.20%, respectively.

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Return, YTD Return of Nonminimum

Volatility ETF, YTD Expense Ratio

USMV 6.8 3.5 (SPY) 0.15

EFAV 3.3 -0.6 (EFA) 0.20

On the other hand, it seems investors are shying away from growth, as evidenced by both large- and mid-cap growth appearing on the bottom-flowing list.

High-yield bond flows have been volatile lately, turning negative again in May after three months of inflows, including a $10.8 billion peak in March.

Exhibit 4. iShares MSCI USA and EAFE Minimum Volatility Flows ($ Billion)

Source: Morningstar Direct Asset Flows. (0.5) 0.0 0.5 1.0 1.5 2.0

Jan-14 Jul-14 Jan-15 Jul-15 Jan-16

iShares MSCI USA Minimum Volatility iShares MSCI EAFE Minimum Volatility

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Exhibit 5. High-Yield Flows ($ Billion)

BlackRock/iShares May Outflow Largest of the Top 10

BlackRock/iShares suffered a $4.8 billion outflow in May; both active and passive flows were in negative territory. Outflows larger than $1 billion came out of these four ETFs: iShares MSCI Emerging Markets EEM, iShares iBoxx $ High Yield Corporate Bond HYG, iShares MSCI Eurozone EZU, and iShares MSCI Japan EWJ.

Top 10 U.S. Fund Families

Estimated Net Flows $Mil ₂₀₁₆May 1 Year Assets ₂₀₁₆May 1 Year Assets

$Bil $Bil Vanguard 2,840 18,467 821 18,941 205,297 2,275 American Funds 1,283 5,576 1,213 Fidelity Investments (3,482) (32,103) 985 2,002 17,558 216 BlackRock/iShares (1,286) (7,130) 212 (3,500) 89,911 871 T. Rowe Price 133 (2,068) 456 110 (92) 29

SPDR State Street Global Advisors 123 2,050 4 (2,871) 18,182 431 Franklin Templeton Investments (3,652) (44,381) 387

PIMCO (318) (45,872) 297 50 (593) 4

Dimensional Fund Advisors 2,122 24,502 283

JPMorgan 67 4,263 266 94 (160) 6

(1) (7) (2) (4) (2) 9 (4) (11) (3) 4 11 2 (3) -15 -10 -5 0 5 10 15

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On the active side, American Funds continued to do well in terms of flows. T. Rowe Price, State Street, and JPMorgan managed to stay positive, but just barely. On the passive side, DFA and Fidelity enjoyed healthy flows, while State Street took a hit.

For the year to date, American Funds and T. Rowe Price are the only active companies with positive flows. Vanguard is not displayed in Exhibit 6 because it would dwarf all the other data points and decrease the chart’s legibility (Vanguard’s year-to-date flow is $114.7 billion).

Exhibit 6. Year-to-Date Flows, Top 10 Companies Except Vanguard ($ Billion)

Source: Morningstar Direct Asset Flows. 8 (6) 17 2 3 (17) (6) 12 (3) (20) (10) 0 10 20

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Top-Flowing Active and Passive Funds

Assets Assets

Estimated Net Flows May

2016 1 Year 2016 May 2015 May

$Mil $Mil $Mil

Active Funds

PIMCO Income 1,551 12,544 59,786 46,197

Metropolitan West Total Return Bond 1,393 9,347 76,995 66,501 AQR Managed Futures Strategy 1,225 4,422 12,195 8,556 Bridge Builder Core Plus Bond 951 3,190 3,204

American Funds American Balanced 949 6,203 91,797 83,085

Passive Funds

Vanguard Total Intl Stock Idx 3,356 58,173 205,984 166,817 Vanguard Total Stock Market Index 3,201 22,746 434,111 410,770 Vanguard Total Bond Market Index 2,014 14,438 163,288 145,211

SPDR® Gold Shares 1,876 6,545 33,840 27,410

iShares Core US Aggregate Bond 1,018 11,587 36,721 24,894

PIMCO Income Leads Top-Flowing List

This month, PIMCO Income PIMIX, which has a Morningstar Analyst RatingTM_{of Silver, beat}

Gold-rated rival Metropolitan West Total Return Bond MWTRX to claim the top spot with $1.6 billion in flows. Despite sizable outflows from the allocation category group, American Funds American Balanced ABALX appeared once again in the top five in May because of its consistent performance (third percentile ranking in its category in the past year).

Two nonregulars on the top five list this month are AQR Managed Futures Strategy AQMIX and Bridge Builder Core Plus Bond BBCPX. AQR focuses on quantitative strategies and is known mainly for its alternative fund lineup, which managed to attract consistent flows during the past year. The Bridge Builder series is a group of funds launched by Edward Jones in an effort to move from using outside funds to offering subadvisor versions of them designed specifically for clients invested in the firm's fee-based Advisory Solutions program. This new strategy is aimed at reducing the overall costs for investors, as well as addressing challenges related to rebalancing accounts or removing assets from the funds. These funds are very recent and do not have a long-term performance record.

Three Vanguard funds and two ETFs (one SPDR, one iShares) held the top five on the passive side. SPDR Gold Shares GLD was the main beneficiary of the large flows observed at the commodities precious metals category level.

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Exhibit 7. Flows for Select Fixed-Income Funds During the Past 6 Months ($ Billion)

Bottom-Flowing Active and Passive Funds

Assets Assets

Estimated Net Flows May

2016 1 Year 2016 May 2015 May

$Mil $Mil $Mil

Active Funds

Templeton Global Bond (1,246) (15,113) 48,196 67,931

PIMCO Total Return (1,210) (22,042) 86,115 107,311

AB Growth and Income (1,140) (1,334) 1,634 2,926

Oppenheimer Rising Dividends (898) (1,063) 4,144 5,445

Old Westbury Strategic Opportunities (856) (474) 6,104 7,184

Passive Funds

SPDR® S&P 500 ETF (3,528) 6,031 184,055 176,956

iShares MSCI Emerging Markets (3,189) (4,120) 21,674 31,903 iShares iBoxx $ High Yield Corporate Bd (2,618) 727 15,059 15,507

iShares MSCI Eurozone (1,411) 1,842 10,619 10,118

iShares MSCI Japan (1,043) (1,753) 15,331 19,238

(3) (2) (1) 0 1 2 3

Dec-15 Jan-16 Feb-16 Mar-16 Apr-16 May-16

DoubleLine Total Return Bond Fund PIMCO Income Fund PIMCO Total Return Fund Templeton Global Bond Fund Vanguard Intermediate-Term Invmt-Grd Metropolitan West Total Return Bond

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Among active funds, Templeton Global Bond TPINX and PIMCO Total Return PTTRX suffered the largest outflows in May.

IShares once again monopolized the bottom-flowing list on the passive side with four ETFs this month (it had three on the list in April). Investors sold their positions in these internationally oriented ETFs (emerging markets, eurozone, and Japan) and started moving toward minimum-volatility international ETFs, as discussed above.

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Note: The figures in this report were compiled on June 10, 2016, and reflect only the funds that had reported net assets by that date. The figures in both the commentary and the extended tables are survivorship-bias-free.

This report includes both mutual funds and exchange-traded funds, but not funds of funds unless specifically stated.

Important methodology note: Morningstar computes flows using the approach that is standard in the industry: Estimated net flow is the change in assets not explained by the performance of the fund. Our method assumes that flows occur uniformly over the course of the month. Adjustments for mergers are performed automatically. When liquidated funds are included, the final assets of the fund are counted as outflows. Reinvested dividends are not counted as inflows. We use fund-level reinvestment rates to improve accuracy in this respect. We make ad hoc adjustments for unusual corporate actions such as reverse share splits, and we overwrite our estimates with actual flows if managers are willing to provide the data to us. Please click here for a full explanation of our methodology.

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Morningstar Categories Ranked by Current TNA ($Mil)

Rank Name Estimated Net Flow ($mil) Total Net Assets ($bil) Total Return

1-Mo QTD YTD 1-Yr 05-2016 Mkt Sh % 05-2015 Mkt Sh % 1-Mo YTD

1 Large Blend (1,429) 3,033 16,886 26,163 2,322 16.22 2,297 15.54 2.79 6.11 2 Large Growth (9,607) (22,275) (37,458) (37,086) 1,333 9.31 1,406 9.51 4.53 (0.13) 3 Intermediate-Term Bond 12,396 27,886 52,476 61,894 1,178 8.23 1,089 7.36 0.01 6.62 4 Large Value 2,584 3,985 4,072 (10,797) 1,008 7.04 1,038 7.02 1.98 9.95 5 Foreign Large Blend 5,923 9,246 34,462 110,980 797 5.56 789 5.33 (0.36) (0.03) 6 Allocation--50% to 70% Equity 733 995 295 (2,385) 472 3.29 474 3.21 1.14 7.15 7 World Stock (1,665) (3,091) (5,966) (7,645) 383 2.68 420 2.84 0.76 6.30 8 Short-Term Bond 1,636 4,634 6,980 7,145 344 2.41 326 2.20 0.01 3.12 9 Diversified Emerging Mkts (1,268) 1 3,166 (7,785) 341 2.38 416 2.81 (6.38) 5.70 10 Mid-Cap Blend 417 (139) (4,450) 1,348 332 2.32 347 2.35 3.03 7.66 11 Foreign Large Growth (1,136) (2,702) 396 4,735 314 2.19 360 2.43 0.90 (0.08) 12 World Allocation (3,121) (5,471) (14,388) (29,839) 305 2.13 353 2.39 (0.40) 8.18 13 High Yield Bond (3,187) (869) 10,674 (10,466) 287 2.00 313 2.12 1.03 11.65 14 Small Blend (552) 492 (1,514) 851 278 1.94 291 1.97 2.61 7.13 15 Mid-Cap Growth (2,372) (4,453) (11,151) (15,343) 262 1.83 303 2.05 4.31 1.89 16 Mid-Cap Value 73 39 (431) (7,496) 227 1.58 251 1.70 2.57 13.07 17 World Bond (1,551) (1,352) (5,020) (8,733) 210 1.46 220 1.49 (2.33) 9.26 18 Allocation--30% to 50% Equity 249 289 (1,615) (10,813) 195 1.36 215 1.46 1.07 9.01 19 Multisector Bond 908 2,310 1,665 (7,820) 184 1.28 195 1.32 0.36 7.52 20 Small Growth (633) (2,502) (6,241) (10,412) 184 1.28 212 1.43 5.21 0.03 21 Muni National Interm 3,337 6,380 13,908 23,007 183 1.28 153 1.03 0.15 4.44 22 Health (1,608) (2,432) (12,268) (9,592) 157 1.10 193 1.30 5.93 (16.10) 23 Real Estate 1,804 2,322 3,206 1,333 147 1.02 137 0.92 4.34 10.91 24 Foreign Large Value (543) 72 2,053 228 144 1.00 162 1.10 (2.52) 1.81 25 Corporate Bond 1,863 4,562 12,790 14,939 132 0.92 117 0.79 (0.20) 9.63 26 Small Value 923 1,208 1,916 954 124 0.87 130 0.88 1.51 12.39 27 Muni National Short 944 487 1,603 43 122 0.85 120 0.81 (0.16) 1.27 28 Allocation--70% to 85% Equity 167 192 (76) (1,693) 119 0.83 122 0.82 1.72 6.35 29 Inflation-Protected Bond 926 2,686 3,207 1,502 116 0.81 107 0.72 (1.20) 6.69 30 Intermediate Government 1,117 1,063 5,355 6,928 112 0.78 104 0.71 (0.11) 4.48 31 Nontraditional Bond (1,569) (3,664) (13,370) (24,262) 110 0.77 138 0.93 0.38 2.62 32 Bank Loan 539 83 (5,715) (21,337) 96 0.67 120 0.81 1.43 8.28 33 Muni National Long 916 1,920 3,277 3,342 90 0.63 83 0.56 0.95 7.09 34 High Yield Muni 1,607 2,626 6,061 8,270 88 0.62 76 0.51 1.53 7.45 35 Ultrashort Bond 1,490 510 81 1,322 87 0.61 84 0.57 0.22 1.10

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36 Technology (1,641) (1,890) (6,434) (2,118) 80 0.56 85 0.58 9.49 1.36 37 Europe Stock (2,848) (4,676) (10,376) 2,082 72 0.50 81 0.55 0.73 (1.18) 38 Short Government (460) (1,595) (93) 4,055 57 0.40 53 0.36 (0.12) 1.49 39 Multialternative (344) (415) 1,780 12,605 57 0.39 48 0.33 0.14 1.27 40 Global Real Estate (314) (394) (1,612) (1,488) 55 0.39 57 0.39 (1.44) 8.50 41 Emerging Markets Bond 319 1,442 533 (5,266) 55 0.38 60 0.41 (1.47) 12.25 42 Commodities Precious Metals 2,335 2,854 11,354 8,379 50 0.35 42 0.28 (13.94) 27.08 43 Equity Energy 268 1,141 3,640 5,952 49 0.34 51 0.34 (4.38) 21.92 44 Energy Limited Partnership 354 592 2,392 2,858 40 0.28 51 0.34 5.49 22.15 45 Financial 182 (67) (4,893) 651 40 0.28 42 0.28 4.01 0.28 46 Preferred Stock 1,192 2,304 4,276 7,436 39 0.27 32 0.21 2.43 6.71 47 Muni California Long 376 691 1,441 1,829 38 0.27 34 0.23 1.06 6.72 48 Utilities 184 280 4,844 1,898 37 0.26 34 0.23 2.47 25.07 49 Foreign Small/Mid Growth (343) (407) (127) 1,761 36 0.25 36 0.25 0.02 (2.48) 50 Long-Short Equity (671) (1,076) (2,762) (6,950) 35 0.25 45 0.31 1.66 (0.43) 51 Natural Resources 197 356 268 (2,361) 35 0.24 43 0.29 (6.27) 24.11 52 Japan Stock (1,729) (3,535) (7,263) (3,242) 34 0.24 45 0.31 4.65 (5.69) 53 Long Government 440 (866) 5,912 9,217 33 0.23 22 0.15 1.25 15.49 54 Commodities Broad Basket 372 947 2,960 (277) 31 0.22 38 0.25 0.26 17.68 55 Miscellaneous Region (1,303) (1,516) (1,278) (3,865) 31 0.22 41 0.28 — — 56 Foreign Small/Mid Blend 310 228 599 2,875 31 0.21 29 0.20 1.53 4.22 57 Managed Futures 1,443 1,913 6,710 11,733 30 0.21 20 0.14 (1.17) (0.59) 58 Tactical Allocation (37) (13) (1,236) (2,470) 30 0.21 34 0.23 0.55 2.42 59 Consumer Cyclical 64 (1,146) (3,769) (1,375) 26 0.18 28 0.19 (0.44) (0.37) 60 Foreign Small/Mid Value (161) (200) 54 1,118 25 0.17 25 0.17 0.03 4.56 61 Muni California Intermediate 437 833 1,852 3,160 24 0.17 20 0.14 0.48 4.89 62 Market Neutral (135) 87 176 (2,786) 24 0.16 27 0.18 0.08 0.79 63 Consumer Defensive 204 (411) 1,756 3,474 23 0.16 18 0.12 0.74 9.62 64 Equity Precious Metals 726 878 1,080 974 22 0.16 19 0.13 (21.95) 123.73 65 Muni Single State Long 156 304 650 377 22 0.16 21 0.14 0.35 2.42 66 Long-Term Bond (56) 71 (791) (1,693) 22 0.15 22 0.15 1.54 16.26 67 Pacific/Asia ex-Japan Stk (76) (173) (783) (9,308) 21 0.15 35 0.24 (2.15) 0.69 68 Muni New York Long 34 111 207 (567) 19 0.13 19 0.13 0.89 6.11 69 Allocation--85%+ Equity (137) (298) (863) (1,915) 19 0.13 22 0.15 1.64 4.00 70 Trading--Leveraged Equity (189) (1,051) (3,090) 118 17 0.12 20 0.13 — —

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71 Industrials 21 510 421 (1,944) 16 0.12 19 0.13 0.88 10.67 72 Convertibles (297) (484) (1,820) (3,599) 16 0.11 22 0.15 3.15 2.05 73 Infrastructure 3 (152) (742) (2,699) 14 0.10 18 0.12 0.08 19.82 74 China Region (1,618) (2,006) (3,563) (7,386) 14 0.10 29 0.20 (1.57) (14.36) 75 Muni Single State Interm 71 161 415 338 14 0.10 13 0.09 0.07 2.03 76 Diversified Pacific/Asia (29) (14) (623) (1,183) 13 0.09 16 0.11 0.04 0.75 77 Trading--Inverse Equity 1,212 2,248 5,819 5,860 13 0.09 8 0.06 — — 78 Option Writing (25) 29 92 242 12 0.08 11 0.08 2.61 0.25 79 Muni New York Intermediate 152 256 503 826 11 0.08 10 0.07 0.44 4.75 80 Muni Single State Short (35) (96) (682) (1,459) 10 0.07 12 0.08 (0.06) 1.08 81 Allocation--15% to 30% Equity 37 88 (105) (475) 10 0.07 11 0.07 0.27 2.76 82 Long-Short Credit (362) (686) (1,763) (3,493) 10 0.07 15 0.10 0.37 0.61 83 Muni Pennsylvania 41 81 156 6 9 0.07 9 0.06 0.43 2.54 84 Emerging-Markets Local-Currency Bond (573) (868) (1,867) (6,331) 9 0.06 16 0.11 (7.92) 10.37 85 India Equity (185) (139) (282) (1,524) 9 0.06 11 0.08 2.95 (2.83) 86 Communications 107 307 926 895 8 0.06 7 0.05 1.42 12.75 87 Muni Massachusetts 73 110 252 236 7 0.05 7 0.05 0.21 2.26 88 Multicurrency (365) (693) (1,195) (4,316) 7 0.05 12 0.08 (1.85) 2.04 89 Muni New Jersey 13 39 54 (216) 7 0.05 7 0.04 0.47 2.89 90 Commodities Energy (341) (856) 66 2,779 6 0.04 5 0.04 3.61 6.23 91 Latin America Stock 51 430 809 633 5 0.04 6 0.04 (17.61) 29.58 92 Muni Ohio 49 82 178 166 5 0.04 5 0.03 0.25 2.57 93 Muni Minnesota 62 111 220 315 5 0.03 4 0.03 0.24 2.15 94 Volatility 578 1,538 2,616 2,811 5 0.03 3 0.02 — — 95 Target-Date 2030 19 27 (30) (380) 4 0.03 5 0.03 0.56 4.92 96 Target-Date 2020 8 10 (140) (682) 4 0.03 5 0.03 0.90 4.27 97 Trading--Inverse Debt (4) 272 (260) (788) 4 0.03 6 0.04 — — 98 Bear Market 245 213 494 (435) 4 0.03 4 0.03 (2.26) (8.43) 99 Target-Date 2025 43 64 86 (46) 3 0.02 3 0.02 (1.72) 6.31 100 Target-Date 2040 19 24 (16) (297) 3 0.02 4 0.03 1.42 5.11 101 Trading--Leveraged Commodities (344) (847) (288) 2,917 3 0.02 3 0.02 — — 102 Miscellaneous Sector (27) (5) (100) (263) 3 0.02 4 0.02 — — 103 Target-Date 2035 38 52 103 66 2 0.02 2 0.01 (1.78) 6.05 104 Target-Date 2050 16 32 46 (1) 2 0.01 2 0.01 (1.96) 6.02 105 Commodities Agriculture 104 190 175 19 2 0.01 2 0.01 1.64 5.65

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106 Target-Date Retirement 4 10 (57) (160) 1 0.01 2 0.01 0.53 3.61 107 Target-Date 2045 22 36 72 49 1 0.01 1 0.01 (1.95) 5.80 108 Single Currency 31 (182) (227) (182) 1 0.01 1 0.01 — — 109 Trading--Inverse Commodities 123 474 618 (112) 1 0.01 1 0.01 — — 110 Trading--Miscellaneous 3 10 (132) (481) 1 0.01 2 0.01 — — 111 Target-Date 2015 3 (10) (56) (274) 1 0.00 1 0.01 (1.53) 6.43 112 Target-Date 2000-2010 (17) (21) (48) (207) 0 0.00 1 0.00 1.62 4.36 113 Target-Date 2055 20 31 77 118 0 0.00 0 0.00 2.73 13.53 114 Trading--Leveraged Debt (13) (118) (74) (39) 0 0.00 0 0.00 — — 115 Commodities Industrial Metals 21 34 14 (92) 0 0.00 0 0.00 — — 116 Target-Date 2060+ 0 1 2 3 0 0.00 — — 0.90 2.07 117 Commodities Miscellaneous 0 0 (1) 0 0 0.00 0 0.00 (1.52) (29.32)

Top 10 9,720 24,276 70,461 141,832 8,510 59.44 8,602 58.18 — —

All 8,417 23,668 72,129 67,569 14,318 100.00 14,786 100.00 — —

Top Fund Families Ranked by Current TNA ($Mil)

Rank Name Estimated Net Flow ($mil) Assets Under Management ($bil)

1-Mo QTD YTD 1-Yr 05-2016 Mkt Sh % 05-2015 Mkt Sh %

1 Vanguard 21,781 43,122 114,662 223,764 3,096 21.62 2,889 19.54 2 American Funds 1,283 2,786 7,550 5,576 1,213 8.47 1,230 8.32 3 Fidelity Investments (1,481) (3,353) (6,457) (14,545) 1,200 8.38 1,256 8.49 4 iShares (3,957) 719 17,347 84,485 853 5.96 814 5.51 5 T. Rowe Price 243 388 1,916 (2,161) 485 3.39 488 3.30 6 SPDR State Street Global Advisors (2,748) (3,183) 3,287 20,232 435 3.04 422 2.85 7 Franklin Templeton Investments (3,652) (6,455) (17,051) (44,381) 387 2.70 453 3.06 8 Pimco (267) (1,220) (6,411) (46,465) 301 2.10 352 2.38 9 Dimensional Fund Advisors 2,122 4,156 11,735 24,502 283 1.97 277 1.87 10 JPMorgan 161 834 (2,529) 4,104 272 1.90 278 1.88 11 BlackRock (829) (1,895) (397) (1,704) 230 1.61 241 1.63 12 MFS 674 574 930 1,047 183 1.28 183 1.24 13 OppenheimerFunds (1,087) (1,793) (3,879) (13,029) 176 1.23 201 1.36 14 Dodge & Cox (495) (1,345) (2,982) (7,782) 175 1.22 199 1.35 15 Columbia (504) (612) (3,342) (11,239) 143 1.00 161 1.09

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16 Invesco 308 184 (400) (4,654) 143 1.00 153 1.04 17 Jackson National 264 601 259 4,537 127 0.88 128 0.87 18 John Hancock (713) (162) (384) 5,947 125 0.87 124 0.84 19 Principal Funds 22 540 233 812 115 0.81 118 0.79 20 Janus (24) (116) (629) (3,615) 103 0.72 111 0.75 21 Lord Abbett 348 1,113 1,151 (3,931) 102 0.71 108 0.73 22 American Century Investments (57) (54) (99) (2,398) 102 0.71 104 0.70 23 Wells Fargo Funds (489) (1,098) (3,591) (10,386) 101 0.71 114 0.77 24 AXA Equitable (368) (787) (2,190) (4,211) 98 0.68 104 0.70 25 TIAA-CREF Asset Management 418 1,311 3,039 6,826 93 0.65 88 0.60 26 Legg Mason 379 611 (157) (1,506) 91 0.64 96 0.65 27 Hartford Mutual Funds (382) (699) (1,618) (2,366) 91 0.64 96 0.65 28 PowerShares 2,427 197 (1,370) 2,504 90 0.63 91 0.62 29 SEI (159) 474 524 1,460 88 0.62 89 0.61 30 Metropolitan West Funds 1,331 3,046 5,326 8,928 85 0.60 75 0.51 31 Goldman Sachs (1,184) (2,572) (5,921) (13,483) 83 0.58 102 0.69 32 Voya (539) (1,070) (2,879) (7,264) 82 0.57 91 0.61 33 Prudential Investments 575 926 1,059 (386) 79 0.55 82 0.55 34 Harbor (500) (1,333) (1,938) (3,941) 75 0.52 86 0.58 35 DoubleLine 1,356 2,804 8,854 15,640 73 0.51 56 0.38 36 Oakmark (1,106) (2,207) (4,543) (7,296) 70 0.49 85 0.58 37 First Eagle (44) (217) (1,373) (5,234) 70 0.49 76 0.51 38 Nuveen 782 1,557 3,108 3,812 66 0.46 62 0.42 39 Eaton Vance 492 1,113 1,182 (2,923) 66 0.46 70 0.48 40 Federated 320 490 639 (1,179) 64 0.45 66 0.45 41 AllianceBernstein (629) (348) 1,848 543 64 0.45 63 0.43 42 Putnam (836) (1,745) (4,365) (8,864) 64 0.45 78 0.53 43 GMO (1,786) (2,653) (5,411) (12,333) 61 0.42 78 0.53 44 USAA 36 37 (920) (1,185) 58 0.41 60 0.40 45 Dreyfus (222) 86 174 (3,751) 58 0.40 63 0.43 46 Schwab Funds (190) (353) (648) (11) 58 0.40 59 0.40 47 MainStay (309) (1,079) (2,798) (6,438) 57 0.40 67 0.45 48 Natixis Funds (463) (904) (2,101) (6,072) 54 0.38 64 0.43 49 Thornburg (303) (387) (1,108) (2,109) 50 0.35 54 0.37 50 Northern Funds (126) (313) (65) (1,316) 49 0.34 53 0.36

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Top 10 13,484 37,792 124,048 255,112 8,523 59.52 8,459 57.21

Top 50 9,873 29,713 97,268 156,562 12,284 85.79 12,459 84.26

Other (1,456) (5,610) (22,570) (79,529) 2,034 14.21 2,255 15.25

All 8,417 24,103 74,698 77,033 14,318 100.00 14,715 99.51

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Asset Classes

Name Estimated Net Flow ($mil) Assets Under Management ($bil)

US Equity (10,596) (20,612) (38,371) (51,817) 6,070 42.39 6,275 42.44 Sector Equity 525 (110) (11,283) (3,805) 753 5.26 805 5.44 International Equity (6,618) (8,481) 11,279 82,474 2,268 15.84 2,501 16.92 Allocation (2,229) (4,446) (19,768) (54,998) 1,190 8.31 1,279 8.65 Taxable Bond 15,431 38,338 77,093 28,531 3,069 21.44 3,019 20.42 Municipal Bond 8,231 14,095 30,095 39,673 656 4.58 593 4.01 Alternative 1,183 1,717 8,515 16,703 223 1.56 228 1.54 Commodities 2,491 3,169 14,569 10,809 89 0.62 87 0.59

All Long Term 8,417 23,668 72,129 67,569 14,318 100.00 14,786 100.00

Morningstar Ratings

Name Estimated Net Flow ($mil) Total Net Assets ($bil)

QQQQQ 27,413 52,949 124,120 222,235 3,004 20.98 2,792 18.88 QQQQ 5,664 13,772 34,523 44,859 5,500 38.41 5,567 37.65 QQQ (21,109) (29,872) (60,659) (119,749) 3,900 27.24 4,259 28.80 QQ (10,429) (23,994) (58,751) (123,628) 1,284 8.97 1,513 10.24 Q (3,074) (6,149) (17,316) (47,144) 197 1.37 271 1.83 Not Rated 9,951 16,963 50,212 90,996 433 3.03 384 2.60 Total 8,417 23,668 72,129 67,569 14,318 100.00 14,786 100.00