EFTA00598573.pdf

Atorus, LLC Current Date: Total Return since 1/1/12: T12M Return: T9O Day Return: T3O Day Return: Current Long Exposure @ Cost: Current Short Exposure @ Cost: Net Exposure: Starting Capital: Current NAV: 7/23/2014 110.23% 49.85% 14.51% 4.01% 6,534,268 (1,088,251) 5,446,018 1,000,000 2,102,299 Change on Day: 7/23/2014 0.10% MSCI World Change on Day 0.19% No of Positions (+MTM) on Day No of Positions (-MTM) on Day Current No. of Positions: Current Leverage (Gross Exposures): 228 178 407 3.63 Profit Factor: Win Ratio: T24M (+) NAV Days T24M Avg. Daily NAV (+) Change T24M Avg. Daily NAV (•) Change Target Vol•Adj. Risk Listed Equities Target Vol-Adj. Risk Global Macro Targeted Max Loss (ex-Leverage) Leverage Target At Inception: Notes on Leverage: T24M Sharpe Ratio: Sharpe Since 1/1/12: Historical Sharpe & Notes: Historically 2.25X • 3.25X, depending on measurement Interval 40%- 50% histor tally 53% 0.98% -0.89% 50.00% 50.00% 10.00% 2X No. of Profitable Positions T12M 66.73% Avg. Realized Gain / Avg. Realized Loss 3.69 We implement leverage of 2X, in other words at inception we upsize our positions by a factor two times greater than our volatility adjusted position sizing. Leverage levels can be customized to eac h investor. 1.33 1.42 Historical sharpe ratio is in excess of 2.0X (backtest from 1995, see Investor Presentation). Our sharpe ratio increases materially during market downturns in excess of 20 days of realized volatility. Since we generate positive returns in these environments, the variance in our downside volatility is materially less than broader markets. Recessions, which generally result in market directionality in excess of 20 days of volatility are significant alpha capture opportunities for us. Additionally, by never dollar cost averaging and concurrently adding to our winners we have an inherent assymetry in our volatility profile. 2.200.000.00 2,000,000.00 1,800,000.00 1.600.000.00 1,400,030.00 1,200,000.00 1,800,000.00 800,000.00 600,080 00 isfi t licAvIlsgr eisk„. -NAV 4> N1,19 G G 4,'› <)) NItR Q9 Q9 Q9 /96 t9 19 419 et9 .. Q9 .. Q9 05) • IF. .O5) 19 4 ' 4 ' 4P 4 " ,,, 4 ' 4 4 ' 4 0, 4 ' 4 EFTA00598573 Atorus, LLC 7/23/2014 Largest Exposures Current Positions 97.5th Percentile 2.5th Percentile (@ cost ex- MTM) Largest MTM Gains Current Posi ions (90th Percentile MTM Gains % NAV) Security Notional 22 Positions ATX Index (44,635) NG1 Comdty (46,713) SXRP Index (55,402) SE_TSY CREDIT (55,965) SXNP Index (56,566) CAC Index (56,578) ISEQ Index (59,778) SXOP Index (60,271) ICEXI Index (60,459) NL_TSY CREDIT 82,865 DE_TSY CREDIT 84,524 FI_TSY CREDIT 85,645 CO1 Comdty (89,512) AU TSY CREDIT 90,775 P5120 Index (94,327) US_TSY CREDIT 100,443 GB_TSY CREDIT 108,101 MX_TSY CREDIT 114,337 SG_TSY CREDIT 132,728 MY_TSY CREDIT 136,346 JP_TSY CREDIT 224,621 CA_TSY CREDIT 309,688 Day NAV Impact of MTM by Category & Exposure Listed Equity Long 0.129% Listed Equity Short -0.012% EquityCom Long 0.082% EquityCom Short -0.149% G20 Rates Long 0.135% G20 Rates Short -0.024% T12M Contribution (% of total Yr/Yr NAV Change by Category) Listed Equities 38.75% EquityCom 50.98% G20 Rates 12.07% % of Total Notional Security MTM Gain % Total NAV 28.21%l 42 Positions 20.47% 0.59% NEE US Equity 5,220 0.25% 0.61% AGN US Equity 5,409 0.26% 0.73% INTC US Equity 5,567 0.26% 0.73% IVIDY US Equity 5,656 0.27% 0.74% AEX Index 5,664 0.27% 0.74% NVS US Equity 5,692 0.27% 0.78% AZN SS Equity 5,832 0.28% 0.79% WLP US Equity 5,882 0.28% 0.79% JNJ US Equity 6,191 0.29% 1.09% CMCSK US Equity 6,202 0.30% 1.11% AZN US Equity 6,327 0.30% 1.12% BE_TSY CREDIT 6,451 0.31% 1.17% XLF US Equity 6,465 0.31% 1.19% AZN LN Equity 6,483 0.31% 1.24% SXXP Index 6,549 0.31% 1.32% ROG VX Equity 6,571 0.31% 1.42% MAERSKB DC Equity 6,695 0.32% 1.50% XLI US Equity 6,759 0.32% 1.74% SMI Index 6,949 0.33% 1.79% HON US Equity 7,000 0.33% 2.95% NOVN VX Equity 7,203 0.34% 4.06% SENSEX Index 7,568 0.36% SX6P Index 7,984 0.38% DAX Index 8,671 0.41% PRU LN Equity 8,870 0.42% HEX Index 8,872 0.42% 1T_TSY CREDIT 9,356 0.45% IBEX Index 9,512 0.45% MDT US Equity 9,632 0.46% TMO US Equity 9,743 0.46% MMM US Equity 10,554 0.50% LUX) Index 10,688 0.51% ES_TSY CREDIT 11,546 0.55% SXIP Index 11,840 0.56% KFX Index 12,528 0.60% TYC US Equity 13,072 0.62% XLV US Equity 14,608 0.69% NDX Index 15,257 0.73% SPX Index 22,728 1.08% SXDP Index 28,005 1.33% EFTA00598574 IE_TSY CREDIT 33,484 1.59% STBCNZL Index 35,148 1.67% No. Names by Category APAC Long 34 APAC Short 8 (MEA Long 58 (MEA Short 13 AMER Long 180 AMER Short 19 EquityCom Long 55 EquityCom Short 17 620 Rates Long 21 620 Rates Short 2 Total Long 348 Total Short 59 Current Exposure by Geography (Listed Equl les) & Macro (Equity Indices & Commodiites, G20 Gov. Credit) $2,500,000 $2,000,000 $1,500,000 $1,000,000 $500,000 s- $(500,000) $(1,000,000) 1 ■ APAC Long ■ APAC Short ■ EMEA Long ■ EMEA Short ■ AMER Long ■ AMER Short ■ EquityCom Long ■ EquityCom Short G20 Rates Long ■ G20 Rates Short EFTA00598575 Atorus, LLC 7/23/2014 Historical Net Exposure by Geography (listed Equities) & Macro (Equity Indices & Commodites, G20 Gov. Credit) —APAC — Ewa — — AMER om —G20 Rates NexEposum RIG 2,500,00D 7,000,000 6,000,000 5,000,000 0,000,000 3,000,000 2,000,000 1030,000 0 (1,000,000) (2,000,000) (3,000,000) Z003,00D 1,500,00D 1,003,000 500,000 (501000) (1,000,000) el ro 0 N rst ri 0 ni -.... rst ..... 0 ni -.... is4 0 ni ..., al 0 N en 0 ni PO 0 ni -.... el 0 ni ...." in ri 0 nl --". r-I a 0 na ...) stt .Q+ 0 ni --.1 el 0 ni -.." 0:7 v-I 0 n.i .".1 \ \ N r... 1 \ \ \ \ tfl ••••.. •••••• el ••••.. ri t-i ••••• ti \ nt \ N n• 4-... Historical Gross Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodlites, G20 Gov. Credit) EFTA00598576 Atorus, LIC 7/23/2014 Current Gross Notional Risk by Category 318,490 626,888 .2,173, PA P ■ APAC ■ EMEA ■ AMER ■ EquityCom ■ G20 Rates Performance Vs. MSCI World Index 2.35 2.15 1.95 1.75 1.55 1.35 1.15 0.95 0.75 eeeeeeeeeeeeeee pc ov Atv is, 4 <3 1 4:5\ y <7 AC\ c;e N0, 10 <7C\ i k\ . .1% 45O SAT Rolling 30 Day Realized Volatility - A EFTA00598577 Atorus, LLC Percentile Distribution of Current MTM Gains In Vol Days by Position (ex-99pct & ex4st percentiles) Percentile No. Vol Days 0.00% -16.34 5.00% -3.65 10.00% -1.64 15.00% -0.28 20.00% 0.58 25.00% 2.11 30.00% 3.27 35.00% 4.78 40.00% 6.30 45.00% 8.14 50.00% 9.85 55.00% 11.69 60.00% 14.11 65.00% 16.71 70.00% 20.58 75.00% 24.37 80.00% 33.29 85.00% 46.05 90.00% 60.12 95.00% 80.99 100.00% 205.13 7/23/2014 MTM Gains(Losses) % of NAV "Signficant" (<7 Vol Days) 1.29% MTM Gains(Losses) % of NAV "Signficant" (>7 Vol Days) 37.41% EFTA00598578 Atorus, LLC -Listed Equity Portfolio 7/23/2014 Current Price P/L in Vol 30P Realized Change on Day Security MTM Gain/(Loss) Exp. @ Cost Avg. Price (in USD) Days Vol (in USD) 000270 KS Equity 90 (5,336) 54.75 53.83 2.13 0.79% 42.59 005380 KS Equity (50) 2,519 224.30 219.94 -2.06 0.96% (39.78) 005490 KS Equity (246) (3,781) 289.59 308.41 -6.23 1.04% (90.01) 005930 KS Equity (17) (5,024) 1,305.89 1,310.32 -0.36 0.95% 33.25 012330 KS Equity 270.51 1 HK Equity 1,449 14,064 16.37 18.06 14.48 0.71% 123.13 1299 HK Equity 761 9,303 4.89 5.29 14.29 0.57% 87.51 13 HK Equity 771 6,579 11.90 13.29 20.59 0.57% (72.04) 16 HK Equity 13.83 27 HK Equity (437) (4,202) 7.46 8.23 -7.16 1.45% (48.89) 2914 JP Equity 503 11,062 35.05 36.64 6.60 0.69% (25.86) 3382 JP Equity 370 3,719 39.56 43.49 13.14 0.76% 10.64 4063 JP Equity 92 5,594 61.33 62.33 2.10 0.78% 34.99 4502 JP Equity 96 8,600 45.47 45.98 2.36 0.47% (27.07) 4689 JP Equity (206) 4,252 4.62 4.41 -5J2 0.95% 5.52 5 HK Equity (98) (5,533) 10.16 1034 -3.69 0.48% (19.20) 5108 JP Equity 228 7,634 36.08 37.15 3.12 0.96% (54.74) 5401 JP Equity 3.08 6301 JP Equity 33 4,173 22.56 22.74 1.08 0.73% (25.35) 6752 JP Equity 11.93 6902 JP Equity 46.99 - 6954 JP Equity 556 7,571 160.05 171.79 9.20 0.80% 59.55 7201 JP Equity 83 5,116 9.48 9.64 2.18 0.75% (41.91) 7203 JP Equity (6) 764 59.99 59.54 -1.16 0.66% 1.95 7267 JP Equity 23 (2,805) 35.34 35.05 1.16 0.70% - 762 HK Equity 1.64 (27.60) 7751 JP Equity 112 9,172 33.01 33.41 2.21 0.55% (33.46) 8031 JP Equity 31 9,105 16.13 16.19 0.57 0.59% (17.51) 8058 JP Equity 869 11,969 19.84 21.28 11.21 0.65% 8306 JP Equity 5.86 1.73 8316 JP Equity 4 (3,372) 39.96 39.91 0.17 0.77% (0.67) 8411 JP Equity (227) 8,561 2.02 1.97 -6.90 0.38% 8604 JP Equity 6.47 (29.39) 8801 JP Equity 372 6,151 31.79 33.71 6.58 0.92% 8802 JP Equity - 953 25.05 25.05 0.00 0.97% (13.90) 9020 JP Equity 708 9,800 78.94 84.64 9.28 0.78% (43.62) 941 HK Equity 10.82 9432 JP Equity 2,245 11,248 56.23 67.46 24.92 0.80% 23.74 9433 JP Equity 335 9,967 58.51 60.48 4.19 0.80% (145.32) 9437 JP Equity 166 4,896 17.09 17.67 5.86 0.58% (27.98) 9983 JP Equity 29 (2,292) 322.77 318.64 1.45 0.88% 1.18 EFTA00598579 9984 JP Equity 51 5,645 74.36 75.03 1.09 0.83% (66.11) AAPL US Equity 2,247 10,439 79.80 96.98 29.68 0.73%1=1341.87 ABB US Equity 23.70 ABBN VX Equity (20) (7,476) 23.20 23.26 .0.52 0.53% (32.15) ABBV US Equity 287 6,570 52.10 54.38 5.05 0.87% 39.43 ABEV US Equity (123) (5,506) 7.24 7.41 .2.63 0.85% 54.03 ABEV3 BZ Equity (93) (5,164) 7.31 7.44 -1.72 1.05% 57.19 ABI BB Equity 839 12,645 105.88 112.91 13.66 0.49% 32.85 ABT US Equity 760 9,473 39.80 42.99 12.04 0.67% (20.00) ABX CN Equity (175) (5,037) 18.17 18.80 -3.67 0.95% 17.29 ABX US Equity (165) (4,849) 18.17 18.79 -3.56 0.95% 22.15 ACA FP Equity 79 (5,840) 14.06 13.87 1.31 1.03% (66.09) ACE US Equity 762 11,741 98.27 104.65 15.62 0.42%E_ 204.19 ACN US Equity 288 8,563 77.97 80.59 8.16 0.41% 22.75 ADP US Equity 464 9,594 77.94 81.71 12.55 0.39% 10.01 AFL US Equity 190 9,349 62.34 63.60 5.36 0.38% (0.13) AGN US Equity 5,409 10,917 114.88 171.79 63.94 0.77% (5.89) Al FP Equity (112) 2,964 137.67 132.68 .5.58 0.67% (16.79) AIG US Equity 729 12,241 51.90 54.99 13.04 0.46% 70.65 AIR FP Equity 392 (6,344) 64.70 60.70 6.17 1.0O% (125.22) ALV GR Equity 165 10,261 171.02 173.77 3.01 0.53% 15.06 ALVG IX Equity 198 9,641 170.39 173.90 3.77 0.55% 24.47 AMGN US Equity 449 11,177 117.07 121.77 5.74 0.70% 96.98 AMT US Equity 2,523 13,269 78.17 93.03 45.76 0.42% 78.04 AMZN US Equity (122) (725) 306.51 358.14 .16.34 1.03% 3.18 ANZ AU Equity 829 12,947 29.78 31.68 11.10 0.58% 168.26 APA US Equity 1,495 12,393 91.83 102.91 13.86 0.87% (38.92) APC US Equity 591 6,564 100.97 110.06 9.29 0.97% 84.66 AXP US Equity 3,127 12,579 74.65 93.21 59.83 0.42% (53.12) AZN LN Equity 6,483 12,950 50.16 75.28 75.99 0.66% (34.48) AZN SS Equity 5,832 12,372 51.16 75.28 72.00 0.65% (50.04) AZN US Equity 6,327 13,079 50.64 75.14 71.06 0.68% (28.50) BA US Equity (253) 10,667 129.88 126.86 .3.08 0.77% (208.34) BAC US Equity 62 8,241 15.44 15.56 0.92 0.83% 14.43 BARC LN Equity 3.58 - BAS GR Equity 1,069 9,073 100.38 112.21 15.97 0.74% 53.70 BATS LN Equity 901 9,427 55.12 60.39 15.66 0.61% 48.51 BAX US Equity 231 8,474 74.80 76.83 5.59 0.49% (6.22) BAYN GR Equity (157) 11,012 137.33 135.40 .2.16 0.66% 85.66 BBAS3 BZ Equity 13.05 - BBD US Equity 426 5,475 14.62 15.75 6.34 1.23% (41.96) BBDC4 BZ Equity 421 5,427 14.64 15.77 5.41 1.43% (51.63) BBL US Equity 70.28 - BBVA SM Equity 767 3,825 10.30 12.37 23.85 0.84% 38.59 BCE CN Equity 246 10,241 45.03 46.11 4.94 0.49% 125.47 BCS US Equity 14.47 - BEN US Equity 350 6,278 54.92 57.98 8.71 0.64% 9.93 EFTA00598580 BG/ IN Equity 29 (4,743) 20.69 20.57 0.55 1.11% (32.84) BHP AU Equity 723 11,120 34.69 36.94 7.93 0.82% 286.32 BHP US Equity 594 9,032 68.75 73.27 7.38 0.89% (0.76) BOB US Equity 395 1,066 245.93 337.02 31.88 1.16% 154.41 BIL Si Equity 35.44 - BK US Equity 1,785 11,358 33.73 39.03 22.70 0.69% 27.87 BLK US Equity 236 7,520 307.81 317.47 4.82 0.65% (48.50) BLT IN Equity 35.23 - BMO CN Equity 2,083 16,698 67.79 76.25 32.20 0.39% 32.62 BMW GR Equity 1,473 6,162 102.66 127.21 29.47 0.81% 43.16 BMY US Equity 14 2,904 49.03 49.26 0.81 0.58% (0.93) BN FP Equity 76.50 . BNP FP Equity 240 (5,794) 68.94 66.09 4.11 1.01% (63.18) BNS CN Equity 2,083 15,655 60.07 68.06 31.63 0.42% (9.59) BP/ LN Equity 916 12,727 7.94 8.51 11.66 0.62% 26.84 BRK/B US Equity 922 15,648 121.13 128.26 16.68 0.35% (23.38) BSBR US Equity (1) 5,698 6.81 6.81 -0.02 0.98% (11.10) BUD US Equity 810 11,940 105.71 112.88 11.87 0.57% 1.37 BX US Equity 682 6,625 32.52 35.86 10.63 0.97% 45.49 C US Equity 287 6,595 48.07 50.16 5.73 0.76% 71.04 CA FP Equity 37.20 CAT US Equity 2,951 16,142 91.92 108.72 35.41 0.52% (286.02) CM AU Equity 1,832 18,106 70.10 77.19 20.57 0.49% 241.28 CBS US Equity (193) 7,287 60.70 59.13 -2.23 1.19% (63.74) CCL US Equity 36.48 CELG US Equity (1) (534) 88.66 88.83 -0.07 2.71% (13.35) CFR VX Equity 104 10,967 99.46 100.40 1.90 0.50% 44.83 CL US Equity 2,983 23,685 60.59 68.22 31.31 0.40% (185.71) CM CN Equity 1,275 13,574 84.88 92.86 22.47 0.42% 63.98 CMCSA US Equity 692 11,232 51.48 54.66 9.54 0.65% (6.91) CMCSK US Equity 6,202 15,946 39.22 54.47 66.09 0.59% (3.70) CNI US Equity 4,660 14,430 52.31 69.21 51.69 0.62% (48.23) CNQ CN Equity 2,624 12,999 37.91 45.57 25.04 0.81% (9.32) CNR CN Equity 4,597 14,238 52.32 69.21 49.41 0.65% (40.43) COF US Equity 1,419 9,398 71.32 82.09 24.31 0.62% (3.99) COP US Equity 1,313 12,885 78.45 86.45 15.94 0.64% 114.14 COST US Equity 289 12,643 114.93 117.56 6.28 0.36% (17.44) COV LN Equity 8WA WA COV US Equity 2,970 7,850 64.85 89.39 29.79 1.27% 28.13 CRM US Equity (66) 3,835 54.48 53.57 -1.58 1.08% (10.79) CS FP Equity (12) 1,752 24.10 23.93 -0.80 0.88% 15.05 CSCO US Equity 390 12,884 24.90 25.66 7.09 0.43% (168.77) CSX US Equity 2,242 10,644 25.76 31.19 47.05 0.45% (103.05) CVE CN Equity 30.88 - CVS US Equity 2,587 12,659 64.72 77.95 40.51 0.50% 33.31 CVX US Equity 191 8,549 130.48 133.40 3.80 0.59% 42.52 D US Equity 1,212 7,953 60.80 70.06 22.24 0.69% 12.13 EFTA00598581 DAI GR Equity 1,215 2,782 62.20 89.38 56.26 0.78% 35.60 D8K GR Equity 950 (7,909) 40.31 35.47 12.20 0.98% 92.63 DD US Equity 65.32 - DDAIF US Equity 1,163 88.42 88.42 0.00 0.79% (5.54) DE US Equity 28 3,230 86.88 87.63 1.51 0.57% (36.02) DELL US Equity KWA WA DG FP Equity 72.14 - DGE LN Equity (15) 3,082 31.23 31.07 -0.88 0.56% 5.61 DHR US Equity (173) 11,611 76.83 75.70 -2.76 0.54% (31.58) DIS US Equity 2,638 12,485 71.06 86.08 39.66 0.53% (31.38) DISCA US Equity (124) (1,368) 75.84 82.70 -8.17 1.11% 20.99 DNB NO Equity 104 8,725 17.95 18.17 1.57 0.76% (4.27) DOW US Equity 3,312 7,396 37.11 53.73 84.81 0.53% 312.56 DPW GR Equity - 1,227 34.09 34.09 0.00 0.74% 3.13 DTE GR Equity 504 10,164 15.65 16.42 7.54 0.66% (11.49) DTV US Equity 4,282 11,097 62.68 86.86 146.86 0.26% 5.95 DUK US Equity (136) (4,513) 71.20 73.35 4.34 0.70% 0.53 DVN US Equity 2,719 15,383 66.44 78.19 28.75 0.61% 41.75 EBAY US Equity (144) (3,128) 50.12 52.43 -7.73 0.60% (25.54) ECL US Equity 432 11,898 106.13 109.99 7.38 0.49% (5.99) EDF FP Equity 31.08 - EMC US Equity 1,596 12,257 25.48 28.80 19.54 0.67% 98.88 EMR US Equity 34 8,739 66.80 67.06 0.73 0.54% (64.34) EMI CN Equity 1,285 12,532 45.66 50.34 16.75 0.61% 208.07 ENEL IM Equity 2,474 8,902 4.48 5.73 31.06 0.89% 41.25 ENI IM Equity 1,085 13,637 24.69 26.65 11.06 0.72% 136.71 EOAN GR Equity 166 7,125 19.44 19.90 3.03 0.77% 21.83 EOG US Equity 3,441 5,841 72.84 115.75 65.47 0.90% (74.90) EPD US Equity 3,200 14,612 64.66 78.82 37.28 0.59% 146.25 ERICB SS Equity 12.66 ESRX US Equity 65.64 ETN US Equity 483 8,219 73.83 78.17 8.40 0.70% (22.67) F US Equity 497 11,031 17.09 17.86 7.49 0.60% 45.94 F8 US Equity 1,624 2,630 44.06 71.26 54.88 1.13% 130.60 FCX US Equity 1,042 8,796 34.61 38.71 14.52 0.82% (35.02) FDX US Equity 852 6,811 136.00 153.01 19.22 0.65% (19.79) FOX US Equity (253) 8,704 33.32 32.38 -3.61 0.80% (72.44) FOXA US Equity (298) 7,483 34.14 32.83 -4.42 0.90% (89.47) FP FP Equity 1,480 15,659 63.30 69.29 11.79 0.80% 108.66 G IM Equity 20.62 GE US Equity 2,163 13,140 22.32 25.99 28.49 0.58% 28.20 GILD US Equity 856 6,869 80.04 90.02 13.15 0.95% 74.75 GIS US Equity 1,040 25,323 50.89 52.98 8.87 0.46% 23.86 GLE FP Equity 51.37 GLEN LN Equity 6.34 GLW US Equity 4,265 12,136 16.41 22.18 53.45 0.66% 26.81 GM US Equity 586 11,236 35.80 37.67 8.07 0.65% (23.65) EFTA00598582 GOOG US Equity 534 8,672 561.32 595.89 8.35 0.74% (0.79) GS US Equity 791 11,132 164.80 176.51 10.86 0.65% 136.36 GSK LN Equity (137) 4,566 26.20 25.43 -5.57 0.54% (182.35) GSZ FP Equity 823 12,912 25.62 27.25 9.70 0.66% 46.53 HAL US Equity 3,398 8,541 52.84 73.86 47.39 0.84% 162.35 HD US Equity 636 17,619 78.01 80.82 6.53 0.55% 53.60 HMB SS Equity (78) 10,012 42.52 42.20 -1.24 0.62% 39.21 HON US Equity 7,000 11,930 61.10 96.95 131.12 0.45% (26.75) HPQ US Equity 2,847 8,313 26.16 35.12 48.35 0.71% 30.81 HSBA LN Equity 7 8,008 10.34 10.35 0.18 0.52% 19.65 IBE SM Equity 2,511 7,531 5.56 7.42 61.02 0.55% 90.18 IBM US Equity (357) (9,102) 186.82 194.15 -6.19 0.63% (19.00) IMT LN Equity 2,837 14,380 37.31 44.67 22.17 0.89% (105.07) INTC US Equity 5,567 14,216 24.76 34.46 41.31 0.95% (82.26) ISP IM Equity 3.05 ITUB US Equity (19) 5,715 15.88 15.82 -0.28 1.22% (42.12) ITUB4 BZ Equity 23 4,601 15.79 15.87 0.38 1.34% (38.66) ITW US Equity 3,685 14,011 67.84 85.68 56.00 0.47% (57.91) ITX SM Equity 147.88 JCI US Equity (70) 7,794 49.36 48.93 -1.36 0.66% (88.04) JNJ US Equity 6,191 20,338 78.39 102.26 59.91 0.51% (24.29) JPM US Equity 496 10,159 56.23 58.97 7.46 0.65% 57.22 KMB US Equity 97 7,136 108.16 109.63 2.98 0.46% 8.90 KMI US Equity 37.72 - KO US Equity (102) 6,243 41.53 40.86 -3.34 0.49% (35.99) LBTYA US Equity (129) 5,724 43.90 42.93 -3.14 0.72% (81.39) LBTYK US Equity (57) 7,489 41.91 41.59 -1.13 0.67% (97.10) LIN GR Equity 212 12,928 202.91 206.23 3.24 0.50% (12.28) LLOY LN Equity 60 2,680 1.23 1.26 2.69 0.83% 16.91 LLY US Equity 497 7,377 60.16 64.21 12.31 0.55% 45.98 LMT US Equity 277 3,979 157.19 168.14 10.08 0.69% 30.46 LNKD US Equity 132 (3,154) 178.22 170.76 3.10 1.35% (124.83) LOW US Equity 85 7,548 47.35 47.88 2.03 0.55% 8.04 LVS US Equity (20) 2,482 74.30 73.70 -0.87 0.93% (3.27) LYB US Equity 1,676 2,297 59.29 102.54 117.34 0.62% 27.87 MA US Equity 200 6,084 75.27 77.74 4.36 0.76% (29.04) MAERSKB DC Equity 6,695 14,377 1,651.64 2,420.77 54.48 0.85% 235.01 MC FP Equity (13) 7,348 188.38 188.05 -0.32 0.54% 35.19 MCD US Equity (311) 5,762 100.35 95.21 -11.97 0.45% (44.14) MCK US Equity 341 2,181 164.92 190.70 26.81 0.58% 2.31 MDIZ US Equity 4,625 13,763 28.74 38.40 69.81 0.48% (54.57) MDT US Equity 9,632 20,811 43.22 63.23 75.64 0.61% 192.16 MET US Equity 1,864 7,767 44.61 55.32 39.70 0.60% (20.90) MFC CN Equity 1,726 4,903 15.08 20.39 57.68 0.61% (19.54) MHS US Equity #WA WA MMM US Equity 10,554 21,331 96.89 144.83 141.25 0.35% (104.97) MO US Equity 1,585 13,316 37.33 41.77 15.80 0.75% (45.31) EFTA00598583 MON US Equity 1,202 12,758 106.90 116.97 12.99 0.73% (259.60) MOS US Equity 47.44 MRK US Equity 1,883 13,912 51.28 58.22 24.42 0.55% (85.43) MS US Equity 326 5,272 31.36 33.30 8.70 0.71% 63.86 MSFT US Equity 2,332 9,448 36.13 45.05 36.54 0.68% 45.43 MUV2 GR Equity 723 6,116 197.70 221.08 20.55 0.58% 120.94 NAB AU Equity 343 10,650 31.52 32.54 5.75 0.56% 150.95 NCM AU Equity 10.86 NEE US Equity 5,220 15,275 73.39 98.46 58.04 0.59% (27.73) NEM US Equity 27 (911) 26.02 25.25 2.91 1.02% 6.15 NESN VX Equity 1,065 12,449 71.26 77.36 24.00 0.36% 96.66 NG/ LN Equity 3,183 13,736 12.04 14.84 47.84 0.48% 13.92 NICE US Equity 422 5,145 71.37 77.22 11.63 0.71% (3.95) NOK US Equity 4,202 4,498 3.96 7.67 87.94 1.06% (10.65) NOV US Equity 894 12,322 79.92 85.72 10.98 0.66% (67.43) NOVN VX Equity 7,203 22,067 67.10 89.01 78.31 0.42% 30.58 NOVOB DC Equity 1,357 11,851 41.39 46.12 17.94 0.64% 115.14 NSC US Equity 3,264 10,790 82.20 107.06 47.23 0.64% (58.76) NVS US Equity 5,692 18,331 67.90 88.99 70.85 0.44% (63.81) OGXP3 BZ Equity 4,027 (4,107) 4.39 0.09 74.72 1.31% 159.31 OR FP Equity 295 11,677 168.96 173.23 5.39 0.47% 66.05 ORA FP Equity 1,156 8,559 13.80 15.67 18.13 0.75% 50.24 ORCL US Equity 1,550 9,129 34.50 40.36 23.81 0.71% (30.84) OX? US Equity 520 10,929 96.82 101.42 6.98 0.68% 3.95 PBR US Equity 236 3,742 16.14 17.16 4.53 1.39% (78.18) PBR/A US Equity 225 3,343 17.22 18.38 4.66 1.44% (91.96) PCLN US Equity 277 5,110 1,174.29 1,237.83 7.12 0.76% 40.34 PCP US Equity (167) 8,068 257.53 252.32 .3.36 0.61% (129.12) PEP US Equity 1,285 14,142 84.13 91.78 16.67 0.55% PETR3 BZ Equity 8.58 PETR4 BZ Equity 9.20 PFE US Equity 147 8,419 29.91 30.43 3.62 0.48% (31.49) PG US Equity 105 11,013 79.25 80.00 2.84 0.33% (13.82) PHIA NA Equity 31.74 PM US Equity (265) 11,156 87.24 85.22 .3.50 0.68% (37.60) PNC US Equity 779 10,761 78.28 83.95 12.55 0.58% (6.79) POT CN Equity (152) 9,967 36.60 36.05 .2.49 0.61% 52.00 POT US Equity (194) 10,582 36.73 36.07 .2.88 0.64% 50.03 PRU LN Equity 8,870 10,521 12.76 23.52 127.30 0.66% 26.33 PSA US Equity 976 13,843 162.45 173.91 21.34 0.33% 52.67 PSX US Equity 1,537 6,695 66.16 81.35 31.47 0.73% 73.53 PX US Equity 2,445 17,041 114.23 130.62 37.28 0.38% (196.64) QCOM US Equity 2,727 12,871 67.10 81.32 40.45 0.52% (22.37) QQQ US Equity 3,828 17,569 79.74 97.12 55.46 0.39% 120.06 RAI US Equity 768 12,340 54.05 57.41 5.64 1.10% (226.03) RDS/A US Equity 1,154 12,883 75.73 82.51 16.37 0.55% 1.05 RDS/B US Equity 1,176 11,427 78.85 86.96 16.77 0.61% 17.40 EFTA00598584 RDSA LN Equity 1,222 12,402 37.55 41.25 20.25 0.49% (18.87) RDSA NA Equity 1,034 12,492 38.08 41.24 16.18 0.51% (11.77) RDSB LN Equity 1,169 12,149 39.49 43.29 19.00 0.51% (17.70) REGN US Equity 310.09 RIO AU Equity 556 7,642 56.95 61.09 6.80 1.07% 127.21 RIO LN Equity 279 4,819 54.31 57.45 5.37 1.08% 49.82 RIO US Equity 320 4,934 54.34 57.87 6.28 1.03% 55.96 ROG VX Equity 6,571 17,035 212.78 294.87 71.36 0.54% 56.25 RY CN Equity 1,469 15,233 67.29 73.78 21.97 0.44% (23.01) SAB LN Equity 1,901 13,023 50.36 57.71 21.34 0.68% (85.26) SAN FP Equity (80) 5,355 105.33 103.77 -3.42 0.44% 26.69 SAN SM Equity 1,446 9,880 8.73 10.01 18.40 0.80% 76.09 SAN US Equity 1,171 7,980 8.73 10.01 14.27 1.03% (4.84) SAP GR Equity 580 8,587 77.21 82.42 9.48 0.71% 101.48 SAP US Equity 554 8,173 77.22 82.46 9.39 0.72% 75.59 SBUX US Equity 857 15,938 74.92 78.95 9.45 0.57% 44.92 SGO FP Equity 50.99 SI US Equity 4N/A N/A SIE GR Equity 126.39 SLB US Equity 3,072 10,752 87.56 112.58 35.85 0.80% (119.96) SMSN LI Equity (21) (4,831) 650.18 653.04 -0.43 1.02% 40.41 SO US Equity 201 11,861 44.11 44.86 2.79 0.61% (23.27) SPG US Equity 94 12,778 168.98 170.23 1.90 0.39% (77.90) SREN VX Equity 87.48 STAN LN Equity 224 (7,339) 21.38 20.73 4.19 0.73% 13.44 STL NO Equity 1,590 11,818 26.89 30.51 19.97 0.67% (57.72) STT US Equity 492 8,981 66.55 70.19 8.72 0.63% 157.46 SU CN Equity 1,541 14,944 38.21 42.14 10.65 0.97% 99.60 SU FP Equity 405 10,184 87.64 91.12 4.58 0.87% 21.74 SU US Equity 1,602 15,335 38.21 42.20 10.93 0.96% 105.81 SWEDA SS Equity 114 5,874 25.79 26.29 2.77 0.70% 32.26 SYNN VX Equity 72 (6,953) 364.98 361.18 1.34 0.78% 63.85 7 US Equity (57) (4,680) 35.45 35.88 -3.16 0.39% 4.89 TD CN Equity 1,622 16,571 47.27 51.89 26.69 0.37% 43.58 TEF SM Equity 36 9,929 16.31 16.37 0.62 0.58% 6.27 TEF US Equity 62 8,452 16.22 16.34 0.99 0.74% (20.32) TGT US Equity 430 (9,289) 63.18 60.25 8.82 0.53% (146.61) 71X US Equity 83 (4,157) 54.16 53.08 2.85 0.70% (41.66) TLS AU Equity 1,470 15,748 4.71 5.15 18.91 0.49% 173.00 TLSN SS Equity (312) (3,951) 7.02 7.58 -13.22 0.60% (43.79) TM US Equity (6) 5,112 119.61 119.48 -0.21 0.54% 8.61 TMO US Equity 9,743 10,218 63.59 124.22 205.13 0.46% 24.65 TOT US Equity 1,006 8,160 61.65 69.25 13.68 0.90% 16.75 TRP CN Equity 635 11,615 48.82 51.49 9.24 0.59% 118.44 TRV US Equity 636 16,116 88.20 91.68 8.92 0.44% 56.91 TSCO LN Equity 1,042 (7,272) 5.49 4.70 14.67 0.98% 99.58 TWC US Equity 1,270 5,234 120.22 149.40 37.27 0.65% 8.91 EFTA00598585 TWX US Equity 2,431 11,246 69.67 84.73 16.36 1.32% (279.62) TXN US Equity 4,731 12,205 34.93 48.47 86.76 0.45% (118.32) TYC US Equity 13,072 24,080 29.17 45.00 102.00 0.53% (417.47) UBS US Equity 18.27 - UBSN VX Equity 201 (5,827) 18.90 18.25 4.43 0.78% (17.36) UCG IM Equity 7.88 - ULVR LN Equity 450 7,646 43.35 45.91 11.93 0.49% 42.26 UNA NA Equity 257 8,550 42.33 43.60 5.96 0.50% 25.61 UNH US Equity 3,503 10,929 65.20 86.10 42.04 0.76% (29.09) UNP US Equity 2,971 14,872 85.39 102.45 43.99 0.45% (49.79) UPS US Equity 4,563 14,806 79.87 104.49 71.98 0.43% (19.57) USB US Equity 3,168 14,625 34.87 42.43 45.94 0.47% 30.21 UTX US Equity - 1,227 110.06 110.06 0.00 0.57% (9.45) V US Equity 879 12,503 206.89 221.43 12.79 0.55% (12.84) VALE US Equity 34 (1,923) 14.63 14.37 1.60 1.10% 8.90 VALE3 BZ Equity 56 (1,176) 15.07 14.35 3.99 1.19% 9.75 VIAB US Equity 3,880 9,746 61.33 85.74 61.42 0.65% (244.58) VIV FP Equity 24.57 - VMW US Equity 398 4,886 89.33 96.61 10.57 0.77% 30.60 VOD LN Equity 462 (4,209) 3.78 3.36 7.97 1.38% (56.20) VOD US Equity 440 (4,063) 37.68 33.60 11.74 0.92% (32.42) VOW3 GR Equity (24) 513 259.13 247.64 -6.33 0.73% 3.89 VRX CN Equity (31) 3,022 124.43 123.15 0.90 1.15% (19.63) VRX US Equity (18) 3,207 124.45 123.78 0.50 1.09% (14.29) VTI US Equity 929 5,134 86.91 102.63 55.83 0.32% 8.38 VWO US Equity 372 9,852 43.24 44.87 9.02 0.42% (0.64) VZ US Equity 51.04 - WBC AU Equity 517 11,844 30.87 32.21 7.84 0.56% 147.59 WES AU Equity 761 14,947 39.25 41.25 9.85 0.52% 200.57 WFC US Equity 3,850 13,253 39.86 51.43 60.45 0.48% 35.22 WLP US Equity 5,882 12,673 78.78 115.34 75.02 0.62% (52.46) WMT US Equity 68 9,262 76.31 76.87 2.00 0.37% 38.57 WOW AU Equity (120) 4,724 34.81 33.95 -4.44 0.57% 53.29 XOM US Equity 2,078 16,573 92.53 104.13 20.68 0.61% 70.60 XTA LN Equity PN/A N/A YHOO US Equity (10) 1,952 34.51 34.33 -0.40 1.35% 40.22 YUM US Equity (48) 10,500 75.46 75.12 -0.64 0.71% 31.98 ZURN VX Equity 235 9,344 295.49 302.93 5.32 0.47% 30.24 Current Portfolio - Global Macro Portfolio Current Price PA in Vol 30P Realized Change on Day Security MTM Gain/(Loss) Exp. ea Cost Avg. Price (in USD) Days Vol (in USD) SPX Index 22,728 62,272 1,455.70 1,987.01 92.30 0.40% 149.13 NDX Index 15,257 38,177 2,848.04 3,986.19 81.04 0.49%l 331.38 RTY Index 402 18,515 1,133.51 1,158.11 3.28 0.66% 32.04 EFTA00598586 SPTSX Index 4,302 48,100 13,158.28 14,335.02 19.16 MEXBOL Index 642 26,362 3,337.29 3,418.57 5.31 IBOV Index 1,991 67,352 25,100.71 25,842.73 3.09 MERVAL Index 1,949 22,139 915.40 995.98 3.99 UKK Index 5,077 49,421 10,501.74 11,580.65 22.85 DAX Index 8,671 38,255 10,704.86 13,131.22 36.18 CAC Index (144) (56,578) 5,876.84 5,891.84 A.38 IBEX Index 9,512 43,174 11,759.39 14,350.35 33.57 SMI Index 6,949 53,702 8,442.28 9,534.74 30.46 FTSEMIB Index 341 4,425 26,036.81 28,045.12 7.87 PSI20 Index 3,898 (94,327) 8,956.04 8,585.93 3.62 ISEQ Index 348 (59,778) 6,422.25 6,384.81 0.81 ICEXI Index 585 (60,459) 7.19 7.12 2.45 AEX Index 5,664 48,492 492.48 550.00 22.19 BEL20 Index 1,566 12,695 3,807.55 4,277.20 23.99 LUXXX Index 10,688 41,632 1,672.08 2,101.34 45.30 KFX Index 12,528 40,987 102.53 133.87 53.06 HEX Index 8,872 45,041 8,658.69 10,364.29 37.79 OMX Index (323) (25,174) 201.92 204.50 -2.11 ATX Index 691 (44,635) 3,249.93 3,199.62 2.12 ASE Index (114) 1,713 1,654.63 1,551.37 -5.90 OSEBX Index 4,663 29,902 87.49 101.14 24.19 INDEXCF Index (226) (20,841) 39.94 40.38 A.87 TOP40 Index 4,356 44,616 4,057.53 4,453.65 16.71 SENSEX Index 7,568 48,389 377.03 436.00 20.29 NKY Index 1,166 30,686 145.52 151.05 7.16 HSI Index 2,280 46,705 2,948.93 3,092.87 10.78 SHCOMP Index 728 (39,032) 341.67 335.29 4.30 KOSPI Index 2,357 45,441 1.88 1.98 10.90 AS51 Index 2,196 33,715 4,948.24 5,270.58 11.63 STBCNZL Index 35,148 73,207 444.47 657.87 157.44 EEM US Equity 94 5,684 44.03 44.76 3.42 IYR US Equity 553 13,716 70.49 73.33 11.80 MDY US Equity 5,656 14,269 184.03 256.97 88.45 INK US Equity (20) 8,164 41.38 41.28 -1.81 XLF US Equity 6,465 13,610 15.57 22.97 102.12 XLU US Equity 898 11,089 39.46 42.65 11.40 XLK US Equity 3,776 13,272 30.99 39.80 58.68 XLI US Equity 6,759 16,147 38.20 54.19 85.42 XLP US Equity 787 13,034 42.30 44.85 15.63 XLY US Equity 1,666 12,582 59.54 67.42 26.06 XLE US Equity 1,710 14,589 89.95 100.49 19.67 XLB US Equity 4,978 15,233 37.75 50.08 80.86 XLV US Equity 14,608 24,346 38.87 62.19 112.33 SXXP Index 6,549 49,038 407.21 461.59 26.51 SXAP Index 1,053 3,464 521.95 680.58 44.27 SXKP Index 869 14,304 378.31 401.29 10.35 0.47%F 290.78 0.46% (15.00) 0.96% 2.21% 0.45% (41.40) 0.63% 78.73 0.68% (71.04) 0.66% 34.80 0.42% 63.39 0.98% (11.06) 1.14% 0.72% 0.39% 0.53% 0.51% 0.57% 0.58% 6.43 0.52% 264.09 0.61% (28.35) 0.73% (200.52) 1.13% 2.51 0.64% 74.78 1.24% (88.75) 0.58% 0.77% 0.53% (30.56) 0.45%. 394.67 0.43% (83.97) 0.48% (40.99) 0.56% 0.30% 0.48% 5.17 0.34% 31.20 0.45% (12.40) 0.14% 25.73 0.47% 43.79 0.71% 11.25 0.48% 30.04 0.49% (92.61) 0.39% (18.46) 0.51% (10.56) 0.60% 0.40% 0.53% 0.50% 0.69% 7.70 0.59% 9.25 r (995.16) (583.63) I=F95.37) (217.67) 163.39 60.89 55.20 119.74 327.83 397.69 r 459.15 168.26 104.47 85.11 315.73 51.65 EFTA00598587 SX6P Index 7,984 39,503 360.60 433.48 39.37 0.51% (200.62) SXEP Index 3,719 55,125 460.42 491.48 10.09 0.67% (2.97) SXIP Index 11,840 28,923 222.31 313.31 72.48 0.56% 91.47 SXNP Index 5 (56,566) 547.84 547.80 0.01 0.60% (202.26) SX3P Index 1,807 33,646 682.29 718.94 13.68 0.39% 10.72 SXDP Index 28,005 61,074 609.16 888.48 112.48 0.41% (530.96) SX4P Index 3,029 31,185 939.56 1,030.82 14.80 0.66% 40.84 SX8P Index 391 11,378 376.46 389.38 5.52 0.62% (11.22) SXOP Index (82) (60,271) 461.61 462.24 0.19 0.73% (24.21) SXQP Index 1,060 47,963 808.69 826.57 4.26 0.52% 67.00 SXRP Index 145 (55,402) 422.28 421.18 0.50 0.52% (191.96) SXMP Index 92 32,259 334.28 335.24 0.51 0.56% 187.71 SXTP Index (47) (17,304) 263.69 264.41 0.44 0.63% (5.42) SX7E Index (40) (42,905) 193.14 193.32 0.09 1.09% (281.75) SXSE Index 3,218 22,299 3,756.79 4,298.91 20.41 0.71% 23.70 SPGSCITR Index (1,622) 65,680 5,052.51 4,930.72 -5.64 0.44% 259.97 XAG Curncy 12 (7,608) 20.95 20.92 0.21 0.73% 12.18 CO1 Comdty 122 (89,512) 108.18 108.03 0.21 0.66% (584.59) CL1 Comdty 991 36,479 100.39 103.12 4.09 0.66% (466.50) NG1 Comdty 3,089 (46,713) 4.03 3.76 4.77 1.39% 132.03 XAU Comdty (571) (31,099) 98.50 100.31 .3.35 0.55% 145.39 IBOXHY Index 3,898 53,418 220.12 236.19 107.79 0.07% 79.08 US_TSY CREDIT 705 100,443 765.33 770.70 6.62 0.11% 15.75 CA_TSY CREDIT 2,984 309,688 1,238.04 1,249.97 4.37 0.22% 132.63 MX_TSY CREDIT 3,086 114,337 222.64 228.65 11.25 0.24% 226.40 AU TSY CREDIT 4,110 90,775 1,512.49 1,580.96 15.73 0.29% 281.71 JP_TSY CREDIT (27) 224,621 824.28 824.18 -0.06 0.20% 51.79 MY_TSY CREDIT 3,473 136,346 171.16 175.52 11.18 0.23% 399.43 SG_TSY CREDIT 1,983 132,728 223.14 226.47 9.45 0.16% 298.07 AT_TSY CREDIT 4,711 81,569 358.40 379.10 21.46 0.27% 118.51 BE_TSY CREDIT 6,451 79,771 477.76 516.39 29.52 0.27% 185.74 FI_TSY CREDIT 3,984 85,645 349.64 365.91 17.88 0.26% 90.72 FR_TSY CREDIT 5,182 82,246 1,684.51 1,790.65 23.36 0.27% 164.85 DE_TSY CREDIT 3,002 84,524 1,247.55 1,291.86 13.53 0.26% 94.28 lE_TSY CREDIT 33,484 78,270 336.92 481.06 169.67 0.25% 51.13 IT_TSY CREDIT 9,356 54,986 1,616.07 1,891.04 67.10 0.25% 79.03 NL_TSY CREDIT 4,193 82,865 1,330.92 1,398.27 19.36 0.26% 106.60 ES_TSY CREDIT 11,546 50,187 391.98 482.16 92.93 0.25% 24.34 DK_TSY CREDIT 3,133 67,396 729.23 763.13 17.58 0.26% 74.01 NO_TSY CREDIT (213) 50,762 343.80 342.36 4.53 0.27% 97.64 PL_TSY CREDIT 2,164 35,151 429.04 455.45 16.66 0.37% 186.08 ZA_TSY CREDIT (1,824) (39,864) 83.15 86.95 -7.26 0.63% (339.89) SE_TSY CREDIT 400 (55,965) 462.46 459.16 2.18 0.33% (158.80) CH_TSY CREDIT 1,115 26,825 1,008.64 1,050.55 16.07 0.26% 9.84 GELTSY CREDIT 4,632 108,101 1,518.91 1,584.00 22.30 0.19% 149.65 EFTA00598588