EFTA00617749.pdf

Atorus, LLC Current Date: 712M Return: Total Return since 1/1/12: Current Long Exposure @ Cost: Current Short Exposure @ Cost: Net Exposure: Current No. of Positions: Starting Capital: Current NAV: Current Leverage (Gross Exposures): 2/19/2014 39.38% 80.81% 4,389,533 (1,199,730) 3,189,803 456 1,000,000 1,808,123 3.09 2/19/2014 Change on Day: -0.37% MSCI World Change on Day -0.33% 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: Historical Sharpe & Notes: Historically 2.25X - 3.25X, depending on measurement interval 40% - 50% historically 51% 1.03% -0.88% 50.00% 50.00% 10.00% 2X 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 each investor. 1.331 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. NAV 2,000,000.00 1,800,000.00 1.600.000.00 1.400.000.00 1.200.000.00 1,000,000.00 800,000.00 -err AvAm."...noth MAWS° b c °(), G es, 4 4 .O .O .0 .O 1 9 4 19$ / 9 e c 11 t e9 1. eG .09 4,‘ V >\ (fr, • b\ 4 4 4 I A 'V 4 4 - NAV EFTA00617749 Atorus, LLC 2/19/2014 Largest Exposures 99th Percentile 1st Percentile (@ cost ex-MTM) Largest MTM Gains (95th Percentile MINI Gains % NAV) Security Notional % of Total Notional Security MTM Gain % Total NAV 22 Positions 23.87% 53 Positions 31.57% C01 Comdty (24,622) 0.44% SX7E Index 5,898 0.33% MEXBOL Index (26,146) 0.47% AEX Index 5,925 0.33% NO_TSY CREDIT (27,378) 0.49% EDF FP Equity 5,931 0.33% SHCOMP Index (30,695) 0.55% UTX US Equity 5,967 0.33% ZA_TSY CREDIT (33,149) 0.59% MAERSKB DC Equity 6,227 0.34% XAU Comdty (41,262) 0.74% QQQ US Equity 6,229 0.34% CH_TSY CREDIT 59,299 1.06% SXSE Index 6,312 0.35% JP_TSY CREDIT (59,678) 1.07% BEL20 Index 6,358 0.35% SXDP Index 61,075 1.09% HON US Equity 6,396 0.35% SPX Index 62,272 1.11% MDT US Equity 6,440 0.36% FR_TSY CREDIT 62,478 1.12% DAI GR Equity 6,467 0.36% AT_TSY CREDIT 64,350 1.15% CA_TSY CREDIT 6,511 0.36% NL_TSY CREDIT 65,372 1.17% SXXP Index 6,513 0.36% FI_TSY CREDIT 66,540 1.19% ACA FP Equity 6,548 0.36% DE_TSY CREDIT 66,681 1.19% GS US Equity 6,610 0.37% BETSY CREDIT 67,610 1.21% SMI Index 6,768 0.37% STBCNZL Index 73,231 1.31% ROG VX Equity 6,837 0.38% lE_TSY CREDIT 78,270 1.40% ASE Index 6,840 0.38% AU_TSY CREDIT (79,133) 1.42% IT_TSY CREDIT 6,990 0.39% MY_TSY CREDIT (92,252) 1.65% BMY US Equity 7,011 0.39% SG_TSY CREDIT (95,749) 1.71% AMGN US Equity 7,083 0.39% CA_TSY CREDIT (97,153) 1.74% CMCSK US Equity 7,320 0.40% MMM US Equity 7,629 0.42% IBEX Index 7,802 0.43% PRU LN Equity 7,913 0.44% XLY US Equity 7,914 0.44% SXOP Index 8,269 0.46% HEX Index 8,498 0.47% ES_TSY CREDIT 9,219 0.51% BAC US Equity 9,240 0.51% DAX Index 9,241 0.51% LUXXX Index 9,483 0.52% TMO US Equity 9,512 0.53% BAYN GR Equity 9,667 0.53% KFX Index 10,009 0.55% SXAP Index 10,050 0.56% NG1 Comdty 10,496 0.58% TYC US Equity 10,530 0.58% BA US Equity 11,138 0.62% MA US Equity 11,386 0.63% EFTA00617750 XLV US Equity 12,228 0.68% SXIP Index 12,517 0.69% RTY Index 12,903 0.71% SXMP Index 13,269 0.73% NDX Index 13,549 0.75% CELG US Equity 13,832 0.77% SPX Index 15,958 0.88% SXTP Index 22,217 1.23% ISEQ Index 24,536 1.36% SXDP Index 24,608 1.36% lE_TSY CREDIT 29,063 1.61% ST8CN2L Index 30,832 1.71% GILD US Equity 34,081 1.88% No. Names b APAC Long 28 APAC Short 24 EMEA Long 75 EMEA Short 17 AMER Long 166 AMER Short 51 EquityCom Long 60 EquityCom Short 11 G20 Rates Long 15 G20 Rates Short 9 Total Long 344 Total Short 112 EFTA00617751 Atorus, LLC 2/19/2014 Historical Net Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodlites, G20 Gov. Credit) — EMEA —AMER Eq 'WC., —G20 Rates --aNexEposure MIS 2,000,000 1400,000 1,000,000 5,000.000 0,000.000 3,030.000 2,030.000 1,000.00D (IC00.0001 (2,000.0001 M • —APAC 500,000 le O% TAQ 1.5. 19 O% O% Ett taQ. 4 A\ EN 1 1. 40. O1* O.,,, O., 0 e e taQ. tN% st IP' b. % Qg cli \ 4 4 4 A‘ ,\t. a (58e 000} (1.000.000) (3,000.0001 Historical Gross Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodlites, G20 Gov. Credit) 0 0 0 0 O,0. 0 0 0 e 0 0 e t is. 01, 4' Ae ce se Ne ce 4 ) ce se 4 ) APAC EMEA — AMER — Eeu tyCorn — G20 Rates EFTA00617752 Atorus, LIC 2/19/2014 Current Gross Notional Risk by Category 229,649 580,327 • APAC • EMEA • AMER • EquityCom • G20 Rates Performance Vs. MCI World Index 1.95 1.75 1.55 1.35 1.15 0.95 0.75 oicv „,4). cs) .s.b Q' V' % % ' 1°tiy~ 4' 1.9' es. 1$se t3,‘ 1 21se PASCAVorld ATORUS Rolling 30 Day Realized Volatility Atorus EFTA00617753 Atorus, LLC 2/19/2014 Percentile Distribution of Current MTM Gains in Vol Days by Position (ex-99pct & ex-1st percentiles) 400 3000 2000 10.110 0.00 10* tecrecsfreet lee" as* tee e Percentile No. Vol Days 0.00,:, -10.68 5.00% .4.06 10.00% .2.18 15.00% .0.55 20.00% 0.12 25.00% 0.62 30.00% 2.22 35.00% 3.31 40.00% 4.50 45.00% 6.18 50.00% 7.83 55.00% 10.59 60.00% 12.58 65.00% 16.66 70.00% 19.84 75.00% 24.05 80.00% 27.55 85.00% 34.67 90.00% 41.72 95.00% 56.54 100.00% 174.53 Days by Position MTM Gains(Losses) % of NAV "Signficant" (<7 Vol Days) MTM Gains(Losses) % of NAV "Signficant" (>7 Vol Days) 1.25% 51.55% EFTA00617754 Atorus, LLC Current Portfolio -Listed Equity Portfolio Current Price P/L in Vol 30P Realized Security MTM Galn/(Loss) Exp. # Cost Avg. Price (In USD) Days Vol 2/19/2014 000270 KS Equity 210 (4,506) 49.21 50.27 4.09 1.14% 005380 KS Equity (43) 1,439 211.50 218.10 .2.31 1.30% 005490 KS Equity 4 (2,544) 273.67 279.28 0.19 0.86% 005930 KS Equity 401 (6,558) 1,206.91 1,229.04 6.95 0.88% 012330 KS Equity 822 5,282 282.78 298.46 12.73 1.22% 1 HK Equity 10 1,855 15.33 15.27 0.80 0.66% 1299 HK Equity 25 2,051 4.88 4.74 1.17 1.05% 13 HK Equity 1,802 12,243 13.08 13.15 16.72 0.88% 16 HK Equity 22 (9,935) 12.63 12.44 0.37 0.60% 27 HK Equity (6) 123 9.20 9.51 .2.07 2.38% 2914 JP Equity (36) (4,719) 32.72 32.39 -0.59 1.30% 3382 JP Equity 90 3,411 38.70 38.20 2.08 1.27% 4063 JP Equity 117 (4,536) 54.95 55.19 2.01 1.28% 4502 JP Equity 28 2,102 47.31 46.46 1.96 0.68% 4689 JP Equity 6 941 6.07 5.99 0.36 1.70% 5 HK Equity (257) (3,773) 10.89 10.60 4.95 0.76% 5108 JP Equity (36) 3,498 35.98 36.11 -0.83 1.25% 54011P Equity 19) (3,709) 2.99 2.93 .0.16 1.49% 63011P Equity (19) (3,515) 20.75 20.75 -0.40 1.36% 6752 JP Equity 1,022 4,145 11.23 11.34 9.39 2.62% 6902 JP Equity 2,582 9,730 52.48 52.43 20.66 1.28% 6954 JP Equity 336 6,393 165.93 160.99 2.97 1.77% 7201 JP Equity (116) (3,743) 9.12 8.91 .2.40 1.29% 7203 JP Equity (17) (3,073) 57.75 57.37 .0.43 1.25% 7267 JP Equity (37) (4,885) 36.70 36.81 4.60 1.24% 762 HK Equity 309 (4,155) 1.33 1.35 7.36 1.01% 7751 JP Equity 148 (6,865) 30.76 29.69 2.08 1.04% 80311P Equity 2 1,220 15.38 14.98 0.12 1.16% 8058 JP Equity 23 2,407 19.47 19.03 0.85 1.12% 8106 JP Equity (65) (1,926) 6.07 5.84 -2.53 1.33% 8316 JP Equity (36) (1,773) 47.23 45.76 -1.32 1.55% 8411 JP Equity 23 3,774 2.13 2.05 0.45 1.33% 8604 JP Equity (62) (3,003) 6.91 6.71 -1.40 1.48% 8801 JP Equity (51) (2,516) 31.72 30.23 -1.27 1.60% 8802 JP Equity (26) (3,308) 24.92 24.21 4.54 1.44% 9020 JP Equity 169 (3,967) 74.22 74.53 3.87 1.10% 941 HK Equity 854 (11,130) 9.48 9.48 12.42 0.62% 9432 JP Equity 258 6,077 55.45 55.03 2.99 1.42% 9433 JP Equity 3,109 9,476 55.96 55.15 20.85 1.57% 9437 JP Equity (195) (5,749) 16.24 16.11 -3.14 1.08% 9983 P Equity (168) 3,177 349.55 346.69 -3.19 1.66% EFTA00617755 9984 JP Equity 2,121 2,797 75.06 74.38 48.01 1.58% AAPL US Equity 325 7,877 539.62 543.49 3.94 1.05% ABB US Equity 803 10,408 25.41 25.34 7.58 1.02% ABBN VX Equity 651 8,703 25.40 25.28 6.86 1.09% ABBV US Equity 202 5,335 51.37 50.61 3.77 1.01% ABEV US Equity 538 (7,232) 6.71 6.92 5.06 1.47% ABEV3 BZ Equity 530 (6,923) 6.73 6.95 5.90 1.30% ABI BB Equity 7 3,833 101.28 100.69 0.20 0.93% ABT US Equity 18 4,097 39.03 38.85 0.57 0.76% ABX CN Equity (484) (2,812) 20.13 20.44 -10.68 1.61% ABX US Equity (475) (2,783) 20.14 20.45 40.47 1.63% ACA FP Equity 6,548 5,408 15.11 14.63 96.24 1.26% ACE US Equity 134 3,677 97.27 96.68 5.31 0.68% ACN US Equity 735 9,052 83.30 82.07 9.64 0.84% ADP US Equity 67 1,193 76.45 76.12 8.07 0.70% AFL US Equity 14 4,556 62.93 63.06 0.52 0.59% AGN US Equity 1,379 7,058 125.99 25.99 16.87 1.16% Al FP Equity (15) 3,793 135.18 124.49 0.56 0.69% AIG US Equity 83 4,012 49.67 136.74 2.05 1.01% AIR FP Equity 4,617 6,526 72.52 48.68 67.22 1.05% ALV GR Equity 3,134 7,550 177.80 72.53 45.99 0.90% ALVG IX Equity 2,349 5,742 177.74 177.50 46.65 0.88% AMGN US Equity 7,083 22,886 123.73 177.49 30.21 1.02% AMT US Equity 1,068 10,655 83.94 123.73 12.29 0.82% AMZN US Equity 3,008 14,103 349.01 83.00 16.34 1.31% ANZ AU Equity 21 2,461 28.71 356.30 0.92 0.92% APA US Equity (156) (6,870) 84.61 28.17 -2.26 1.00% APC US Equity (190) (5,635) 83.70 82.86 -3.66 0.92% AXP US Equity 2,617 10,373 89.62 81.36 24.95 1.01% AZN LN Equity 4,262 12,676 66.55 88.78 32.69 1.03% AZN SS Equity 3,659 11,669 66.20 67.92 29.80 1.05% AZN US Equity 4,041 12,432 66.19 67.87 29.33 1.11% BA US Equity 11,138 17,951 129.38 67.67 54.02 1.15% BAC US Equity 9,240 10,884 16.31 129.42 98.36 0.86% BARC LN Equity (131) 5,295 4.30 16.70 4.06 1.20% BAS GR Equity 1,224 7,333 113.53 4.25 21.38 0.78% BATS LN Equity 10 2,109 52.18 112.45 0.49 0.99% BAX US Equity (325) (8,047) 69.52 50.80 •7.14 0.57% BAYN GR Equity 9,667 11,757 139.64 69.11 86.39 0.95% BBAS3 BZ Equity 118 (1,954) 8.18 138.13 3.56 1.69% BBD US Equity 941 (6,743) 11.15 8.63 11.09 1.26% BBDC4 BZ Equity 946 (7,252) 11.08 11.09 11.95 1.09% BBL US Equity (157) (2,007) 65.19 11.14 -6.93 1.13% BBVA SM Equity 1,191 5,723 12.20 63.24 19.46 1.07% BCE CN Equity 56 (6,644) 42.81 12.32 1.29 0.65% BCS US Equity (218) 6,397 17.12 42.87 -2.47 1.38% BEN US Equity 138 4,618 53.64 17.07 3.06 0.98% EFTA00617756 BG/ LN Equity (153) (3,003) 18.24 52.71 •3.63 1.40% BHP AU Equity 72 3,466 35.01 17.94 2.21 0.94% BHP US Equity 79 3,331 70.24 34.04 2.43 0.98% BBB US Equity 368 1,066 330.93 68.40 23.71 1.46% BIL Sl Equity (236) (3,561) 32.26 329.19 -5.68 1.17% BK US Equity 40 1,539 31.43 31.92 3.09 0.85% BLK US Equity 127 1,171 303.95 31.81 11.63 0.93% BLT LN Equity (317) (3,958) 32.65 303.93 -7.55 1.06% BMO CN Equity 1 2,957 65.24 31.69 0.03 0.68% BMW GR Equity 915 5,076 116.41 64.97 22.86 0.79% BMY US Equity 7,011 13,669 54.03 117.62 38.71 1.33% BN FP Equity 45 (3,684) 69.67 54.19 1.38 0.89% BNP FP Equity 1,617 5,498 79.95 68.91 27.55 1.07% BNS CN Equity (7) 1,777 57.46 80.34 -0.51 0.80% BP/ LN Equity 674 8,784 8.29 57.73 11.44 0.67% BRK/B US Equity (13) 2,995 114.04 8.13 -0.71 0.60% BSBR US Equity 1,830 (8,171) 4.80 114.78 13.35 1.68% BUD US Equity 15 3,126 101.35 4.94 0.56 0.88% BX US Equity 115 2,976 31.48 101.26 3.75 1.03% C US Equity (32) 2,436 48.72 31.28 -1.16 1.14% CA FP Equity 330 1,959 35.63 49.57 16.53 1.02% CAT US Equity 1,135 10,300 96.84 36.61 10.86 1.02% CBA AU Equity (12) 5,315 67.69 96.41 -0.28 0.81% CBS US Equity 426 1,267 65.96 68.53 25.29 1.33% CCL US Equity 688 7,821 39.39 65.00 8.33 1.06% CELG US Equity 13,832 15,111 163.83 40.60 76.25 1.20% CFR VX Equity (11) 2,756 98.93 164.59 -0.34 1.19% CL US Equity 882 18,685 61.78 99.62 7.53 0.63% CM CN Equity 5 4,158 81.27 62.63 0.20 0.57% CMCSA US Equity 4,902 17,408 52.09 81.49 28.43 0.99% CMCSK US Equity 7,320 18,900 50.31 53.63 40.56 0.95% CNI US Equity 1,090 12,873 55.73 51.47 10.85 0.78% CNQ CN Equity 258 4,873 36.90 56.35 5.61 0.94% CNR CN Equity 1,059 12,425 55.67 35.28 11.20 0.76% COF US Equity 354 6,077 71.62 56.39 6.64 0.88% COP US Equity 144 (7,980) 65.44 72.33 2.75 0.66% COST US Equity (19) 4,526 114.81 65.35 -0.55 0.78% COV LN Equity 186 2,442 UN/A N/A 115.97 25.05 0.30% COV US Equity 778 6,347 71.15 IN/A N/A 13.73 0.89% CRM US Equity 230 2,054 63.26 71.00 8.87 1.26% CS FP Equity 2,730 6,734 27.25 62.85 44.08 0.92% CSCO US Equity (136) (4,977) 22.38 27.44 .3.00 0.91% CSX US Equity 810 8,914 27.35 22.57 8.64 1.05% CVE CN Equity 1,075 (10,449) 25.75 27.49 15.69 0.66% CVS US Equity 1,254 10,312 70.38 25.96 17.01 0.71% CVX US Equity (137) (7,260) 114.27 69.98 -2.47 0.76% D US Equity 2,249 12,109 71.08 113.01 23.93 0.78% EFTA00617757 DAI GR Equity 6,467 13,908 91.13 70.71 45.05 1.03% DBK GR Equity 214 4,052 49.08 91.63 4.40 1.20% DD US Equity 2,311 12,305 64.69 49.04 21.08 0.89% DDAIF US Equity 3,729 8,377 91.34 64.35 38.33 1.16% DE US Equity (84) 8,122 84.76 91.55 4.54 0.67% DELL US Equity 14 6,715 101/A N/A 85.86 2.65 0.08% DG FP Equity 3,969 9,889 71.94 IN/A NIA 48.72 0.82% DGE LN Equity (191) (1,621) 31.66 71.83 .4.41 2.67% DHR US Equity 4,160 14,097 75.85 30.64 40.87 0.72% DIS US Equity 1,573 9,908 79.22 76.35 14.73 1.08% DISCA US Equity (34) 3,650 81.26 79.01 .0.82 1.13% DNB NO Equity 1,190 9,735 17.70 80.32 17.40 0.70% DOW US Equity 1,965 6,446 46.76 17.75 26.27 1.16% DPW GR Equity 159 547 36.44 46.62 35.23 0.82% DTE GR Equity 5,115 13,640 16.80 36.02 37.98 0.99% DTV US Equity 1,977 9,349 73.05 16.56 26.45 0.80% DUK US Equity (293) (8,822) 71.91 71.99 -5.94 0.56% DVN US Equity 306 7,132 64.59 71.40 4.83 0.89% EBAY US Equity 204 5,059 55.09 61.93 3.97 1.01% Ea US Equity 71 3,983 102.95 54.64 2.54 0.70% EDF FP Equity 5,931 9,189 38.58 102.96 68.98 0.94% EMC US Equity 181 8,839 25.39 38.13 2.32 0.89% EMR US Equity 31 725 63.69 25.43 6.02 0.70% ENB CN Equity (202) (7,004) 42.90 64.58 -5.71 0.51% ENEL IM Equity 1,346 7,192 5.09 43.29 19.16 0.98% ENI IM Equity 9 2,850 23.77 5.05 0.45 0.73% EOAN GR Equity 82 2,606 19.25 23.52 3.52 0.90% EOG US Equity 1,401 5,573 180.18 18.97 24.89 1.01% EPD US Equity 652 10,466 66.31 176.46 9.48 0.66% ERICB SS Equity 155 6,004 12.58 66.69 3.20 0.81% ESRX US Equity 1,456 9,815 76.58 12.59 20.69 0.72% ETN US Equity 86 3,006 72.50 76.49 2.86 1.01% F US Equity (127) (3,621) 15.34 72.54 -3.23 1.09% F8 US Equity 1,435 2,630 68.08 15.21 35.38 1.54% FCX US Equity (1) 1,219 33.68 67.15 -0.08 1.18% FDX US Equity 490 5,338 132.05 33.73 10.71 0.86% FOX US Equity 14 3,520 32.02 134.00 0.42 0.96% FOXA US Equity 23 3,246 32.88 31.81 0.64 1.10% FP FP Equity 203 6,905 61.12 32.50 4.45 0.66% G IM Equity 461 5,557 23.07 60.66 9.41 0.88% GE US Equity 2,362 16,425 25.53 22.85 16.45 0.87% GILD US Equity 34,081 13,861 83.10 25.67 174.53 1.41% GIS US Equity 128 7,619 49.39 81.31 2.73 0.61% GLE FP Equity 968 3,248 64.26 49.67 21.92 1.36% GLEN LN Equity (337) (2,614) 5.80 64.87 40.45 1.23% GLW US Equity 1,988 11,376 19.00 5.65 15.16 1.15% GM US Equity 735 2,560 36.39 19.14 26.18 1.10% EFTA00617758 GOOG US Equity 5,005 12,428 1,203.18 35.80 41.83 0.96% GS US Equity 6,610 13,671 164.63 1,200.31 70.92 0.68% GSK LN Equity 388 4,319 28.02 163.58 7.22 1.24% GSZ FP Equity 115 4,740 24.25 27.86 3.27 0.74% HAL US Equity 774 4,093 54.69 23.77 19.99 0.95% HD US Equity 2,011 13,333 76.72 53.65 28.43 0.53% HMB SS Equity 417 6,110 43.57 77.82 7.75 0.88% HON US Equity 6,396 11,930 93.85 45.15 85.92 0.62% HPC1. US Equity 1,177 6,439 29.43 94.48 16.88 1.08% HSBA LN Equity 9 920 10.98 30.00 0.40 2.33% IBE SM Equity 1,169 6,918 6.41 10.68 26.83 0.63% IBM US Equity 34 (8,393) 183.98 6.31 0.53 0.77% IMT LN Equity 1,177 10,924 39.82 183.60 8.85 1.22% INTC US Equity 310 9,784 24.56 38.70 3.78 0.84% ISP IM Equity 3,340 5,585 3.06 24.64 50.65 1.18% ITUB US Equity 418 (5,909) 12.84 2.95 5.03 1.41% ITUB4 BZ Equity 347 (6,366) 12.85 13.15 4.16 1.31% ITW US Equity 2,469 14,011 79.79 13.17 29.41 0.60% ITX SM Equity 181 (4,648) 143.88 78.52 4.50 0.86% JO US Equity 4,447 9,883 49.48 152.35 40.53 1.11% JNJ US Equity 4,131 12,630 91.98 48.96 42.70 0.77% JPM US Equity 891 8,516 57.76 92.63 12.93 0.81% KMB US Equity 185 7,934 109.18 58.03 3.48 0.67% KMI US Equity 335 (6,752) 33.42 109.79 7.19 0.69% KO US Equity 283 (6,962) 37.26 33.73 5.50 0.74% LBTYA US Equity 64 2,272 87.34 38.75 3.24 0.87% LBTYK US Equity 210 1,975 86.35 83.85 12.40 0.86% LIN GR Equity 226 7,394 203.73 82.73 4.19 0.73% LLOY LN Equity 3,712 7,073 1.36 203.88 48.91 1.07% LLY US Equity (246) (2,872) 57.50 1.35 4.87 0.96% LMT US Equity 674 2,016 163.41 54.07 32.36 1.03% LNKD US Equity (42) (1,206) 196.35 162.12 -1.97 1.75% LOW US Equity (2) 1,783 46.86 188.10 -0.17 0.77% LVS US Equity 2,085 6,808 80.11 47.14 21.43 1.43% LYB US Equity 999 2,297 85.09 79.71 38.11 1.14% MA US Equity 11,386 17,711 77.27 84.20 52.43 1.23% MAERSKB DC Equity 6,227 14,148 11,827.28 77.10 41.61 1.06% MC FP Equity 74 2,801 186.88 11,788.91 2.59 1.02% MCD US Equity (73) (6,973) 95.87 184.27 •2.06 0.51% MCK US Equity 178 1,762 178.15 95.69 8.74 1.16% MDIZ US Equity 2,628 13,641 34.21 175.73 24.24 0.79% MDT US Equity 6,440 20,811 56.60 34.05 34.42 0.90% MET US Equity 1,151 7,556 51.13 56.67 13.80 1.10% MFC CN Equity 4,338 8,003 19.08 50.25 48.70 1.11% MHS US Equity 1,755 13,962 ttN/A N/A 19.24 11.02 1.14% MMM US Equity 7,629 21,331 131.55 OVA N/A 48.91 0.73% MO US Equity (34) 3,964 35.30 131.54 -1.23 0.70% EFTA00617759 MON US Equity 433 11,917 109.87 35.49 4.37 0.83% MOS US Equity (187) (4,472) 47.77 109.58 -3.76 1.11% MRK US Equity 1,246 9,350 55.30 47.77 13.53 0.98% MS US Equity 95 1,649 29.16 55.35 5.55 1.04% MSFT US Equity 558 7,177 37.53 29.73 8.14 0.96% MUV2 GR Equity 746 7,645 216.99 37.59 17.05 0.57% NAB AU Equity 82 3,872 31.79 215.86 2.35 0.91% NCM AU Equity 2,755 (5,096) 10.08 30.76 26.87 2.01% NEE US Equity 4,097 14,649 92.93 10.06 38.25 0.73% NEM US Equity 2,313 (7,392) 24.01 93.11 17.28 1.81% NESN VX Equity 601 9,821 73.90 23.85 7.37 0.83% NG/ IN Equity 2,120 11,416 13.89 73.71 26.31 0.71% NKE US Equity 787 2,940 75.12 13.58 32.80 0.82% NOK US Equity 3,791 4,498 7.30 74.95 59.27 1.42% NOV US Equity 25 3,686 76.73 7.18 0.92 0.76% NOVN VX Equity 5,302 18,291 82.30 76.23 43.41 0.67% NOVOB DC Equity 996 7,721 44.12 82.66 11.14 1.16% NSC US Equity 1,259 9,590 91.06 43.91 11.10 1.18% NVS US Equity 4,062 15,510 82.11 92.73 39.64 0.66% OGXP3 BZ Equity 5,068 (5,180) 0.10 82.76 23.31 4.20% OR FP Equity 5 3,253 168.14 0.12 0.14 1.10% ORA FP Equity 111 2,960 12.83 168.23 3.91 0.96% ORCL US Equity 1,057 7,418 38.05 12.61 20.51 0.69% OXY US Equity 72 3,906 95.79 38.06 2.23 0.83% PBR US Equity 457 (2,814) 11.14 95.29 10.57 1.54% PBR/A US Equity 417 (2,795) 11.80 11.49 9.71 1.54% PCLN US Equity 1,052 3,043 1,286.70 12.26 28.37 1.22% PCP US Equity 2,875 13,710 257.03 1,278.28 23.45 0.89% PEP US Equity (36) 781 77.55 260.30 •6.94 0.67% PETR3 BZ Equity 445 (2,923) 5.55 78.64 10.74 1.42% PETR4 BZ Equity 484 (3,123) 5.87 5.75 10.97 1.41% PFE US Equity 4,653 21,828 31.67 6.12 26.95 0.79% PG US Equity 64 4,762 78.37 31.88 1.67 0.81% PHIA NA Equity 2,133 11,244 36.20 79.08 24.78 0.77% PM US Equity 671 (10,166) 79.83 35.88 7.91 0.84% PNC US Equity 509 7,645 80.30 80.13 6.95 0.96% POT CN Equity (98) (2,183) 33.63 81.51 -3.95 1.14% POT US Equity (100) (2,151) 33.66 33.71 .3.93 1.18% PRU LN Equity 7,913 10,521 22.36 33.70 58.87 1.28% PSA US Equity 502 8,952 167.03 21.93 8.82 0.64% PSX US Equity 1,051 6,030 75.92 165.41 18.22 0.96% PX US Equity 2,209 16,099 128.84 75.49 18.49 0.74% QCOM US Equity 1,660 12,547 75.67 129.69 17.42 0.76% QQQ US Equity 6,229 19,920 89.87 76.13 47.77 0.65% RAI US Equity (8) (4,767) 47.75 89.68 .0.29 0.59% RDS/A US Equity (84) (1,838) 72.66 48.11 -5.74 0.80% RDS/B US Equity 164 3,994 78.10 71.32 4.81 0.85% EFTA00617760 RDSA LN Equity 227 4,065 36.44 76.39 6.11 0.92% RDSA NA Equity (87) (1,744) 36.37 35.59 -5.65 0.88% RDSB LN Equity 229 3,982 39.21 35.56 6.19 0.93% REGN US Equity 569 4,722 327.53 38.32 6.68 1.80% RIO AU Equity 350 5,779 63.69 322.14 6.96 0.87% RIO IN Equity 562 5,129 60.13 61.42 9.35 1.17% RIO US Equity 552 4,934 60.08 58.66 7.94 1.41% ROG VX Equity 6,837 17,035 298.19 58.73 48.78 0.82% RY CN Equity 9 3,823 65.21 292.56 0.33 0.71% SAS LN Equity 2 1,700 46.73 64.86 0.13 0.85% SAN FP Equity 160 (6,174) 100.98 46.12 3.28 0.79% SAN SM Equity 489 7,256 8.91 99.89 8.77 0.77% SAN US Equity 441 5,315 8.97 8.97 7.01 1.18% SAP GR Equity (86) 5,241 80.21 8.99 -2.25 0.73% SAP US Equity (139) 7,101 80.00 79.64 -2.31 0.85% SBUX US Equity (17) 2,072 73.68 79.95 -0.76 1.10% SGO FP Equity 2,245 7,778 56.70 74.80 31.76 0.91% SI US Equity 1,570 11,259 130.68 56.21 18.27 0.76% SIE GR Equity 1,231 8,908 130.68 130.11 19.17 0.72% SLB US Equity 908 6,528 91.06 130.26 17.49 0.80% SMSN LI Equity 437 (7,260) 605.69 90.61 6.50 0.93% SO US Equity (56) (3,605) 42.38 615.87 -3.01 0.52% SPG US Equity (187) (3,014) 160.84 42.39 -8.38 0.74% SREN VX Equity 1,650 9,709 93.75 159.77 19.93 0.85% STAN LN Equity 62 (5,283) 22.04 92.60 0.91 1.28% STL NO Equity 317 6,281 26.67 21.52 5.13 0.98% STT US Equity (17) 3,457 68.27 25.98 -0.49 1.01% SU CN Equity (1) 1,813 33.41 68.62 -0.04 0.69% SU FP Equity 245 5,959 87.34 33.55 4.62 0.89% SU US Equity 1 1,843 33.44 86.19 0.08 0.68% SWEDA SS Equity 555 5,950 27.01 33.52 10.44 0.89% SYNN VX Equity (212) (4,489) 370.15 27.22 -4.72 1.00% T US Equity 363 (8,522) 32.85 361.58 5.31 0.80% TD CN Equity (9) 3,775 44.70 33.16 -0.46 0.53% TEF SM Equity (78) (3,477) 15.58 44.86 -2.90 0.77% TEF US Equity 8 2,180 15.53 15.52 0.38 0.98% TGT US Equity 1,062 (10,717) 57.27 15.47 12.02 0.82% TJX US Equity 2,831 9,492 60.12 56.22 35.65 0.84% TLS AU Equity 209 5,204 4.73 59.84 6.04 0.66% TLSN SS Equity (7) 4,441 7.59 4.68 -0.20 0.75% TM US Equity 89 (5,170) 115.83 7.62 2.28 0.76% TMO US Equity 9,512 10,218 122.79 115.42 98.12 0.95% TOT US Equity 269 3,651 61.03 123.57 9.03 0.82% TRP CN Equity (214) (6,953) 45.10 60.84 -5.30 0.58% TRV US Equity (216) (4,915) 84.65 45.22 -5.79 0.76% TSCO LN Equity 71 (7,398) 5.60 83.65 1.19 0.80% TWC US Equity 914 4,834 141.37 5.43 23.23 0.81% EFTA00617761 TWX US Equity (7) 3,363 65.04 145.84 .0.25 0.82% TXN US Equity 3,159 12,205 43.97 65.41 32.01 0.81% TYC US Equity 10,530 24,080 41.92 43.81 66.17 0.66% UBS US Equity 416 5,222 20.91 41.87 7.71 1.03% UBSN VX Equity 391 5,158 20.99 20.86 10.35 0.73% UCG IM Equity 2,469 5,391 8.14 20.93 33.71 1.36% ULVR LN Equity (148) (4,933) 40.47 8.20 -3.15 0.95% UNA NA Equity (128) (6,295) 38.92 39.29 -2.12 0.96% UNH US Equity 1,517 10,037 73.76 37.94 16.68 0.91% UNP US Equity 944 9,767 177.07 72.96 12.30 0.79% UPS US Equity 2,911 14,806 95.57 179.59 33.38 0.59% USB US Equity 2,249 14,238 40.20 97.08 24.15 0.65% UTX US Equity 5,967 15,190 114.28 40.62 52.47 0.75% V US Equity 3,974 3,914 225.41 113.41 107.85 0.94% VALE US Equity 127 (3,908) 14.59 225.50 2.45 1.33% VALE3 BZ Equity 158 (4,586) 14.52 14.63 2.65 1.30% VIAB US Equity 3,989 7,376 86.13 14.56 56.47 0.96% VIV FP Equity 246 2,668 28.60 85.49 11.39 0.81% VMW US Equity 372 4,244 94.92 27.97 6.48 1.35% VOD LN Equity 1,437 7,591 3.73 95.24 21.80 0.87% VOD US Equity 1,348 7,517 37.30 3.66 20.36 0.88% VOWS GR Equity 1,426 6,826 276.55 36.51 19.75 1.06% VRX CN Equity 912 1,611 145.55 275.90 44.29 1.28% VRX US Equity 1,062 1,880 145.87 140.23 40.98 1.38% VTI US Equity 538 5,134 96.01 140.06 19.36 0.54% VWO US Equity 294 (7,247) 38.69 95.73 4.38 0.93% VZ US Equity 246 (6,121) 46.19 39.11 5.29 0.76% WBC AU Equity 50 3,018 29.94 46.61 1.74 0.96% WES AU Equity (30) 4,743 38.77 29.48 -0.84 0.75% WFC US Equity 2,213 10,067 45.81 39.39 33.23 0.66% WLP US Equity 1,881 10,369 87.79 46.09 17.79 1.02% WMT US Equity (13) 4,005 74.84 87.28 .0.56 0.56% WOW AU Equity (330) (8,665) 32.49 75.77 -5.45 0.70% XOM US Equity 491 10,902 94.56 31.98 6.16 0.73% XTA LN Equity 2 (2,238) RN/A N/A 93.55 0.04 2.26% YHOO US Equity 305 1,282 37.92 IN/A N/A 17.23 1.38% YUM US Equity 35 5,221 73.32 38.27 0.64 1.04% ZURN VX Equity 226 6,394 302.26 73.50 4.80 0.74% Current Portfolio - Global Macro Portfolio Current Price P/I. in Vol 30P Realized Security MTM Galn/(Loss) Exp. # Cost Avg. Price (In USD) Days Vol SPX Index 15,958 62,272 1,455.70 1,828.75 37.64 0.68% NDX Index 13,549 46,686 2,831.19 3,652.85 34.76 0.83% RTY Index 12,903 39,938 868.48 1,149.07 34.98 0.92% EFTA00617762 SPTSX Index (6) 14,438 12,758.90 12,753.80 -0.07 0.58% MEXBOL Index 1,120 (26,146) 3,142.70 3,008.11 4.38 0.98% IBOV Index 2,446 (22,524) 22,076.65 19,678.98 8.14 1.33% MERVAL Index (27) 2,219 774.80 765.63 -0.53 2.25% UKX Index 4,190 39,963 10,288.22 11,366.82 16.16 0.65% DAX Index 9,241 36,674 10,610.77 13,284.50 38.32 0.66% CAC Index 1,247 18,831 5,599.03 5,969.88 10.65 0.62% IBEX Index 7,802 38,422 11,492.37 13,825.99 25.60 0.79% SMI Index 6,768 43,402 8,201.97 9,481.04 29.18 0.53% FTSEMIB Index 5,448 24,329 22,964.56 28,106.75 30.32 0.74% PSI20 Index 5,663 24,289 8,026.78 9,898.24 24.01 0.97% ISEQ Index 24,536 40,099 4,246.25 6,844.45 88.00 0.70% ICEXI Index 5,858 35,416 6.58 7.67 28.65 0.58% AEX Index 5,925 42,240 484.27 552.20 23.53 0.60% BEL20 Index 6,358 42,647 3,595.92 4,131.99 26.75 0.56% LUXXX Index 9,483 39,715 1,655.49 2,050.76 36.05 0.66% KFX Index 10,009 38,048 100.82 127.34 33.62 0.78% HEX Index 8,498 40,933 8,513.92 10,281.49 26.64 0.78% OMX Index 1,763 21,684 190.26 205.73 11.79 0.69% ATX Index 3,622 28,102 3,213.33 3,627.53 15.74 0.82% ASE Index 6,840 17,693 1,246.19 1,727.97 29.94 1.29% OSEBX Index 1,701 22,138 84.29 90.77 11.14 0.69% INDEXCF Index 32 (8,479) 41.71 41.55 0.44 0.85% TOP40 Index (20) 10,972 3,903.81 3,896.63 -0.22 0.85% SENSEX Index (135) (16,223) 330.60 333.36 -1.00 0.84% NKY Index 690 10,764 135.68 144.37 4.82 1.33% HSI Index 10 6,238 2,917.54 2,922.42 0.21 0.80% SHCOMP Index (791) (30,695) 343.76 352.62 -3.40 0.76% KOSPI Index (44) 9,850 1.83 1.82 -0.68 0.65% ASST Index 144 12,591 4,825.68 4,880.94 1.66 0.69% STBCNZL Index 30,832 73,231 446.30 634.20 82.06 0.51% EEM US Equity 261 (6,119) 40.76 39.02 4.18 1.02% IYR US Equity 921 67.65 67.65 0.00 0.56% MOY US Equity 4,722 14,269 184.03 244.92 37.45 0.88% JNK US Equity (12) (1,535) 40.64 40.96 -4.40 0.18% XLF US Equity 5,075 13,610 15.57 21.38 45.25 0.82% XLU US Equity 344 7,179 38.35 40.19 7.68 0.62% XLK US Equity 2,159 12,860 30.80 35.97 23.99 0.70% XLI US Equity 5,347 16,147 38.20 50.85 41.20 0.80% XLP US Equity 24 7,329 41.38 41.51 0.53 0.61% XLY US Equity 7,914 20,539 46.72 64.72 47.97 0.80% XLE US Equity 126 4,209 84.01 86.53 3.71 0.81% XLB US Equity 3,281 14,930 37.57 45.83 27.39 0.80% XLV US Equity 12,228 24,346 38.87 58.39 58.77 0.85% SXXP Index 6,513 43,407 400.51 460.61 26.91 0.56% SXAP Index 10,050 28,526 520.28 703.58 39.57 0.89% SXKP Index 5,619 47,032 366.14 409.88 17.74 0.67% EFTA00617763 SX6P Index 4,772 32,231 349.85 401.65 23.75 0.62% SXEP Index 867 29,339 441.65 454.70 4.68 0.63% SXIP Index 12,517 28,923 222.31 318.51 57.03 0.76% SXNP Index 5,048 28,384 482.69 568.54 27.51 0.65% SX3P Index 287 11,940 655.80 671.58 3.41 0.71% SXDP Index 24,608 61,075 609.16 854.59 67.15 0.60% SX4P Index 3,576 25,840 917.36 1,044.33 19.50 0.71% SX8P Index 2,427 17,778 343.07 389.91 20.40 0.67% SXOP Index 8,269 40,520 380.28 457.89 26.44 0.77% SXQP Index 184 15,838 795.16 804.41 1.44 0.81% SXRP Index 613 29,339 434.81 443.90 3.53 0.59% SXMP Index 13,269 35,766 261.12 357.99 57.46 0.65% SXTP Index 22,217 39,247 172.05 269.44 85.28 0.66% SX7E Index 5,898 18,134 158.25 209.72 31.34 1.04% SXSE Index 6,312 38,482 3,686.95 4,291.72 25.76 0.64% SPGSCITR Index (488) (13,390) 4,817.40 4,993.06 -7.01 0.52% XAG Curncy 1,105 (20,150) 22.78 21.53 5.07 1.08% CO1 Comdty (355) (24,622) 108.90 110.47 -2.55 0.57% CL1 Comdty 1,213 23,341 98.21 103.31 6.38 0.81% NG1 Comdty 10,496 16,608 3.77 6.15 14.90 4.24% XAU Comdty 3,975 (41,262) 110.08 99.48 13.92 0.69% IBOXHY Index 2,474 53,418 220.12 230.31 46.26 0.10% US_TSY CREDIT 3 7,977 758.73 758.98 0.23 0.14% CA_TSY CREDIT 6,511 (97,153) 1,269.31 1,184.25 18.61 0.36% MX_TSY CREDIT 112 (13,747) 209.03 207.32 1.42 0.58% AU TSY CREDIT 849 (79,133) 1,457.62 1,441.97 2.26 0.48% JP_TSY CREDIT 771 (59,678) 822.10 811.48 3.15 0.41% MY_TSY CREDIT 1,531 (92,252) 167.43 164.65 6.65 0.25% SG_TSY CREDIT 167 (95,749) 219.11 218.73 0.72 0.24% AT_TSY CREDIT 2,509 64,350 354.64 368.47 12.86 0.30% BE_TSY CREDIT 3,353 67,610 473.36 496.83 16.58 0.30% FI_TSY CREDIT 2,510 66,540 346.05 359.10 12.81 0.29% FR_TSY CREDIT 2,871 62,478 1,661.26 1,737.59 15.23 0.30% DE_TSY CREDIT 2,127 66,681 1,235.81 1,275.23 10.57 0.30% IE_TSY CREDIT 29,063 78,270 336.92 462.03 116.22 0.32% IT_TSY CREDIT 6,990 54,111 1,612.72 1,821.04 39.17 0.33% NL_TSY CREDIT 2,400 65,372 1,317.53 1,365.90 12.60 0.29% ES_TSY CREDIT 9,219 50,187 392.28 464.34 56.78 0.32% DK_TSY CREDIT 2,285 56,679 724.05 753.23 12.58 0.32% NO_TSY CREDIT (479) (27,378) 333.32 339.15 -3.68 0.48% PL_TSY CREDIT 784 22,143 420.32 435.19 6.63 0.53% ZA_TSY CREDIT 1,909 (33,149) 83.13 78.34 6.25 0.92% SE_TSY CREDIT (503) (21,138) 452.11 462.88 -7.21 0.33% CH_TSY CREDIT 3,095 59,299 999.11 1,051.26 14.63 0.36% GB_TSY CREDIT 805 46,843 1,486.42 1,511.95 5.18 0.33% EFTA00617764