EFTA00288191.pdf

Atorus, LLC 4/7/2014 Current Date: 4/7/2014 Change on Day: -2.47% Total Return since 1/1/12: 79.72% MSCI World Change on 712M Return: 39.56% Day -1.01% T90 Day Return: 0.16% No of Positions T30 Day Return: (+MTM) on Day 112 Current Long Exposure @ Cost: 4,789,093 No of Positions (-MTM) Current Short Exposure @ Cost: (1,038,661) on Day 324 Net Exposure: 3,750,432 Current No. of Starting Capital: 1,000,000 Positions: 437 Current NAV: 1,797,204 Current Leverage (Gross Exposures): 3.24 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 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. 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 2,800,000.00 1,800,000.00 1,600,000.00 1,400,000.00 1,200,000.00 1,000,000.00 800,000.00 800,000.00 et• et, et, 4) 4) 11) ir e l ir eir cit cir Oda eir IN 11, 4 (7 N' 4 (7 4.7 N' — NAV EFTA00288191 Atorus, LLC 4/7/2014 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 CO1 Comdty (24,622) MEXBOL Index (26,146) INDEXCF Index (26,563) ZA_TSY CREDIT (33,149) SHCOMP Index (33,700) SE_TSY CREDIT (39,490) US_TSY CREDIT (50,168) JP_TSY CREDIT (59,678) SPX Index 62,272 CH_TSY CREDIT 65,265 DK_TSY CREDIT 67,396 STBCNZL Index 73,231 DE_TSY CREDIT 74,397 FR_TSY CREDIT 75,130 BE_TSY CREDIT 76,813 AT_TSY CREDIT 77,381 FR_TSY CREDIT 77,705 lE_TSY CREDIT 78,270 NL_TSY CREDIT 78,610 MY_TSY CREDIT (92,252) SG_TSY CREDIT (95,749) CA_TSY CREDIT (97,153) NAV Impact by Category & Exposure Listed Equity Long -1.596% Listed Equity Short 0.040% EquityCom Long -1.015% EquityCom Short 0.044% G20 Rates Long 0.149% G20 Rates Short -0.071% %of Total Notional Security MTM Gain % Total NAV 23.77%l 44 Positions 27.34% 0.42% MAERSKB DC Equity 6,216 0.35% 0.45% CMCSK US Equity 6,278 0.35% 0.46% ROG VX Equity 6,339 0.35% 0.57% UTX US Equity 6,409 0.36% 0.58% SXXP Index 6,469 0.36% 0.68% SX6P Index 6,572 0.37% 0.86% EDF FP Equity 6,629 0.37% 1.02% SMI Index 6,645 0.37% 1.07% SX7E Index 7,134 0.40% 1.12% SXSE Index 7,230 0.40% 1.16% P5120 Index 7,366 0.41% 1.26% ACA FP Equity 7,390 0.41% 1.28% PRU LN Equity 7,557 0.42% 1.29% DAI GR Equity 7,627 0.42% 1.32% FTSEMIB Index 7,749 0.43% 1.33% ASE Index 7,781 0.43% 1.33% HEX Index 8,007 0.45% 1.34% BEL20 Index 8,362 0.47% 1.35% MMM US Equity 8,386 0.47% 1.58% IT_TSY CREDIT 8,469 0.47% 1.64% DAX Index 8,489 0.47% 1.67% BAYN GR Equity 8,648 0.48% TMO US Equity 8,798 0.49% MDT US Equity 8,930 0.50% MC US Equity 9,379 0.52% TYC US Equity 9,975 0.56% KFX Index 10,277 0.57% IBEX Index 10,349 0.58% ES_TSY CREDIT 10,636 0.59% SXMP Index 10,863 0.60% NDX Index 11,156 0.62% SXAP Index 11,167 0.62% LUX) Index 11,182 0.62% XLV US Equity 11,627 0.65% SXIP Index 11,797 0.66% SXOP Index 12,126 0.67% RTY Index 12,292 0.68% GILD US Equity 16,633 0.93% SPX Index 16,655 0.93% SXTP Index 22,253 1.24% EFTA00288192 SXDP Index 22,460 1.25% ISEQ Index 25,444 1.42% lE_TSY CREDIT 31,293 1.74% STBCNZL Index 34,318 1.91% No. Names APAC Long 25 APAC Short 23 (MEA Long 75 (MEA Short 12 AMER Long 171 AMER Short 36 EquityCom Long 61 EquityCom Short 11 G20 Rates Long 16 G20 Rates Short 7 Total Long 348 Total Short 89 Current Exposure by Geography (Listed Equities) & Macro (Equity Indices & Coinmodiltes, G20 Gov. Credit) $2,000,000 $1,500,000 $1,000,000 $500,000 $(500,000) $(1,000,000) ■ APAC Long ■ APAC Short ■ EMEA Long ■ EMEA Short ■ AMER Long ■ AMER Short ■ EquityCom Long ■ EquityCom Short ■ G20 Rates Long ■ G20 Rates Short EFTA00288193 Atorus, LLC 4/7/2014 Historical Net Exposure by Geography (Listed Equities) & Macro (Equity Indices & Cornrow'Res, G20 Gov. Credit) —AMAC — EMEA —AMER — EquityCom —G20 Rates NexEposure RIG 3003000 1.500,000 5,000.030 4,000.000 3,000.000 2000.000 1,000,000 503000 s'e 4% lat. ) 1,000,000 momoco) (2,000,003) dcl. Ol t Ct. ft, 1.1. \ \ . s' 9 4: 3. G. CP CP (P \ (1. O. 'V (1. isa ''sx '.1., 'sa 0 'V (3 #1. o ()%t• e 1, 11. (1. \ \''sa (1,003,000) (3,000,000) Historical Gross Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodiltes, G20 Gov. Credit) 2,030,003 1,500,000 1,000,000 500,000 - APAC — EMEA - AMER EcpityCe — G20 Rates EFTA00288194 Atorus, LIC 4/7/2014 Current Gross Notional Risk by Category 243,570 5;3,199 1,411,1 ■ APAC ■ EMEA ■ AMER ■ EquityCom ■ G20 Rates Performance Vs. MSCI World Index Rolling 30 Day Realized Volatility - Ator 2.00% 1.80% 1.60% 1.40% 1.20% 1.00% 0.80% 0.60% 0.40% 0.20% 0.00% —RoIrtng30DayRe atedVol EFTA00288195 Atorus, LLC 4/7/2014 Percentile Distribution of Current MTM Gains in Vol Days by Position (ex-99pct & ex-1st percentiles) €000 50.00 WOO 3000 20.00 10.00 °CO WI0 . N ../, n 4P. ofr 4:0* & V & & (P. 40. AP' 4Y 41, 4r Q. Q . Vol Days by Poslion Percentile No. Vol Days O.00VL -15.96 5.00% .4.44 10.00% .2.58 15.00% .0.80 20.00% 0.02 25.00% 1.03 30.00% 1.65 35.00% 2.83 40.00% 4.35 45.00% 5.71 50.00% 8.12 55.00% 10.44 60.00% 12.67 65.00% 16.16 70.00% 19.66 75.00% 22.72 80.00% 27.37 85.00% 35.56 90.00% 42.85 95.00% 59.63 100.00% 181.56 MTM Gains(Losses) % of NAV "Signficant" (<7 Vol Days) MTM Gains(Losses) % of NAV "Signficant" (>7 Vol Days) 1.10% EFTA00288196 Atorus, LLC Current Portfolio -Listed Equity Portfolio 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) 4/7/2014 000270 KS Equity (436) (4,115) 51.62 57.08 .9.83 1.08% 45.84 005380 KS Equity 112 3,149 224.39 232.38 2.92 1.22% (51.17) 005490 KS Equity (144) (3,782) 273.49 283.90 .3.44 1.11% (53.06) 005930 KS Equity (208) (6,997) 1,278.17 1,316.23 .3.39 0.88% 2.97 012330 KS Equity 1,114 5,584 247.00 296.28 22.45 0.89% (95.86) 1 HK Equity 845 9,628 15.82 17.21 8.57 1.02% (98.85) 1299 HK Equity 95 4,933 4.77 4.86 2.46 0.78% (62.59) 13 HK Equity 2,303 12,243 11.40 13.55 18.53 1.02% (119.37) 16 HK Equity (118) (5,961) 12.66 12.91 •2.66 0.74% (16.97) 27 HK Equity (11) 123 9.61 8.84 4.44 1.95% (5.36) 2914 JP Equity 94 (4,719) 32.47 31.82 1.90 1.05% (3.57) 33821P Equity 6 1,329 37.70 37.87 0.40 1.14% (3.98) 40631P Equity 1 (4,536) 56.40 56.39 0.01 1.14% 63.01 45021P Equity (11) 2,732 47.02 46.83 A.58 0.70% (4.43) 4689 JP Equity (210) 979 5.79 4.77 .12.29 1.75% (34.35) 5 HK Equity 22 (3,997) 10.17 10.11 0.63 0.87% 32.51 5108 JP Equity • 36.35 1.05% 54011P Equity 302 (5,511) 2.89 2.73 5.05 1.09% 94.31 63011P Equity (95) (2,812) 20.64 21.33 •2.99 1.13% (0.18) 67521P Equity 1,071 4,145 9.01 11.34 15.44 1.67% (206.92) 69021P Equity 48.72 1.44% 69541P Equity 734 6,393 157.65 175.76 8.97 1.28% (123.11) 72011P Equity (119) (3,743) 8.85 9.13 -3.51 0.90% 5.59 72031P Equity 20 (5,260) 56.12 55.90 0.45 0.85% 30.47 7267 JP Equity 210 (4,885) 36.43 34.87 4.81 0.89% 94.09 762 HK Equity 100 (5,162) 1.38 1.35 1.52 1.27% (113.52) 77511P Equity 95 (6,865) 31.44 31.00 1.60 0.86% 32.89 80311P Equity (49) (4,776) 14.10 14.24 A.95 1.08% 30.76 80581P Equity 13 (890) 18.59 18.31 1.66 0.90% 13.56 81061P Equity 82 (4,604) 5.65 5.55 1.51 1.18% 51.50 83161P Equity • 571 42.90 42.90 0.00 1.37% (12.28) 84111P Equity 1,040 2.00 2.00 0.00 0.73% (15.91) 8604 JP Equity 95 (3,159) 6.64 6.44 2.65 1.14% 51.22 88011P Equity • 31.52 1.44% 8802 JP Equity 82 (5,009) 24.84 24.43 1.06 1.54% 69.76 90201P Equity 115 (6,726) 75.20 73.91 1.34 1.28% 40.59 941 HK Equity 1,107 (11,819) 10.19 9.24 9.54 0.98% (26.22) 94321P Equity (63) 6,077 53.19 52.64 A.86 1.20% (80.11) 94331P Equity 2,179 7,581 42.13 54.24 23.01 1.25% (240.59) 94371P Equity 112 (7,723) 15.62 15.39 1.62 0.90% 54.85 99831P Equity 4 3,177 369.08 369.51 0.10 1.20% (23.11) EFTA00288197 9984 JP Equity 1,172 2,048 46.70 73.43 30.85 1.86% (146.60) AAPL US Equity 108 7,877 518.25 525.36 2.13 0.64% (126.04) ABB US Equity 624 6,661 23.59 25.80 11.88 0.79% (52.70) ABBN VX Equity 679 6,962 23.63 25.93 11.72 0.83% (45.63) ABBV US Equity 150 5,335 49.49 50.88 2.63 1.07% (230.01) ABEV US Equity • 832 7.55 7.55 0.00 0.94% (3.01) ABEV3 BZ Equity • 7.61 0.92% ABI BB Equity 280 7,588 102.53 106.31 4.57 0.81% (40.04) ABT US Equity (51) 4,097 38.86 38.39 .1.82 0.68% (68.22) ABX CN Equity 135 (4,216) 19.01 18.40 2.18 1.47% 69.00 ABX US Equity 132 (4,063) 19.03 18.41 2.26 1.44% 55.64 ACA FP Equity 7,390 5,408 6.83 16.17 102.78 1.33% (173.83) ACE US Equity 173 6,435 95.44 98.01 5.54 0.49% (63.77) ACN US Equity 82 10,703 77.97 78.56 0.93 0.82% (34.44) ADP US Equity 39 954 72.36 75.36 6.45 0.64% (12.53) AFL US Equity (128) 5,103 63.75 62.20 .4.14 0.60% (108.87) AGN US Equity 947 9,698 110.56 121.36 10.51 0.93% (314.62) Al FP Equity 37 8,248 134.80 135.40 0.69 0.64% (25.14) AIG US Equity 91 4,012 48.66 49.77 2.52 0.90% (91.80) AIR FP Equity 3,037 4,177 42.47 73.36 75.77 0.96% (48.63) ALV GR Equity 481 2,761 142.27 167.07 19.89 0.88% (46.36) ALVG IX Equity 288 1,680 142.59 167.04 19.66 0.87% (29.27) AMGN US Equity 5,528 22,886 95.40 118.45 20.67 1.17% (662.03) AMT US Equity 671 10,655 76.29 81.10 9.36 0.67% 66.34 AMZN US Equity 149 (2,897) 335.90 318.68 4.20 1.22% 37.04 ANZ AU Equity 408 6,062 29.02 30.98 9.30 0.72% 19.12 APA US Equity (119) (6,870) 82.74 84.17 .2.38 0.73% 116.69 APC US Equity (524) (2,544) 81.31 98.08 .15.96 1.29% 73.74 AXP US Equity 2,266 10,373 71.56 87.20 26.26 0.83% (375.77) AZN LN Equity 3,697 12,676 49.80 64.33 37.85 0.77% (149.88) AZN SS Equity 3,248 12,029 50.74 64.44 37.68 0.72% (100.94) AZN US Equity 3,495 12,812 50.30 64.02 37.44 0.73% (172.91) BA US Equity • 126.35 0.83% BAC US Equity 9,379 10,884 8.82 16.43 80.86 1.07% (599.65) BARC LN Equity • 606 4.04 4.04 0.00 1.29% (8.76) BAS GR Equity 875 7,333 97.30 108.90 11.57 1.03% (131.92) BATS LN Equity 245 6,088 53.22 55.36 4.56 0.88% (12.54) BAX US Equity (16) 3,174 73.25 72.88 -0.54 0.94% (21.82) BAYN GR Equity 8,648 11,757 76.64 133.00 71.44 1.03% (347.37) BBAS3 BZ Equity (413) (1,563) 8.70 11.00 -13.65 1.93% (55.81) BBD US Equity • 14.65 1.63% BBDC4 BZ Equity • 14.66 1.63% BBL US Equity (290) (4,057) 59.69 63.96 -7.20 0.99% 38.55 BBVA SM Equity 1,454 5,790 10.12 12.66 21.26 1.18% (11.20) BCE CN Equity (91) (6,644) 43.17 43.76 -2.36 0.58% (39.97) BCS US Equity 612 16.09 16.09 0.00 1.28% (12.97) BEN US Equity 1 2,447 52.34 52.37 0.05 1.13% (64.46) EFTA00288198 BG/ LN Equity (326) (4,379) 17.51 18.81 •10.48 0.71% (4.29) BHP AU Equity 117 6,689 34.33 34.93 1.48 1.18% 2.49 BHP US Equity 220 6,839 67.77 69.96 3.23 1.00% (41.81) BUIS US Equity 199 1,066 245.93 291.90 11.93 1.57% 0.85 BIL Si Equity (96) (1,586) 30.29 32.12 .5.41 1.12% 14.55 BK US Equity 290 8,609 32.86 33.97 4.07 0.83% (248.89) BLK US Equity 136 1,171 274.17 305.96 11.93 0.97% (32.15) BLT LN Equity (136) (1,900) 29.93 32.07 .6.78 1.05% 14.28 BMO CN Equity 320 8,370 65.44 67.94 6.68 0.57% 67.55 BMW GR Equity 1,440 5,212 99.22 126.63 23.50 1.18% (84.91) BMY US Equity 4,480 10,935 35.71 50.34 37.70 1.09% (68.53) BN FP Equity (24) (3,684) 70.54 71.00 -0.88 0.75% (24.03) BNP FP Equity 1,640 5,498 61.78 80.20 24.04 1.24% (98.82) BNS CN Equity 153 7,633 57.74 58.90 3.64 0.55% (23.95) BP/ LN Equity 386 9,797 7.76 8.07 6.55 0.60% (49.86) BRK/FI US Equity 448 11,056 118.69 123.49 6.69 0.61% (93.57) BSBR US Equity 420 (8,171) 6.18 5.87 3.54 1.45% (193.19) BUD US Equity 267 6,846 102.05 106.03 4.56 0.86% (56.22) BX US Equity 107 3,119 30.36 31.40 2.37 1.45% (189.03) C US Equity (40) 856 48.82 46.64 .4.32 1.08% (9.85) CA FP Equity 657 3,167 33.26 40.15 19.79 1.05% 41.14 CAT US Equity 1,758 13,589 89.53 101.11 18.16 0.71% (212.01) CBA AU Equity 397 11,185 68.68 71.12 5.50 0.64% (34.86) CBS US Equity 277 1,267 49.35 60.16 21.39 1.02% (42.92) CCL US Equity 364 7,821 36.20 37.89 4.66 1.00% (88.34) CELG US Equity 111 (3,342) 142.82 138.08 2.20 1.51% 32.02 CFR VX Equity 49 4,011 94.53 95.68 1.31 0.93% (49.62) CL US Equity 1,873 18,685 59.00 64.92 20.02 0.50% 183.07 CM CN Equity 410 8,334 82.53 86.59 8.58 0.57% 19.64 CMCSA US Equity 2,932 13,927 40.65 49.20 23.38 0.90% (521.68) CMCSK US Equity 6,278 18,900 36.26 48.31 37.97 0.87% (694.01) CNI US Equity 961 12,873 51.38 55.21 11.86 0.63% (213.44) CNQ CN Equity 837 9,483 36.34 39.54 11.87 0.74% (66.46) CNR CN Equity 966 12,425 51.30 55.28 12.37 0.63% (187.91) COF US Equity 695 6,770 68.55 75.59 12.02 0.85% (143.27) COP US Equity (362) (7,980) 66.64 69.67 -10.20 0.44% 76.36 COST US Equity • 110.77 0.58% - COV LN Equity - 5,151 #N/A N/A 0.00 0.31% COV US Equity 836 7,080 64.09 71.65 16.03 0.74% (134.34) CRM US Equity (96) 2,054 56.76 54.23 -3.01 1.55% (24.40) CS FP Equity 1,911 5,387 19.39 26.27 31.36 1.13% (153.13) CSCO US Equity • 961 22.95 22.95 0.00 0.81% 5.00 CSX US Equity 1,209 8,914 25.07 28.47 17.88 0.76% (157.19) CVE CN Equity 5 (10,449) 28.70 28.68 0.07 0.74% 68.07 CVS US Equity 1,858 11,815 63.98 74.04 26.24 0.60% (207.32) CVX US Equity (403) (8,207) 112.39 117.91 -10.37 0.47% 72.21 D US Equity 1,920 12,764 60.42 69.51 24.44 0.62% (104.04) EFTA00288199 DAI GR Equity 7,627 13,908 62.20 96.31 45.16 1.21% (143.85) DBK GR Equity 44.65 1.29% DD US Equity 2,820 12,908 54.93 66.94 34.18 0.64% (184.57) DDAIF US Equity 4,337 8,377 63.20 95.93 38.39 1.35% (130.10) DE US Equity 530 8,537 85.81 91.14 8.61 0.72% (106.59) DELL US Equity • 6,820 #N/A N/A 0.00 0.07% DG FP Equity 4,476 9,969 51.46 74.57 56.31 0.80% (47.94) DGE LN Equity 18 1,533 30.45 30.81 1.59 0.76% 3.46 DHR US Equity 2,242 8,458 58.57 74.09 39.74 0.67% (265.24) DIS US Equity 1,611 9,908 68.36 79.48 18.36 0.89% (279.17) DISCA US Equity (181) 6,387 83.25 80.96 .3.26 0.87% (171.21) DNB NO Equity 583 7,788 15.77 16.95 8.20 0.91% (133.40) DOW US Equity 2,179 7,188 36.88 48.06 32.49 0.93% (206.61) DPW GR Equity 190 660 29.41 37.87 19.69 1.46% (15.62) DTE GR Equity 4,015 13,883 12.27 15.82 25.82 1.12% (126.96) DTV US Equity 2,528 10,622 61.97 76.72 24.20 0.98% (203.07) DUK US Equity (171) (7,058) 69.60 71.29 -4.66 0.52% (43.83) DVN US Equity 765 10,799 63.17 67.64 10.99 0.64% (106.98) EBAY US Equity (122) 6,678 54.27 53.29 -2.06 0.89% (131.47) Ea US Equity 79 9,210 105.22 106.12 1.17 0.74% (152.76) EDF FP Equity 6,629 9,189 23.45 40.36 82.94 0.87% 46.54 EMC US Equity 741 10,986 25.35 27.06 9.05 0.75% (236.50) EMR US Equity (32) 6,749 67.04 66.72 -0.64 0.74% (101.46) ENB CN Equity 254 8,489 44.75 46.09 4.64 0.64% (11.69) ENEL IM Equity 2,334 8,087 4.39 5.66 26.58 1.09% 73.42 ENI IM Equity 399 9,949 24.06 25.03 6.08 0.66% (9.29) EOAN GR Equity 85 2,996 18.77 19.30 2.99 0.94% (27.74) EOG US Equity 2,041 5,841 145.68 196.58 40.10 0.87% (140.97) EPD US Equity 1,356 12,986 63.62 70.26 19.31 0.54% (142.74) ERICB SS Equity 374 7,934 12.51 13.10 5.78 0.82% (126.91) ESRX US Equity 922 9,815 66.69 72.95 13.66 0.69% (119.00) ETN US Equity 81 5,260 72.48 73.60 1.46 1.06% (194.60) F US Equity (286) (3,621) 14.82 15.99 -9.62 0.82% 53.95 F8 US Equity 746 2,630 44.06 56.56 16.29 1.74% (78.33) FCX US Equity 26 2,901 32.89 33.18 0.71 1.24% (24.05) FDX US Equity 436 4,271 120.94 133.30 17.94 0.57% (49.96) FOX US Equity (109) 3,508 32.22 31.25 -2.83 1.10% (157.26) FOXA US Equity (120) 3,404 33.11 31.98 -3.03 1.16% (133.69) FP FP Equity 957 11,013 60.83 66.11 12.63 0.69% (82.73) G IM Equity 301 4,069 21.51 23.10 8.65 0.85% (20.39) GE US Equity 2,099 13,140 22.32 25.88 22.51 0.71% (158.83) GILD US Equity 16,633 8,316 24.02 72.07 128.24 1.56% (233.39) GIS US Equity 802 17,619 49.73 51.99 8.07 0.56% 171.87 GLE FP Equity 949 3,248 49.51 63.98 22.57 1.30% (75.41) GLEN LN Equity (18) (4,634) 5.24 5.26 -0.28 1.41% 5.96 GLW US Equity 3,518 11,635 16.25 21.17 32.84 0.92% (168.70) GM US Equity 38 (2,399) 34.78 34.23 1.54 1.03% 58.06 EFTA00288200 GOOG US Equity 3,117 13,148 869.06 1,075.11 25.66 0.92% (474.96) GS US Equity 1,923 4,375 110.98 159.76 42.85 1.03% (182.81) GSK LN Equity (68) 5,707 26.21 25.90 .1.67 0.72% (64.30) GSZ FP Equity 861 8,189 24.60 27.19 9.33 1.13% 110.07 HAL US Equity 1,109 6,395 49.49 58.07 18.87 0.92% (220.77) HD US Equity 2,148 13,333 66.67 77.41 21.22 0.76% (302.43) HMB SS Equity 168 4,888 40.79 42.19 3.58 0.96% (35.71) HON US Equity 6,085 11,930 61.10 92.26 75.14 0.68% (362.48) HPQ US Equity 2,118 7,393 25.45 32.74 25.42 1.13% (48.03) HSBA LN Equity (34) 4,565 10.16 10.09 .1.11 0.68% (40.07) IBE SM Equity 1,910 7,441 5.55 6.97 44.86 0.57% 12.76 IBM US Equity 32 5,009 192.83 194.05 0.96 0.66% 35.96 IMT LN Equity 1,240 12,188 36.36 40.06 15.70 0.65% (150.23) INTC US Equity 1,195 11,289 24.04 26.59 17.13 0.62% 119.90 ISP IM Equity 4,711 5,699 1.93 3.52 62.44 1.32% 20.12 ITUB US Equity 59 2,495 15.30 15.66 1.48 1.60% 30.99 ITUB4 BZ Equity 83 2,882 15.27 15.71 1.95 1.47% 38.97 ITW US Equity 2,993 14,011 67.84 82.33 29.50 0.72% (374.73) ITX SM Equity (172) (4,597) 147.96 153.48 -3.77 0.99% 43.68 JCI US Equity 396 2,995 41.02 46.45 12.48 1.06% (124.66) JNJ US Equity 5,333 15,364 73.04 98.40 69.66 0.50% (88.70) JPM US Equity 1,131 8,516 52.29 59.23 14.22 0.93% (165.07) KMB US Equity 297 7,934 106.69 110.69 6.81 0.55% 31.10 KMI US Equity 473 (8,600) 34.31 32.43 7.37 0.75% 205.36 KO US Equity 32 (6,962) 38.83 38.65 1.09 0.42% (63.80) LBTYA US Equity (152) 1,818 84.34 77.85 -7.39 1.13% (80.23) LBTYK US Equity (46) 1,580 77.97 75.76 -2.90 1.00% (72.48) LIN GR Equity 3 8,087 198.03 198.12 0.06 0.66% (62.13) LLOY LN Equity 2,301 5,658 0.89 1.26 40.21 1.01% (139.26) LLY US Equity 19 4,119 58.97 59.23 0.75 0.60% (6.60) LMT US Equity 597 2,016 122.48 158.73 35.98 0.82% (45.49) LNKD US Equity 311 (1,866) 195.56 162.96 7.80 2.14% 97.87 LOW US Equity (200) 7,829 48.38 47.17 -2.93 0.87% (220.32) LVS US Equity 1,595 6,808 61.33 75.69 17.11 1.37% (399.91) LYB US Equity 1,094 2,297 59.29 87.51 57.14 0.83% (94.67) MA US Equity 708 1,792 50.98 71.11 43.10 0.92% (59.55) MAERSKB DC Equity 6,216 14,148 8,212.58 11,820.70 33.77 1.30% (421.98) MC FP Equity (8) 4,464 183.52 183.17 -0.25 0.75% 16.58 MCD US Equity (112) (4,463) 94.88 97.26 -5.27 0.48% 30.33 MCK US Equity 45 2,181 164.92 168.33 2.15 0.96% (53.14) MDIZ US Equity 2,664 13,641 28.68 34.28 33.23 0.59% (252.46) MDT US Equity 8,930 20,811 43.22 61.77 57.61 0.74% (154.85) MET US Equity 1,217 7,556 44.37 51.51 16.16 1.00% (287.56) MFC CN Equity 4,293 8,003 12.38 19.01 68.04 0.79% (264.61) MHS US Equity • 5,485 #N/A N/A 0.00 1.17% MMM US Equity 8,386 21,331 96.89 134.99 63.02 0.62% (369.49) MO US Equity 349 9,167 36.41 37.80 7.04 0.54% 35.00 EFTA00288201 MON US Equity 763 11,917 106.02 112.81 8.61 0.74% (240.22) MOS US Equity - - 48.36 0.82% MRK US Equity 1,239 11,769 50.18 55.47 12.71 0.83% (216.86) MS US Equity 96 1,319 27.57 29.58 6.12 1.19% (51.40) MSFT US Equity 1,062 8,007 35.30 39.98 15.08 0.88% (33.92) MUV2 GR Equity 653 6,116 197.70 218.79 17.20 0.62% (16.35) NAB AU Equity 352 9,956 31.52 32.63 5.08 0.69% (42.69) NCM AU Equity • • 9.47 1.98% NEE US Equity 4,420 14,649 72.62 94.53 41.28 0.73% (143.88) NEM US Equity 2,201 (7,392) 34.95 24.54 20.21 1.47% (77.11) NESN VX Equity 823 9,821 69.64 75.47 14.21 0.59% (33.87) NG/ IN Equity 1,782 12,865 11.92 13.57 27.37 0.51% (21.67) NKE US Equity 329 4,116 66.10 71.39 8.41 0.95% (114.85) NOK US Equity 3,747 4,498 3.96 7.26 69.42 1.20% (178.86) NOV US Equity 153 5,373 75.64 77.80 3.21 0.89% (71.74) NOVN VX Equity 5,439 18,291 63.81 82.78 35.94 0.83% (121.44) NOVOB DC Equity 872 9,444 40.35 44.07 9.91 0.93% (135.14) NSC US Equity 1,866 9,797 80.78 96.17 25.23 0.75% (113.75) NVS US Equity 4,191 15,510 65.07 82.65 32.54 0.83% (51.75) OGXP3 BZ Equity 5,064 (5,180) 4.43 0.10 45.98 2.13% (135.62) OR FP Equity - - 163.08 0.70% ORA FP Equity 735 6,019 13.03 14.62 8.12 1.50% (47.10) ORCL US Equity 1,375 7,995 33.68 39.47 17.68 0.97% (136.22) OXY US Equity (89) 7,355 95.03 93.89 -1.52 0.80% (83.78) PBR US Equity (120) (2,251) 13.30 14.01 -2.58 2.07% (83.96) PBR/A US Equity (135) (2,795) 13.87 14.54 -2.20 2.20% (132.43) PCLN US Equity 659 3,043 956.05 1,163.06 15.78 1.37% (106.71) PCP US Equity (46) 3,781 253.81 250.74 -1.33 0.92% (71.63) PEP US Equity 135 8,118 82.28 83.65 3.40 0.49% 78.89 PETR3 BZ Equity (174) (2,338) 6.54 7.03 -3.52 2.12% (97.65) PETR4 BZ Equity (136) (3,123) 6.95 7.25 -1.98 2.20% (142.70) PFE US Equity 4,326 21,828 26.10 31.28 26.67 0.74% PG US Equity 218 8,334 78.47 80.52 5.82 0.45% 50.94 PHIA NA Equity - - 35.23 1.05% PM US Equity 288 (10,166) 85.47 83.05 4.35 0.65% (19.36) PNC US Equity 1,001 9,010 76.60 85.11 14.86 0.75% (189.59) POT CN Equity (41) 786 35.68 33.91 -5.75 0.91% (15.31) POT US Equity (13) 209 35.95 33.90 -6.79 0.89% (4.10) PRU LN Equity 7,557 10,521 12.76 21.93 67.27 1.07% (168.81) PSA US Equity 695 11,140 160.09 170.08 11.77 0.53% 27.95 PSX US Equity 1,284 6,030 64.65 78.42 22.82 0.93% (154.62) PX US Equity 2,135 16,340 113.54 128.38 24.60 0.53% (279.02) QCOM US Equity 2,181 12,547 66.83 78.44 22.29 0.78% (168.81) QQQ US Equity 5,044 19,920 68.46 85.79 40.08 0.63% (427.82) RAI US Equity 170 6,737 52.22 53.54 2.45 1.03% (23.37) RDS/A US Equity 10 4,217 73.28 73.45 0.47 0.51% 3.40 RDS/B US Equity 145 6,990 76.36 77.94 3.98 0.52% (16.92) EFTA00288202 RDSA LN Equity 269 4,065 34.51 36.80 12.67 0.52% 6.57 RDSA NA Equity 17 4,084 36.63 36.78 0.81 0.50% 0.41 RDSB LN Equity 204 6,969 37.90 39.01 5.21 0.56% 3.64 REGN US Equity (338) 6,240 301.90 286.40 -3.68 1.47% (80.99) RIO AU Equity 1 3,057 59.11 59.13 0.02 1.24% 5.07 RIO LN Equity 80 4,599 54.73 55.68 1.32 1.32% (19.90) RIO US Equity 136 4,934 54.04 55.53 2.07 1.33% (25.71) ROG VX Equity 6,339 17,035 212.78 291.96 55.20 0.67% (307.75) RY CN Equity 114 8,293 65.48 6638 2.70 0.51% (7.77) SAB LN Equity 583 7,173 47.60 51.47 8.84 0.92% 3.12 SAN FP Equity 9 (6,174) 103.67 103.51 0.17 0.87% 18.05 SAN SM Equity 1,322 7,425 8.38 9.87 17.81 1.00% 7.45 SAN US Equity 1,069 6,290 8.45 9.89 16.53 1.03% 7.15 SAP GR Equity (36) 5,241 80.60 80.05 -0.80 0.86% (56.56) SAP US Equity (66) 5,649 80.62 79.69 -1.30 0.90% (76.56) SBUX US Equity (247) 4,077 74.83 70.54 -6.04 1.00% (78.55) SGO FP Equity 3,304 7,836 44.08 62.67 37.21 1.13% (47.45) SI US Equity 753 5,671 118.49 134.22 11.80 1.13% (95.58) SIE GR Equity 924 5,345 114.81 134.65 16.42 1.05% (83.78) SLB US Equity 1,482 7,174 81.27 98.06 28.13 0.73% (51.31) SMSN LI Equity (150) (7,500) 642.17 655.00 -2.10 0.95% (21.77) SO US Equity 141 6,260 43.20 44.18 3.87 0.58% 56.73 SPG US Equity 106 4,673 163.56 167.27 3.66 0.62% 54.15 SREN VX Equity 1,527 10,006 80.46 92.74 20.77 0.74% 20.01 STAN LN Equity 275 (6,124) 21.91 20.93 4.79 0.94% 13.34 STL NO Equity 587 9,825 26.16 27.72 8.38 0.71% (168.42) STT US Equity (120) 3,676 69.06 66.88 -2.88 1.13% (101.26) SU CN Equity - - 35.81 0.67% SU FP Equity 327 6,518 84.31 88.54 4.87 1.03% (96.48) SU US Equity (272) (3,715) 33.36 35.80 -11.27 0.65% 19.78 SWEOA SS Equity 409 6,088 24.78 26.44 5.86 1.15% (73.39) SYNN VX Equity (425) (8,069) 359.52 378.44 -8.25 0.64% 5.97 T US Equity (304) (7,142) 34.20 35.65 -7.54 0.56% (0.75) TD CN Equity 247 8,245 45.38 46.74 5.71 0.52% (34.74) TEF SM Equity 117 3,631 15.57 16.08 3.87 0.84% 24.39 TEF US Equity 117 3,406 15.52 16.05 3.93 0.87% 35.24 TGT US Equity 490 (10,717) 63.57 60.66 5.68 0.81% 160.12 DX US Equity 2,764 9,492 46.52 60.06 38.28 0.76% (280.47) TLS AU Equity 118 7,240 4.59 4.67 2.86 0.57% (66.39) TLSN SS Equity (167) 1,771 7.52 6.87 -8.37 1.13% (6.05) TM US Equity 270 (6,829) 115.81 111.24 5.00 0.79% 41.93 TMO US Equity 8,798 10,218 63.59 118.34 112.34 0.77% (445.67) TOT US Equity 660 6,248 59.49 65.77 14.85 0.71% (69.30) TRP CN Equity - 46.71 0.57% TRV US Equity 94 6,165 83.99 85.27 3.16 0.48% (20.48) TSCO LN Equity 1,191 (7,398) 5.65 4.74 13.21 1.22% 67.01 TWC US Equity 701 5,234 120.22 136.32 15.13 0.89% (185.23) EFTA00288203 TWX US Equity (181) 7,395 66.37 64.78 -2.65 0.92% (230.44) TXN US Equity 4,033 12,205 34.93 46.47 41.28 0.80% (108.26) TYC US Equity 9,975 24,080 29.17 41.25 56.18 0.74% 982.35) UBS US Equity 286 5,489 19.43 20.45 4.71 1.10% (91.94) UBSN VX Equity 283 5,158 19.51 20.58 5.26 1.04% (72.41) UCG IM Equity 3,548 5,391 5.58 9.26 39.91 1.65% (60.05) ULVR LN Equity (22) 4,635 42.19 41.99 -0.58 0.82% (7.44) UNA NA Equity 9 5,141 40.85 40.92 0.22 0.74% 14.97 UNH US Equity 2,681 10,115 64.18 81.19 35.59 0.74% (105.91) UNP US Equity 1,530 12,014 165.36 186.43 18.04 0.71% (157.68) UPS US Equity 3,285 14,806 79.87 97.59 47.22 0.47% (167.11) USB US Equity 3,015 14,238 34.71 42.06 33.77 0.63% (318.64) UTX US Equity 6,409 15,190 82.05 116.67 54.48 0.77% (434.13) V US Equity 4,516 6,296 118.43 203.39 78.31 0.92% (298.15) VALE US Equity 51 (3,908) 15.08 14.88 0.91 1.44% (63.70) VALE3 BZ Equity 40 (4,586) 15.04 14.91 0.55 1.57% (102.66) VIAB US Equity 3,499 9,272 60.42 83.22 43.16 0.87% (342.29) VIV FP Equity 234 2,668 26.19 28.48 10.44 0.84% 29.91 VMW US Equity 812 4,785 89.16 104.29 12.00 1.41% (36.47) VOD LN Equity 254 (2,998) 3.98 3.64 7.82 1.08% (23.04) VOD US Equity 258 (2,893) 39.69 36.16 8.23 1.08% (6.54) VOWS GR Equity 53 1,833 253.13 260.41 2.59 1.11% (17.80) VRX CN Equity 479 1,611 92.95 120.56 18.28 1.62% (76.41) VRX US Equity 549 1,880 93.20 120.44 18.61 1.57% (94.04) VTI US Equity 548 5,134 86.91 96.18 21.33 0.50% (77.82) VWO US Equity (114) (7,247) 40.33 40.96 -1.76 0.89% 63.44 VZ US Equity 17 (6,121) 48.12 47.99 0.52 0.51% 15.27 WBC AU Equity 344 5,602 30.08 31.92 7.60 0.81% (10.58) WES AU Equity 51 8,616 38.65 38.88 1.04 0.57% 79.69 WFC US Equity 3,046 11,582 38.70 48.87 41.34 0.64% (297.01) WLP US Equity 3,158 10,369 74.31 96.94 36.13 0.84% (167.23) WMT US Equity 183 7,009 75.45 77.42 5.13 0.51% (9.12) WOW AU Equity (3) (382) 32.94 33.24 -1.15 0.78% 0.90 XOM US Equity 939 13,076 90.48 96.97 11.63 0.62% (128.06) XTA LN Equity - 2,180 XWA WA 0.00 2.25% YHOO US Equity 44 513 30.64 33.29 5.81 1.49% (23.03) YUM US Equity 140 7,151 73.86 75.30 2.37 0.83% (36.37) ZURN VX Equity (143) 7,208 293.65 287.95 -2.37 0.84% (3.91) Current Portfolio - Global Macro Portfolio Current Price P/L In Vol 30P Realized Change on Day Security MTM Galn/(Loss) Exp. @ Cost Avg. Price (In USD) Days Vol (in USD) SPX Index 16,655 62,272 1,455.70 1,845.04 52.99 0.50% (848 ND% Index 11,156 46,686 2,831.19 3,507.75 33.15 0.72% (516.83) RTY Index 12,292 39,938 868.48 1,135.78 38.12 0.81% (797.19) EFTA00288204 SPTSX Index 342 28,839 12,859.70 13,012.06 2.83 0.42% (198.78) MEXBOL Index 240 (26,146) 3,142.70 3,113.81 1.07 0.86% 5.76 IBOV Index (1,125) (18,019) 22,076.65 23,455.34 -4.32 1.44% (533.43) MERVAL Index (595) (5,408) 725.60 805.49 -9.33 1.18% (43.89) UKK Index 2,759 39,963 10,288.22 10,998.55 11.13 0.62% (390.02) DAX Index 8,489 36,674 10,610.77 13,066.96 22.72 1.02% (751.46) CAC Index 1,672 20,042 5,625.44 6,094.73 10.28 0.81% (181.40) IBEX Index 10,349 39,644 11,555.30 14,571.86 28.29 0.92% (209.23) SMI Index 6,645 44,078 8,219.62 9,458.81 23.62 0.64% (414.73) FTSEMIB Index 7,749 25,266 23,118.99 30,209.78 29.25 1.05% (197.40) P5120 Index 7,366 24,289 8,026.78 10,461.07 28.45 1.07% (155.70) ISEQ Index 25,444 40,099 4,246.25 6,940.67 59.63 1.06% (666.11) ICEXI Index 4,588 37,337 6.63 7.44 22.77 0.54% 546.94 AEX Index 6,179 42,240 484.27 555.11 19.85 0.74% (287.28) BEL20 Index 8,362 44,003 3,610.75 4,296.90 25.37 0.75% (233.96) LUXXX Index 11,182 40,154 1,659.45 2,121.60 43.29 0.64% 90.23 KFX Index 10,277 38,048 100.82 128.05 28.59 0.94% (664.58) HEX Index 8,007 40,933 8,513.92 10,179.40 20.59 0.95% (541.03) OMX Index 1,989 23,118 191.41 207.88 9.05 0.95% (140.81) ATX Index 181. 9,226 3,409.40 3,476.31 1.65 1.19% (163.78) ASE Index 7,781 19,369 1,282.88 1,798.22 33.05 1.22% (54.78) OSEBX Index 2,049 24,683 85.16 92.23 12.31 0.67% (407.06) INDEXCF Index 1,162 (26,563) 39.61 37.87 2.02 2.17% =ff lt° TOP40 index 1,095 25,595 3,920.67 4,088.43 4.66 0.92% (278.07) SENSEX Index 655 27,288 362.49 371.19 3.35 0.72% (178.24) NKY Index 229 14,214 141.32 143.59 1.72 0.93% (216.87) HSI Index 28 17,258 2,880.50 2,885.14 0.21 0.76% (100.53) SHCOMP Index 1,275 (33,700) #N/A N/A 4.39 0.86% KOSPI Index 656 26,589 1.84 1.89 3.65 0.68% (84.42) ASS1 Index 560 21,983 4,890.10 5,014.73 3.73 0.68% (93.59) STBCNZL Index 34,318 73,231 444.47 652.76 122.85 0.38% EEM US Equity (108) (6,119) 40.76 41.48 -1.90 0.92% (25.47) IYR US Equity (63) (3,823) 67.11 68.21 -3.44 0.48% (3.86) MDY US Equity 4,676 14,269 184.03 244.33 52.20 0.63% (323.15) JNK US Equity (12) 5,353 41.26 41.17 -1.28 0.18% (6.48) XLF US Equity 5,468 13,610 15.57 21.83 63.95 0.63% (292.59) XLU US Equity 598 9,633 38.97 41.39 11.95 0.52% (17.27) XLK US Equity 2,021 12,860 30.80 35.64 24.59 0.64% (116.00) XLI US Equity 5,744 16,147 38.20 51.79 54.89 0.65% (312.49) XLP US Equity 298 10,505 41.80 42.99 8.15 0.35% 10.06 XLY US Equity 5,864 16,431 46.72 63.39 51.35 0.69% (434.51) XLE US Equity 273 7,840 85.67 88.65 6.04 0.58% (135.86) XLB US Equity 3,607 14,930 37.57 46.65 35.56 0.68% (270.19) XLV US Equity 11,627 24,346 38.87 57.43 73.19 0.65% (359.67) SXXP Index 6,469 43,407 400.51 460.20 21.30 0.70% (498.34) SXAP Index 11,167 28,526 520.28 723.95 33.20 1.18% (550.76) SXKP Index 4,439 47,032 366.14 400.70 12.67 0.75% (323.02) EFTA00288205 SX6P Index 6,572 34,738 353.52 420.40 28.46 0.66% 67.33 SXEP Index 1,645 38,769 447.48 466.47 7.29 0.58% (259.27) SXIP Index 11,797 28,923 222.31 312.97 49.21 0.83% (507.97) SXNP Index 5,252 28,384 482.69 572.00 21.83 0.85% (437.25) SX3P Index 687 18,170 662.20 687.24 6.41 0.59% (34.12) SXDP Index 22,460 61,075 609.16 833.17 57.72 0.64% (920.75) SX4P Index 2,851 25,840 917.36 1,018.58 12.39 0.89% (341.04) SX8P Index 2,569 17,778 343.07 392.65 18.21 0.79% (364.84) SXOP Index 12,126 40,520 380.28 494.08 31.11 0.96% (366.57) SXQP Index (157) 26,331 793.68 788.96 0.89 0.67% (293.79) SXRP Index (34) 17,603 434.81 433.97 •0.26 0.74% (185.90) SXMP Index 10,863 35,766 261.12 340.42 48.62 0.62% (447.18) SXTP Index 22,253 39,247 172.05 269.60 70.10 0.81% (794.06) SX7E Index 7,134 18,886 159.85 220.22 30.13 1.25% (339.19) SXSE Index 7,230 40,148 3,709.25 4,377.20 21.64 0.83% (534.68) SPGSCITR Index (2) (17,020) 4,922.21 4,922.85 M.02 0.53% 71.09 XAG Corrine 2,568 (20,150) 22.78 19.88 14.16 0.90% 100.03 CO1 Comdty 696 (24,622) 108.90 105.82 3.81 0.74% 213.52 CL1 Comdty 371 29,347 99.19 100.44 1.48 0.85% (205.68) NG1 Comdty 3,122 16,608 3.77 4.48 8.45 2.22% 164.45 XAU Comdty (72) (24,602) 92.67 92.94 0.41 0.72% 94.65 IBOXHY Index 3,091 53,418 220.12 232.86 70.67 0.08% (5.14) US_TSY CREDIT (187) (50,168) 757.73 760.56 •2.85 0.13% (73.05) CA_TSY CREDIT 5,655 (97,153) 1,269.35 1,195.46 14.25 0.41% (112.78) MX_TSY CREDIT 227 42,324 214.55 215.70 1.36 0.40% 61.24 AU TSY CREDIT 130 29,999 1,483.30 1,489.71 1.03 0.42% 37.46 JP_TSY CREDIT 1,200 (59,678) 822.10 805.57 6.60 0.30% (365.68) MY_TSY CREDIT 374 (92,252) 167.43 166.75 1.31 0.31% (317.71) SG_TSY CREDIT 272 (95,749) 219.11 218.49 1.28 0.22% (167.29) AT_TSY CREDIT 3,244 77,381 357.33 372.31 16.53 0.25% 265.06 BE_TSY CREDIT 4,389 76,813 476.61 503.84 23.16 0.25% 201.96 FI_TSY CREDIT 3,115 77,705 348.05 362.00 16.12 0.25% 284.54 FR_TSY CREDIT 3,695 75,130 1,675.82 1,758.24 19.97 0.25% 236.97 DE_TSY CREDIT 2,461 74,397 1,240.95 1,282.00 13.02 0.25% 319.06 IE_TSY CREDIT 31,293 78,270 336.92 471.63 181.56 0.22% 365.94 IT_TSY CREDIT 8,469 54,986 1,616.07 1,864.99 58.86 0.26% 177.08 NL_TSY CREDIT 3,078 78,610 1,317.68 1,369.27 15.48 0.25% (321.48) ES_TSY CREDIT 10,636 50,187 392.28 475.42 78.02 0.27% 191.22 DK_TSY CREDIT 2,618 67,396 729.23 757.56 13.50 0.29% 269.05 NO_TSY CREDIT 1 11,517 341.58 341.60 0.02 0.32% (22.55) PL_TSY CREDIT 1,210 26,645 423.80 443.04 13.54 0.34% 82.61 ZA_TSY CREDIT (176) (33,149) 83.13 83.57 M.71 0.75% (122.77) SE_TSY CREDIT 250 (39,490) 466.17 463.22 1.75 0.36% (156.75) CH_TSY CREDIT 3,250 65,265 1,004.77 1,054.81 17.18 0.29% 432.06 GELTSY CREDIT 1,019 56,841 1,489.15 1,515.86 5.47 0.33% 165.75 EFTA00288206