EFTA00288223.pdf

Atorus, LLC 4/9/2014 Current Date: 4/9/2014 Change on Day: 1.66% Total Return since 1/1/12: 81.54% MSCI World Change on 712M Return: 34.38% Day 0.69% T90 Day Return: 1.03% No of Positions T30 Day Return: •2.80% (+MTM) on Day 337 Current Long Exposure @ Cost: 4,779,871 No of Positions (-MTM) Current Short Exposure @ Cost: (879,754) on Day 88 Net Exposure: 3,900,116 Current No. of Starting Capital: 1,000,000 Positions: 427 Current NAV: 1,815,388 Current Leverage (Gross Exposures): 3.12 Profit Factor: Win Ratio: T24M (+) NAV Days T24M Avg. Daily NAV (+) Change T24M Avg. Daily NAV (.) Change Target Vo!adj. Risk Listed Equities Target Vo!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 Leocixoo.ce 1,600,000.00 1,400,000.00 1,200,000.00 1,000,000.00 800,000.00 600,000.00 icv <I' 4> 4,19 •<) 4, N, <5 4, 4' C) C3 0 0 C3 0 0 0 0 0 0 0 0 C3 % A% A% % % or 5 iN 0S' •s. — NAV EFTA00288223 Atorus, LLC 4/9/2014 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 XAU Comdty (24,602) CO1 Comdty (24,622) MEXSOL Index (26,146) INDEXCF Index (26,563) US_TSY CREDIT (30,101) SHCOMP Index (33,700) SE_TSY CREDIT (39,490) MY_TSY CREDIT (55,351) SG_TSY CREDIT (57,449) 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 75,554 FR_TSY CREDIT 75,943 AT_TSY CREDIT 77,381 BE_TSY CREDIT 77,405 IE_TSY CREDIT 78,270 NL_TSY CREDIT 78,610 FI_TSY CREDIT 80,015 CA_TSY CREDIT (97,153) NAV Impact by Category & Exposure Listed Equity Long 0.868% Listed Equity Short 0.095% EquityCom Long 0.790% EquityCom Short -0.003% G20 Rates Long 0.082% G20 Rates Short -0.030% %of Total Notional Security MTM Gain % Total NAV 22.73% 44 Positions 28.37% 0.43% AEX Index 6,347 0.35% 0.44% MAERSKB DC Equity 6,358 0.35% 0.46% UTX US Equity 6,368 0.35% 0.47% GILD US Equity 6,446 0.36% 0.53% EDF FP Equity 6,603 0.36% 0.60% SX6P Index 6,636 0.37% 0.70% SXXP Index 6,753 0.37% 0.98% SX7E Index 6,767 0.37% 1.02% P5120 Index 7,030 0.39% 1.05% SMI Index 7,052 0.39% 1.10% ACA FP Equity 7,248 0.40% 1.15% SXSE Index 7,424 0.41% 1.19% FTSEMIB Index 7,508 0.41% 1.29% ASE Index 7,600 0.42% 1.33% PRU LN Equity 7,615 0.42% 1.34% DAI GR Equity 7,844 0.43% 1.37% HEX Index 8,215 0.45% 1.37% BEL20 Index 8,252 0.45% 1.38% MMM US Equity 8,428 0.46% 1.39% BAYN GR Equity 8,475 0.47% 1.41% IT_TSY CREDIT 8,597 0.47% 1.72% MDT US Equity 8,633 0.48% DAX Index 8,698 0.48% TMO US Equity 8,945 0.49% MC US Equity 9,475 0.52% IBEX Index 10,031 0.55% TYC US Equity 10,078 0.56% KFX Index 10,428 0.57% ES_TSY CREDIT 10,781 0.59% SXMP Index 10,813 0.60% LUXXX Index 11,166 0.62% SXAP Index 11,659 0.64% SXIP Index 11,711 0.65% XLV US Equity 12,097 0.67% SXOP Index 12,241 0.67% NDX Index 12,685 0.70% RTY Index 13,404 0.74% SPX Index 17,816 0.98% SXTP Index 22,311 1.23% SXDP Index 22,945 1.26% EFTA00288224 ISEQ Index 25,300 1.39% IE_TSY CREDIT 31,609 1.74% STBCNZL Index 33,977 1.87% STBCNZL Index 34,318 1.91% APAC Lon 24 APAC Short 22 EMEA Long 73 EMEA Short 11 AMER Long 164 AMER Short 38 E • ultyCom Lon 62 EquityCom Short 10 G20 Rates Lon 16 G20 Rates Short 7 Total Long 339 Total Short 88 Current Exposure by Geography (Listed Eqult es) & Macro (Equity Indices & Commodiites, G20 Gov. Credit) $2,000,000 $1,500,000 $1,000,000 5500,000 $ $(500,000) ■ APAC Long ■ APAC Short ■ EMEA Long ■ EMEA Short ■ AMER Long ■ AMER Short ■ EquityCom Long ■ EquityCom Short ■ G20 Rates Long ■ G20 Rates Short EFTA00288225 Atorus, LLC 4/9/2014 Historical Net Exposure by Geography (Listed Equities) & Macro (Equity Indices & ComrnodMos, G20 Gov. Credit) — EMEA —AMER — EquityCom —G20 Rates NexEposule RIG 2,000,000 1.500,000 5,000.030 4,000.000 3,000.000 Z000.000 1,002,000 500000 Ate 4" ■ —APAC 1,000,000 0000,000) (2,000,003) fit 11, clo% er ,,,t ,s\'' \ _\ <V le 0, eve eve 4 \ \,,sa 4 .2 .22 tit IN ps dr oe. \ .\•.,. \is, (1,030,000) (3,000,003) Istorical Gross Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodlites, G20 Gov. Credit) 2,500,000 2,000,000 1,500,001 1,030,000 500000 - APAC - EWA - AMER EmityCe — G20 Rates EFTA00288226 Atorus, LIC 4/9/2014 Current Gross Notional Risk by Category 1,339,79 235,280 566,259 to • APAC • EMEA • AMER • EquityCom • G20 Rates Performance Vs. MCI World Index 115 1.95 1.75 1.55 1.35 1.15 0.95 0.75 ne ,ne o'CI" _.($)" A., 4, zb Av c1v A\i" e9 4.)" /53 Or cc) c9 rybi b 1), 4 A\ cP 4\ 0\ 0 .(0' ,C' 419 Ace Q9' 19'N io A ti. 0,0 - MSCIWor kit — ATORUS Rolling 30 Day Realized Volatility - A EFTA00288227 Atorus, LLC 0/9/2010 Percentile Distribution of Current MTM Gains in Vol Days by Position (ex-99pct & ex-lst percentiles) I30.00 50.00 40.00 30.00 20.00 10.00 °CO (;)- .. . 4.5) 4. (42. 4 4 42 16 Di A Percentile No. Vol Da 0.00% -13.68 5.00% -335 10.00% -1.33 15.00% -0.29 20.00% 0.44 25.00% 1.69 30.00% 3.14 35.00% 4.18 40.00% 5.64 45.00% 7.07 50.00% 8.59 55.00% 11.74 60.00% 14.10 65.00% 17.79 70.00% 20.58 75.00% 23.75 80.00% 28.04 85.00% 35.17 90.00% 43.61 95.00% 62.59 100.00% 217.64 Vol Days by vollion MTM Gains(Losses) % of NAV "Signficant" (<7 Vol Days) 1.29% MTM Gains(Losses) % of NAV "Signficant" (>7 Vol Days) 47.47% EFTA00288228 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) 000270 KS Equity - 57.09 1.11% 005380 KS Equity 139 3,149 224.39 234.30 3.73 1.19% (36.95) 005490 KS Equity (399) (3,782) 273.49 302.31 -8.23 1.28% (139.30) 005930 KS Equity (249) (6,997) 1,278.17 1,323.62 -3.90 0.91% 34.33 012330 KS Equity 1,235 5,584 247.00 301.63 23.87 0.93% (0.22) 1 HK Equity 890 10,664 15.95 17.28 8.33 1.00% 55.63 1299 HK Equity 89 5,954 4.79 4.86 1.92 0.78% (41.73) 13 HK Equity 2,197 12,243 11.40 13.45 17.26 1.04% 56.05 16 HK Equity (139) (6,359) 12.66 12.94 -2.80 0.78% (78.28) 27 HK Equity (10) 123 9.61 8.86 -4.42 1.92% 2.12 2914 JP Equity 166 (4,719) 32.47 31.33 3.27 1.08% 53.45 3382 JP Equity (8) 1,329 37.70 37.48 -0.50 1.15% (28.65) 4063 JP Equity (37) (4,536) 56.40 56.86 -0.71 1.15% 31.54 4502 JP Equity (64) 1,093 46.86 44.26 -6.98 0.84% (4.75) 4689 JP Equity (52) 245 5.80 4.77 -11.79 1.81% 6.35 5 HK Equity (27) (3,997) 10.17 10.24 -0.87 0.79% (43.74) 5108 JP Equity - - 35.16 1.05% 54011P Equity 421 (5,511) 2.89 2.67 6.63 1.15% 103.40 63011P Equity (75) (2,812) 20.64 21.19 -2.40 1.11% 36.83 6752 JP Equity 329 1,658 9.01 10.80 11.54 1.72% (63.49) 6902 JP Equity • 47.52 1.44% 6954 JP Equity 651 6,393 157.65 173.72 8.32 1.22% (64.00) 7201 JP Equity (23) (3,743) 8.85 8.90 A.66 0.95% 99.13 7203 JP Equity 240 (5,260) 56.12 53.55 4.77 0.96% 185.31 7267 JP Equity 357 (4,885) 36.43 33.76 7.56 0.97% 52.69 762 HK Equity 44 (5,162) 1.38 1.37 0.67 1.28% (44.10) 7751 JP Equity 154 (6,865) 31.44 30.73 2.74 0.82% 78.92 80311P Equity 33 (4,776) 14.10 14.00 0.60 1.16% 112.32 8058 JP Equity 58 (3,507) 18.32 18.01 1.77 0.93% 66.80 8106 JP Equity 269 (4,604) 5.65 5.32 4.63 1.26% 148.16 8316 JP Equity 40 (1,511) 41.77 40.66 1.78 1.50% 40.84 84111P Equity • - 1.97 0.73% 8604 JP Equity 232 (3,159) 6.64 6.16 5.93 1.24% 82.87 8801 JP Equity • - 29.80 1.44% 8802 JP Equity 368 (5,009) 24.84 23.01 4.31 1.70% 251.86 9020 JP Equity 227 (6,726) 75.20 72.66 2.76 1.23% 128.86 941 HK Equity 827 (11,819) 10.19 9.48 6.75 1.04% (190.50) 9432 JP Equity (230) 6,077 53.12 51.18 -3.11 1.22% (100.47) 9433 JP Equity 463 1,895 42.13 52.43 20.09 1.22% (91.99) 9437 JP Equity 239 (7,723) 15.62 15.13 3.38 0.92% 171.33 9983 JP Equity 4 3,177 369.08 369.52 0.10 1.20% (54.78) 4/9/2014 EFTA00288229 9984 JP Equity 440 819 46.70 71.77 29.97 1.79% 1.56 AAPL US Equity 132 7,877 518.25 526.94 2.63 0.64% 61.28 ABB US Equity 684 6,661 23.59 26.01 12.78 0.80% 44.54 ABBN VX Equity 688 6,962 23.63 25.96 11.76 0.84% 26.37 ABBV US Equity 81. 5,335 49.49 50.24 1.30 1.17% 78.26 ABEV US Equity 7.55 0.94% ABEV3 BZ Equity 7.57 0.92% ABI BB Equity 344 7,588 102.53 107.18 5.64 0.80% 80.47 ABT US Equity (137) 4,097 38.82 37.57 •4.57 0.73% (22.85) ABX CN Equity 44 (4,216) 19.01 18.81 0.72 1.45% (15.78) ABX US Equity 49 (4,063) 19.03 18.80 0.84 1.42% (18.10) ACA FP Equity 7,248 5,408 6.83 15.99 95.68 1.40% 135.88 ACE US Equity 214 6,435 95.44 98.62 6.80 0.49% 54.58 ACN US Equity (3) 10,703 77.97 77.95 -0.03 0.81% (67.70) ADP US Equity 32 1,489 74.01 75.60 3.41 0.63% 1.16 AFL US Equity (63) 4,556 63.61 62.74 .2.20 0.63% 45.75 AGN US Equity 804 9,698 110.56 119.73 8.56 0.97% 99.41 Al FP Equity 88 8,248 134.80 136.25 1.68 0.64% (0.12) AIG US Equity 162 4,012 48.66 50.63 4.49 0.90% 68.37 AIR FP Equity 2,794 4,177 42.47 70.88 65.67 1.02% (18.14) ALV GR Equity 393 2,761 146.70 167.58 16.63 0.86% 13.17 ALVG IX Equity 221 1,680 148.11 167.57 15.27 0.86% 10.87 AMGN US Equity 5,693 22,886 95.40 119.14 22.61 1.10% 74.12 AMT US Equity 732 10,655 76.29 81.53 11.59 0.59% 80.59 AMZN US Equity 49 (4,035) 331.67 327.62 1.01 1.21% (33.80) ANZ AU Equity 562 6,703 29.25 31.70 10.70 0.78% 73.74 APA US Equity (48) (6,870) 82.74 83.32 -1.09 0.64% 140.12 APC US Equity • 480 98.92 98.92 0.00 1.27% 4.10 AXP US Equity 2,371 10,373 71.56 87.92 24.95 0.92% 227.97 AZN LN Equity 3,555 12,676 49.80 63.77 37.20 0.75% (44.57) AZN SS Equity 3,103 12,119 50.82 63.83 36.73 0.70% (55.60) AZN US Equity 3,495 12,812 50.30 64.02 36.39 0.75% 84.42 BA US Equity • • 125.92 0.83% BAC US Equity 9,475 10,884 8.82 16.50 83.17 1.05% 144.24 BARC LN Equity - • 4.00 1.29% BAS GR Equity 888 7,333 97.30 109.08 11.76 1.03% 14.04 BATS LN Equity 442 6,088 53.22 57.08 7.61 0.95% 82.44 BAX US Equity (7) 2,539 73.25 73.03 -0.32 0.92% 20.55 BAYN GR Equity 8,475 11,757 76.64 131.88 72.21 1.00% (76.76) BBAS3 BZ Equity (328) (2,036) 9.07 10.53 -7.37 2.19% 117.86 BBD US Equity - - 14.50 1.63% BBDC4 BZ Equity - - 14.44 1.63% BBL US Equity (232) (2,434) 59.69 65.37 -9.51 1.00% (19.51) BBVA SM Equity 1,432 5,790 10.12 12.62 21.17 1.17% 41.67 BCE CN Equity (100) (3,986) 43.17 44.26 -4.22 0.59% (14.27) BCS US Equity - • 16.10 1.28% BEN US Equity 39 2,447 52.34 53.19 1.44 1.11% 21.52 EFTA00288230 BG/ IN Equity (305) (4,379) 17.51 18.73 -9.63 0.72% 38.16 BHP AU Equity 293 6,689 34.33 35.83 3.76 1.17% 87.42 BHP US Equity 422 6,839 67.77 71.95 6.07 1.02% 70.63 BBB US Equity 214 1,066 245.93 295.31 12.34 1.63% 29.39 BIL SI Equity - 32.65 1.10% BK US Equity 272 8,609 32.86 33.90 3.97 0.80% 19.48 BLK US Equity 138 1,171 274.17 306.55 11.73 1.01% 17.67 BLT IN Equity - 32.63 1.04% BMO CN Equity 494 9,429 65.81 69.25 8.47 0.62% 108.60 BMW GR Equity 1,418 5,212 99.22 126.21 23.58 1.15% 5.41 BMY US Equity 1,094 2,734 35.71 50.00 35.06 1.14% 45.44 BN FP Equity (87) (2,210) 70.54 73.30 .4.81 0.81% (17.84) BNP FP Equity 1,522 5,498 61.78 78.88 22.16 1.25% (61.47) BNS CN Equity 250 7,633 57.74 59.63 5.64 0.58% 35.82 BP/ LN Equity 381 9,797 7.76 8.06 6.49 0.60% 60.05 BRK/FI US Equity 466 11,056 118.69 123.69 6.64 0.63% 70.25 BSBR US Equity 707 (8,171) 6.18 5.65 5.64 1.53% 291.44 BUD US Equity 338 6,846 102.05 107.09 6.04 0.82% 78.91 BX US Equity 70 3,119 30.36 31.05 1.40 1.62% 75.70 C US Equity • (732) 46.78 46.78 0.00 1.05% (4.02) CA FP Equity 651 3,167 33.26 40.10 18.46 1.11% 52.81 CAT US Equity 2,001 13,589 89.53 102.71 21.28 0.69% 10.62 CBA AU Equity 603 11,185 68.68 72.39 7.94 0.68% 95.35 CBS US Equity 326 1,267 49.35 62.06 23.83 1.08% 48.33 CCL US Equity 387 7,821 36.20 37.99 5.11 0.97% 12.70 CELG US Equity (46) (3,342) 142.82 144.77 -0.85 1.61% (156.44) CFR VX Equity 121 4,011 94.53 97.37 3.22 0.93% 61.26 CI. US Equity 2,089 18,685 59.05 65.65 21.25 0.53% 74.44 CM CN Equity 550 8,334 82.53 87.98 10.60 0.62% 65.50 CMCSA US Equity 1,824 8,356 40.65 49.52 23.46 0.93% 170.39 CMCSK US Equity 5,093 15,120 36.26 48.48 36.43 0.92% 376.74 CNI US Equity 1,148 12,873 51.38 55.96 13.96 0.64% 63.00 CNQ CN Equity 1,058 9,997 36.51 40.38 14.10 0.75% 127.62 CNR CN Equky 1,141 12,425 51.30 56.01 14.42 0.64% 43.45 COF US Equity 725 6,770 68.55 75.89 13.00 0.82% 24.43 COP US Equity (528) (7,980) 66.64 71.05 .13.68 0.48% (117.32) COST US Equity • • 112.66 0.58% COV LN Equity • 5,151 MO N/A 0.00 0.31% COV US Equity 748 7,080 64.09 70.85 13.96 0.76% 32.19 CRM US Equity (20) 2,054 56.88 56.33 -0.59 1.67% 62.46 CS FP Equity 1,768 5,387 19.39 25.75 29.33 1.12% 23.11 CSCO US Equity - - 23.10 0.81% CSX US Equity 1,197 8,914 25.07 28.44 18.06 0.74% 36.97 CVE CN Equity (141) (8,359) 28.70 29.18 .2.26 0.75% (80.66) CVS US Equity 1,832 11,815 63.98 73.90 24.50 0.63% 102.32 CVX US Equity (457) (8,207) 112.39 118.66 .11.68 0.48% (59.06) D US Equity 2,047 12,764 60.42 70.11 28.42 0.56% 33.03 EFTA00288231 DAI GR Equity 7,844 13,908 62.20 97.29 45.09 1.25% 277.57 DBK GR Equity 44.67 1.29% DD US Equity 2,922 12,908 54.93 67.37 35.28 0.64% 125.57 DDAIF US Equity 4,530 8,377 63.20 97.38 39.63 1.36% 165.08 DE US Equity 728 8,537 85.81 93.13 11.23 0.76% 43.01 DELL US Equity 6,820 #N/A N/A 0.00 0.07% DG FP Equity 4,545 10,050 51.59 74.92 58.82 0.77% 148.64 DGE LN Equity 61 1,733 30.58 31.67 4.47 0.79% 22.17 DHR US Equity 2,413 8,458 58.57 75.27 39.80 0.72% 180.61 DIS US Equity 1,696 9,908 68.36 80.06 18.59 0.92% 157.62 DISCA US Equity (204) 6,387 83.23 80.66 -3.64 0.88% 45.05 DNB NO Equity 604 5,841 15.77 17.40 10.55 0.98% 168.94 DOW US Equity 2,292 7,188 36.88 48.64 34.64 0.92% 118.37 DPW GR Equity 186 660 29.41 37.70 18.85 1.50% 9.56 DTE GR Equity 3,091 11,106 12.27 15.68 26.34 1.06% (52.49) DTV US Equity 2,777 10,622 61.97 78.18 25.45 1.03% 8.40 DUK US Equity (112) (3,529) 69.60 71.81 -6.02 0.53% 5.93 DVN US Equity 864 11,143 63.30 68.21 12.39 0.63% 54.93 EBAY US Equity 149 6,678 54.29 55.50 2.36 0.94% 132.24 Ea US Equity 126 9,210 105.22 106.66 1.93 0.71% 128.31 EDF FP Equity 6,603 9,189 23.45 40.29 83.94 0.86% 148.19 EMC US Equity 877 10,986 25.35 27.38 11.58 0.69% 51.31 EMR US Equity (19) 6,749 67.04 66.85 -0.40 0.72% 25.89 ENB CN Equity 407 9,024 44.84 46.87 6.77 0.67% 105.76 ENEL IM Equity 2,382 8,087 4.39 5.69 27.40 1.07% 83.89 ENI IM Equity 483 9,949 24.06 25.23 7.52 0.65% 89.03 EOAN GR Equity 64 2,996 18.77 19.17 2.62 0.81% (8.19) EOG US Equity 2,071 5,841 145.68 197.34 45.74 0.78% (5.12) EPD US Equity 1,694 12,986 63.62 71.91 22.56 0.58% 226.64 ERICB SS Equity 620 7,934 12.51 13.49 8.89 0.88% 144.53 ESRX US Equity 1,034 9,815 66.69 73.71 14.67 0.72% 157.92 ETN US Equity 129 5,260 72.48 74.25 2.27 1.08% 63.67 F US Equity (266) (3,621) 14.82 15.90 -8.80 0.84% 37.35 F8 US Equity 999 2,630 44.06 60.79 19.50 1.95% 171.92 FCX US Equity 86 3,332 33.01 33.86 2.11 1.22% 6.36 FDX US Equity 454 4,271 120.94 133.80 19.80 0.54% 33.47 FOX US Equity (18) 3,508 32.25 32.09 -0.44 1.15% 59.88 FOXA US Equity (33) 3,404 33.14 32.83 -0.79 1.21% 55.83 FP FP Equity 1,149 11,013 60.83 67.17 14.42 0.72% 121.29 G IM Equity 240 4,069 21.51 22.78 6.80 0.87% (38.39) GE US Equity 2,055 13,140 22.32 25.81 21.97 0.71% 20.69 GILD US Equity 6,446 3,327 24.02 70.58 117.41 1.65% 49.32 GIS US Equity 528 17,619 49.73 51.22 5.08 0.59% (24.03) GLE FP Equity 857 3,248 49.51 62.57 19.54 1.35% (5.18) GLEN LN Equity (36) (4,634) 5.24 5.28 .0.56 1.37% 1.92 GLW US Equity 3,490 11,635 16.25 21.13 32.01 0.94% 43.29 GM US Equity 77 (3,006) 34.67 33.78 2.56 1.00% 40.29 EFTA00288232 GOOG US Equity 3,774 13,800 878.06 1,118.21 26.40 1.04% 257.15 GS US Equity 461 1,094 110.98 157.72 41.37 1.02% 9.61 GSK LN Equity 37 5,707 26.22 26.39 0.84 0.76% 81.66 GSZ FP Equity 987 8,189 24.60 27.57 11.06 1.09% 41.36 HAL US Equity 1,158 6,395 49.49 58.45 21.04 0.86% 22.50 HD US Equity 2,191 13,333 66.67 77.62 26.45 0.62% 104.35 HMB SS Equity 44 1,222 40.79 42.25 3.83 0.94% 0.77 HON US Equity 6,156 11,930 61.10 92.62 75.45 0.68% 132.81 HPQ US Equity 2,084 7,393 25.45 32.63 24.16 1.17% 89.70 HSBA LN Equity 43 4,565 10.16 10.26 1.34 0.70% 49.62 IBE SM Equity 1,830 7,501 5.56 6.91 43.61 0.56% (40.73) IBM US Equity 71 5,009 192.83 195.56 2.09 0.68% 56.26 IMT LN Equity 1,369 12,188 36.36 40.45 17.62 0.64% 168.41 INTC US Equity 1,332 11,790 24.15 26.88 18.98 0.60% 18.29 ISP IM Equity 4,574 5,699 1.93 3.48 59.81 1.34% (27.10) ITUB US Equity (4) 2,863 15.39 15.37 -0.07 1.78% (120.16) ITUB4 BZ Equity 3 3,671 15.37 15.38 0.04 1.65% (165.42) ITW US Equity 3,137 14,011 67.84 83.02 30.48 0.73% 168.10 ITX SM Equity (83) (4,597) 147.96 150.61 -1.78 1.01% 19.04 JCI US Equity 443 2,995 41.02 47.09 13.57 1.09% 53.61 JNJ US Equity 5,322 15,364 73.04 98.34 68.73 0.50% 50.40 JPM US Equity 1,087 8,516 52.29 58.96 14.19 0.90% 35.59 KMB US Equity 346 8,619 107.01 111.31 7.54 0.53% 62.79 KMI US Equity 369 (8,600) 34.31 32.84 5.97 0.72% (7.38) KO US Equity (8) (6,962) 38.83 38.88 -0.27 0.41% (16.98) LBTYA US Equity (25) 454 84.67 80.18 -4.87 1.15% 10.85 LBTYK US Equity (2) 395 78.03 77.67 0.48 1.00% 10.51 LIN GR Equity 61 8,087 198.03 199.52 1.18 0.64% 16.72 LLOY LN Equity 1,348 3,395 0.89 1.25 36.22 1.10% 74.03 LLY US Equity 70 4,536 58.93 59.84 2.22 0.70% 102.72 LMT US Equity 589 2,016 122.48 158.24 35.43 0.82% 36.71 LNKD US Equity 172 (2,590) 186.94 174.54 3.18 2.09% (139.47) LOW US Equity (200) 7,829 48.38 47.17 .3.51 0.73% 79.77 LVS US Equity 1,788 6,808 61.33 77.43 18.29 1.44% 204.72 LYB US Equity 1,117 2,297 59.29 88.12 57.83 0.84% 37.66 MA US Equity - (1,723) 72.79 72.79 0.00 0.96% (29.36) MAERSKB DC Equity 6,358 14,148 8,212.58 11,903.42 36.16 1.24% 132.77 MC FP Equity 112 4,464 183.52 188.12 3.32 0.76% 72.54 MCD US Equity (127) (3,570) 94.88 98.26 -7.22 0.49% (22.65) MCK US Equity 78 2,181 164.92 170.86 3.67 0.98% 28.18 MDIZ US Equity 2,934 13,641 28.68 34.85 36.29 0.59% 89.75 MDT US Equity 8,633 20,811 43.22 61.15 56.45 0.73% 0.24 MET US Equity 1,289 7,556 44.37 51.94 17.53 0.97% 90.00 MFC CN Equity 4,370 8,003 12.38 19.13 69.87 0.78% 119.48 MHS US Equity • 5,485 #N/A N/A 0.00 1.17% MMM US Equity 8,428 21,331 96.89 135.18 61.99 0.64% 110.82 MO US Equity 423 9,167 36.41 38.09 8.59 0.54% 36.24 EFTA00288233 MON US Equity 920 11,917 106.02 114.21 10.43 0.74% 169.59 MOS US Equity 48.44 0.82% MRK US Equity 1,507 11,769 50.18 56.61 14.10 0.91% 362.66 MS US Equity 70 792 27.57 29.99 7.19 1.22% 16.60 MSFT US Equity 1,125 8,007 35.30 40.26 15.21 0.92% 131.33 MUV2 GR Equity 715 6,116 197.70 220.81 18.82 0.62% 61.28 NAB AU Equity 519 9,956 31.52 33.16 7.17 0.73% 107.83 NCM AU Equity 10.14 1.98% NEE US Equity 4,810 14,649 72.62 96.46 44.10 0.74% 154.55 NEM US Equity 2,124 (7,392) 34.95 24.91 19.59 1.47% (3.90) NESN VX Equity 1,100 9,821 69.64 77.44 17.17 0.65% 45.77 NG/ LN Equity 1,889 12,865 11.92 13.67 30.43 0.48% 20.54 NKE US Equity 438 4,116 66.10 73.14 10.72 0.99% 25.89 NOK US Equity 4,270 4,498 3.96 7.73 69.56 1.36% 134.70 NOV US Equity 198 6,074 75.91 78.39 3.95 0.83% 25.89 NOVN VX Equity 5,588 18,291 63.81 83.30 36.89 0.83% (36.12) NOVOB DC Equity 874 9,444 40.35 44.08 10.79 0.86% 131.18 NSC US Equity 1,848 9,797 80.78 96.02 24.91 0.76% 70.55 NVS US Equity 4,402 15,510 65.07 83.54 33.77 0.84% 66.53 OGXP3 BZ Equity 5,059 (5,180) 4.43 0.10 48.58 2.01% 58.85 OR FP Equity • 163.43 0.70% ORA FP Equity 887 6,019 13.03 14.95 9.91 1.49% 93.10 ORCL US Equity 1,632 7,995 33.68 40.55 19.83 1.03% 110.31 OX? US Equity 38 7,355 95.04 95.53 0.63 0.82% 69.88 PBR US Equity (66) (2,251) 13.30 13.69 -1.36 2.17% 95.50 PBR/A US Equity (70) (2,795) 13.87 14.22 -1.15 2.18% 71.96 PCLN US Equity 810 3,043 956.05 1,210.53 19.09 1.39% 81.97 PCP US Equity (20) 2,269 253.82 251.63 -0.92 0.95% 36.57 PEP US Equity 155 8,118 82.28 83.85 3.94 0.48% 43.71 PETR3 BZ Equity (105) (2,338) 6.54 6.84 .1.93 2.33% 121.92 PETR4 BZ Equity (64) (3,123) 6.95 7.09 A.85 2.40% 152.08 PFE US Equity 4,053 21,828 26.10 30.95 24.46 0.76% (111.49) PG US Equity 341 8,334 78.47 81.68 8.48 0.48% 82.84 PHIA NA Equity • • 35.60 1.05% - PM US Equity 214 (10,166) 85.47 83.67 3.25 0.65% 26.89 PNC US Equity 939 9,010 76.60 84.59 14.23 0.73% 7.06 POT CN Equity - (831) 34.13 34.13 0.00 0.94% (8.08) POT US Equity - • 34.09 0.89% . PRU LN Equity 7,615 10,521 12.76 22.00 64.92 1.12% 294.99 PSA US Equity 697 11,140 160.09 170.11 12.19 0.51% (20.66) PSX US Equity 1,257 6,030 64.65 78.13 22.07 0.94% 55.31 PX US Equity 2,336 16,340 113.54 129.78 26.87 0.53% 203.93 QCOM US Equity 2,387 12,547 66.83 79.54 23.96 0.79% 201.13 QQQ US Equity 5,427 19,920 68.46 87.11 40.53 0.67% 308.87 RAI US Equity 215 6,737 52.22 53.89 3.14 1.01% 53.31 RDS/A US Equity 44 5,485 73.41 74.00 1.60 0.49% 20.68 RDS/B US Equity 242 6,990 76.36 79.00 6.53 0.53% 39.17 EFTA00288234 RDSA LN Equity 288 4,065 34.51 36.96 14.25 0.50% 2.10 RDSA NA Equity 38 4,699 36.67 36.97 1.66 0.48% 5.61 RDSB LN Equity 280 6,969 37.90 39.43 7.10 0.57% 34.51 REGN US Equity (36) 6,240 302.77 301.04 -0.36 1.61% 345.16 RIO AU Equity 96 3,057 59.11 60.98 2.70 1.17% 41.21 RIO LN Equity 204 4,819 54.83 57.15 3.27 1.29% 34.71 RIO US Equity 272 4,934 54.04 57.02 4.1.7 1.32% (17.89) ROG VX Equity 6,173 17,035 212.78 289.89 55.11 0.66% (141.20) RY CN Equity 227 8,293 65.48 67.27 5.19 0.53% 47.27 SAB LN Equity 679 8,085 48.07 52.10 9.05 0.93% 8.76 SAN FP Equity (62) (3,704) 103.67 105.41 .1.85 0.91% (26.06) SAN SM Equity 1,381 7,764 8.43 9.93 18.06 0.98% 70.70 SAN US Equity 985 6,290 8.45 9.77 14.79 1.06% (101.80) SAP GR Equity 14 5,241 80.60 80.82 0.30 0.89% 58.28 SAP US Equity 16 5,649 80.63 80.86 0.31 0.93% 45.17 SBUX US Equity (128) 3,262 74.99 72.15 4.87 1.02% 35.67 SGO FP Equity 2,988 7,836 44.08 60.89 32.38 1.18% 26.87 SI US Equity 835 5,671 118.49 135.94 13.16 1.12% 65.44 SIE GR Equity 968 5,345 114.81 135.61 17.45 1.04% 59.03 SLB US Equity 1,525 7,174 81.27 98.54 30.03 0.71% 27.85 SMSN LI Equity (107) (7,500) 642.17 651.35 •1.50 0.96% 72.01 SO US Equity 157 7,705 43.41 44.30 3.44 0.59% (23.06) SPG US Equity 98 4,673 163.56 166.97 3.53 0.59% 4.70 SREN VX Equity 1,688 10,006 80.46 94.04 22.86 0.74% 129.96 STAN LN Equity (76) (6,124) 21.91 22.18 •1.14 1.09% (219.83) STL NO Equity 639 9,825 26.16 27.86 9.11 0.71% 76.04 STT US Equity (122) 3,676 69.05 66.83 .2.91 1.14% 47.98 SU CN Equity • • 36.48 0.67% SU FP Equity 492 6,518 84.31 90.68 7.29 1.04% 145.93 SU US Equity - • 36.42 0.68% . SWEDA SS Equity 503 6,088 24.78 26.82 7.04 1.17% 61.93 SYNN VX Equity (428) (8,069) 359.52 378.57 4.09 0.66% 62.60 T US Equity (73) (3,964) 34.28 34.91 •3.19 0.58% 18.45 TD CN Equity 392 8,245 45.38 47.54 8.41 0.56% 68.62 TEF SM Equity 163 3,631 15.57 16.27 5.20 0.86% 39.75 TEF US Equity 166 3,406 15.52 16.27 5.34 0.91% 54.50 TGT US Equity 388 (10,717) 63.57 61.27 5.97 0.61% 4.66 TJX US Equity 2,734 9,492 46.52 59.92 37.92 0.76% (44.36) TLS AU Equity 246 7,919 4.60 4.75 5.45 0.57% 62.23 TLSN SS Equity - (492) 6.95 6.95 0.00 1.13% (4.40) TM US Equity 495 (6,829) 115.81 107.41 8.29 0.87% 109.71 TMO US Equity 8,945 10,218 63.59 119.25 104.64 0.84% 365.26 TOT US Equity 826 6,673 59.91 67.33 15.95 0.78% 112.30 TRP CN Equity • • 46.81 0.57% . TRV US Equity 111 6,866 84.06 85.41 3.24 0.50% 59.90 TSCO LN Equity 1,147 (7,398) 5.65 4.78 13.86 1.12% (42.07) TWC US Equity 765 5,234 120.22 137.80 16.19 0.90% 108.63 EFTA00288235 TWX US Equity (86) 7,395 66.40 65.64 .1.24 0.93% 95.77 TXN US Equity 4,243 12,205 34.93 47.07 43.24 0.80% 134.08 TYC US Equity 10,078 24,080 29.17 41.37 56.90 0.74% 214.34 UBS US Equity 327 5,489 19.43 20.59 5.39 1.10% 60.61 UBSN VX Equity 270 5,158 19.51 20.53 5.08 1.03% 27.18 UCG IM Equity 3,240 5,391 5.58 8.94 34.98 1.72%' (146.57) ULVR LN Equity 178 4,635 42.19 43.82 4.14 0.93% 69.62 UNA NA Equity 181 5,141 40.85 42.29 4.30 0.82% 57.88 UNH US Equity 2,670 10,192 64.28 81.12 35.07 0.75% 81.03 UNP US Equity 1,488 12,014 165.36 185.84 17.95 0.69% 42.88 UPS US Equity 3,312 14,806 79.87 97.74 49.99 0.45% 58.71 USB US Equity 2,949 14,238 34.71 41.90 33.13 0.63% 16.30 UTX US Equity 6,368 15,190 82.05 116.45 53.19 0.79% 126.24 V US Equity 2,112 3,370 126.50 205.76 67.45 0.93% 52.96 VALE US Equity 29 (3,908) 15.08 14.97 0.50 1.48% 93.84 VALE3 BZ Equity 31 (4,586) 15.04 14.94 0.40 1.71% 128.75 VIAB US Equity 3,793 9,272 60.42 85.13 45.20 0.90% 266.30 VIV FP Equity 165 2,668 26.19 27.81 7.27 0.85% 11.10 VMW US Equity 901 4,785 89.16 105.94 13.27 1.42% (25.01) VOD LN Equity 226 (3,508) 3.92 3.67 5.78 1.12% (64.80) VOD US Equity 200 (3,387) 39.16 36.84 5.28 1.12% (89.21) VOW3 GR Equity 125 1,833 253.13 270.36 5.77 1.18% 67.11 VRX CN Equity 578 1,611 92.95 126.28 20.58 1.74% 124.72 VRX US Equity 658 1,880 93.20 125.83 20.89 1.68% 142.43 VTI US Equity 581 5,134 86.91 96.74 22.07 0.51% 41.78 VWO US Equity (126) (4,348) 40.33 41.50 .3.23 0.90% 9.80 VZ US Equity 35 (6,121) 48.12 47.85 1.12 0.50% 12.33 WBC AU Equity 459 6,276 30.31 32.53 8.61 0.85% 59.78 WES AU Equity 294 8,616 38.65 39.97 5.35 0.64% 129.64 WFC US Equity 3,047 11,582 38.70 48.88 40.72 0.65% 39.80 WLP US Equity 3,172 10,369 74.31 97.05 37.17 0.82% 74.01 WMT US Equity 210 7,009 75.45 77.70 6.30 0.47% (21.16) WOW AU Equity - 1,015 33.68 33.68 0.00 0.80% 6.95 XOM US Equity 963 13,076 90.48 97.14 11.78 0.63% (52.06) XTA LN Equity • 2,180 XWA WA 0.00 2.25% YHOO US Equity • (655) 34.51 34.51 0.00 1.57% (12.50) YUM US Equity 260 7,151 73.86 76.55 4.19 0.87% 52.60 ZURN VX Equity (160) 7,208 293.63 287.25 •2.82 0.79% 1.11 Current Portfolio - Global Macro 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) SPX Index 17,816 62,272 1,455.70 1,872.18 52.11 0.55% 874.41 NDX Index 12,685 46,686 2,831.19 3,600.44 33.96 0.80% 1,043.90 RTY Index 13,404 39,938 868.48 1,159.96 39.29 0.85% 733.10 EFTA00288236 SPTSX Index 907 28,839 12,859.70 13,264.34 6.85 0.46% MEXBOL Index 90 (26,146) 3,142.70 3,131.86 0.42 0.82% IBOV Index (26) 3,666 23,281.87 23,114.79 -0.50 1.44% MERVAL Index (625) (5,408) 725.60 809.44 -10.34 1.12% UKK Index 3,200 39,963 10,288.22 11,111.99 12.91 0.62% DAX Index 8,698 36,674 10,610.77 13,127.32 23.68 1.00% CAC Index 1,815 20,042 5,625.44 6,134.90 11.31 0.80% IBEX Index 10,031 39,644 11,555.30 14,479.01 27.86 0.91% SMI Index 7,052 44,078 8,219.62 9,534.61 25.06 0.64% FTSEMIB Index 7,508 25,266 23,118.99 29,989.03 28.04 1.06% P5120 Index 7,030 24,289 8,026.78 10,350.05 27.41 1.06% ISEQ Index 25,300 40,099 4,246.25 6,925.38 63.19 1.00% ICEXI Index 5,101 37,337 6.63 7.53 25.98 0.53% AEX Index 6,347 42,240 484.27 557.04 21.26 0.71% BEL20 Index 8,252 44,003 3,610.75 4,287.92 24.26 0.77% LUXXX Index 11,166 40,592 1,663.32 2,120.86 43.24 0.64% KFX Index 10,428 38,048 100.82 128.45 31.38 0.87% HEX Index 8,215 40,933 8,513.92 10,222.64 21.65 0.93% OMX Index 2,242 23,118 191.41 209.97 10.06 0.96% ATX Index 246 9,226 3,409.40 3,500.47 2.18 1.23% ME Index 7,600 19,369 1,282.88 1,786.25 34.14 1.15% OSEBX Index 2,300 24,683 85.16 93.09 13.39 0.70% INDEXCF Index 1,189 (26,563) 39.61 37.83 2.15 2.08% TOP40 Index 1,511 25,595 3,920.67 4,152.05 6.39 0.92% SENSEX Index 1,133 27,288 362.49 377.55 5.61 0.74% NKY Index (58) 8,528 141.31 140.36 -0.74 0.92% HSI Index 393 19,805 2,888.78 2,946.18 2.65 0.75% SHCOMP Index 489 (33,700) 344.53 339.53 1.71 0.85% KOSPI Index 1,306 29,082 1.85 1.93 6.32 0.71% ASS1 Index 997 21,983 4,890.10 5,111.91 6.39 0.71% STBCNZL Index 33,977 73,231 444.47 650.69 120.18 0.39% EEM US Equity (137) (3,671) 40.76 42.28 -3.93 0.95% IYR US Equity (61) (2,867) 67.11 68.54 -4.38 0.49% MDY US Equity 4,972 14,269 184.03 248.15 52.33 0.67% JNK US Equity 5 5,353 41.26 41.30 0.52 0.18% XLF US Equity 5,661 13,610 15.57 22.05 65.28 0.64% XLU US Equity 721 9,939 39.06 41.89 12.97 0.56% XLK US Equity 2,355 12,860 30.80 36.44 26.10 0.70% XLI US Equity 6,023 16,147 38.20 52.45 55.15 0.68% XLP US Equity 403 10,839 41.85 43.40 10.21 0.36% XLY US Equity 5,065 13,145 46.72 64.72 53.34 0.72% XLE US Equity 392 7,840 85.67 89.95 8.30 0.60% XLB US Equity 3,961 14,930 37.57 47.54 37.62 0.71% XLV US Equity 12,097 24,346 38.87 58.18 66.90 0.74% SXXP Index 6,753 43,407 400.51 462.82 22.65 0.69% SXAP Index 11,659 28,526 520.28 732.93 33.46 1.22% SXKP Index 4,654 47,032 366.14 402.37 13.23 0.75% 237.73 114.13 (54.08) 7.81 314.95 117.21 108.85 69.10 8.61 106.54 154.77 433.64 374.34 148.48 168.93 295.21 625.99 (61.57) 38.77 143.90 (110.18) 366.25 51.84 58.85 (174.06) 221.65 (108.31) 360.56 223.24 (26.95) 2.05 187.12 5.19 167.50 (22.85) 203.10 282.52 49.43 196.23 37.69 r I 286.41 780.55 238.23 633.11 507.26 EFTA00288237 SX6P Index 6,636 35,114 354.13 421.05 31.03 0.61% 81.87 SXEP Index 1,970 38,769 447.48 470.22 8.59 0.59% 269.61 SXIP Index 11,711 28,923 222.31 312.32 49.23 0.82% 144.67 SXNP Index 5,461 28,384 482.69 575.56 22.67 0.85% 278.32 SX3P Index 1,031 19,338 664.35 699.77 8.39 0.64% 34.09 SXDP Index 22,945 61,075 609.16 838.01 60.30 0.62% 327.96 SX4P Index 2,943 25,840 917.36 1,021.82 12.94 0.88% (41.63) SX8P Index 2,907 17,778 343.07 399.16 19.53 0.84% 188.46 SXOP Index 12,241 40,520 380.28 495.16 31.93 0.95% 445.90 SXQP Index 221 26,331 793.71 800.38 1.25 0.68% 207.38 SXRP Index (16) 17,603 434.81 434.42 -0.13 0.71% 80.03 SXMP Index 10,813 35,766 261.12 340.06 46.13 0.66% 537.51 SXTP Index 22,311 39,247 172.05 269.86 69.00 0.82% 598.72 SX7E Index 6,767 18,886 159.85 217.12 28.64 1.25% (120.36) SXSE Index 7,424 40,148 3,709.25 4,395.11 22.75 0.81% 121.70 SPGSCITR Index (197) (10,212) 4,922.21 5,017.04 -3.32 0.58% (55.32) XAG Curncy 2,560 (20,150) 22.78 19.88 14.86 0.85% 179.36 CO1 Comdty 208 (24,622) 108.90 107.98 1.07 0.79% (71.49) CL1 Comdty 1,306 29,347 99.19 103.60 4.80 0.93% 310.84 NG1 Comdty 3,607 16,608 3.77 4.59 11.36 1.91% 231.84 XAU Comdty (348) (24,602) 94.44 95.78 -1.94 0.73% (147.76) IBOXHY Index 3,120 53,418 220.12 232.98 79.03 0.07% 24.33 US_TSY CREDIT (131) (30,101) 758.04 761.34 -3.43 0.13% (12.21) CA_TSY CREDIT 5,209 (97,153) 1,270.12 1,202.02 13.86 0.39% (62.20) MX_TSY CREDIT 501 52,927 213.27 215.29 2.39 0.40% AU TSY CREDIT 344 38,889 1,491.07 1,504.25 2.06 0.43% 103.29 JP_TSY CREDIT 675 (59,678) 824.15 814.83 3.47 0.33% (150.73) MY_TSY CREDIT (325) (55,351) 168.27 169.26 -1.80 0.33% (277.73) SG_TSY CREDIT (178) (57,449) 220.03 220.71 -1.33 0.23% (239.73) AT_TSY CREDIT 3,489 77,381 357.76 373.89 19.43 0.23% 97.45 BE_TSY CREDIT 4,542 77,405 477.07 505.06 27.29 0.22% 43.83 FI_TSY CREDIT 3,312 80,015 348.76 363.19 18.47 0.22% 71.18 FR_TSY CREDIT 3,879 75,943 1,678.58 1,764.32 23.13 0.22% 89.23 DE_TSY CREDIT 2,678 75,554 1,243.43 1,287.50 15.35 0.23% 114.40 IE_TSY CREDIT 31,609 78,270 338.05 474.57 217.64 0.19% 367.05 IT_TSY CREDIT 8,597 54,986 1,621.96 1,875.55 70.04 0.22% 231.70 NL_TSY CREDIT 3,289 78,610 1,328.96 1,384.56 18.41 0.23% 102.46 ES_TSY CREDIT 10,781 50,187 393.21 477.68 90.06 0.24% 144.57 DK_TSY CREDIT 2,792 67,396 730.76 761.03 15.76 0.26% 146.95 NO_TSY CREDIT 42 24,372 343.50 344.10 0.59 0.29% 90.44 PL_TSY CREDIT 1,366 26,645 424.55 446.32 16.23 0.32% 49.67 ZA_TSY CREDIT (345) (19,889) 82.67 84.10 -2.28 0.76% 108.62 SE_TSY CREDIT 58 (39,490) 465.07 464.39 0.44 0.33% 93.45 CH_TSY CREDIT 3,550 65,265 1,008.19 1,063.03 20.55 0.26% 233.84 GB_TSY CREDIT 1,377 56,841 1,489.51 1,525.59 7.57 0.32% 13.74 EFTA00288238