EFTA00288239.pdf

Atorus, LLC 4/10/2014 Current Date: 4/10/2014 Change on Day: 4.33% Total Return since 1/1/12: 79.12% MSCI World Change on 712M Return: 28.79% Day -1.15% T90 Day Return: -1.66% No of Positions T30 Day Return: -3.70% (+MTM) on Day 175 Current Long Exposure @ Cost: 4,727,817 No of Positions (-MTM) Current Short Exposure @ Cost: (797,033) on Day 239 Net Exposure: 3,930,784 Current No. of Starting Capital: 1,000,000 Positions: 414 Current NAV: 1,791,221 Current Leverage (Gross Exposures): 3.08 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 UscOnoo UmAoloo Lisoopnw Moopnoo UNIAmoo 000,coom mum® mom® 3 Is (SY O% O% ()% O% 06N3 " O% ON'3 Os' 3 O% CiS tt• 41. 4 4 A\ 4 4 oy 4 4 c5\ ,s4 4 4 -NAV EFTA00288239 Atorus, LLC 4/10/2014 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 XAG Curncy (20,150) XAU Comdty (24,602) CO1 Comdty (24,622) MEXBOL Index (26,146) INDEXCF Index (26,563) SHCOMP Index (33,700) MY_TSY CREDIT (36,901) SG_TSY CREDIT (38,299) SE_TSY CREDIT (39,490) JP_TSY CREDIT (47,742) 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 -0.466% Listed Equity Short -0.024% EquityCom Long -0.329% EquityCom Short -0.015% G20 Rates Long 0.399% G20 Rates Short -0.045% %of Total Notional Security MTM Gain % Total NAV 22.20%1 43 Positions 26.18% 0.36% UTX US Equity 6,155 0.34% 0.45% MAERSKB DC Equity 6,233 0.35% 0.45% ROG VX Equity 6,376 0.36% 0.47% AEX Index 6,441 0.36% 0.48% SX6P Index 6,468 0.36% 0.61% SX7E Index 6,487 0.36% 0.67% EDF FP Equity 6,643 0.37% 0.69% SXXP Index 6,773 0.38% 0.71% BAYN GR Equity 6,823 0.38% 0.86% PSI20 Index 6,923 0.39% 1.13% DAI GR Equity 7,186 0.40% 1.18% SXSE Index 7,242 0.40% 1.22% ACA FP Equity 7,252 0.40% 1.33% FTSEMIB Index 7,256 0.41% 1.37% SMI Index 7,458 0.42% 1.37% ASE Index 7,552 0.42% 1.40% PRU LN Equity 7,761 0.43% 1.40% HEX Index 8,176 0.46% 1.42% BEL20 Index 8,272 0.46% 1.42% MDT US Equity 8,314 0.46% 1.45% MMM US Equity 8,389 0.47% 1.76% NDX Index 8,661 0.48% DAX Index 8,706 0.49% TMO US Equity 8,789 0.49% MC US Equity 9,186 0.51% IT_TSY CREDIT 9,191 0.51% RTY Index 9,535 0.53% IBEX Index 9,601 0.54% TTC US Equity 10,192 0.57% KFX Index 10,247 0.57% SXMP Index 10,846 0.61% XLV US Equity 10,882 0.61% SXAP Index 11,123 0.62% ES_TSY CREDIT 11,262 0.63% LW= Index 11,496 0.64% SXIP Index 11,664 0.65% SXOP Index 12,214 0.68% SPX Index 16,144 0.90% SXTP Index 22,522 1.26% SXDP Index 23,331 1.30% EFTA00288240 ISEQ Index 25,506 1.42% IE_TSY CREDIT 32,599 1.82% STBCNZL Index 35,053 1.96% No. Names by Category APAC Long 21 APAC Short 22 EMEA Long 72 EMEA Short 12 AMER Long 159 AMER Short 33 EquityCom Long 62 EquityCom Short 10 G20 Rates Long 16 G20 Rates Short 7 Total Long 330 Total Short 84 Current Exposure by Geography (Listed Eqult es) & Macro (Equity Indices & Commodiites, G20 Gov. Credit) $2,000,000 $1,500,000 $1,000,000 $500,000 $(S00,000) ■ APAC Long ■ APAC Short ■ EMEA Long ■ EMEA Short ■ AMER Long ■ AMER Short ■ EquityCom Long ■ EquityCom Short ■ G20 Rates Long ■ G20 Rates Short EFTA00288241 Atorus, LLC 4/10/2014 Historical Net Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodites, G20 Gov. Credit) --AMC EU.4EA —AMER — EquityCom —G20 Rates ommooNexEposweR M 2.000,000 1,500,000 5,000.000 000.000 3,000.000 Z000.000 1.000,000 500,000 . SF 06 ) i 1,000.000 0 (1,003000) - (2,004003) ft• #'1, C 3% C: 0 % r 'S . \ a 0)X - te " " " 19°S) le 0 4.2, ' 19." etc) is.. is. or .x\ oa 43 "1. . evOG et? ' 4 44 . 4,\ 1 (1,030,000) (3,000,000) Historical Gross Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodlites, G20 Gov. Credit) EFTA00288242 Atorus, LIC 4/10/2014 Current Gross Notional Risk by Category 230,932 561,382 ■ APAC ■ EMEA ■ AMER ■ EquityCom ■ G20 Rates Performance Vs. MSCI World Index Rolling 30 Day Realized Volatility - EFTA00288243 Atorus, LLC 4/10/2014 Percentile Distribution of Current MTM Gains In Vol Days by Position (ex.99pct & exist percentiles) 30.00 50.00 40.00 30.00 20.00 10.00 &CO (.3' • N .. if, t, •/9 Q4).. 4:.• tb. 4.9.• 4tr (P. 442. "1(). 4 ). e». it,. CIP• Cfr Percentile No. Vol Days 0.00% -11.19 5.00% -337 10.00% -2.03 15.00% -0.42 20.00% 0.46 25.00% 1.89 30.00% 3.27 35.00% 4.24 40.00% 5.89 45.00% 7.70 50.00% 9.35 55.00% 11.74 60.00% 13.46 65.00% 17.83 70.00% 19.98 75.00% 23.21 80.00% 27.33 85.00% 33.54 90.00% 41.28 95.00% 61.52 100.00% 198.38 MTM Gains(Losses) % of NAV "Signficant" (<7 Vol Days) 1.07% MTM Gains(Losses) % of NAV "Signficant" (>7 Vol Days) 46.58% EFTA00288244 Atorus, LLC -Listed Equity Portfolio 4/10/2014 Current Price P/L in Vol 30P Realized Change on Day Security MTM Gain/(Loss) Exp. €) Cost Avg. Price (in USD) Days Vol (in USD) 000270 KS Equity 56.09 1.11% 005380 KS Equity 94 3,149 224.39 231.09 2.58 1.16% (44.53) 005490 KS Equity (392) (3,782) 273.49 301.86 -8.16 1.27% 5.04 005930 KS Equity (255) (6,997) 1,278.17 1,324.76 -4.00 0.91% (538) 012330 KS Equity 1,066 5,584 247.00 294.15 19.26 0.99% (164S3) 1 HK Equity 969 10,664 15.95 17.40 9.12 1.00% 78.69 1299 HK Equity 152 5,954 4.79 4.91 3.25 0.79% 63.56 13 HK Equity 2,415 12,243 11.40 13.65 18.59 1.06% 221.36 16 HK Equity (112) (4,769) 12.66 12.96 -2.99 0.79% (7.63) 27 HK Equity (7) 123 9.65 9.16 -2.80 1.93% 3.90 2914 JP Equity 100 (4,719) 32.47 31.78 1.91 1.11% (69.80) 3382 JP Equity 1 1,329 37.70 37.73 0.07 1.10% 8.73 4063 JP Equity (131) (4,536) 56.40 58.03 -2.40 1.20% (90.56) 4502 JP Equity (30) 546 46.88 44.44 -6.43 0.85% 2.17 4689 JP Equity 4.76 1.81% 5 HK Equity (80) (3,997) 10.17 1037 -2.43 0.83% (5137) 5108 JP Equity - 35A0 1.05% 5401 JP Equity 408 (5,511) 2.89 2.68 6.53 1.13% (15S5) 6301 JP Equity (103) (2,812) 20.64 21.39 -3.41 1.07% (25.92) 6752 JP Equity 170 829 9.01 10.86 13.03 1.57% 5.06 6902 JP Equity - 47.45 1.44% 6954 JP Equity 891 6,393 157.65 179.63 10.44 1.34% 248.07 7201 JP Equity (89) (3,743) 8.85 9.06 -2.43 0.98% (63.53) 7203 JP Equity 296 (5,260) 56.12 52.96 5.91 0.95% 61.28 7267 JP Equity 338 (4,885) 36.43 33.91 7.06 0.98% (22.51) 762 HK Equity (6) (5,162) 1.38 1.38 -0.10 1.29% (51.21) 7751 JP Equity 46 (6,865) 31.44 31.23 0.80 0.84% (111.66) 8031 JP Equity (67) (4,776) 14.10 14.30 -1.17 1.21% (9932) 8058 JP Equity 4 (4,383) 18.31 18.30 0.10 0.95% (68.34) 8306 JP Equity 209 (4,604) 5.65 5.40 157 1.28% (66.38) 8316 JP Equity 41 (2,001) 41.49 40.64 1.41 1.45% 0.54 8411 JP Equity - 1.98 0.73% 8604 JP Equity 196 (3,504) 6.60 6.23 4.53 1.23% (45.56) 8801 JP Equity - 30.17 1.44% 8802 JP Equity 354 (5,009) 24.84 23.08 4.13 1.71% (16.38) 9020 JP Equity 204 (6,726) 75.20 72.91 2.50 1.22% (24.66) 941 HK Equity 700 (11,819) 10.19 9.59 5.60 1.06% (144.20) 9432 JP Equity (188) 6,077 53.14 51.55 -2.50 1.24% 42.21 9433 JP Equity - 51.82 1.22% 9437 JP Equity 138 (7,723) 15.62 15.34 1.89 0.95% (106.69) 9983 JP Equity (39) 2,541 368.99 363.43 -1.28 1.20% (41.21) EFTA00288245 9984 JP Equity 216 410 46.70 71.28 29.47 1.79% (4.30) AAPL US Equity 134 7,877 518.25 527.05 2.82 0.60% 1.65 ABB US Equity 614 6,661 23.59 25.76 11.05 0.83% (69.08) ABBN VX Equity 709 6,962 23.63 26.04 12.04 0.85% 21.45 ABBV US Equity (95) 4,268 49.47 48.39 -1.72 1.29% (153.74) ABEV US Equity • 7.64 0.94% ABEV3 BZ Equity • 7.72 0.92% ABI BB Equity 358 8,021 102.78 107.36 5.63 0.79% 14.17 ABT US Equity (146) 4,097 38.82 37.48 -5.04 0.71% (9.40) ABX CN Equity 14 (4,216) 19.01 18.94 0.23 1.45% (30.38) ABX US Equity 21 (4,063) 19.03 18.93 0.36 1.43% (28.11) ACA FP Equity 7,252 5,408 6.83 16.00 97.66 1.37% 4.04 ACE US Equity 247 6,435 95.44 99.10 7.74 0.50% 32.86 ACN US Equity (80) 10,703 77.96 77.38 -0.91 0.83% (77.11) ADP US Equity 38 1,191 74.01 76.38 4.89 0.65% 12.61 AFL US Equity (74) 3,645 63.59 62.33 -3.21 0.63% (22.96) AGN US Equity 618 9,698 110.56 117.60 6.24 1.02% (183.22) Al FP Equity 141 8,248 134.80 137.11 2.64 0.65% 53.23 AIG US Equity 131 4,012 48.66 50.25 3.63 0.90% (30.98) AIR FP Equity 2,171 3,341 42.47 70.07 61.50 1.06% (63.18) ALV GR Equity 323 2,209 146.70 168.17 18.58 0.79% 8.89 ALVG IX Equity 184 1,344 148.11 168.35 17.27 0.79% 7.16 AMGN US Equity 4,842 22,886 95.40 115.59 17.83 1.19% (825.41) AMT US Equity 755 10,655 76.29 81.69 12.18 0.58% 22.82 AMZN US Equity 123 (4,035) 331.67 321.58 2.44 1.25% 76.60 ANZ AU Equity 663 7,024 29.37 32.14 11.38 0.83% 107.09 APA US Equity (41) (6,870) 82.74 83.23 -0.97 0.61% 7.17 APC US Equity • - 97.44 1.27% AXP US Equity 2,126 10,373 71.56 86.23 21.24 0.96% (240.55) AZN LN Equity 3,721 12,676 49.80 64.42 38.06 0.77% 168.04 AZN SS Equity 3,232 12,119 50.82 64.37 37.19 0.72% 130.76 AZN US Equity 3,525 12,812 50.30 64.14 37.78 0.73% 29.86 BA US Equity - • 124.71 0.83% BAC US Equity 9,186 10,884 8.82 16.27 79.08 1.07% (284.58) BARC LN Equity • • 4.03 1.29% BAS GR Equity 993 7,333 97.30 110.48 12.91 1.05% 106.98 BATS LN Equity 477 6,088 53.22 57.39 8.34 0.94% 35.69 BAX US Equity (18) 1,904 73.24 72.57 -1.01 0.92% (12.04) BAYN GR Equity 6,823 9,406 76.64 132.22 73.47 0.99% 42.49 BBAS3 BZ Equity (354) (2,036) 9.07 10.64 -7.86 2.21% (18.50) BBD US Equity - • 14.67 1.63% BBDC4 BZ Equity - • 14.72 1.63% BBL US Equity (200) (2,434) 59.69 64.59 .8.02 1.02% 26.63 BBVA SM Equity 1,328 5,790 10.12 12.44 19.40 1.18% (103.21) BCE CN Equity (60) (2,658) 43.17 44.14 -3.84 0.58% 6.73 BCS US Equity 16.06 1.28% BEN US Equity 6 1,957 52.34 52.50 0.26 1.14% (25.42) EFTA00288246 BG/ LN Equity (298) (4,379) 17.51 18.70 .9.70 0.70% 5.84 BHP AU Equity 301 6,689 34.33 35.87 3.89 1.15% 7.31 BHP US Equity 309 6,839 67.77 70.84 4.25 1.06% (110.73) BBB US Equity 187 1,066 245.93 289.07 10.51 1.67% (26.50) BIL SJ Equity - (822) 32.31 32.31 0.00 1.07% 8.58 BK US Equity 174 8,609 32.86 33.53 2.56 0.79% (96.46) BLK US Equity 87 937 274.17 299.67 9.08 1.02% (22.99) BLT IN Equity - (838) 32.42 32.42 0.00 1.07% 5.37 BMO CN Equity 409 9,958 65.96 68.67 6.40 0.64% (88.01) BMW GR Equity 1,419 5,212 99.22 126.24 23.90 1.14% 1.56 BMT US Equity - 49.52 1.14% BN FP Equity (58) (1,473) 70.54 73.33 •4.90 0.81% (0.65) BNP FP Equity 1,477 5,498 61.78 78.38 21.22 1.27% (44.20) BNS CN Equity 166 7,633 57.74 58.99 3.54 0.61% (82.83) BP/ LN Equity 460 9,797 7.76 8.13 7.68 0.61% 79.50 BRK/B US Equity 418 11,056 118.69 123.17 5.93 0.64% (48.27) BSBR US Equity 723 (8,171) 6.18 5.64 6.00 1.47% 18.42 BUD US Equity 304 6,846 102.05 106.57 5.36 0.83% (34.31) BX US Equity 14 3,119 30.36 30.50 0.27 1.66% (55.54) C US Equity • 46.48 1.05% - CA FP Equity 659 3,167 33.26 40.18 18.72 1.11% 7.70 CAT US Equity 1,988 13,589 89.53 102.63 21.52 0.68% (13.16) CBA AU Equity 745 11,185 68.68 73.26 9.37 0.71% 143.40 CBS US Equity 291 1,267 49.35 60.70 20.19 1.14% (34.26) CCL US Equity 336 7,821 36.20 37.76 4.46 0.96% (50.07) CELL US Equity 23 (3,342) 142.82 141.85 0.41 1.67% 67.94 CFR VX Equity 209 4,011 94.53 99.46 5.23 1.00% 90.36 CL US Equity 2,207 18,685 59.05 66.02 21.85 0.54% 119.19 CM CN Equity 472 8,334 82.53 87.20 9.27 0.61% (78.00) CMCSA US Equity 1,283 6,267 40.65 48.97 21.95 0.93% (84.25) CMCSK US Equity 3,948 12,096 36.26 48.10 35.51 0.92% (125.89) CNI US Equity 970 12,873 51.38 55.25 11.07 0.68% (175.69) CNQ CN Equity 1,022 10,254 36.60 40.25 13.66 0.73% (36.97) CNR CN Equity 958 12,425 51.30 55.25 11.40 0.68% (180.33) COF US Equity 642 6,770 68.55 75.05 11.68 0.81% (81.55) COP US Equity (420) (7,980) 66.64 70.15 .10.30 0.51% 95.76 COST US Equity - • 113.06 0.58% - COV LN Equity - 5,151 MO N/A 0.00 0.31% COV US Equity 723 7,080 64.09 70.63 13.48 0.76% (25.02) CRM US Equity (69) 2,054 56.82 54.97 -2.02 1.67% (47.85) CS FP Equity 1,413 4,310 19.39 25.75 30.39 1.08% (1.24) CSCO US Equity - - 22.78 0.81% CSX US Equity 1,121 8,914 25.07 28.22 16.51 0.76% (75.65) CVE CN Equity (94) (6,269) 28.70 29.13 -2.05 0.73% 10.96 CVS US Equity 1,827 11,815 63.98 73.88 24.87 0.62% (4.60) CVX US Equity (348) (8,207) 112.39 117.16 .8.20 0.52% 99.16 D US Equity 1,971 12,764 60.42 69.75 27.40 0.56% (74.74) EFTA00288247 DAI GR Equity 7,186 13,908 62.20 94.34 38.72 1.33% (637.74) DBK GR Equity 44.83 1.29% DD US Equity 2,802 12,908 54.93 66.86 33.61 0.65% (119.37) DDAIF US Equity 4,012 8,377 63.20 93.47 32.14 1.49%[ (497.81) DE US Equity 770 8,537 85.81 93.55 11.99 0.75% 41.62 DELL US Equity 6,820 #N/A N/A 0.00 0.07% DG FP Equity 4,569 10,090 51.66 75.05 61.74 0.73% 24.67 DGE LN Equity 62 1,933 30.69 31.68 4.07 0.79% 1.07 DHR US Equity 1,859 6,767 58.57 74.65 37.05 0.74% (70.67) DIS US Equity 1,472 9,908 68.36 78.52 15.09 0.98% (219.77) DISCA US Equity (205) 5,110 83.18 79.97 .4.46 0.90% (41.65) DNB NO Equity 505 4,673 15.77 17.48 11.63 0.93% 21.96 DOW US Equity 2,194 7,188 36.88 48.13 33.12 0.92% (97.52) DPW GR Equity 188 660 29.41 37.76 19.20 1.48% 1.41 DTE GR Equity 2,524 8,885 12.27 15.75 27.22 1.04% 50.70 DTV US Equity 2,751 10,622 61.97 78.02 25.83 1.00% (25.93) DUK US Equity • 71.89 0.53% DVN US Equity 964 11,143 63.30 68.78 13.65 0.63% 99.87 EBAY US Equity 33 6,678 54.29 54.56 0.54 0.93% (113.26) Ea US Equity 51 9,210 105.22 105.80 0.78 0.71% (74.68) EDF FP Equity 6,643 9,189 23.45 40.40 84.26 0.86% 40.08 EMC US Equity 804 10,986 25.35 27.21 10.53 0.69% (72.87) EMR US Equity (57) 7,744 66.96 66.47 4.00 0.74% (43.21) ENB CN Equity 400 9,024 44.84 46.83 6.87 0.65% (7.34) ENEL IM Equity 2,288 8,087 4.39 5.64 25.76 1.10% (92.70) ENI IM Equity 592 9,949 24.06 25.49 8.77 0.68% 109.58 EOAN GR Equity 68 2,996 18.77 19.19 2.80 0.81% 4.49 EOG US Equity 2,065 5,841 145.68 197.18 45.63 0.77% (6.37) EPD US Equity 1,697 12,986 63.62 71.93 24.88 0.53% 2.57 ERICB SS Equity 587 7,934 12.51 13.44 8.46 0.88% (32.29) ESRX US Equity 883 9,815 66.69 72.69 11.85 0.76% (149.13) ETN US Equity 67 5,260 72.48 73.40 1.14 1.11% (61.10) F US Equity (225) (3,621) 14.82 15.73 -7.17 0.87% 36.17 FB US Equity 985 2,630 44.06 60.55 19.39 1.93% (14.75) FCX US Equity 32 3,763 33.05 33.34 0.68 1.27% (59.17) FDX US Equity 328 3,417 120.94 132.57 17.17 0.56% (34.40) FOX US Equity (46) 3,508 32.25 31.83 -1.11 1.18% (27.57) FOXA US Equity (49) 3,404 33.14 32.67 .1.18 1.23% (16.82) FP FP Equity 1,087 11,013 60.83 66.83 13.36 0.74% (62.11) G IM Equity 223 4,069 21.51 22.69 6.46 0.85% (16.47) GE US Equity 2,057 13,140 22.32 25.81 22.74 0.69% 1.18 GILD US Equity 2,975 1,663 24.02 66.99 99.12 1.80% (235.53) GIS US Equity 599 17,619 49.73 51.42 5.75 0.59% 71.28 GLE FP Equity 830 3,248 49.51 62.17 18.81 1.36% (26.19) GLEN LN Equity (24) (4,634) 5.24 5.27 -0.38 1.36% 11.44 GLW US Equity 3,379 11,635 16.25 20.97 30.41 0.96% (110.29) GM US Equity 88 (3,006) 34.67 33.65 2.97 0.98% 11.97 EFTA00288248 GOOG US Equity 2,731 11,040 878.06 1,095.26 22.50 1.10% (282.66) GS US Equity 156.97 1.02% GSK LN Equity 84 5,707 26.22 26.61 1.90 0.78% 47.80 GSZ FP Equity 1,016 8,598 24.73 27.66 12.51 0.95% 30.41 HAL US Equity 1,133 6,395 49.49 58.26 20.42 0.87% (24.20) HD US Equity 1,689 10,667 66.67 77.23 25.07 0.63% (63.13) HMB SS Equity - 42.13 0.94% HON US Equity 6,036 11,930 61.10 92.01 72.04 0.70% (119.29) HPQ US Equity 2,301 7,393 25.45 33.37 25.57 1.22% 221.35 HSBA LN Equity 106 4,565 10.16 10.40 3.23 0.72% 63.56 IBE SM Equity 1,570 7,501 5.56 6.72 32.24 0.65% (252.77) IBM US Equity 124 5,009 192.83 197.62 3.55 0.70% 54.14 IMT LN Equity 1,662 12,188 36.36 41.32 19.33 0.71% 299.26 INTC US Equity 1,215 12,041 24.19 26.64 16.91 0.60% (118.38) ISP IM Equity 4,471 5,699 1.93 3.44 57.39 1.37% (102.33) ITUB US Equity 34 2,863 15.39 15.57 0.68 1.75% 38.21 ITUB4 BZ Equity 77 4,065 15.40 15.69 1.10 1.71% 83.47 ITW US Equity 3,013 14,011 67.84 82.43 28.68 0.75% (122.19) ITX SM Equity (73) (4,597) 147.96 150.30 .1.63 0.97% 9.29 JCI US Equity 329 2,396 41.02 46.66 12.46 1.10% (25.13) JNJ US Equity 5,135 15,364 73.04 97.45 63.29 0.53% (185.31) JPM US Equity 741 6,813 52.29 57.97 11.50 0.94% (127.26) KMB US Equity 389 8,961 107.19 111.84 8.01 0.54% 44.64 KMI US Equity 373 (8,600) 34.31 32.82 6.32 0.69% 4.95 KO US Equity (49) (6,962) 38.83 39.11 •1.70 0.42% (41.18) LBTYA US Equity • 80.53 1.15% LBTYK US Equity - 77.93 1.00% LIN GR Equity 85 8,087 198.03 200.12 1.63 0.65% 24.29 LLOY LN Equity 1,106 2,716 0.89 1.26 36.88 1.10% 27.84 LLY US Equity 27 4,536 58.93 59.28 0.87 0.69% (42.56) LMT US Equity 562 2,016 122.48 156.65 33.82 0.82% (26.05) LNKD US Equity 228 (2,835) 185.39 170.45 3.78 2.13% 71.66 LOW US Equity (199) 7,829 48.38 47.18 -3.56 0.71% 1.07 LVS US Equity 1,730 6,808 61.33 76.92 17.99 1.41% (56.99) LYB US Equity 1,105 2,297 59.29 87.80 57.38 0.84% (12.13) MA US Equity - • 71.75 0.96% MAERSKB DC Equity 6,233 14,148 8,212.58 11,830.56 38.12 1.16% (124.76) MC FP Equity 304 4,464 183.52 196.01 7.71 0.88% 199.95 MCD US Equity (129) (2,678) 94.88 99.44 .9.76 0.49% (30.42) MCK US Equity 55 2,181 164.92 169.08 2.56 0.99% (23.26) MDIZ US Equity 2,990 13,641 28.68 34.97 37.27 0.59% 57.03 MDT US Equity 8,314 20,811 43.22 60.49 52.72 0.76% (315.53) MET US Equity 1,118 7,556 44.37 50.93 14.39 1.03% (167.94) MFC CN Equity 3,294 6,402 12.38 18.74 61.65 0.83% (197.79) MHS US Equity • 5,485 #N/A N/A 0.00 1.17% MMM US Equity 8,389 21,331 96.89 135.00 63.82 0.62% (39.07) MO US Equity 451 9,167 36.41 38.20 9.41 0.52% 27.72 EFTA00288249 MON US Equity 833 11,917 106.02 113.43 9.33 0.75% (87.18) MOS US Equity • - 48.17 0.82% - MRK US Equity 1,535 11,769 50.18 56.73 14.42 0.90% 27.73 MS US Equity 42 594 27.57 29.49 5.64 1.24% (10.57) MSFT US Equity 1,008 8,007 35.30 39.75 13.16 0.96% (115.67) MUV2 GR Equity 786 6,116 197.70 223.11 19.87 0.65% 71.84 NAB AU Equity 639 9,956 31.52 33.54 8.43 0.76% 121.73 NCM AU Equity • - 10.37 1.98% - NEE US Equity 4,681 14,649 72.62 95.83 42.23 0.76% (128.15) NEM US Equity 2,086 (7,392) 34.95 25.09 19.14 1.47% (68.12) NESN VX Equity 1,146 9,821 69.64 77.76 17.88 0.65% 45.86 NG/ IN Equity 1,947 12,963 11.93 13.72 31.55 0A8% 58.48 NKE US Equity 340 3,293 66.10 72.93 10.67 0.97% (10.68) NOK US Equity 4,257 4,498 3.96 7.71 69.53 1.36% (12.80) NOV US Equity 220 6,774 76.19 78.66 3.94 0.82% 24.55 NOVN VX Equity 5,942 18,291 63.81 84.53 39.91 0.81% 359.73 NOVOB DC Equity 908 9,444 40.35 44.23 11.28 0.85% 33.58 NSC US Equity 1,745 9,797 80.78 95.16 23.33 036% (103.05) NVS US Equity 4,566 15,510 65.07 84.23 35.94 0.82% 164.54 OGXP3 BZ Equity 5,062 (5,180) 4.43 0.10 49.66 1.97% 217.08 OR FP Equity - - 164.48 0.70% - ORA FP Equity 941 6,019 13.03 15.07 10.73 1.46% 54.41 ORCL US Equity 1,508 7,995 33.68 40.03 17.97 1.05% (17/.30) OXY US Equity (0) 7,355 95.04 95.04 0.01 0.84% (38.15) PBR US Equity (87) (2,251) 13.30 13.81 -1.81 2.13% (19.36) PBR/A US Equity (92) (2,795) 13.87 14.32 -151 2.17% (20.62) PCLN US Equity 768 3,043 956.05 1,197.42 17.70 1.43% (41.27) PCP US Equity (26) 1,702 253.78 249.91 -1.65 0.94% (11.47) PEP US Equity 184 8,118 82.28 84.15 4.59 0.49% 29.73 PETR3 BZ Equity (139) (2,338) 6.54 6.93 .2.53 2.36% (31.03) PETR4 BZ Equity (106) (3,123) 6.95 7.18 .1.39 2.44% (40.17) PFE US Equity 3,172 17,462 26.10 30.84 24.10 0.75% (70.60) PG US Equity 321 8,334 78.47 81.49 8.00 0.48% (19.96) PHIA NA Equity • 35.76 1.05% PM US Equity 151 (10,166) 85.47 84.20 2.41 0.61% (65.60) PNC US Equity 760 9,010 76.60 83.07 10.80 0.78% (176.01) POT CN Equity - 33.88 0.94% POT US Equity - 33.87 0.89% PRU LN Equity 7,761 10,521 12.76 22.18 66.27 1.11% 146.76 PSA US Equity 689 11,140 160.09 169.99 12.28 0.50% (8.46) PSX US Equity 1,194 6,030 64.65 77.45 22.26 0.89% (63.37) PX US Equity 2,259 16,340 113.54 129.24 25.93 0.53% (76.96) QCOM US Equity 2,230 12,547 66.83 78.70 21.67 0.82% (155.72) QQQ US Equity 4,096 15,936 68.46 86.05 36.50 030% (242.73) RAI US Equity 280 6,737 52.22 54.39 4.01 1.03% 65.62 RDS/A US Equity 42 6,119 73.47 73.97 1.40 0A9% (2.12) RDS/B US Equity 243 6,990 76.36 79.01 6.77 0.51% 1.12 EFTA00288250 RDSA LN Equity 309 4,675 34.83 37.14 13.23 0.50% 24.39 RDSA NA Equity 64 5,314 36.73 37.17 2.46 0.49% 29.83 RDSB LN Equity 316 6,969 37.90 39.62 7.97 0.57% 35.98 REGN US Equity (117) 6,240 302.68 297.10 •1.14 1.64% (80.02) RIO AU Equity 120 3,506 59.40 61.43 2.91 1.18% 27.01 RIO LN Equity 176 4,819 54.83 56.83 2.82 1.29% (28.05) RIO US Equity 222 4,934 54.04 56.48 3.46 1.30% (49.39) ROG VX Equity 6,376 17,035 212.78 292.42 56.42 0.66% 204.64 RY CN Equity 176 8,293 65.48 66.87 3.93 0.54% (50.90) SAB LN Equity 717 8,541 48.28 52.33 8.94 0.94% 40.19 SAN FP Equity (69) (3,704) 103.67 105.60 .2.07 0.90% (6.82) SAN SM Equity 1,307 7,933 8.46 9.85 16.40 1.00% (74.98) SAN US Equity 882 6,290 8.45 9.63 12.74 1.10% (101.06) SAP GR Equity 40 5,241 80.60 81.21 0.85 0.89% 25.95 SAP US Equity (5) 5,649 80.63 80.55 -0.10 0.93% (21.09) SBUX US Equity (133) 2,446 74.88 71.01 .5.28 1.03% (36.44) SGO FP Equity 3,038 7,836 44.08 61.18 32.57 1.19% 50.86 SI US Equity 800 5,671 118.49 135.20 12.61 1.12% (34.91) SIE GR Equity 972 5,345 114.81 135.70 17.97 1.01% 4.21 SLB US Equity 1,484 7,174 81.27 98.08 29.53 0.70% (40.61) SMSN LI Equity (206) (7,500) 642.17 659.80 .2.78 0.99% (94.57) SO US Equity 185 8,428 43.50 44.46 3.73 0.59% 30.60 SPG US Equity 109 4,673 163.56 167.39 4.01 0.58% 11.79 SREN VX Equity 1,868 10,006 80.46 95.49 24.29 0.77% 182.96 STAN LN Equity (105) (6,124) 21.91 22.29 -1.57 1.10% (28.27) STL NO Equity 717 9,825 26.16 28.07 10.12 0.72% 78.70 STT US Equity (150) 2,940 68.95 65.59 -4.25 1.20% (51.74) SU CN Equity - 36.31 0.67% SU FP Equity 538 6,518 84.31 91.27 7.80 1.06% 45.53 SU US Equity • • 36.30 0.68% SWEDA SS Equity 387 6,088 24.78 26.35 5.19 1.22% (114.00) SYNN VX Equity (555) (8,069) 359.52 384.26 •9.88 0.70% (112.93) T US Equity (89) (3,172) 34.28 35.24 .4.61 0.61% (28.96) TD CN Equity 285 8,245 45.38 46.95 5.82 0.59% (104.94) TEF SM Equity 152 4,176 15.65 16.22 4.43 0.82% (12.82) TEF US Equity 131 3,406 15.52 16.11 4.34 0.88% (34.52) TGT US Equity 563 (10,717) 63.57 60.23 8.18 0.64% 190.95 TJX US Equity 2,101 7,594 46.52 59.39 36.09 0.77% (85.21) TLS AU Equity 301 7,919 4.60 4.78 6.47 0.59% 54.90 TLSN SS Equity • - 6.92 1.13% - TM US Equity 676 (6,829) 115.81 104.35 10.24 0.97% 214.14 TMO US Equity 8,789 10,218 63.59 118.28 100.46 0.86% (154.05) TOT US Equity 720 6,673 59.91 66.38 13.19 0.82% (104.60) TRP CN Equity • • 46.92 057% TRV US Equity 102 7,567 84.17 85.31 2.76 0.49% (9.19) TSCO LN Equity 1,151 (7,398) 5.65 4.77 14.71 1.06% 4.65 TWC US Equity 687 5,234 120.22 136.01 14.34 0.92% (76.56) EFTA00288251 TWX US Equity (194) 5,916 66.33 64.23 -3.38 0.97% (122.50) TXN US Equity 3,900 12,205 34.93 46.09 36.76 0.87% (335.85) TYC US Equity 10,192 24,080 29.17 41.51 57.64 0.73% 114.23 UBS US Equity 294 5,489 19.43 20.48 5.12 1.05% (32.38) UBSN VX Equity 307 5,158 19.51 20.67 6.09 0.98% 36.89 UCG IM Equity 3,151 5,391 5.58 8.85 34.22 1.71% (88.40) ULVR LN Equity 189 5,291 42.40 43.92 3.91 0.92% 12.77 UNA NA Equity 201 5,874 41.05 42.45 4.13 0.83% 22.28 UNH US Equity 2,585 10,192 64.28 80.59 33.49 0.76% (83.82) UNP US Equity 1,414 12,014 165.36 184.83 16.77 0.70% (73.17) UPS US Equity 3,202 14,806 79.87 97.15 46.44 0.47% (109.30) USB US Equity 2,646 14,238 34.71 41.16 27.21 0.68% (297.96) UTX US Equity 6,155 15,190 82.05 115.30 49.44 0.82% (211.58) V US Equity 1,524 2,528 126.50 202.75 61.67 0.98% (59.21) VALE US Equity 56 (3,908) 15.08 14.86 1.00 1.43% 27.70 VALE3 BZ Equity 26 (4,586) 15.04 14.96 0.36 1.59% (5.19) VIAB US Equity 3,580 9,272 60.42 83.74 40.87 0.94% (209.34) VIV FP Equity 183 2,668 26.19 27.99 8.22 0.83% 17.89 VMW US Equity 760 4,785 89.16 103.33 10.82 1.47% (136.80) VOD LN Equity 224 (3,679) 3.91 3.67 5.47 1.12% (2.23) VOD US Equity 235 (3,552) 39.03 36.44 5.92 1.12% 41.39 VOW3 GR Equity 158 1,833 253.13 274.92 7.13 1.21% 33.59 VRX CN Equity 528 1,611 92.95 123.42 18.40 1.78% (48.47) VRX US Equity 613 1,880 93.20 123.60 19.09 1.71% (44.10) VTI US Equity 532 5,134 86.91 95.91 19.30 0.54% (48.59) VWO US Equity (96) (2,899) 40.33 41.67 -3.81 0.87% (11.24) VZ US Equity 33 (6,121) 48.12 47.86 1.21 0.44% (2.02) WBC AU Equity 533 6,613 30.43 32.89 9.15 0.88% 78.56 WES AU Equity 399 8,616 38.65 40.44 7.06 0.66% 106.31 WFC US Equity 2,857 11,582 38.70 48.24 36.40 0.68% (187.24) WLP US Equity 3,037 10,369 74.31 96.08 34.58 0.85% (133.69) WMT US Equity 172 7,009 75.45 77.30 5.07 0.48% (37.09) WOW AU Equity - 34.23 0.80% XOM US Equity 961 13,076 90.48 97.13 11.99 0.61% (1.94) XTA LN Equity - 2,180 XWA WA 0.00 2.25% YHOO US Equity • 33.66 1.57% YUM US Equity 167 7,151 73.86 75.59 2.60 0.90% (92.00) ZURN VX Equity (144) 7,208 293.65 287.89 -2.59 0.77% 15.80 Current Portfolio - Global Macro Portfolio Current Price P/L in Vol 30P Realized Change on Day Security MTM Gain/(Loss) Exp. ea Cost Avg. Price (in USD) Days Vol (In USD) SPX Index 16,144 62,272 1,455.70 1,833.08 43.05 0.60% NDX Index 8,661 37,348 2,831.19 3,487.76 26.25 0.88% RTY Index 9,535 31,950 868.48 1,127.66 32.11 0.93% EFTA00288252 SPTSX Index 553 28,839 12,859.70 13,106.17 3.86 0.50% (350.49) MEXBOL Index 313 (26,146) 3,142.70 3,105.08 1.52 0.79% 226.27 IBOV Index 9 5,549 23,302.56 23,340.55 0.11 1.43% 54.28 MERVAL Index (645) (5,408) 725.60 812.20 -11.19 1.07% (16.26) UKX Index 3,334 39,963 10,288.22 11,146.55 13.55 0.62% 134.67 DAX Index 8,706 36,674 10,610.77 13,129.52 24.07 0.99% 7.61 CAC Index 1,794 20,042 5,625.44 6,129.01 11.26 0.79% (20.94) IBEX Index 9,601 39,644 11,555.30 14,353.74 26.13 0.93% (426.06) SMI Index 7,458 44,078 8,219.62 9,610.34 25.81 0.66% 409.35 FTSEMIB Index 7,256 25,266 23,118.99 29,758.58 26.53 1.08% (249.92) P512O Index 6,923 24,289 8,026.78 10,314.50 27.54 1.04% (107.21) ISEQ Index 25,506 40,099 4,246.25 6,947.25 65.02 0.98% 207.18 ICEXI Index 5,439 37,337 6.63 7.59 29.08 0.50% 340.75 AEX Index 6,441 42,240 484.27 558.12 21.58 0.71% 94.14 BEL20 Index 8,272 44,003 3,610.75 4,289.56 25.22 0.75% 19.99 LUXXX Index 11,496 40,811 1,665.29 2,134.40 45.31 0.62% 334.06 KFX Index 10,247 38,048 100.82 127.97 30.79 0.87% (180.47) HEX Index 8,176 40,933 8,513.92 10,214.51 21.60 0.92% (39.02) OMX Index 1,951 23,118 191.41 207.57 8.52 0.99% (287.48) ATX Index 241 9,226 3,409.40 3,498.51 2.18 1.20% (5.30) ASE Index 7,552 19,369 1,282.88 1,783.04 37.65 1.04% (48.44) OSEBX Index 2,452 24,683 85.16 93.62 14.12 0.70% 152.96 INDEXCF Index 740 (26,563) 39.61 38.50 1.34 2.08% (483.00) TOP40 Index 1,739 25,595 3,920.67 4,187.09 7.37 0.92% 230.66 SENSEX Index 1,075 27,288 362.49 376.78 5.35 0.74% (57.91) NKY Index (16) 5,686 141.32 140.93 -0.30 0.93% 23.08 HSI Index 698 22,352 2,900.03 2,990.59 3.95 0.79% 347.50 SHCOMP Index 97 (33,700) 344.53 343.54 0.33 0.88% (398.73) KOSPI Index 1,436 29,082 1.85 1.94 6.92 0.71% 130.58 AS51 Index 1,219 21,983 4,890.10 5,161.22 7.56 0.73% 223.82 STBCNZL Index 35,053 73,231 444.47 657.22 118.15 0.41% 1,086.68 EEM US Equity (64) (2,448) 40.76 41.83 •2.85 0.92% 25.37 IYR US Equity (35) (3,862) 67.32 67.93 -1.77 0.51% 34.06 MDY US Equity 4,553 14,269 184.03 242.74 44.14 0.72% (410.33) JNK US Equity (8) 5,353 41.26 41.20 -0.85 0.18% (12.94) XLF US Equity 5,215 13,610 15.57 21.54 54.96 0.70% (435.41) XLU US Equity 680 9,939 39.06 41.73 12.14 0.56% (40.56) XLK US Equity 2,004 12,860 30.80 35.60 20.74 0.75% (342.65) XLI US Equity 5,583 16,147 38.20 51.41 47.82 0.72% (430.87) XLP US Equity 291 10,839 41.85 42.97 7.04 0.38% (110.28) XLY US Equity 3,459 9,859 46.72 63.11 44.32 0.79% (331.30) XLE US Equity 277 7,840 85.67 88.70 5.48 0.64% (112.80) XLB US Equity 3,583 14,930 37.57 46.59 32.20 0.75% (369.95) XLV US Equity 10,882 24,346 38.87 56.24 53.55 0.83% (1,174.65) SXXP Index 6,773 43,407 400.51 463.01 22.83 0.68% 19.95 SXAP Index 11,123 28,526 520.28 723.15 31.05 1.26% (528.79) SXKP Index 4,480 47,032 366.14 401.01 12.75 0.75% (173.06) EFTA00288253 SX6P Index 6,468 35,490 354.71 419.36 31.60 0.58% (168.47) SXEP Index 1,979 38,769 447.48 470.32 8.79 0.58% 8.74 SXIP Index 11,664 28,923 222.31 311.96 49.71 0.81% (46.86) SXNP Index 5,406 28,384 482.69 574.62 22.58 0.84% (55.35) SX3P Index 1,128 20,506 666.44 703.11 8.46 0.65% 103.31 SXDP Index 23,331 61,075 609.16 841.86 60.75 0.63% 387.25 SX4P Index 3,081 25,840 917.36 1,026.75 13.46 0.89% 139.39 SX8P Index 2,871 17,778 343.07 398.47 19.29 0.84% (35.66) SXOP Index 12,214 40,520 380.28 494.90 32.34 0.93% (27.50) SXQP Index 549 26,331 793.71 810.25 2.96 0.70% 331.38 SXRP Index (46) 14,083 434.80 433.39 0.46 0.71% (33.34) SXMP Index 10,846 35,766 261.12 340.30 47.08 0.64% 32.97 SXTP Index 22,522 39,247 172.05 270.78 71.79 0.80% 212.22 SX7E Index 6,487 18,886 159.85 214.75 26.94 1.27% (277.01) SXSE Index 7,242 40,148 3,709.25 4,378.38 21.97 0.82% (180.48) SPGSCITR Index (122) (6,808) 4,922.21 5,010.48 .3.11 0.58% 8.74 XAG Curncy 2,414 (20,150) 22.78 20.05 13.70 0.87% (186.89) CO1 Comdty 325 (24,622) 108.90 107.46 1.65 0.80% 120.14 CL1 Comdty 1,247 29,347 99.19 103.40 4.63 0.92% (59.06) NG1 Comdty 3,911 16,608 3.77 4.66 12.17 1.93% 308.73 XAU Comdty (484) (24,602) 92.37 94.19 4.64 0.74% 400.36 IBOXHY Index 3,173 53,418 220.12 233.20 80.10 0.07% 53.05 US_TSY CREDIT (150) (20,067) 757.73 763.41 •5.76 0.13% (54.15) CA_TSY CREDIT 4,931 (97,153) 1,269.35 1,204.92 12.89 0.39% (246.29) MX_TSY CREDIT 214 58,229 215.13 215.92 0.91 0.40% 171.02 AU TSY CREDIT 725 43,335 1,489.95 1,514.86 3.65 0.46% 310.77 JP_TSY CREDIT 250 (47,742) 822.10 817.79 1.62 0.32% (174.34) MY_TSY CREDIT (479) (36,901) 167.72 169.90 .3.76 0.34% (137.72) SG_TSY CREDIT (342) (38,299) 219.11 221.07 4.63 0.25% (61.91) AT_TSY CREDIT 4,210 77,381 357.33 376.77 21.16 0.26% 628.47 BE_TSY CREDIT 5,230 77,405 476.81 509.03 28.27 0.24% 649.55 FI_TSY CREDIT 3,982 80,015 348.46 365.80 20.00 0.25% 603.63 FR_TSY CREDIT 4,591 75,943 1,676.71 1,778.07 24.24 0.25% 627.63 DE_TSY CREDIT 3,366 75,554 1,241.62 1,296.93 17.36 0.26% 578.03 lE_TSY CREDIT 32,599 78,270 336.92 477.25 198.38 0.21% 626.10 IT_TSY CREDIT 9,191 54,986 1,616.07 1,886.20 66.92 0.25% 364.41 NL_TSY CREDIT 4,001 78,610 1,327.30 1,394.85 20.09 0.25% 613.96 ES_TSY CREDIT 11,262 50,187 392.28 480.31 86.91 0.26% 338.32 DK_TSY CREDIT 3,455 67,396 729.23 766.61 17.59 0.29% 519.49 NO_TSY CREDIT 335 30,799 343.21 346.94 3.40 0.32% 256.96 PL_TSY CREDIT 1,549 27,617 424.62 448.44 18.94 0.30% 138.54 ZA_TSY CREDIT (310) (13,260) 83.13 85.07 4.11 0.75% (149.36) SE_TSY CREDIT 165 (39,490) 466.17 464.22 1.26 0.33% 14.52 CH_TSY CREDIT 4,130 65,265 1,004.77 1,068.35 22.49 0.28% 347.29 GELTSY CREDIT 1,857 56,841 1,489.15 1,537.81 9.62 0.34% 470.17 EFTA00288254