EFTA00288255.pdf

Atorus, LLC 4/11/2014 Current Date: 4/11/2014 Change on Day: Total Return since 1/1/12: 75.95% MSCI World Change on 712M Return: 28.05% Day -1.07% T90 Day Return: .3.38% No of Positions T30 Day Return: 4.69% (+MTM) on Day 92 Current Long Exposure @ Cost: 4,760,684 No of Positions (-MTM) Current Short Exposure @ Cost: (902,579) on Day 329 Net Exposure: 3,858,104 Current No. of Starting Capital: 1,000000 Positions: 422 Current NAV: 1,759,492 Current Leverage (Gross Exposures): 3.22 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 2,000,000.00 1,800,030.00 1,600,030.00 1,400,030.00 1,200,030.00 1,000,000.00 600,000.00 600,000.00 ,o4). oesq. °G. op, oG G 44 44 e59. „ 4 A\ .5\ 4- 4 4 A\-- 4 „ 4 —NAV EFTA00288255 Atorus, LLC 4/11/2014 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) ZA_TSY CREDIT (26,519) INDEXCF Index (26,563) SHCOMP Index (33,700) JP_TSY CREDIT (35,807) SE_TSY CREDIT (39,490) US_TSY CREDIT (40,135) SPX Index 62,272 CH_TSY CREDIT 65,972 DK_TSY CREDIT 67,396 STBCNZL Index 73,231 MY_TSY CREDIT (73,802) SG_TSY CREDIT (76,599) DE_TSY CREDIT 76,711 FR_TSY CREDIT 76,756 AT_TSY CREDIT 77,381 BE_TSY CREDIT 77,996 IE_TSY CREDIT 78,270 NL_TSY CREDIT 78,610 FI_TSY CREDIT 80,015 CA_TSY CREDIT (97,153) NAV Impact of MTM by Category & Exposure Listed Equity Long -1.714% Listed Equity Short 0.220% EquityCom Long -1.352% EquityCom Short 0.054% G20 Rates Long 0.007% G20 Rates Short 0.044% % of Total Notional Security MTM Gain % Total NAV 23.22%l 43 Positions 25.39% 0.43% AEX Index 5,717 0.32% 0.46% HON US Equity 5,775 0.33% 0.47% ROG VX Equity 5,815 0.33% 0.47% UTX US Equity 5,964 0.34% 0.60% SX6P Index 6,072 0.35% 0.63% SXXP Index 6,110 0.35% 0.70% SX7E Index 6,202 0.35% 0.71% EDF FP Equity 6,396 0.36% 1.10% BAYN GR Equity 6,443 0.37% 1.16% P5120 Index 6,552 0.37% 1.19% DAI GR Equity 6,668 0.38% 1.29% SXSE Index 6,730 0.38% 1.30% SMI Index 6,800 0.39% 1.35% ME Index 6,875 0.39% 1.35% FTSEMIB Index 6,930 0.39% 1.36% ACA FP Equity 6,940 0.39% 1.37% PRU LN Equity 7,428 0.42% 1.38% HEX Index 7,551 0.43% 1.38% MDT US Equity 7,801 0.44% 1.39% BEL20 Index 7,813 0.44% 1.41% MMM US Equity 7,942 0.45% 1.72% DAX Index 8,069 0.46% NDX Index 8,122 0.46% TMO US Equity 8,453 0.48% MC US Equity 8,710 0.50% RTY Index 8,938 0.51% IBEX Index 9,013 0.51% IT_TSY CREDIT 9,035 0.51% TYC US Equity 9,589 0.54% KFX Index 9,665 0.55% SXMP Index 10,057 0.57% XLV US Equity 10,550 0.60% SXAP Index 10,697 0.61% ES_TSY CREDIT 11,174 0.64% SXIP Index 11,200 0.64% LUM Index 11,216 0.64% SXOP Index 11,582 0.66% SPX Index 15,400 0.88% SXTP Index 21,055 1.20% SXDP Index 21,872 1.24% EFTA00288256 ISEQ Index 24,723 1.41% IE_TSY CREDIT 32,601 1.85% STBCNZL Index 34,540 1.96% No. Names APAC Long 23 APAC Short 22 EMEA Long 73 EMEA Short 12 AMER Long 164 AMER Short 33 EquityCom Long 62 EquityCom Short 10 G20 Rates Long 16 620 Rates Short 7 Total Long 338 Total Short 84 Current Exposure by Geography (Listed Equl les) & Macro (Equity Indices & Commodiites, G20 Gov. Credit) $2,000,000 $1,500,000 $1,000,000 $500,000 $(500,000) ■ APAC Long ■ APAC Short ■ EMEA Long ■ EMEA Short ■ AMER Long ■ AMER Short ■ EquityCom Long ■ EquityCom Short ■ G20 Rates Long ■ G20 Rates Short EFTA00288257 Atorus, LLC 4/11/2014 Historical Net Exposure by Geography (Listed Equities) & Maao (Equity Indices & Comrnodiltes, G20 Gov. Credit) Historical Gross Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodlites, G20 Gov. Credit) EFTA00288258 Atorus, LIC 4/11/2014 Current Gross Notional Risk by Category 230,932 561,382 1,397,35 ■ APAC ■ EMEA ■ AMER ■ EquityCom ■ G20 Rates Performance Vs. MSCI World Index Rolling 30 Day Realized Volatility - A EFTA00288259 Atoms, LLC 4/11/2014 Percentile Distribution of Current MTM Gains in Vol Days by Position (ex-99pct & ex-lst percentiles) 5000 4000 30.00 20.00 10.00 000 ...ans. $444444$4444$44444 c,C9 39 ,cP ,2:9 c,c9 a6). ..,c9 ac9 „az> a6). ,z9 6.(9 ,c9 „59 r;z9 cp° ti ts. ' ti l> Vol Days by Posaion Percentile No. Vol Da vs 0.00% -12.50 5.00% -4.34 10.00% -2.49 15.00% .0.93 20.00% 0.00 25.00% 1.18 30.00% 2.31 35.00% 3.57 40.00% 4.99 45.00% 6.48 50.00% 7.74 55.00% 9.86 60.00% 11.48 65.00% 15.39 70.00% 18.31 75.00% 20.97 80.00% 25.41 85.00% 30.48 90.00% 38.16 95.00% 54.43 100.00% 200.10 MTM Gains(Losses) % of NAV "Signficant" (<7 Vol Days) 1.23% MTM Gains(Losses) % of NAV "Signficant" (>7 Vol Days) 44.32% EFTA00288260 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 - 56.75 1.11% 005380 KS Equity 114 3,149 224.39 232.48 3.13 1.15% 19.70 005490 KS Equity (386) (3,782) 273.49 301.38 -8.38 1.22% 5.46 005930 KS Equity (184) (6,997) 1,278.17 1,311.75 -2.79 0.94% 66.91 012330 KS Equity 974 5,584 247.00 290.09 17.51 1.00% (90.46) 1 HK Equity 1,047 10,664 15.95 17.52 10.29 0.95% 78.62 1299 HK Equity 373 5,954 4.79 5.09 6.96 0.90% 228.78 13 HK Equity 2,755 12,243 11.40 13.97 20.97 1.07% 347.71 16 HK Equity (65) (3,179) 12.66 12.92 -2.62 0.78% 9.52 27 HK Equity (6) 123 9.65 9.19 -2.66 1.90% 0.43 2914 JP Equity 231 (4,719) 32.47 30.88 4.22 1.16% 140.19 3382 JP Equity (23) 1,329 37.69 37.04 -1.56 1.12% (23.88) 4063 JP Equity (78) (4,536) 56.40 57.37 -1.39 1.24% 50.84 4502 JP Equity (38) 546 46.79 43.75 -7.69 0.90% (7.87) 4689 JP Equity 460 4.58 4.58 0.00 1.88% (17.01) 5 HK Equity (111) (3,997) 10.17 10.45 -3.27 0.85% (29.22) 5108 JP Equity - 34.67 1.05% 5401 JP Equity 502 (5,511) 2.89 2.63 7.63 1.19% 110.63 6301 JP Equity (30) (2,812) 20.64 20.86 -0.93 1.15% 69.52 6752 JP Equity 144 829 9.01 10.58 11.18 1.56% (24.74) 6902 JP Equity - 46.33 1.44% 6954 JP Equity 747 6,393 6,392.98 176.07 8.74 1.34% (141.51) 7201 JP Equity 0 (3,743) (3,742.97) 8.85 0.00 1.03% 87.07 7203 JP Equity 371 (5,260) (5,259.85) 52.16 7.12 0.99% 84.94 7267 JP Equity 384 (4,885) (4,885.01) 33.57 7.78 1.01% 53.04 762 HK Equity (8) (5,162) (5,161.69) 1.38 -0.12 1.26% (1.49) 7751 JP Equity 155 (6,865) (6,865.02) 30.73 2.56 0.88% 111.77 8031 JP Equity 3 (4,776) (4,775.88) 14.09 0.05 1.24% 69.70 8058 JP Equity 85 (4,383) (4,383.01) 17.96 1.98 0.98% 82.90 8306 JP Equity 340 (4,604) (4,603.66) 5.23 5.48 1.35% 147.25 8316 JP Equity 81 (2,001) (2,000.57) 39.80 2.75 1.48% 43.25 8411 JP Equity 1.95 8604 JP Equity 324 (3,504) (3,504.39) 5.99 6.87 1.34% 148.12 8801 JP Equity 29.34 8802 JP Equity 504 (5,009) 24.84 22.34 5.82 1.73% 177.83 9020 JP Equity 295 (6,726) 75.20 71.90 3.61 1.22% 98.12 941 HK Equity 648 (11,819) 10.19 9.63 5.11 1.07% (58.24) 9432 JP Equity (276) 6,077 53.08 50.78 -3.58 1.27% (86.46) 9433 JP Equity - 636 49.90 49.90 0.00 1.36% (23.47) 9437 JP Equity 252 (7,723) 15.62 15.11 3.30 0.99% 120.00 9983 JP Equity (229) 2,541 366.07 335.78 -6.37 1.42% (175.90) 4/11/2014 EFTA00288261 9984 JP Equity 182 410 46.70 67.43 22.79 1.95% (31.96) AAPL US Equity 25 7,877 518.25 519.87 0.50 0.63% (107.65) ABB US Equity 555 6,661 23.59 25.56 10.03 0.83% (58.40) ABBN VX Equity 595 6,962 23.63 25.65 9.88 0.87% (111.93) ABBV US Equity (258) 4,268 49.31 46.50 -4.36 1.39% (156.84) ABEV US Equity 7.74 ABEV3 BZ Equity 7.79 ABI BB Equity 252 8,454 102.94 106.01 3.68 0.81% (109.25) ABT US Equity (194) 4,097 38.78 37.03 -6.41 0.74% (47.12) ABX CN Equity 36 (4,216) 19.01 18.85 0.60 1.41% 22.04 ABX US Equity 44 (4,063) 19.03 18.82 0.78 1.39% 23.19 ACA FP Equity 6,940 5,408 6.83 15.60 92.96 1.38% (304.62) ACE US Equity 254 6,435 95.44 99.20 8.57 0.46% 6.92 ACN US Equity (141) 10,703 77.95 76.94 -1.56 0.84% (60.51) ADP US Equity 3 1,191 74.01 74.20 0.34 0.74% (34.09) MI US Equity (131) 3,645 63.54 61.33 -5.70 0.63% (56.24) AGN US Equity 859 9,698 110.56 120.35 8.09 1.09% 246.50 Al FP Equity 41 8,248 134.80 135.47 0.76 0.65% (99.31) AIG US Equity 70 4,012 48.66 49.52 1.95 0.90% (59.65) AIR FP Equity 2,072 3,341 42.47 68.82 55.64 1.11% (96.78) ALV GR Equity 288 2,209 146.70 165.80 16.90 0.77% (35.09) ALVG IX Equity 159 1,344 148.11 165.64 15.10 0.78% (24.25) AMGN US Equity 4,331 22,886 95.40 113.46 15.86 1.19% (501.60) AMT US Equity 641 10,655 76.29 80.88 9.79 0.61% (112.43) AMZN US Equity 233 (4,035) 331.67 312.50 4.45 1.30% 120.58 ANZ AU Equity 596 7,345 29.47 31.86 9.51 0.85% (69.25) AM US Equity 42 (6,870) 82.74 82.23 0.93 0.65% 82.56 APC US Equity 96.97 - AXP US Equity 1,894 10,373 71.56 84.63 18.59 0.98% (227.17) AZN LN Equity 3,384 12,676 49.80 63.10 31.84 0.84% (330.44) AZN SS Equity 2,943 12,119 50.82 63.16 31.73 0.77% (284.30) AZN US Equity 3,200 12,812 50.30 62.86 31.88 0.78% (318.34) BA US Equity 122.55 BAC US Equity 8,710 10,884 8.82 15.88 71.38 1.12% (465.24) BARC LN Equity 3.97 BAS GR Equity 820 7,333 97.30 108.19 10.42 1.07% (169.17) BATS LN Equity 425 6,088 53.22 56.93 7.76 0.90% (52.16) BAX US Equity (24) 1,904 73.24 72.31 -1.42 0.90% (6.57) BAYN GR Equity 6,443 9,406 76.64 129.13 69.24 0.99% (370.80) BBAS3 BZ Equity (287) (1,629) 9.07 10.66 -8.18 2.15% (2.48) BOO US Equity 14.84 BBOC4 BZ Equity 14.85 - BBL US Equity (169) (2,434) 59.69 63.83 -6.60 1.05% 26.74 BBVA SM Equity 1,193 5,790 10.12 12.20 16.72 1.23% (132.33) BCE CN Equity (100) (5,315) 43.17 43.99 -3.36 0.56% 18.24 BCS US Equity 15.77 - BEN US Equity (17) 1,957 52.34 51.90 -0.74 1.14% (22.12) EFTA00288262 BG/ LN Equity (252) (4,379) 17.51 18.52 .8.00 0.72% 40.87 BHP AU Equity 197 6,689 34.33 35.34 2.46 1.20% (101.99) BHP US Equity 264 6,839 67.77 70.39 3.57 1.08% (44.87) BOB US Equity 156 1,066 245.93 281.88 8.38 1.74% (30.36) BIL SJ Equity 11 (840) 32.31 31.90 1.14 1.10% 10.69 BK US Equity 70 8,609 32.86 33.13 1.02 0.80% (102.80) BLK US Equity 69 937 274.17 294.31 6.94 1.06% (17.98) BLT IN Equity 13 (857) 32.42 31.94 1.35 1.10% 12.87 BMO CN Equity 361 10,488 66.07 68.35 5.46 0.63% (50.40) BMW GR Equity 1,347 5,212 99.22 124.86 22.72 1.14% (71.60) BMY US Equity • 729 49.07 49.07 0.00 1.18% (6.70) BN FP Equity (121) (2,947) 70.54 73.42 .5.11 0.80% (3.43) BNP FP Equity 1,309 5,498 61.78 76.49 18.21 1.31% (164.33) BNS CN Equity 106 7,633 57.74 58.54 2.25 0.62% (59.78) BP/ LN Equity 283 9,797 7.76 7.99 4.40 0.66% (173.66) BRK/B US Equity 304 11,056 118.69 121.95 4.35 0.63% (112.58) BSBR US Equity 690 (8,171) 6.18 5.66 5.96 1.42% (38.83) BUD US Equity 250 6,846 102.05 105.78 4.45 0.82% (53.04) BX US Equity (89) 3,119 30.34 29.50 •1.66 1.71% (99.23) C US Equity 45.78 CA FP Equity 605 3,167 33.26 39.61 16.96 1.13% (53.03) CAT US Equity 1,824 13,589 89.53 101.54 18.88 0.71% (162.84) CBA AU Equity 655 11,185 68.68 72.71 8.30 0.71% (89.36) CBS US Equity 253 1,267 49.35 59.20 17.07 1.17% (37.54) CCL US Equity 175 7,821 36.20 37.01 2.29 0.98% (158.14) CELG US Equity 92 (3,342) 142.82 138.89 1.61 1.71% 71.51 CFR VX Equity 159 4,011 94.53 98.28 3.85 1.03% (49.34) CL US Equity 2,071 18,685 59.05 65.59 21.39 0.52% (135.87) CM CN Equity 445 8,742 82.73 86.93 9.06 0.56% (27.94) CMCSA US Equity 1,171 6,267 40.65 48.24 19.78 0.94% (110.70) CMCSK US Equity 3,759 12,096 36.26 47.53 33.84 0.92% (186.28) CNI US Equity 844 12,873 51.38 54.75 9.81 0.67% (124.69) CNQ CN Equity 852 10,512 36.67 39.64 10.91 0.74% (171.16) CNR CN Equky 850 12,425 51.30 54.80 10.36 0.66% (107.33) COF US Equity 539 6,770 68.55 74.01 9.90 0.81% (101.66) COP US Equity (415) (6,384) 66.64 70.97 -12.50 0.52% (69.87) COST US Equity • - 112.13 0.58% COV LN Equity - 5,151 ON/A N/A 0.00 0.31% COV US Equity 577 7,080 64.09 69.31 10.43 0.78% (143.09) CRM US Equity (121) 2,054 56.69 53.54 -3.55 1.66% (50.20) CS FP Equity 1,273 4,310 19.39 25.12 26.23 1.13% (136.73) CSCO US Equity 22.63 CSX US Equity 1,058 8,914 25.07 28.05 16.14 0.74% (62.01) CVE CN Equity (58) (4,179) 28.70 29.09 -2.09 0.66% 5.07 CVS US Equity 1,629 11,815 63.98 72.80 22.27 0.62% (195.84) CVX US Equity (361) (8,207) 112.39 117.34 -8.64 0.51% (12.09) D US Equity 1,908 12,764 60.42 69.45 26.18 0.57% (63.16) EFTA00288263 DAI GR Equity 6,668 13,908 62.20 92.03 34.84 1.38%I (505.42) DBK GR Equity 43.71 DD US Equity 2,639 12,908 54.93 66.16 31.71 0.64% (161.57) DDAIF US Equity 3,776 8,377 63.20 91.69 29.75 1.52% (231.05) DE US Equity 651 8,537 85.81 92.36 10.17 0.75% (117.31) DELL US Equity - 6,820 #N/A N/A 0.00 0.07% DG FP Equity 4,419 10,090 51.66 74.28 59.01 0.74% (148.57) DGE LN Equity 39 2,132 30.75 31.30 2.23 0.81% (26.06) DHR US Equity 1,686 6,767 58.57 73.16 31.05 0.80% (169.46) DIS US Equity 1,291 9,908 68.36 77.27 12.92 1.01% (177.33) DISCA US Equity (299) 5,110 83.03 78.45 -6.52 0.90% (91.81) DNB NO Equity 357 4,673 15.77 16.97 8.02 0.95% (144.36) DOW US Equity 2,033 7,257 36.95 47.31 29.61 0.95% (159.22) DPW GR Equity 166 660 29.41 36.80 16.73 1.50% (21.05) DTE GR Equity 2,428 8,885 12.27 15.62 26.14 1.05% (94.65) DTV US Equity 2,266 10,622 61.97 75.20 20.24 1.05% (467.19) DUK US Equity - 1,151 71.82 71.82 0.00 0.50% (1.16) DVN US Equity 835 11,143 63.30 68.05 11.48 0.65% (127.16) EBAY US Equity (50) 6,678 54.29 53.88 -0.79 0.94% (82.04) ECL US Equity (87) 9,210 105.21 104.23 -1.31 0.72% (135.45) EDF FP Equity 6,396 9,189 23.45 39.77 83.38 0.83% (242.53) EMC US Equity 604 10,986 25.35 26.75 7.37 0.75% (196.05) EMR US Equity (171) 8,739 66.77 65.49 -2.50 0.78% (126.31) ENB CN Equity 371 9,024 44.84 46.68 6.47 0.63% (29.35) ENEL IM Equity 2,063 8,087 4.39 5.51 22.48 1.13% (220.11) ENI IM Equity 483 9,949 24.06 25.23 7.26 0.67% (107.66) EOAN GR Equity 43 2,996 18.77 19.04 1.79 0.81% (24.71) EOG US Equity 2,087 5,841 145.68 197.73 48.23 0.74% 22.22 EPD US Equity 1,731 13,127 63.70 72.10 25.41 0.52% 34.85 ERICB SS Equity 434 7,934 12.51 13.19 6.14 0.89% (150.66) ESRX US Equity 769 9,815 66.69 71.92 10.47 0.75% (112.15) ETN US Equity (75) 5,260 72.47 71.45 -1.20 1.18% (137.63) F US Equity (229) (3,621) 14.82 15.75 -7.31 0.87% (4.05) F8 US Equity 892 2,630 44.06 58.99 17.15 1.98% (90.37) FCX US Equity (35) 3,763 33.05 32.74 -0.74 1.26% (66.30) FDX US Equity 304 3,417 120.94 131.69 15.39 0.58% (24.49) FOX US Equity (123) 3,508 32.21 31.12 -2.91 1.20% (75.38) FOXA US Equity (123) 3,404 33.10 31.95 -2.88 1.25% (71.84) FP FP Equity 979 11,414 61.00 66.23 12.14 0.71% (110.42) G IM Equity 164 4,069 21.51 22.38 4.66 0.87% (58.29) GE US Equity 1,898 13,140 22.32 25.54 20.33 0.71% (156.62) GILD US Equity 2,970 1,663 24.02 66.93 99.48 1.80% (4.71) GIS US Equity 530 17,619 49.73 51.22 5.19 0.58% (69.36) GLE FP Equity 733 3,248 49.51 60.68 16.27 1.39% (95.56) GLEN LN Equity 20 (4,634) 5.24 5.22 0.32 1.38% 44.28 GLW US Equity 2,989 11,635 16.25 20.43 24.75 1.04% (379.63) GM US Equity 200 (3,006) 34.67 32.36 6.09 1.09% 122.89 EFTA00288264 GOOG US Equity 2,376 11,040 878.06 1,067.06 18.33 1.17% (345.39) GS US Equity - 844 153.27 153.27 0.00 1.02% (19.89) GSK LN Equity (54) 5,707 26.22 25.97 -1.13 0.84% (134.59) GSZ FP Equity 871 9,006 24.84 27.24 10.52 0.92% (149.85) HAL US Equity 1,065 6,395 49.49 57.73 20.53 0.81% (68.10) HD US Equity 1,521 10,667 66.67 76.17 21.63 0.66% (166.29) HMB SS Equity - 926 41.34 41.34 0.00 0.93% (17.56) HON US Equity 5,775 11,930 61.10 90.68 65.53 0.74% (256.49) HPQ US Equity 2,082 7,393 25.45 32.62 22.31 1.26% (213.76) HSBA LN Equity 88 4,565 10.16 10.36 2.67 0.72% (17.27) IBE SM Equity 1,484 7,501 5.56 6.66 30.16 0.66% (85.71) IBM US Equity 76 5,009 192.83 195.74 2.06 0.73% (48.45) IMT LN Equity 1,578 12,188 36.36 41.07 18.32 0.71% (83.32) INTC US Equity 1,056 12,041 24.19 26.32 14.06 0.62% (156.81) ISP IM Equity 4,152 5,699 1.93 3.34 50.94 1.43% (308.96) ITUB US Equity 59 2,863 15.39 15.70 1.17 1.75% 24.88 ITUB4 BZ Equity 101 4,065 15.40 15.78 1.48 1.69% 24.94 ITW US Equity 2,801 14,011 67.84 81.39 25.86 0.77% (210.24) ITX SM Equity 38 (4,597) 147.96 146.75 0.81 1.01% 109.57 JCI US Equity 281 2,396 41.02 45.84 10.22 1.15% (46.91) JNJ US Equity 4,989 15,364 73.04 96.76 62.05 0.52% (144.51) JPM US Equity 411 6,813 52.29 55.44 5.65 1.07% (315.34) KMB US Equity 254 9,304 107.30 110.23 4.99 0.55% (138.22) KMI US Equity 483 (8,600) 34.31 32.39 7.82 0.72% 120.98 KO US Equity 17 (6,962) 38.83 38.74 0.59 0.43% 66.37 LBTYA US Equity - 757 77.75 77.75 0.00 1.14% (26.10) LBTYK US Equity 817 75.65 75.65 0.00 1.06% (23.92) LIN GR Equity (41) 8,087 198.03 197.03 -0.77 0.66% (124.27) LLOY LN Equity 992 2,716 0.89 1.22 32.00 1.14% (110.79) LLY US Equity (29) 4,536 58.92 58.55 -0.92 0.71% (55.95) LMT US Equity 526 2,016 122.48 154.42 31.46 0.83% (36.14) LNKO US Equity 276 (2,835) 185.39 167.31 4.66 2.09% 57.35 LOW US Equity (319) 7,829 48.33 46.43 -5.60 0.73% (118.63) LVS US Equity 1,528 6,808 61.33 75.09 15.16 1.48% (197.47) LYB US Equity 1,091 2,297 59.29 87.46 58.18 0.82% (13.28) MA US Equity 69.42 MAERSKB DC Equity 5,701 14,148 8,212.58 11,521.79 35.17 1.15% (518.06) MC FP Equity 289 4,464 183.52 195.40 7.27 0.89% (14.82) MCD US Equity (83) (1,785) 94.88 99.31 -9.56 0.49% 2.13 MCK US Equity 8 2,181 164.92 165.56 0.39 1.00% (45.55) MOLZ US Equity 2,715 13,641 28.68 34.39 31.69 0.63% (271.26) MDT US Equity 7,801 20,811 43.22 59.43 50.27 0.75% (504.49) MET US Equity 904 7,556 44.37 49.67 11.26 1.06% (209.24) MFC CN Equity 3,072 6,402 12.38 18.31 54.75 0.88% (216.75) MHS US Equity - 5,485 I/N/A N/A 0.00 1.17% MMM US Equity 7,942 21,331 96.89 132.97 57.61 0.65% (440.33) MO US Equity 349 9,167 36.41 37.80 7.38 0.52% (100.53) EFTA00288265 MON US Equity 644 11,917 106.02 111.75 6.93 0.78% (185.96) MOS US Equity 47.33 MRK US Equity 1,378 11,769 50.18 56.06 12.98 0.90% (154.72) MS US Equity 23 594 27.57 28.64 3.03 1.28% (17.95) MSFT US Equity 921 8,007 35.30 39.36 12.31 0.93% (86.35) MUV2 GR Equity 751 6,116 197.70 221.96 19.37 0.63% (35.40) NAB AU Equity 535 9,956 31.52 33.21 6.87 0.78% (103.27) NCM AU Equity 10.15 NEE US Equity NEM US Equity 4,609 2,241 14,649 (7,392) 72.62 34.95 95.46 24.35 42.76 20.13 0.74% 1.51% I (72.43) 281.10 NESN VX Equity 1,088 9,821 69.64 77.35 17.17 0.65% (57.28) NG/ IN Equity 1,807 12,963 11.93 13.59 28.48 0.49% (138.34) NKE US Equity 282 3,293 66.10 71.77 8.60 1.00% (56.66) NOK US Equity 3,976 4,498 3.96 7.47 60.84 1.45% (271.75) NOV US Equity 186 7,475 76.38 78.28 3.33 0.75% (37.27) NOVN VX Equity 5,632 18,291 63.81 83.45 38.09 0.81% (306.10) NOVOB DC Equity 608 9,444 40.35 42.95 6.85 0.94% (290.81) NSC US Equity 1,520 9,797 80.78 93.31 20.14 0.77% (219.90) NVS US Equity 4,245 15,510 65.07 82.88 32.66 0.84% (315.63) OGXP3 BZ Equity 5,064 (5,180) 4.43 0.10 49.55 1.97% 201.66 OR FP Equity 162.82 - ORA FP Equity 859 6,019 13.03 14.89 9.65 1.48% (81.46) ORCL US Equity 1,351 7,995 33.68 39.37 15.55 1.09% (154.97) OXY US Equity (97) 7,355 95.02 93.79 -1.57 0.84% (94.97) PBR US Equity (107) (2,251) 13.30 13.93 -2.23 2.13% (17.87) PBR/A US Equity (112) (2,795) 13.87 14.43 -1.88 2.14% (19.31) PCLN US Equity 653 3,043 956.05 1,161.28 14.18 1.51% (111.54) PCP US Equity (56) 1,702 253.57 245.48 -3.42 0.97% (29.18) PEP US Equity 114 8,118 82.28 83.43 2.85 0.49% (70.07) PETR3 BZ Equity (148) (2,338) 6.54 6.96 -2.85 2.23% (7.96) PETR4 BZ Equity (119) (3,123) 6.95 7.21 -1.63 2.33% (11.71) PFE US Equity 2,671 17,462 26.10 30.10 18.52 0.83% (488.46) PG US Equity 250 8,334 78.47 80.83 6.25 0.48% (69.94) PHIA NA Equity 34.99 - PM US Equity 267 (10,166) 85.47 83.23 4.14 0.63% 121.09 PNC US Equity 530 9,010 76.60 81.11 7.12 0.83% (224.94) POT CN Equity 33.46 POT US Equity 33.44 PRU LN Equity 7,428 10,521 12.76 21.77 62.71 1.13% (326.91) PSA US Equity 614 11,140 160.09 168.91 11.32 0.49% (74.48) PSX US Equity 1,144 6,030 64.65 76.91 20.97 0.90% (49.26) PX US Equity 2,025 16,340 113.54 127.61 22.49 0.55% (230.99) QCOM US Equity 2,131 12,547 66.83 78.18 20.44 0.83% (97.62) QQQ US Equity 3,757 15,936 68.46 84.60 31.41 0.75% (332.91) RAI US Equity 166 6,737 52.22 53.51 2.37 1.04% (112.05) RDS/A US Equity (0) 6,753 73.47 73.46 -0.01 0.50% (46.18) RDS/B US Equity 211 6,990 76.36 78.67 5.82 0.52% (31.68) EFTA00288266 RDSA LN Equity 259 4,675 34.83 36.76 10.62 0.52% (49.94) RDSA NA Equity 9 5,929 36.74 36.79 0.30 0.50% (60.82) RDSB LN Equity 263 6,969 37.90 39.33 6.40 0.59% (53.00) REGN US Equity (224) 6,240 302.39 291.91 -2.17 1.65% (105.14) RIO AU Equity 54 3,506 59.40 60.32 1.27 1.22% (64.31) RIO IN Equity 80 4,819 54.83 55.75 1.24 1.34% (93.36) RIO US Equity 157 4,934 54.04 55.77 2.39 1.33% (63.98) ROG VX Equity 5,815 17,035 212.78 285.42 47.60 0.72% (547.31) RY CN Equity 107 8,293 65.48 66.33 2.39 0.54% (67.95) SAB LN Equity 642 8,997 48.45 51.90 7.72 0.92% (78.34) SAN FP Equity 7 (3,704) 103.67 103.46 0.21 0.95% 75.43 SAN SM Equity 1,209 7,933 8.46 9.75 14.87 1.02% (96.96) SAN US Equity 844 6,290 8.45 9.58 12.11 1.11% (37.98) SAP GR Equity (85) 5,241 80.58 79.29 -1.76 0.92% (122.06) SAP US Equity (121) 5,649 80.59 78.90 -2.21 0.97% (113.86) SBUX US Equity (187) 2,446 74.67 69.38 -7.19 1.06% (52.13) SGO FP Equity 2,886 7,836 44.08 60.32 31.18 1.18% (149.88) SI US Equity 723 5,671 118.49 133.60 11.50 1.11% (75.98) SIE GR Equity 880 5,345 114.81 133.71 16.24 1.01% (91.34) SLB US Equity 1,406 7,174 81.27 97.19 28.41 0.69% (77.56) SMSN LI Equity (110) (7,500) 642.17 651.54 -1.43 1.02% 92.47 SO US Equity 189 9,151 43.58 44.48 3.71 0.56% 4.54 SPG US Equity 99 4,673 163.56 167.03 3.73 0.57% (10.22) SREN VX Equity 1,659 10,006 80.46 93.80 20.83 0.80% (205.94) STAN LN Equity (62) (6,124) 21.91 22.13 -0.94 1.08% 42.27 STL NO Equity 660 9,825 26.16 27.92 9.41 0.71% (57.22) STT US Equity (215) 2,940 68.76 64.07 -6.12 1.20% (63.23) SU CN Equity 35.90 SU FP Equity 374 6,518 84.31 89.15 5.26 1.09% (160.05) SU US Equity 35.86 SWEDA SS Equity 264 6,088 24.78 25.85 3.59 1.21% (120.73) SYNN VX Equity (472) (8,069) 359.52 380.54 -8.19 0.71% 73.60 T US Equity (60) (2,379) 34.28 35.15 -4.16 0.61% 5.87 TD CN Equity 180 8,245 45.38 46.37 3.75 0.58% (104.51) TEF SM Equity 81. 4,176 15.65 15.96 2.27 0.85% (69.98) TEF US Equity 75 3,406 15.52 15.86 2.38 0.93% (54.76) TGT US Equity 777 (10,717) 63.57 58.96 11.87 0.61% 242.74 TJX US Equity 1,874 7,594 46.52 58.00 30.40 0.81% (221.51) TLS AU Equity 289 7,919 4.60 4.77 6.49 0.56% (11.51) TLSN SS Equity 6.80 TM US Equity 630 (6,829) 115.81 105.13 9.33 0.99% (56.04) TMO US Equity 8,453 10,218 63.59 116.19 90.60 0.91% (330.71) TOT US Equity 696 6,885 60.09 66.16 13.31 0.76% (24.73) TRP CN Equity 46.74 TRV US Equity 93 8,268 84.26 85.20 2.32 0.48% (10.50) TSCO LN Equity 1,211 (7,398) 5.65 4.73 15.13 1.08% 83.32 TWC US Equity 596 5,234 120.22 133.91 12.25 0.93% (90.31) EFTA00288267 TWX US Equity (282) 5,916 66.25 63.24 .5.19 0.92% (87.24) TXN US Equity 3,585 12,205 34.93 45.19 32.22 0.91% (308.18) TYC US Equity 9,589 24,080 29.17 40.78 51.13 0.78% (592.33) UBS US Equity 191 5,489 19.43 20.11 3.32 1.04% (101.76) UBSN VX Equity 180 5,158 19.51 20.19 3.56 0.98% (123.50) UCG IM Equity 3,005 5,391 5.58 8.69 31.71 1.76% (143.52) ULVR LN Equity 200 5,946 42.57 44.00 3.75 0.90% 12.02 UNA NA Equity 196 6,607 41.19 42.42 3.71 0.80% (5.13) UNH US Equity 2,379 10,192 64.28 79.29 30.64 0.76% (202.68) UNP US Equity 1,230 12,014 165.36 182.30 14.54 0.70% (181.42) UPS US Equity 3,084 14,806 79.87 96.51 43.96 0.47% (117.93) USB US Equity 2,425 14,238 34.71 40.63 24.04 0.71% (217.54) UTX US Equity 5,964 15,190 82.05 114.26 47.69 0.82% (189.18) V US Equity 1,414 2,528 126.50 197.26 52.50 1.07% (106.73) VALE US Equity 98 (3,908) 15.08 14.70 1.73 1.44% 43.50 VALE3 BZ Equity 84 (4,586) 15.04 14.77 1.15 1.60% 59.21 VIAB US Equity 3,352 9,272 60.42 82.26 37.65 0.96% (223.50) VIV FP Equity 157 2,668 26.19 27.73 7.10 0.83% (25.59) VMW US Equity 578 4,785 89.16 99.94 7.78 1.55% (175.82) VOD LN Equity 297 (3,679) 3.91 3.59 7.18 1.13% 83.92 VOD US Equity 305 (3,552) 39.03 35.67 7.48 1.15% 81.02 VOWS GR Equity 118 2,108 255.14 269.40 4.52 1.24% (44.73) VRX CN Equity 485 1,611 92.95 120.93 16.94 1.78% (42.26) VRX US Equity 570 1,880 93.20 121.48 17.67 1.72% (42.16) VTI US Equity 458 5,134 86.91 94.66 15.93 0.56% (73.11) VWO US Equity (129) (5,797) 40.33 41.23 •2.48 0.90% 59.64 VZ US Equity 117 (6,121) 48.12 47.20 4.18 0.46% 86.73 WBC AU Equity 461 6,950 30.53 32.55 7.38 0.90% (74.68) WES AU Equity 314 8,616 38.65 40.06 5.41 0.68% (83.46) WFC US Equity 2,846 11,582 38.70 48.20 38.23 0.64% (11.87) WLP US Equity 2,932 10,369 74.31 95.33 34.66 0.82% (104.33) WMT US Equity 107 7,009 75.45 76.59 3.04 0.50% (65.06) WOW AU Equity • 33.93 0.80% XOM US Equity 905 13,076 90.48 96.75 11.47 0.60% (54.88) XTA LN Equity • 2,180 gWA WA 0.00 2.25% YHOO US Equity • 32.98 1.57% YUM US Equity 76 7,151 73.86 74.65 1.15 0.93% (89.77) ZURN VX Equity (234) 7,208 293.46 284.23 4.28 0.76% (88.66) 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 15,400 62,272 1,455.70 1,815.69 39.60 0.62% (736.85) NDX Index 8,122 37,348 2,831.19 3,446.85 23.66 0.92% (533.45) RTY Index 8,938 31,950 868.48 1,111.44 29.03 0.96% (588.13) EFTA00288268 SPTSX Index 342 28,839 12,859.70 13,012.40 2.40 0.50% MEXBOL Index 446 (26,146) 3,142.70 3,089.06 2.22 0.77% IBOV Index 37 7,432 23,341.94 23,458.75 0.35 1.41% MERVAL Index (617) (5,408) 725.60 808.39 -10.91 1.05% UKK Index 2,711 39,963 10,288.22 10,986.25 10.36 0.65% DAX Index 8,069 36,674 10,610.77 12,945.46 22.61 0.97% CAC Index 1,574 20,042 5,625.44 6,067.24 9.87 0.80% IBEX Index 9,013 39,644 11,555.30 14,182.45 23.69 0.96% SMI Index 6,800 44,078 8,219.62 9,487.62 23.14 0.67% FTSEMIB Index 6,930 25,266 23,118.99 29,459.96 25.58 1.07% P5120 index 6,552 24,289 8,026.78 10,192.13 26.55 1.02% ISEQ Index 24,723 40,099 4,246.25 6,864.24 64.53 0.96% ICEXI Index 5,448 37,337 6.63 7.60 29.49 0.49% AEX Index 5,717 42,240 484.27 549.82 18.53 0.73% BEL20 Index 7,813 44,003 3,610.75 4,251.86 24.47 0.73% LUXXX Index 11,216 40,811 1,665.29 2,122.97 44.23 0.62% KFX Index 9,665 38,048 100.82 126.43 29.38 0.86% HEX Index 7,551 40,933 8,513.92 10,084.43 19.68 0.94% OMX Index 1,761 23,118 191.41 206.00 7.96 0.96% ATX Index 168 9,226 3,409.40 3,471.39 1.55 1.18% ASE Index 6,875 19,369 1,282.88 1,738.24 34.47 1.03% OSEBX Index 1,795 24,683 85.16 91.35 9.84 0.74% INDEXCF Index 930 (26,563) 39.61 38.22 1.66 2.11% TOP40 Index 1,266 25,595 3,920.67 4,114.52 5.23 0.95% SENSEX Index 936 27,288 362.49 374.92 4.58 0.75% NKY Index (158) 5,686 141.21 137.39 -2.78 1.00% HSI Index 518 24,898 2,906.77 2,967.25 2.58 0.81% SHCOMP Index 152 (33,700) 344.53 342.98 0.54 0.84% KOSPI Index 1,207 29,082 1.85 1.92 5.65 0.73% AS51 index 967 21,983 4,890.10 5,105.10 5.78 0.76% STBCNZL Index 34,540 73,231 444.47 654.11 112.54 0.42% EEM US Equity (129) (4,895) 40.76 41.83 -2.93 0.90% IYR US Equity (11) (3,862) 67.32 67.52 -0.58 0.51% MDY US Equity 4,322 14,269 184.03 239.77 39.88 0.76% JNK US Equity (28) 5,353 41.26 41.05 -2.84 0.18% XLF US Equity 4,988 13,610 15.57 21.28 50.87 0.72% XLU US Equity 670 9,939 39.06 41.69 12.40 0.54% XLK US Equity 1,837 12,860 30.80 35.20 18.19 0.79% XLI US Equity 5,368 16,147 38.20 50.90 44.34 0.75% XLP US Equity 234 10,839 41.85 42.75 5.75 0.38% XLY US Equity 3,276 9,859 46.72 62.24 40.31 0.82% XLE US Equity 254 7,840 85.67 88.45 5.09 0.64% XLB US Equity 3,361 14,930 37.57 46.03 29.08 0.77% XLV US Equity 10,550 24,346 38.87 55.71 50.03 0.87% SXXP Index 6,110 43,407 400.51 456.89 20.23 0.70% SXAP Index 10,697 28,526 520.28 715.39 29.99 1.25% SXKP Index 3,828 47,032 366.14 395.94 10.55 0.77% (208.76) 137.18 37.82 22.49 1 (613.71) (627.26) (217.88) I (580.67) (649.69) (323.08) (365.90) (774.50) 9.24 (712.99) (455.38) (278.58) (574.67) (617.46) (188.24) (72.83) (659.39) (640.62) 202.24 (465.52) (138.99) (138.88) (198.35) 55.25 (227.58) (249.55) (509.98) - 23.24 (227.47) (19.39) (224.49) (10.17) (165.14) (213.43) (56.69) (181.06) (22.81) (219.85) (328.85) (653.96) (421.00) (643.71) EFTA00288269 SX6P Index 6,072 35,866 355.26 415.40 28.77 0.59% (396.46) SXEP Index 1,540 38,769 447.48 465.26 6.85 0.58% (434.29) SXIP Index 11,200 28,923 222.31 308.39 48.15 0.80% (459.06) SXNP Index 4,935 28,384 482.69 566.61 20.51 0.85% (464.32) SX3P Index 969 21,674 668.07 697.92 6.91 0.65% (167.18) SXDP Index 21,872 61,075 609.16 827.30 53.46 0.67% n 4.11) SX4P Index 2,600 25,840 917.36 1,009.66 11.47 0.88% (473.39) SX8P Index 2,378 17,778 343.07 388.96 15.40 0.87% (481.07) SXOP Index 11,582 40,520 380.28 488.98 30.42 0.94% (623.78) SXQP Index 315 26,331 793.71 803.20 1.70 0.71% (231.72) SXRP Index (263) 14,083 434.66 426.68 -2.55 0.73% (213.83) SXMP Index 10,057 35,766 261.12 334.54 41.88 0.67% (775.40) SXTP Index 21,055 39,247 172.05 264.35 63.61 0.84% SX7E Index 6,202 18,886 159.85 212.33 25.57 1.28% (282.29) SXSE Index 6,730 40,148 3,709.25 4,331.06 20.49 0.82% (506.66) SPGSCITR Index (233) (13,616) 4,922.21 5,006.36 -3.06 0.56% 11.00 XAG Curncy 2,460 (20,150) 22.78 20.00 13.83 0.88% 58.87 CO1 Comdty 355 (24,622) 108.90 107.33 1.81 0.80% 30.22 CL1 Comdty 1,348 29,347 99.19 103.74 5.06 0.91% 100.93 NG1 Comdty 3,757 16,608 3.77 4.62 12.17 1.86% (153.12) XAU Comdty (474) (24,602) 90.80 92.55 -2.59 0.74% IBOXHY Index 3,066 53,418 220.12 232.76 73.87 0.08% (106.67) US_TSY CREDIT (329) (40,135) 757.73 763.95 -6.76 0.12% (28.16) CA_TSY CREDIT 5,131 (97,153) 1,269.35 1,202.31 13.84 0.38% 211; MX_TSY CREDIT 281 58,229 214.14 215.17 1.20 0.40% (203.23) AU TSY CREDIT 740 47,780 1,492.28 1,515.39 3.37 0.46% 16.98 JP_TSY CREDIT 221 (35,807) 822.10 817.03 2.04 0.30% 33.48 MY_TSY CREDIT (592) (73,802) 167.43 168.77 -2.27 0.35%.1 datip SG_TSY CREDIT (737) (76,599) 219.11 221.22 -3.97 0.24% (51.47) AT_TSY CREDIT 4,325 77,381 357.33 377.30 22.39 0.25% 114.93 BE_TSY CREDIT 5,319 77,996 477.05 509.58 29.24 0.23% 90.02 FI_TSY CREDIT 4,035 80,015 348.46 366.03 21.20 0.24% 52.85 FR_TSY CREDIT 4,683 76,756 1,677.74 1,780.11 25.22 0.24% 93.44 DE_TSY CREDIT 3,497 76,711 1,242.44 1,299.08 18.30 0.25% 132.97 IE_TSY CREDIT 32,601 78,270 336.92 477.26 200.10 0.21% 2.32 IT_TSY CREDIT 9,035 54,986 1,615.76 1,881.26 64.46 0.25% (167.67) NL_TSY CREDIT 4,110 78,610 1,327.30 1,396.70 21.32 0.25% 109.71 ES_TSY CREDIT 11,174 50,187 392.28 479.62 86.59 0.26% (88.15) DK_TSY CREDIT 3,574 67,396 729.23 767.90 18.67 0.28% 119.42 NO_TSY CREDIT 302 32,135 343.35 346.57 2.98 0.31% (34.59) PL_TSY CREDIT 1,472 28,589 425.35 447.25 17.54 0.29% (79.77) ZA_TSY CREDIT (371) (26,519) 83.13 84.29 -1.82 0.77% 239.75 SE_TSY CREDIT 57 (39,490) 466.27 465.60 0.42 0.34% (117.56) CH_TSY CREDIT 4,269 65,972 1,005.43 1,070.50 24.67 0.26% 141.36 GB_TSY CREDIT 1,681 56,841 1,489.15 1,533.20 8.85 0.33% (175.44) EFTA00288270