EFTA00288271.pdf

Atorus, LLC 4/14/2014 Current Date: Total Return since 1/1/12: 712M Return: T9O Day Return: T3O Day Return: Current Long Exposure @ Cost: Current Short Exposure @ Cost: Net Exposure: Starting Capital: Current NAV: 4/14/2014 74.04% 29.34% -4.03% -2.47% 4,759,517 (499,380) 4,260,137 1,000,000 1,740,393 Change on Day: MSCI World Change on Day No of Positions (+MTM) on Day No of Positions (-MTM) on Day Current No. of Positions: Current Leverage (Gross Exposures): -1.01% 0.36% 191 219 411 3.02 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% SO% historically We implement leverage of 2X, in other words at inception we upsize our positions by a factor two times greater than our volatility adjusted position sizing. Leverage levels can be customized to eac h investor. Historical sharpe ratio is in excess of 2.0X (backtest from 1995, see Investor Presentation). Our sharpe ratio increases materially during market downturns in excess of 20 days of realized volatility. Since we generate positive returns in these environments, the variance in our downside volatility is materially less than broader markets. Recessions, which generally result in market directionality in excess of 20 days of volatility are significant alpha capture opportunities for us. Additionally, by never dollar cost averaging and concurrently adding to our winners we have an inherent assymetry in our volatility profile. NAV 2,800,000.00 1,800,000.00 1,6004:00.00 1,400,000.00 1,200,000.00 1,0004:00.00 800,00100 600,000.00 —NAV "V 3 3 tq t* 0s% #1, 0% 0% "V "V 0% 0% "V c , 0% 0% 0% 0% 0% I/ 0% 0% 'V 0% 'V 0% IN, 3 5 '1\ cP % 3Ve 5\v AV 5\ 1 EFTA00288271 Atorus, LLC 4/14/2014 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 %of Total Notional 22 Positions • 20.70% TGT US Equity (8,574) 0.16% 941 HK Equity (9,455) 0.18% XAG Curncy (12,623) 0.24% XAU Comdty (19,682) 0.37% CO1 Comdty (19,698) 0.37% MEXBOL Index (20,915) 0.40% INDEXCF Index (21,271) 0.40% SHCOMP Index (26,960) 0.51% JP_TSY CREDIT (28,355) 0.54% SE_TSY CREDIT (31,592) 0.60% SPX Index 62,272 1.18% CH_TSY CREDIT 66,678 1.27% DK_TSY CREDIT 67,396 1.28% CA_TSY CREDIT (72,133) 1.37% STBCNZL Index 73,231 1.39% AT_TSY CREDIT 77,381 1.47% FR_TSY CREDIT 77,569 1.48% DE_TSY CREDIT 77,869 1.48% BE_TSY CREDIT 77,996 1.48% lE_TSY CREDIT 78,270 1.49% NL_TSY CREDIT 78,610 1.49% FI_TSY CREDIT 80,015 1.52% NAV Impact of MTM by Category & Exposure Listed Equity Long -0.051% Listed Equity Short -0.038% EquityCom Long -0.426% EquityCom Short -0.012% G20 Rates Long -0.236% G20 Rates Short 0.017% Security MTM Gain % Total NAV 42 Positions 24.60% NOVN VX Equity 5,656 0.32% HON US Equity 5,796 0.33% ASE Index 5,847 0.34% SX7E Index 5,933 0.34% ROG VX Equity 5,977 0.34% SXXP Index 6,017 0.35% UTX US Equity 6,035 0.35% SX6P Index 6,098 0.35% EDF FP Equity 6,207 0.36% P5120 Index 6,302 0.36% DAI GR Equity 6,392 0.37% SMI Index 6,648 0.38% ACA FP Equity 6,665 0.38% SXSE Index 6,722 0.39% RTY Index 6,812 0.39% HEX Index 6,876 0.40% FTSEMIB Index 6,945 0.40% MDT US Equity 6,952 0.40% PRU LN Equity 7,336 0.42% BEL20 Index 7,637 0.44% MMM US Equity 7,934 0.46% DAX Index 7,961 0.46% TMO US Equity 8,440 0.48% NDX Index 8,488 0.49% IBEX Index 8,690 0.50% IT_TSY CREDIT 8,825 0.51% MC US Equity 8,860 0.51% KFX Index 9,015 0.52% TYC US Equity 9,523 0.55% SXMP Index 9,714 0.56% SXAP Index 10,164 0.58% LUXXX Index 10,183 0.59% XLV US Equity 10,744 0.62% SXOP Index 10,840 0.62% ES_TSY CREDIT 10,973 0.63% SXIP Index 11,033 0.63% SPX Index 16,038 0.92% SXTP Index 20,030 1.15% SXDP Index 21,970 1.26% ISEQ Index 23,836 1.37% EFTA00288272 lE_TSY CREDIT 32,224 1.85% STBCNZL Index 33,855 1.95% APAC Lon 21 APAC Short 21 EMEA Long 73 EMEA Short 11 AMER Long 161 AMER Short 29 E • ultyCom Lon 64 EquityCom Short 8 G20 Rates Lon 19 G20 Rates Short 4 Total Long 338 Total Short 73 Current Exposure by Geography (Listed Eqult es) & Macro (Equity Indices & Commodiites, G20 Gov. Credit) $2,000,000 $1,500,000 51,000,000 5500,000 $ $(500,000) 1 ■ APAC Long ■ APAC Short ■ EMEA Long ■ EMEA Short ■ AMER Long ■ AMER Short ■ EquityCom Long ■ EquityCom Short ■ G20 Rates Long ■ G20 Rates Short EFTA00288273 Atorus, LLC 4/14/2014 Historical Net Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodites, G20 Gov. Credit) —APAC EMEA —AMER — EquityCom —G20 Rates NexEposure RIC 2.000,000 1,920,000 5,000.030 4,030.030 3,000.000 2,000.000 3,000,000 1,000.000 ( 1.000, 000 ) (2,050,003) tt.S. .1. ( 501: 003) ..1, tit & CIN. \'S.Q. \ G 0 °9 IP tiNt' 4.31%' (3 4 SC ' 4 1. % iSc i 4 % S t e tst• e . % % % % \ \ (1,000,000) (3,000,003) Historical Gross Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodlites, G20 Gov. Credit) ,ste 4, le l ie 415 9 N ce 41e 41e 41e 41 1 le '1 4 4 A\ 4 4,4 4 4 4 A\ 4 ,<>\ 4 lb APAC — EMEA - AMER Equ'tyCo — G20 Rates . . . . . . . . . . . 1 EFTA00288274 Atorus, LIC 4/14/2014 Current Gross Notional Risk by Category 202,927 549,339 1„187,6 ■ APAC ■ EMEA ■ AMER ■ EquityCom ■ G20 Rates Performance Vs. MSCI World Index Rolling 30 Day Realized Volatility - Atorus EFTA00288275 Atorus, LLC 4/14/2014 Percentile Distribution of Current MTM Gains in Vol Days by Position (ex-99pct & ex-lst percentiles) 60.00 50.00 40.00 30.00 20.00 10.00 OA» /Sr s O. tr if). 4 3" n'P'n O. fr 4:rttr <- 0. 9.' O. 4 , ' (" Of SY O. & A O. P' 4,- q O. 5Yqtr c:b Percentile No. Vol Days 0.00% -13.00 5.00% -3.63 10.00% -1.81 15.00% -0.13 20.00% 0.05 25.00% 1.22 30.00% 2.65 35.00% 3.96 40.00% 4.93 45.00% 6.63 50.00% 8.03 55.00% 10.44 60.00% 11.92 65.00% 15.30 70.00% 17.84 75.00% 22.35 80.00% 26.37 85.00% 30.89 90.00% 40.22 95.00% 57.03 100.00% 190.50 Vol Days by Position MTM Gains(Losses) % of NAV "Signficant" (<7 Vol Days) 1.19% MTM Gains(Losses) % of NAV "Signficant" (>7 Vol Days) 42.93% EFTA00288276 Atorus, LLC Current Portfolio -Listed Equity Portfolio Current Price P/L in Vol 30P Realized Change on Day Security MTM Gain/(Loss) Exp. @ Cost Avg. Price (in USD) Days Vol (in USD) 4/14/2014 000270 KS Equity 57.42 005380 KS Equity 112 3,149 224.39 232.36 3.09 1.15% (1.72) 005490 KS Equity (324) (3,011) 272.57 301.92 -9.27 1.16% (4.83) 005930 KS Equity (178) (5,603) 1,278.08 1,318.62 -3.45 0.92% (28.45) 012330 KS Equity 1,052 5,584 247.00 293.53 18.79 1.00% 78.58 1 HK Equity 1,048 10,664 15.95 17.52 10.69 0.92% 0.87 1299 HK Equity 419 5,954 4.79 5.13 7.94 0.89% 46.46 13 HK Equity 2,734 12,243 11.40 13.95 20.92 1.07% (20.80) 16 HK Equity 13.00 27 HK Equity (8) 123 9.64 9.06 -3.40 1.90% (1.70) 2914 JP Equity 151 (3,774) 32.46 31.17 3.56 1.12% (36.94) 3382 JP Equity (31) 1,329 37.68 36.83 -2.16 1.07% (7.29) 4063 JP Equity (69) (2,903) 56.40 57.74 -1.91 1.25% (18.41) 4502 JP Equity - 993 43.90 43.90 0.00 0.90% 3.29 4689 JP Equity 4.56 5 HK Equity (61) (3,197) 10.17 10.37 -2.27 0.85% 26.07 5108 JP Equity 34.22 54011P Equity 393 (4,349) 2.87 2.61 7.54 1.20% 33.89 63011P Equity 3 (1,651) 20.69 20.66 0.14 1.14% 15.50 6752 JP Equity - 588 10.59 10.59 0.00 1.52% 0.62 6902 JP Equity 46.25 6954 JP Equity 736 6,393 6,392.98 175.81 8.62 1.34% (10.86) 72011P Equity 9 (2,999) (3,742.97) 8.83 0.31 1.01% 6.32 7203 JP Equity 195 (4,207) (5,259.85) 53.49 4.50 1.03% (112.06) 7267 JP Equity 216 (3,126) (4,885.01) 33.91 6.91 1.00% (34.41) 762 HK Equity (36) (3,929) (5,161.69) 1.38 -0.80 1.16% (3.38) 7751 JP Equity 112 (5,492) (6,865.02) 30.80 2.31 0.88% (12.62) 80311P Equity (22) (3,821) (4,775.88) 14.18 -0.45 1.26% (23.97) 8058 JP Equity 72 (3,506) (4,383.01) 17.93 2.15 0.96% 4.13 8106 JP Equity 209 (3,668) (4,603.66) 5.31 4.24 1.34% (54.21) 8316 JP Equity 48 (1,984) (2,000.57) 40.15 1.68 1.44% (17.84) 8411 JP Equity 1.95 8604 JP Equity 258 (3,071) (3,504.39) 5.97 6.38 1.32% 10.28 8801 JP Equity 29.28 8802 JP Equity 380 (4,007) 24.84 22.48 5.55 1.71% (28.65) 9020 JP Equity 195 (5,379) 75.21 72.49 2.96 1.22% (45.82) 941 HK Equity 634 (9,455) 10.19 9.51 6.11 1.10% 130.80 9432 JP Equity (223) 6,077 53.12 51.24 -2.92 1.26% 53.20 9433 JP Equity 50.89 - 9437 JP Equity 179 (6,149) 15.59 15.14 2.94 0.99% (13.74) 9983 JP Equity (246) 1,906 362.92 321.42 -8.49 1.52% (70.98) EFTA00288277 9984 JP Equity - 475 67.40 67.40 0.00 1.87% (0.20) AAPL US Equity 23 7,877 518.25 519.74 0.46 0.62% (1.95) ABB US Equity 529 6,661 23.59 25.46 10.29 0.77% (25.52) ABBN VX Equity 540 6,962 23.63 25.46 9.43 0.82% (54.87) ABBV US Equity (171) 3,201 49.35 46.85 -3.99 1.34% 22.55 ABEV US Equity 7.77 - ABEV3 BZ Equity 7.83 ABI BB Equity 364 8,888 103.14 107.36 5.31 0.77% 118.20 ABT US Equity (134) 4,097 38.82 37.59 -4.45 0.74% 60.45 ABX CN Equity 13 (3,366) 18.97 18.90 0.28 1.39% (8.70) ABX US Equity 19 (3,243) 18.99 18.88 0.43 1.36% (9.53) ACA FP Equity 6,665 5,408 6.83 15.26 91.28 1.35% (268.85) ACE US Equity 261 6,848 95.66 99.30 9.06 0.42% 7.24 ACN US Equity (19) 10,703 77.97 77.83 -0.21 0.84% 123.41 ADP US Equity (1) 893 74.01 73.94 -0.14 0.70% (3.13) AR US Equity (113) 2,734 63.51 61.00 -6.47 0.64% (14.41) AGN US Equity 1,111 9,698 110.56 123.23 10.13 1.13% 258.33 Al FP Equity (11) 8,248 134.80 134.62 -0.23 0.60% (51.66) AIG US Equity 63 4,012 48.66 49.43 1.81 0.87% (6.91) AIR FP Equity 1,468 2,506 42.47 67.35 54.13 1.08% (84.65) ALV GR Equity 191 1,657 146.70 163.65 16.06 0.72% (23.99) ALVG IX Equity 105 1,008 148.11 163.51 13.99 0.74% (14.29) AMGN US Equity 4,261 22,886 95.40 113.17 16.11 1.16% (70.17) AMT US Equity 687 10,655 76.29 81.21 10.38 0.62% 45.91 AMZN US Equity 156 (3,608) 329.54 315.26 3.37 1.28% (33.28) ANZ AU Equity 521 7,345 29.47 31.56 8.33 0.85% (74.09) APA US Equity 20 (5,496) 82.74 82.43 0.58 0.64% (13.09) APC US Equity 97.33 AXP US Equity 1,986 10,373 71.56 85.26 20.13 0.95% 92.60 AZN LN Equity 3,253 12,676 49.80 62.58 33.15 0.77% (129.14) AZN SS Equity 2,839 12,119 50.82 62.72 34.22 0.68% (102.62) AZN US Equity 3,102 12,812 50.30 62.48 32.81 0.74% (97.47) BA US Equity 123.06 - BAC US Equity 8,860 10,884 8.82 16.00 74.15 1.10% 151.16 BARC LN Equity 3.92 - BAS GR Equity 764 7,333 97.30 107.44 10.69 0.97% (55.94) BATS LN Equity 524 6,088 53.22 57.80 9.69 0.89% 101.18 BAX US Equity (12) 1,269 73.24 72.55 -1.08 0.88% 4.12 BAYN GR Equity 4,807 7,054 76.64 128.86 75.19 0.91% (24.81) BBAS3 BZ Equity (108) (658) 9.16 10.66 -8.14 2.01% 0.29 BOO US Equity 14.82 - BBOC4 BZ Equity 14.86 BBL US Equity (91) (1,579) 61.04 64.56 -5.51 1.04% (16.99) BBVA SM Equity 1,143 5,790 10.12 12.12 16.91 1.17% (48.87) BCE CN Equity - 1,187 43.96 43.96 0.00 0.54% (0.84) BCS US Equity 15.81 - BEN US Equity (12) 2,447 52.28 52.03 -0.44 1.09% 6.15 EFTA00288278 BG/ LN Equity (223) (3,503) 17.51 18.63 -9.00 0.71% (19.34) BHP AU Equity 175 6,689 34.33 35.22 2.36 1.11% (22.41) BHP US Equity 334 6,839 67.77 71.09 4.57 1.07% 70.84 BBB US Equity 145 1,066 245.93 279.47 7.98 1.71% (10.38) BIL SJ Equity 0 (1,335) 32.10 32.10 0.00 1.12% (8.42) BK US Equity 72 8,609 32.86 33.14 1.07 0.78% 1.83 BLK US Equity 79 1,621 283.48 297.32 4.77 1.02% 17.37 BLT IN Equity 1 (1,362) 32.18 32.16 0.06 1.07% (9.31) BMO CN Equity 403 11,017 66.19 68.61 6.33 0.58% 44.16 BMW GR Equity 1,321 5,212 99.22 124.37 23.94 1.06% (25.53) BMY US Equity 48.24 - BN FP Equity • 1,187 73.99 73.99 0.00 0.74% 9.17 BNP FP Equity 1,199 5,498 61.78 75.25 17.41 1.25% (108.04) BNS CN Equity 122 7,632 57.74 58.66 2.83 0.57% 16.61 BP/ LN Equity 148 9,797 7.76 7.88 2.41 0.63% (132.75) BRK/B US Equity 309 11,056 118.69 122.00 4.50 0.62% 5.01 BSBR US Equity 506 (6,537) 6.18 5.70 5.66 1.37% (53.99) BUD US Equity 391 6,846 102.05 107.88 7.06 0.81% 143.88 BX US Equity (38) 3,119 30.36 29.99 .0.71 1.70% 51.79 C US Equity 47.47 CA FP Equity 564 3,167 33.26 39.18 16.50 1.08% (40.84) CAT US Equity 1,941 13,589 89.53 102.32 20.28 0.70% 118.61 CBA AU Equity 581 11,185 68.68 72.25 7.41 0.70% (73.62) CBS US Equity 246 1,267 49.35 58.95 17.40 1.12% (6.33) CCL US Equity 73 7,821 36.20 36.54 1.01 0.92% (100.58) CELG US Equity 71 (2,319) 142.74 138.36 1.82 1.68% 9.15 CFR VX Equity 157 4,011 94.53 98.22 4.04 0.97% (2.37) CL US Equity 2,150 19,117 59.13 65.78 22.77 0.49% 61.48 CM CN Equity 479 8,742 82.73 87.26 9.87 0.56% 34.39 CMCSA US Equity 815 4,178 40.65 48.58 21.26 0.92% 34.74 CMCSK US Equity 3,878 12,096 36.26 47.89 36.17 0.89% 119.17 CNI US Equity 887 12,873 51.38 54.92 10.64 0.65% 43.21 CNQ CN Equity 853 10,769 36.73 39.64 10.80 0.73% 1.58 CNR CN Equity 876 12,425 51.30 54.91 11.26 0.63% 26.60 COF US Equity 541 6,770 68.55 74.03 10.61 0.75% 1.58 COP US Equity (174) (2,554) 66.64 71.19 -13.00 0.52% (7.23) COST US Equity • • 112.21 058% COV LN Equity • 5,151 MO N/A 0.00 0.31% COV US Equity 646 7,080 64.09 69.93 11.84 0.77% 69.59 CRM US Equity (110) 2,054 56.73 53.85 -3.47 1.54% 10.99 CS FP Equity 956 3,232 19.39 25.12 28.76 1.03% 0.98 CSCO US Equity 22.78 CSX US Equity 1,129 8,914 25.07 28.25 17.19 0.74% 70.96 CVE CN Equity 29.11 CVS US Equity 1,693 11,815 63.98 73.15 23.34 0.61% 64.23 CVX US Equity (349) (6,566) 112.39 118.37 -10.27 0.52% (54.59) D US Equity 2,O41 12,764 60.42 70.09 28.34 0.56% 134.74 EFTA00288279 DAI GR Equity 6,392 13,908 62.20 90.79 34.76 1.32% (272.19) DSK GR Equity 43.41 - DD US Equity 2,718 12,908 54.93 66.50 33.40 0.63% 79.19 DDAIF US Equity 3,695 8,377 63.20 91.08 30.91 1.43% (80.51) DE US Equity 659 8,537 85.81 92.44 10.73 0.72% 8.64 DELL US Equity 6,820 #N/A N/A 0.00 0.07% DG FP Equity 4,231 10,090 51.66 73.32 61.04 0.69% (185.98) DGE LN Equity 92 2,332 30.86 32.08 4.81 0.82% 60.04 DHR US Equity 1,226 5,075 58.57 72.72 31.30 0.77% (38.06) DM US Equity 1,318 9,908 68.36 77.46 13.87 0.96% 26.96 DMA US Equity (286) 3,832 82.86 77.10 -8.25 0.90% (60.61) DNB NO Equity 207 3,505 15.77 16.70 6.27 0.94% (59.78) DOW US Equity 2,071 7,327 37.03 47.50 30.47 0.93% 37.86 DPW GR Equity 145 660 29.41 35.85 14.85 1.48% (20.72) DTE GR Equity 1,804 6,664 12.27 15.59 27.99 0.97% (16.70) DTV US Equity 2,179 10,622 61.97 74.69 19.27 1.06% (86.48) DUK US Equity 71.99 DVN US Equity 774 11,143 63.30 67.70 10.46 0.66% (60.23) EBAY US Equity (60) 6,678 54.28 53.80 -1.00 0.90% (10.22) Ea US Equity (94) 9,210 105.21 104.14 -1.42 0.72% (7.44) EDF FP Equity 6,207 9,189 23.45 39.28 80.37 0.84% (186.92) EMC US Equity 590 10,986 25.35 26.71 7.49 0.72% (14.11) EMR US Equity (183) 8,739 66.77 65.39 -2.87 0.73% (12.74) ENS CN Equity 316 9,023 44.84 46.41 5.51 0.64% (54.06) ENEL IM Equity 2,028 8,087 4.39 5.49 23.82 1.05% (34.68) ENI IM Equity 543 9,949 24.06 25.38 8.70 0.63% 60.17 EOAN GR Equity 14 2,996 18.77 18.85 0.62 0.77% (28.97) EOG US Equity 2,139 5,841 145.68 199.02 49.80 0.74% 51.97 EPD US Equity 1,854 13,127 63.70 72.69 25.85 0.55% 123.80 ERICB SS Equity 135 7,934 12.51 12.72 1.86 0.91% (288.23) ESRX US Equity 782 9,815 66.69 72.00 10.95 0.73% 12.67 ETN US Equity (101) 5,260 72.45 71.09 -1.73 1.11% (26.27) F US Equity (168) (2,897) 14.82 15.67 -6.87 0.84% 13.91 F8 US Equity 908 2,630 44.06 59.27 17.88 1.93% 16.52 FCX US Equity 11 3,763 33.05 33.15 0.23 1.29% 46.95 FDX US Equity 230 2,562 120.94 131.80 15.55 0.58% 2.20 FOX US Equity (129) 3,508 32.21 31.07 -3.12 1.18% (6.22) FOXA US Equity (128) 3,404 33.10 31.90 -3.08 1.23% (5.52) FP FP Equity 1,163 11,816 61.19 67.22 13.84 0.71% 193.07 G IM Equity 148 4,069 21.51 22.30 4.60 0.79% (15.90) GE US Equity 1,939 13,140 22.32 25.61 22.29 0.66% 40.80 GILD US Equity - 513 66.90 66.90 0.00 1.73% (0.22) GIS US Equity 553 17,619 49.73 51.29 5.55 0.57% 23.63 GLE FP Equity 637 3,248 49.51 59.23 15.30 1.28% (92.80) GLEN LN Equity (42) (3,693) 5.22 5.28 -0.84 1.37% (46.13) GLW US Equity 3,004 11,635 16.25 20.45 25.89 1.00% 15.12 GM US Equity 139 (2,394) 34.53 32.53 5.27 1.10% (12.87) EFTA00288280 GOOG US Equity 1,842 8,280 878.06 1,073.37 1933 1.15% 59.82 GS US Equity 154.28 - GSK LN Equity (103) 5,707 26.21 25.74 .2.19 0.83% (48.98) GSZ FP Equity 855 9,414 24.93 27.19 10.82 0.84% (16.33) HAL US Equity 1,232 6,395 49.49 59.02 22.43 0.86% 170.65 HD US Equity 1,136 8,000 66.67 76.13 22.53 0.63% (4.56) HMB SS Equity 41.19 - HON US Equity 5,796 11,930 61.10 90.78 68.51 0.71% 20.57 HPQ US Equity 2,146 7,393 25.45 32.84 23.67 1.23% 64.57 HSBA LN Equity 76 4,565 10.16 10.33 2.50 0.67% (12.10) IBE SM Equity 1,450 7,501 5.56 6.63 31.27 0.62% (34.03) IBM US Equity 121 5,765 193.43 197.49 2.85 0.74% 52.66 IMT LN Equity 1,741 12,188 36.36 41.56 20.17 0.71% 164.51 INTC US Equity 1,133 12,041 24.19 26.47 15.53 0.61% 77.44 ISP IM Equity 4,030 5,699 1.93 3.29 50.60 1.40% (119.60) ITUB US Equity 51 2,863 15.39 15.66 1.07 1.65% (7.90) ITUB4 BZ Equity 92 4,065 15.40 15.74 1.39 1.62% (9.80) ITW US Equity 2,861 14,011 67.84 81.69 27.21 0.75% 61.09 ITX SM Equity 0 (3,652) 146.45 146.43 0.01 0.97% 7.86 JO US Equity 290 2,995 41.93 45.98 8.79 1.10% 10.17 JNJ US Equity 5,010 15,364 73.04 96.86 64.90 0.50% 20.85 JPM US Equity 256 5,109 52.29 54.91 4.77 1.05% (51.56) KMB US Equity 259 9,646 107.40 110.28 5.26 0.51% 5.13 KMI US Equity 290 (6,775) 33.81 32.36 6.14 0.70% 5.85 KO US Equity 25 (5,570) 38.83 38.66 1.09 0.42% 11.60 LBTYA US Equity 78.14 - LBTYK US Equity 75.59 - LIN GR Equity (31) 8,087 198.03 197.27 A.64 0.59% 10.09 LLOY LN Equity 690 2,037 0.89 1.20 29.85 1.13% (53.16) LLY US Equity (1) 4,536 58.93 58.92 -0.02 0.69% 28.91 LMT US Equity 548 2,016 122.48 155.79 31.99 0.85% 22.82 LNKD US Equity 223 (2,461) 183.83 167.18 4.47 2.03% 2.18 LOW US Equity (269) 7,829 48.35 46.74 .4.66 0.74% 50.36 LVS US Equity 1,219 5,447 61.33 75.06 15.24 1.47% (3.21) LYB US Equity 1,109 2,297 59.29 87.92 58.99 0.82% 17.97 MA US Equity 70.96 - MAEFtSKB DC Equity 5,328 14,148 8,212.58 11,305.19 33.01 1.14% (366.15) MC FP Equity 296 4,713 184.12 195.68 7.72 0.81% 7.12 MCD US Equity 99.80 - MCK US Equity 31 2,181 164.92 167.30 1.40 1.02% 23.15 MDIZ US Equity 2,754 13,641 28.68 34.47 32.83 0.61% 39.19 MDT US Equity 6,952 20,811 43.22 57.66 40.07 0.83%. (823.94) MET US Equity 845 7,556 44.37 49.33 10.80 1.03% (58.60) MFC CN Equity 2,293 4,802 12.38 18.29 58.94 0.81% (10.73) MHS US Equity • 5,485 KWA N/A 0.00 1.17% MMM US Equity 7,934 21,331 96.89 132.93 63.07 0.59% (8.34) MO US Equity 413 9,167 36.41 38.05 8.62 032% 64.25 EFTA00288281 MON US Equity 514 11,917 106.02 110.59 5.60 0.77% (128.07) MOS US Equity 47.42 MRK US Equity 1,326 11,769 50.18 55.84 12.94 0.87% (51.83) MS US Equity 20 396 27.57 28.95 3.98 1.26% 4.49 MSFT US Equity 873 8,007 35.30 39.15 12.03 0.91% (47.40) MUV2 GR Equity 712 6,116 197.70 220.70 20.32 0.57% (38.84) NAB AU Equity 462 9,956 31.52 32.98 5.94 0.78% (72.83) NCM AU Equity 10.15 NEE US Equity 4,703 14,649 72.62 95.93 44.73 0.72% 94.95 NEM US Equity 1,412 (4,731) 34.95 24.52 20.68 1.44% (41.57) NESN VX Equity 865 9,821 69.64 75.77 13.11 0.67% (218.71) NG/ IN Equity 1,783 13,061 11.94 13.57 29.88 0.46% (23.70) NKE US Equity 223 2,470 66.10 72.06 9.32 0.97% 10.85 NOK US Equity 3,785 4,498 3.96 7.30 57.54 1.46% (187.45) NOV US Equity 303 8,176 76.64 79.47 4.72 0.78% 128.84 NOVN VX Equity 5,656 18,291 63.81 83.54 41.04 0.75% 23.99 NOVOB DC Equity 511 9,444 40.35 42.53 5.93 0.91% (95.90) NSC US Equity 1,558 9,797 80.78 93.62 20.63 0.77% 37.47 NVS US Equity 4,403 15,510 65.07 83.54 35.58 0.80% 159.44 OGXP3 BZ Equity 4,017 (4,107) 4.39 0.10 47.39 2.06% 236.53 OR FP Equity 166.79 - ORA FP Equity 832 6,019 13.03 14.83 9.69 1.43% (27.14) ORCL US Equity 1,376 7,995 33.68 39.47 16.34 1.05% 25.14 OXY US Equity (63) 7,355 95.03 94.23 -1.03 0.83% 33.98 PBR US Equity (48) (1,013) 13.30 13.94 -2.33 2.05% (0.40) PBR/A US Equity (96) (2,236) 13.87 14.47 -2.09 2.06% (6.05) PCLN US Equity 682 3,043 956.05 1,170.37 15.04 1.49% 29.15 PCP US Equity (38) 1,134 253.57 245.45 -3.59 0.92% (0.11) PEP US Equity 121 8,118 82.28 83.51 3.11 0.48% 7.45 PETR3 BZ Equity (70) (1,052) 6.54 6.98 -3.06 2.17% (2.75) PETR4 BZ Equity (107) (2,498) 6.95 7.25 -1.87 2.30% (11.11) PFE US Equity 1,887 13,097 26.10 29.86 17.37 0.83% (115.85) PG US Equity 244 8,334 78.47 80.77 6.61 0.44% (6.39) PHIA NA Equity 34.35 - PM US Equity 137 (8,133) 85.47 84.03 2.66 0.63% (79.93) PNC US Equity 567 9,010 76.60 81.43 7.97 0.79% 37.51 POT CN Equity 33.85 - POT US Equity 33.86 PRU LN Equity 7,336 10,521 12.76 21.66 65.23 1.07% (91.20) PSA US Equity 632 11,140 160.09 169.17 11.77 0.48% 18.41 PSX US Equity 1,200 6,030 64.65 77.51 21.40 0.93% 56.41 PX US Equity 1,999 16,340 113.54 127.43 22.58 0.54% (26.47) QCOM US Equity 2,246 12,547 66.83 78.79 22.80 0.79% 115.77 QQQ US Equity 2,831 11,952 68.46 84.68 32.98 0.72% 13.21 RAI US Equity 294 6,737 52.22 54.51 4.55 0.96% 131.02 RDS/A US Equity 36 7,386 73.50 73.86 1.05 0.47% 40.27 RDS/B US Equity 253 6,990 76.36 79.13 7.35 0.49% 42.48 EFTA00288282 RDSA LN Equity 273 4,675 34.83 36.87 12.03 0.49% 14.29 RDSA NA Equity 14 6,544 36.74 36.82 0.46 0.45% 5.10 RDSB LN Equity 266 6,969 37.90 39.35 7.04 0.54% 3.86 REGN US Equity (260) 6,240 302.26 290.17 -2.54 1.64% (35.64) RIO AU Equity 19 3,506 59.40 59.72 0.46 1.19% (35.02) RIO LN Equity 136 4,819 54.83 56.38 2.20 1.28% 55.97 RIO US Equity 242 4,934 54.04 56.69 3.78 1.30% 85.92 ROG VX Equity 5,977 17,035 212.78 287.45 56.81 0.62% 163.26 RY CN Equity 135 8,293 65.48 66.54 3.21 0.51% 27.61 SAB LN Equity 741 9,453 48.63 52.44 8.53 0.92% 104.54 SAN FP Equity (14) (2,550) 102.66 103.23 -0.64 0.87% 5.66 SAN SM Equity 1,068 7,933 8.46 9.60 13.65 0.99% (138.78) SAN US Equity 918 6,290 8.45 9.68 13.81 1.06% 75.37 SAP GR Equity (99) 5,241 80.58 79.09 -2.24 0.84% (13.37) SAP US Equity (77) 5,649 80.61 79.53 -1.52 0.90% 44.58 SBUX US Equity (124) 1,631 74.67 69.37 -7.40 1.03% (0.07) SGO FP Equity 2,647 7,836 44.08 58.98 30.52 1.11% (233.63) SI US Equity 677 5,671 118.49 132.64 11.73 1.02% (45.53) SIE GR Equity 826 5,345 114.81 132.56 16.54 0.93% (52.81) SLB US Equity 1,537 7,174 81.27 98.68 31.95 0.67% 133.53 SMSN LI Equity (123) (6,021) 643.80 656.98 -2.04 1.00% (49.25) SO US Equity 223 9,151 43.58 44.64 4.36 0.56% 34.04 SPG US Equity 116 5,374 164.07 167.62 3.73 0.58% 19.39 SREN VX Equity 1,576 10,006 80.46 93.14 20.67 0.76% (81.99) STAN LN Equity (40) (2,940) 22.09 22.39 -1.28 1.07% (33.44) STL NO Equity 786 9,825 26.16 28.25 11.58 0.69% 127.83 STT US Equity (156) 2,205 68.78 64.23 -6.09 1.16% 5.19 SU CN Equity 36.13 - SU FP Equity 328 6,518 84.31 88.56 4.79 1.05% (45.04) SU US Equity 36.13 SWEOA SS Equity 214 6,088 24.78 25.65 3.08 1.14% (49.19) SYNN VX Equity (375) (6,455) 359.52 380.38 -8.66 0.67% 2.50 T US Equity (12) (515) 34.46 35.24 -3.75 0.60% (1.29) TD CN Equity 234 8,245 45.38 46.67 4.98 0.57% 54.86 TEF SM Equity 92 4,176 15.65 16.00 2.78 0.79% 10.78 TEF US Equity 109 3,406 15.52 16.01 3.50 0.91% 33.96 TGT US Equity 576 (8,574) 63.57 59.30 10.86 0.62% (52.65) TJX US Equity 1,401 5,695 46.52 57.96 30.72 0.80% (5.08) TLS AU Equity 299 7,919 4.60 4.78 6.70 0.56% 9.30 TLSN SS Equity 6.80 TM US Equity 391 (5,442) 115.49 107.19 7.20 1.00% (113.93) TMO US Equity 8,440 10,218 63.59 116.11 94.73 0.87% (12.48) TOT US Equity 866 6,885 60.09 67.64 16.14 0.78% 173.87 TRP CN Equity 46.74 TRV US Equity 114 8,267 84.26 85.42 3.01 0.46% 21.43 TSCO LN Equity 915 (5,918) 5.65 4.78 14.82 1.04% (74.72) TWC US Equity 616 5,234 120.22 134.37 13.01 0.90% 20.32 EFTA00288283 TWX US Equity (222) 4,437 66.24 63.08 •5.60 0.90% (10.62) TXN US Equity 3,626 12,205 34.93 45.30 33.27 0.89% 40.67 TYC US Equity 9,523 24,080 29.17 40.70 53.23 0.74% (65.67) UBS US Equity 128 5,489 19.43 19.89 2.44 0.95% (62.28) UBSN VX Equity 112 5,158 19.51 19.93 2.38 0.92% (67.44) UCG IM Equity 2,941 5,391 5.58 8.63 33.29 1.64% (64.01) ULVR LN Equity 277 6,601 42.76 44.56 4.83 0.87% 86.30 UNA NA Equity 256 7,339 41.35 42.79 4.64 0.75% 66.59 UNH US Equity 2,318 10,191 64.28 78.91 29.34 0.78% (60.58) UNP US Equity 1,190 12,014 165.36 181.75 14.30 0.69% (39.58) UPS US Equity 3,035 14,806 79.87 96.24 43.48 0.47% (48.29) USB US Equity 2,415 14,238 34.71 40.60 25.50 0.67% (10.12) UTX US Equity 6,035 15,190 82.05 114.65 48.71 0.82% 71.16 V US Equity 983 1,685 126.50 200.26 55.70 1.05% 40.51 VALE US Equity 28 (2,448) 15.05 14.87 0.81 1.42% (29.22) VALE3 BZ Equity 27 (2,939) 15.07 14.93 0.61 1.53% (32.44) VIAB US Equity 3,374 9,272 60.42 82.40 40.32 0.90% 21.72 VIV FP Equity 150 2,668 26.19 27.66 7.18 0.78% (7.58) VMW US Equity 615 4,785 89.16 100.62 8.41 1.53% 36.83 VOD LN Equity 269 (3,077) 3.90 3.56 8.01 1.09% 36.30 VOD US Equity 260 (2,970) 38.87 35.47 8.03 1.09% 18.44 VOW3 GR Equity 90 2,383 256.35 266.08 3.22 1.18% (30.46) VRX CN Equity 443 1,611 92.95 118.49 15.54 1.77% (41.42) VRX US Equity 512 1,880 93.20 118.58 15.96 1.71% (57.04) VTI US Equity 470 5,134 86.91 94.87 17.20 0.53% 12.73 VWO US Equity • 1,071 41.25 41.25 0.00 0.83% 0.67 VZ US Equity 176 (4,936) 48.81 47.08 7.91 0.45% 13.24 WBC AU Equity 410 6,950 30.53 32.33 6.60 0.90% (50.60) WES AU Equity 249 8,616 38.65 39.77 4.27 0.68% (65.04) WFC US Equity 2,782 11,582 38.70 47.99 38.00 0.63% (63.44) WLP US Equity 2,890 10,369 74.31 95.03 35.72 0.78% (41.82) WMT US Equity 170 7,009 75.45 77.28 4.86 0.50% 64.21 WOW AU Equity 33.72 - XOM US Equity 1,024 13,076 90.48 97.56 12.96 0.60% 119.26 XTA LN Equity • 2,180 #WA WA 0.00 2.25% YHOO US Equity 33.44 YUM US Equity 130 7,151 73.86 75.20 1.96 0.93% 54.11 ZURN VX Equity (335) 7,208 293.14 280.13 .6.16 0.75% (99.18) 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 16,038 62,272 1,455.70 1,830.61 41.06 0.63% 643.49 NDX Index 8,488 37,348 2,831.19 3,474.63 24.68 0.92% 369.53 RTY Index 6,812 23,963 868.48 1,115.35 29.72 0.96% 108.44 EFTA00288284 SPTSX Index 387 28,839 12,859.70 13,032.05 2.76 0.49% MEXBOL Index 225 (20,915) 3,142.45 3,108.59 1.38 0.78% IBOV Index 2 9,314 23,343.34 23,348.97 0.02 1.31% MERVAL Index (442) (4,326) 725.60 799.73 -10.19 1.00% UKX Index 2,834 39,964 10,288.22 11,017.92 11.81 0.60% DAX Index 7,961 36,674 10,610.77 12,914.20 25.54 0.85% CAC Index 1,559 20,042 5,625.45 6,062.97 11.23 0.69% IBEX Index 8,690 39,643 11,555.29 14,088.24 24.71 0.89% SMI Index 6,648 44,078 8,219.63 9,459.38 25.49 0.59% FTSEMIB Index 6,945 25,266 23,118.94 29,473.77 29.07 0.95% P5120 Index 6,302 24,289 8,026.78 10,109.42 27.59 0.94% ISEQ Index 23,836 40,099 4,246.25 6,770.34 65.83 0.90% ICEXI Index 4,976 37,337 6.63 7.51 26.47 0.50% AEX Index 5,467 42,240 484.27 546.95 20.09 0.64% BEL20 Index 7,637 44,003 3,610.75 4,237.41 26.73 0.65% LUXXX Index 10,183 40,811 1,665.29 2,080.80 40.53 0.62% KFX Index 9,015 38,048 100.82 124.71 29.15 0.81% HEX Index 6,876 40,933 8,513.93 9,944.07 19.12 0.88% OMX Index 1,740 23,118 191.41 205.82 8.90 0.85% ATX Index 15 9,226 3,409.40 3,414.99 0.15 1.09% ME Index 5,847 19,369 1,282.88 1,670.17 26.35 1.15% OSEBX Index 1,836 24,683 85.16 91.49 10.65 0.70% INDEXCF Index 1,183 (21,271) 39.64 37.44 2.57 2.16% TOP40 index 1,304 25,594 3,920.67 4,120.40 5.49 0.93% SENSEX Index 936 27,286 #N/A N/A 4.58 0.75% NKY Index (94) 2,843 141.17 136.63 .3.29 1.01% HSI Index 554 27,445 2,912.65 2,971.44 2.65 0.76% SHCOMP Index 139 (26,960) 344.53 342.75 0.66 0.79% KOSPI Index 1,184 29,082 1.85 1.92 5.78 0.70% AS51 Index 698 21,983 4,890.10 5,045.45 4.04 0.79% STEtCNZL Index 33,855 73,231 444.47 649.95 106.47 0.43% EEM US Equity • 1,052 41.74 41.74 0.00 0.85% IYR US Equity (16) (3,116) 67.42 67.77 0.99 0.52% MDY US Equity 4,405 14,269 184.03 240.84 40.90 0.75% JNK US Equity (6) 5,352 41.26 41.22 0.60 0.17% XLF US Equity 5,136 13,610 15.57 21.45 52.35 0.72% XLU US Equity 733 9,939 39.06 41.94 13.91 0.53% XLK US Equity 1,983 12,860 30.80 35.55 19.70 0.78% XLI US Equity 5,490 16,147 38.20 51.19 45.56 0.75% XLP US Equky 322 10,839 41.85 43.09 7.74 0.38% XLY US Equity 2,253 6,572 46.72 62.73 41.85 0.82% XLE US Equity 365 7,840 85.67 89.66 7.04 0.66% XLB US Equity 3,508 14,930 37.57 46.40 29.63 0.79% XLV US Equity 10,744 24,346 38.87 56.02 51.32 0.86% SXXP Index 6,017 43,407 400.51 456.03 22.74 0.61% SXAP Index 10,164 28,526 520.28 705.67 30.37 1.17% SXKP Index 3,771 47,032 366.14 395.49 11.81 0.68% 44.13 (133.65) (43.60) 41.61 123.36 (107.77) (15.19) (321.04) (150.99) 15.11 (248.26) (467.52) (248.87) (175.45) (1,012.89) I (641.89) (665.40) (20.86) (150.13) C (987.41) 40.74 460.41 38.43 (15.20) 39.54 17.84 (22.36) (265.02) (681.04) (2.24) (11.48) 83.33 22.14 149.76 64.00 147.59 123.28 88.77 69.48 112.24 148.21 195.26 (92.82) (525.65) (57.07) EFTA00288285 SX6P Index 6,098 36,148 355.66 415.66 32.44 0.52% 26.50 SXEP Index 1,955 38,769 447.48 470.04 9.19 0.55% 418.71 SXIP Index 11,033 28,923 222.31 307.11 53.22 0.72% (166.14) SXNP Index 4,569 28,384 482.69 560.39 20.36 0.79% (361.45) SX3P Index 1,075 22,842 669.69 701.20 7.99 0.59% 112.50 SXDP Index 21,970 61,074 609.16 828.28 61.96 0.58% 98.47 SX4P Index 2,609 25,840 917.36 1,009.97 13.09 0.77% 8.75 SX8P Index 2,116 17,778 343.07 383.89 14.71 0.81% (259.32) SXOP Index 10,840 40,949 381.12 482.02 29.98 0.88% (737.53) SXQP Index 545 26,331 793.71 810.13 3.14 0.66% 231.62 SXRP Index (178) 10,562 434.69 427.48 -2.55 0.66% 19.45 SXMP Index 9,714 35,766 261.12 332.04 44.96 0.60% (340.48) SXTP Index 20,030 39,247 172.05 259.86 62.88 0.81% SX7E Index 5,933 18,886 159.85 210.06 26.73 1.18% (265.47) SXSE Index 6,722 40,148 3,709.25 4,330.33 23.88 0.70% (7.80) SPGSCITR Index • 3,780 5,050.79 5,050.79 0.00 0.53% 33.55 XAG Curncy 1,016 (12,623) 21.74 19.99 9.44 0.85% 4.30 CO1 Comdty (31) (19,698) 108.90 109.07 0.20 0.78% (318.84) CL1 Comdty 1,439 29,347 99.19 104.05 5.83 0.84% 92.00 NG1 Comdty 3,492 16,608 3.77 4.56 11.57 1.82% (261.04) XAU Comdty (525) (19,682) 91.39 93.83 .3.72 0.72% (264.94) IBOXHY Index 3,103 53,418 220.12 232.91 74.00 0.08% 36.57 US_TSY CREDIT - 11,341 763.32 763.32 0.00 0.12% (9.35) CA_TSY CREDIT 2,568 (72,133) 1,245.64 1,201.29 9.58 0.37% 63.37 MX_TSY CREDIT 323 58,228 214.97 216.16 1.35 0.41% 269.39 AU TSY CREDIT 925 52,225 1,495.06 1,521.55 3.77 0.47% 216.05 JP_TSY CREDIT 218 (28,355) 821.88 815.55 2.58 0.30% 51.76 MY_TSY CREDIT • 7,918 168.29 168.29 0.00 0.36% (22.52) SG_TSY CREDIT • 11,341 220.89 220.89 0.00 0.24% (16.92) AT_TSY CREDIT 3,855 77,381 357.33 375.13 18.63 0.27% (467.22) BE_TSY CREDIT 4,900 77,996 477.05 507.02 25.18 0.25% (416.45) Fl _TSY CREDIT 3,579 80,015 348.46 364.05 17.60 0.25% (452.19) FR_TSY CREDIT 4,271 77,569 1,678.68 1,771.11 21.35 0.26% (413.77) DE_TSY CREDIT 3,017 77,869 1,243.17 1,291.33 14.54 0.27% (482.54) lE_TSY CREDIT 32,224 78,270 336.92 475.64 190.50 0.22% (375.06) IT_TSY CREDIT 8,825 54,986 1,616.23 1,875.64 62.71 0.26% (190.63) NL_TSY CREDIT 3,648 78,610 1,327.30 1,388.89 17.66 0.26% I- (459.97) ES_TSY CREDIT 10,973 50,187 392.28 478.05 85.88 0.25% (200.20) DK_TSY CREDIT 3,125 67,396 729.23 763.04 15.31 0.30% (446.33) NO_TSY CREDIT 56 32,135 343.60 344.20 0.54 0.33% (220.14) PL_TSY CREDIT 1,341 29,561 425.98 445.30 15.55 0.29% (134.73) ZA_TSY CREDIT (31) (5,304) 83.13 83.61 -0.73 0.80% 42.54 SE_TSY CREDIT 185 (31,592) 466.17 463.44 1.70 0.34% 147.42 CH_TSY CREDIT 4,020 66,678 1,006.05 1,066.70 22.40 0.27% (250.96) GELTSY CREDIT 1,614 60,590 1,491.70 1,531.44 8.00 0.33% (71.41) EFTA00288286