EFTA00288303.pdf

Atorus, LLC 4/22/2014 Current Date: 4/22/2014 Change on Day: 1.91% Total Return since 1/1/12: 83.94% MSCI World Change on 712M Return: 34.86% Day 0.57% T90 Day Return: 0.13% No of Positions T30 Day Return: 1.21% (+MTM) on Day 187 Current Long Exposure @ Cost: 4,897,749 No of Positions (-MTM) Current Short Exposure @ Cost: (531,052) on Day 101 Net Exposure: 4,366,696 Current No. of Starting Capital: 1,000,000 Positions: 441 Current NAV: 1,839,427 Current Leverage (Gross Exposures): 2.95 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 2,000,0130.00 1,800,000.00 1600,000.00 1,400,000.00 1,200,000.00 1,000,000.00 800000.00 800,000.00 (9 e °Q. „,4b ,,n)e „n, , et. p p „ 1b 01'0 „ 4 4 4" 4 4 Ate 4 ,„4.' 1 4 —NAV EFTA00288303 Atorus, LLC 4/22/2014 Largest Exposures Current Positions 97.5th Percentile 2.5th Percentile (@ cost ex- MTM) Largest MTM Gains Current Posi ions (90th Percentile MTM Gains % NAV) L 24 Positions Security Notional % of Total Notional 21.95$4 • TGT US Equity 941 HK Equity ZA_TSY CREDIT XAG Curncy XAU Comdty CO1 Comdty MEXBOL Index INDEXCF Index JP_TSY CREDIT SHCOMP Index SE TSY CREDIT SPX Index DK_TSY CREDIT CH_TSY CREDIT CA_TSY CREDIT STBCNZL Index GB_TSY CREDIT AT_TSY CREDIT BE_TSY CREDIT lE_TSY CREDIT NL_TSY CREDIT FR_TSY CREDIT FI_TSY CREDIT DE TSY CREDIT (8,574) 0.16% (9,455) 0.17% (11,545) 0.21% (13,831) 0.25% (19,682) 0.36% (19,698) 0.36% (20,915) 0.39% (21,271) 0.39% (22,684) 0.42% (26,960) 0.50% (45,879) 0.85% 62,272 1.15% 67,396 1.24% 68,798 1.27% (72,133) 1.33% 73,231 1.35% 75,587 1.39% 77,381 1.43% 77,996 1.44% 78,270 1.44% 78,610 1.45% 79,196 1.46% 80,015 1.47% 80,183 1.48% NAV Impact of MTM by Category & Exposure Listed Equity Long 0.571% Listed Equity Short -0.004% EquityCom Long 0.079% EquityCom Short 0.001% G20 Rates Long -0.136% G20 Rates Short 0.012% Security MTM Gain % Total NAV 45 Positions 26.43% MAERSKB DC Equity 5,841 0.32% AMGN US Equity 5,884 0.32% XLI US Equity 6,226 0.34% ROG VX Equity 6,230 0.34% HON US Equity 6,343 0.34% NOVN VX Equity 6,458 0.35% EDF FP Equity 6,487 0.35% SX7E Index 6,581 0.36% ASE Index 6,899 0.38% UTX US Equity 6,947 0.38% SXXP Index 7,000 0.38% SX6P Index 7,014 0.38% ACA FP Equity 7,127 0.39% SMI Index 7,180 0.39% DAI GR Equity 7,197 0.39% P5120 Index 7,216 0.39% MDT US Equity 7,379 0.40% SXSE Index 7,645 0.42% FTSEMIB Index 7,816 0.42% HEX Index 7,860 0.43% RTY Index 7,922 0.43% PRU LN Equity 7,995 0.43% SXMP Index 8,691 0.47% BEL20 Index 8,897 0.48% IT_TSY CREDIT 9,094 0.49% DAX Index 9,116 0.50% TMO US Equity 9,151 0.50% MC US Equity 9,155 0.50% MMM US Equity 9,278 0.50% IBEX Index 9,774 0.53% NDX Index 9,994 0.54% LUM Index 10,788 0.59% KFX Index 10,938 0.59% TYC US Equity 11,070 0.60% ES_TSY CREDIT 11,213 0.61% SXIP Index 11,873 0.65% SXAP Index 11,937 0.65% XLV US Equity 12,109 0.66% SXOP Index 12,163 0.66% SPX Index 18,131 0.99% EFTA00288304 SXTP Index 22,497 1.22% ISEQ Index 24,917 1.35% SXDP Index 24,920 1.35% IE_TSY CREDIT 32,547 1.77% STBCNZL Index 34,639 1.88% APAC Lon 22 APAC Short 26 EMEA Long 76 EMEA Short 13 AMER Long 173 AMER Short 36 E•rd om Lon 64 EquityCom Short 8 G20 Rates Lon 19 G20 Rates Short 4 Total Long 354 Total Short 87 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) 1 ■ APAC Long ■ APAC Short ■ EMEA Long ■ EMEA Short ■ AMER Long ■ AMER Short ■ EquityCom Long ■ EquityCom Short ■ G20 Rates Long ■ G20 Rates Short EFTA00288305 Atorus, LLC 4/22/2014 Historical Net Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodlites, G20 Gov. Credit) ----APAC —EMEA ----AMER ----EqmwCom —G20 Rams NexEposwe RIC 2.000.000 5,000.000 AOOOMM LOOOMM LOOOMM 1500,400 1.000.000 500,000 LOOOMM 0 ......, • (2,000,003) <> c9.419 (A )e\ NI' 4r.t. ,419 , III <.,` AN to, i„,,Q, ,,,,,,,,,, trcb , „ , , , „ % ••,\' -5 4 A\ t, ,1/4„, „b .... % or or or „ , , ... ..S' 0, -, \ (1,000,000) (3,000,000) Historical Gross Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodlites, G20 Gov. Credit) EFTA00288306 Atorus, LLC 4/22/2014 Current Gross Notional Risk by Category 219,290 d 566,645 tI z , • APAC • EMEA • AMER • EquityCom • G20 Rates Performance Vs. MCI World Index 115 1.95 1.75 1.55 1.35 1.15 0.95 0.75 (SQ. .61. °to. O.‘" os.t. , , , , \ 0 0 0 A\ A\ Ay' -,;(\ c,‘ , „ —Series' Serial Rolling 30 Day Realized Volatility - EFTA00288307 Atorus, LLC 4/22/2014 Percentile Distribution of Current MTM Gains in Vol Days by Position (ex-99pct & ex-1st percentiles) 50.00 50.00 40.00 moo 20.00 10.00 0.00 not int di r neS nrerttr _ ir eet et Pii V I D' v.> by knition Percentile No. Vol Days 0.00.:, -17.22 5.00% -2.50 10.00% -1.15 15.00% -0.19 20.00% 0.70 25.00% 1.43 30.00% 2.55 35.00% 3.78 40.00% 5.18 45.00% 6.09 50.00% 7.88 55.00% 10.35 60.00% 13.34 65.00% 15.87 70.00% 18.45 75.00% 22.62 80.00% 27.97 85.00% 32.40 90.00% 39.23 95.00% 56.88 100.00% 202.05 MTM Gains(Losses) % of NAV "Signficant" (<7 Vol Days) MTM Gains(Losses) % of NAV "Signficant" (>7 Vol Days) 1.27% EFTA00288308 Atorus, LLC Current Portfolio -Listed Equity 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) 4/22/2014 000270 KS Equity (4) 461 57.25 56.72 0.81 1.14% 5.83 005380 KS Equity 139 3,149 224.39 234.32 3.92 1.13% 3.22 005490 KS Equity (186) (3,011) 272.57 289.37 -5.83 1.06% 17.30 005930 KS Equity (213) (5,603) 1,278.08 1,326.74 -4.33 0.88% 2.41 012330 KS Equity 1,142 5,584 247.00 297.52 21.50 0.95% (8.17) 1 HK Equity 1,136 11,830 16.10 17.64 12.19 0.79% 1299 HK Equity 329 5,954 4.79 5.05 5.98 0.92% 13 HK Equity 2,678 12,243 11.40 13.90 24.27 0.90% 16 HK Equity 12.80 27 HK Equity (11) 123 9.60 8.79 4.93 1.86% 2914 JP Equity 51 (3,774) 32.46 32.02 1.35 1.01% (59.55) 3382 JP Equity 0 1,329 37.70 37.71 0.02 1.02% 9.01 4063 JP Equity 12 1,533 60.41 60.90 0.68 1.18% 22.79 4502 JP Equity 13 (3,939) 44.14 44.00 0.36 0.91% 21.62 4689 JP Equity (46) (1,338) 4.60 4.76 -1.76 1.97% (14.86) 5 HK Equity (68) (3,197) 10.17 10.39 -2.61 0.82% 5108 JP Equity (15) (987) 34.57 35.10 -1.55 1.01% (16.86) 54011P Equity 318 (4,349) 2.87 2.66 5.95 1.23% 82.87 63011P Equity (21) (1,651) 20.69 20.96 -1.09 1.19% 7.17 6752 JP Equity 10.93 6902 JP Equity 46.61 69541P Equity 908 6,393 6,392.98 180.04 11.93 1.19% (56.64) 72011P Equity 33 (2,999) (3,742.97) 8.76 1.16 0.94% 5.53 7203 JP Equity 121 (4,207) (5,259.85) 54.48 2.93 0.98% (2.75) 7267 JP Equity 252 (3,126) (4,885.01) 33.49 8.28 0.97% 12.96 762 HK Equity 22 (3,929) (5,161.69) 1.36 0.51 1.07% 7751 JP Equity 21 (5,492) (6,865.02) 31.32 0.47 0.81% 28.67 80311P Equity (53) (3,821) (4,775.88) 14.29 -1.31 1.07% 16.27 8058 JP Equity 78 (3,451) (4,383.01) 17.84 2.40 0.95% 20.89 8106 JP Equity 153 (3,668) (4,603.66) 5.39 2.92 1.43% 77.62 8316 JP Equity 76 (1,984) (2,000.57) 39.57 2.90 1.32% 37.54 84111P Equity 11 (1,364) 1.95 1.15 0.72% 12.45 8604 JP Equity 244 (3,335) (3,504.39) 6.00 5.59 1.31% 68.60 88011P Equity (50) 2,660 30.46 29.90 -1.32 1.42% (23.76) 8802 JP Equity 403 (4,007) 24.84 22.34 7.00 1.44% 42.49 9020 JP Equity 118 (5,379) 75.21 73.56 1.84 1.20% (6.83) 941 HK Equity 856 (9,455) 10.19 9.27 7.88 1.15% 9432 JP Equity (90) 6,077 53.18 52.40 -1.32 1.12% 6.87 9433 JP Equity (98) (2,500) 51.14 53.13 -2.92 1.34% (5.93) 9437 JP Equity 95 (6,149) 15.59 15.35 1.66 0.93% 28.14 9983 JP Equity 16 (1,174) 329.75 325.36 0.93 1.44% 20.55 EFTA00288309 9984 JP Equity 427 75.98 75.98 0.00 1.94% 3.55 AAPL US Equity 142 6,302 518.25 529.96 3.47 0.65% 8.17 ABB US Equity 701 6,661 23.59 26.07 15.73 0.67% 48.89 ABBN VX Equity 696 6,962 23.63 25.99 13.64 0.73% ABBV US Equity 33 2,296 49.39 50.09 1.05 1.35% 46.88 ABEV US Equity 135 4,344 7.61 7.84 3.88 0.80% 27.41 ABEV3 BZ Equity 166 4,143 7.59 7.89 4.43 0.90% ABI BB Equity 537 8,888 103.14 109.37 8.23 0.73% ABT US Equity (13) 4,097 38.87 38.75 -0.44 0.70% 9.52 ABX CN Equity 258 (3,366) 18.97 17.52 5.14 1.49% (7.50) ABX US Equity 252 (3,243) 18.99 17.52 5.26 1.48% (13.96) ACA FP Equity 7,127 5,408 6.83 15.84 105.46 1.25% ACE US Equity 388 8,503 96.60 101.01 10.44 0.44% 21.97 ACN US Equity 240 10,703 77.97 79.72 2.53 0.89% 45.74 ADP US Equity 34 3,689 75.60 76.29 1.37 0.67% 9.36 AFL US Equity (19) 4,556 63.05 62.79 -0.63 0.66% 7.62 AGN US Equity 4,707 9,698 110.56 164.22 24.37 1.99%r 2,205.90 Al FP Equity 196 8,248 134.80 138.01 3.84 0.62% AIG US Equity 189 4,614 48.95 50.95 4.85 0.84% 25.74 AIR FP Equity 563 1,774 53.87 70.97 30.68 1.04% ALV GR Equity 22 2,204 165.38 167.05 1.40 0.73% ALVG IX Equity 21 2,204 165.33 166.90 1.26 0.75% AMGN US Equity 5,884 22,886 94.49 118.78 23.88 1.08% 580.98 AMT US Equity 1,042 10,655 76.29 83.75 16.82 0.58% 134.05 AMZN US Equity (46) (2,378) 326.05 332.30 -1.39 1.38% (30.09) ANZ AU Equity 639 7,345 29.47 32.04 10.85 0.80% APA US Equity (222) (5,496) 82.74 86.07 -5.61 0.72% (34.99) APC US Equity 37 2,501 97.78 99.21 1.19 1.23% 10.44 AXP US Equity 2,257 10,373 71.56 87.13 22.89 0.95% 75.58 AZN LN Equity 4,646 12,676 49.80 68.05 38.70 0.95% AZN SS Equity 4,111 12,119 50.82 68.06 39.23 0.86% AZN US Equity 4,330 12,812 50.30 67.30 36.76 0.92% (117.16) BA US Equity 98 4,613 125.87 128.54 2.56 0.83% 21.18 BAC US Equity 9,155 10,884 8.82 16.24 83.50 1.01% 189.41 BARC LN Equity 116 2,977 4.00 4.16 2.88 1.36% BAS GR Equity 1,115 7,333 97.30 112.09 14.97 1.02% BATS LN Equity 504 7,243 53.84 57.59 8.52 0.82% BAX US Equity (9) 1,341 73.12 72.64 -0.75 0.88% (7.59) BAYN GR Equity 32 1,775 130.89 133.27 1.95 0.93% BBAS3 BZ Equity (75) (580) 9.50 10.73 -6.28 2.05% BBD US Equity 70 3,222 14.49 14.80 1.34 1.62% (21.80) BBDC4 BZ Equity 69 3,172 14.49 14.81 1.26 1.72% BBL US Equity (78) (1,969) 62.15 64.60 .4.23 0.93% (14.35) BBVA SM Equity 1,267 5,790 10.12 12.33 22.24 0.98% BCE CN Equity (0) 5,900 44.18 44.18 0.00 0.50% (26.86) BCS US Equity 135 3,122 16.00 16.69 3.46 1.25% 17.81 BEN US Equity 65 2,447 52.56 53.96 2.55 1.05% 27.22 EFTA00288310 BG/ LN Equity (319) (3,503) 17.51 19.11 -12.67 032% BHP AU Equity 252 6,689 34.33 35.62 3.55 1.06% BHP US Equity 347 6,839 67.77 71.21 5.33 0.95% 38.60 BBB US Equity 259 1,066 245.93 305.79 14.37 1.69% 46.72 BIL Si Equity (22) (2,497) 32.02 32.30 -0.88 1.00% BK US Equity 223 8,609 32.86 33.71 3.76 0.69% (3.09) BLK US Equity 168 3,418 293.93 308.34 4.87 1.01% 23.56 BLT IN Equity (13) (3,396) 32.10 32.22 -0.38 1.01% BMO CN Equity 489 11,017 66.19 69.13 8.14 0.55% (40.17) BMW GR Equity 1,568 5,212 99.22 129.07 26.10 1.15% BMY US Equity (76) (1,466) 48.64 51.14 4.40 1.17% (26.21) BN FP Equity (62) 5,463 73.20 72.39 -1.59 0.71% BNP FP Equity 1,315 5,498 61.78 76.55 20.58 1.16% BNS CN Equity 208 7,632 57.74 59.31 5.70 0.48% (14.13) BP/ LN Equity 509 9,797 7.76 8.17 7.70 0.67% BRK/FI US Equity 748 11,850 119.19 126.71 11.61 0.54% 6.35 BSBR US Equity 471 (6,537) 6.18 5.74 5.47 1.32% (55.52) BUD US Equity 522 9,049 103.62 109.60 7.99 0.72% 57.87 BX US Equity 248 3,119 30.36 32.78 4.50 1.77% 114.68 C US Equity 5 1,501 48.08 48.25 0.33 1.10% 10.78 CA FP Equity 663 3,741 34.12 40.17 20.17 0.88% CAT US Equity 2,166 14,011 89.87 103.77 23.71 0.65% 231.50 CBA AU Equity 704 11,185 68.68 73.01 9.71 0.65% CBS US Equity 267 1,267 49.35 59.75 18.61 1.13% 4.61 CCL US Equity 218 6,257 36.20 37.46 3.78 0.92% 27.84 CELG US Equity (14) (580) 142.74 146.21 -1.50 1.62% (13.65) CFR VX Equity 221 5,214 95.61 99.66 4.50 0.94% CL US Equity 2,386 20,847 59.72 66.56 22.62 0.51% (68.88) CM CN Equity 497 10,376 83.40 87.39 10.35 0.46% (20.40) CMCSA US Equity 102 3,621 49.72 51.13 2.76 1.02% 111.45 CMCSK US Equity 4,697 12,096 36.26 50.34 40.71 0.95% 458.32 CNI US Equity 1,537 12,873 51.38 57.51 15.85 0.75% 110.74 CNQ CN Equity 1,060 10,769 36.73 40.35 13.39 0.74% (11.28) CNR CN Equity 1,498 12,425 51.30 57.48 16.63 0.72% 86.55 COF US Equity 664 7,124 68.86 75.27 13.89 0.67% (5.24) COP US Equity (9) 2,665 74.47 74.24 -0.47 0.69% (16.80) COST US Equity 42 5,426 112.99 113.86 1.56 0.49% (4.40) COV LN Equity KWA N/A COV US Equity 721 7,080 64.09 70.61 14.32 0.71% 19.08 CRM US Equity 2 2,054 56.89 56.94 0.06 1.42% 35.75 CS FP Equity 738 2,155 19.39 26.03 33.09 1.04% CSCO US Equity 54 4,392 23.23 23.52 1.45 0.84% 16.45 CSX US Equity 1,142 8,914 25.07 28.29 17.30 0.74% 30.60 CVE CN Equity 29.03 - CVS US Equity 1,752 11,815 63.98 73.47 23.95 0.62% (49.33) CVX US Equity (341) (3,283) 112.39 124.08 -17.22 0.60% (0.00) D US Equity 2,187 12,764 60.42 70.77 31.55 0.54% (1.77) EFTA00288311 DAI GR Equity 7,197 13,908 62.20 94.39 40.40 1.28% DBK GR Equity 7 1,361 44.10 44.32 0.40 1.21% DD US Equity 2,929 12,908 54.93 67.40 36.88 0.62% 68.01 DDAIF US Equity 4,168 8,377 63.20 94.65 34.86 1.43% 167.27 DE US Equity 736 8,537 85.81 93.22 12.83 0.67% 16.59 DELI. US Equity #WA WA DG FP Equity 4,623 10,090 51.66 75.33 69.66 0.66% DGE LN Equity 28 2,332 30.86 31.23 1.28 0.95% DHR US Equity 14 3,012 73.59 73.94 0.56 0.83% (7.28) DIS US Equity 1,630 9,908 68.36 79.61 18.02 0.91% 67.07 DISCA US Equity 1 (1,743) 77.61 77.59 0.04 0.85% (2.59) DNB NO Equity 95 1,806 16.20 17.05 5.78 0.91% DOW US Equity 2,376 7,396 37.11 49.04 34.72 0.93% 67.38 DPW GR Equity 180 660 29.41 37.44 18.71 1.46% DTE GR Equity 681. 3,755 13.50 15.95 19.33 0.94% DTV US Equity 2,540 10,622 61.97 76.79 22.85 1.05% 103.72 DUK US Equity 15 5,733 72.44 72.63 0.51 0.52% 8.78 DVN US Equity 1,294 11,143 63.30 70.65 15.54 0.75% 32.60 EBAY US Equity 121 6,678 54.29 55.27 1.98 0.92% 57.21 ECL US Equity 202 9,210 105.22 107.53 2.85 0.77% (18.41) EDF FP Equity 6,487 9,189 23.45 40.00 83.72 0.84% EMC US Equity 699 10,986 25.35 26.97 9.28 0.69% 31.54 EMR US Equity 262 8,739 66.80 68.80 3.78 0.79% 27.98 ENS CN Equity 464 9,023 44.84 47.15 9.79 0.53% 51.41 ENEL IM Equity 2,347 8,262 4.41 5.67 30.95 0.92% ENI IM Equity 714 10,741 24.19 25.80 10.95 0.61% EOAN GR Equity 49 2,996 18.77 19.07 2.22 0.74% EOG US Equity 2,389 5,841 72.84 102.63 52.74 0.78% (21.15) EPD US Equity 2,092 13,127 63.70 73.85 26.02 0.61% 71.52 ERICB SS Equity 359 7,934 12.51 13.08 5.21 0.87% ESRX US Equity 689 9,815 66.69 71.37 9.89 0.71% (29.43) ETN US Equity 147 5,260 72.48 74.50 2.56 1.09% 49.13 F US Equity (248) (2,897) 14.82 16.08 -10.91 0.79% (16.07) F8 US Equity 1,124 2,630 44.06 62.89 21.66 1.97% 157.10 FCX US Equity 26 3,763 33.05 33.28 0.65 1.05% 45.13 FDX US Equity 250 2,491 124.78 137.30 16.66 0.60% 19.04 FOX US Equity 0 3,508 32.03 32.03 0.01 1.17% 42.33 FOXA US Equity (7) 3,236 32.97 32.90 -0.19 1.19% 43.93 FP FP Equity 1,408 13,022 61.76 68.44 16.01 0.68% G IM Equity 252 4,069 21.51 22.85 8.16 0.76% GE US Equity 2,569 13,140 22.32 26.68 31.18 0.63% 34.46 GILD US Equity (95) (1,095) 67.41 73.23 -4.81 1.80% (33.23) GIS US Equity 899 17,619 49.73 52.27 8.88 0.57% (13.49) GLE FP Equity 719 3,248 49.51 60.47 18.45 1.20% GLEN LN Equity (45) (3,693) 5.22 5.29 -1.07 1.14% GLW US Equity 3,564 11,635 16.25 21.23 32.40 0.95% 135.65 GM US Equity 14 (1,795) 34.53 34.26 0.73 1.06% (15.29) EFTA00288312 GOOG US Equity 711 3,312 439.03 533.29 16.29 1.32% 24.98 GS US Equity (84) (2,842) 155.24 159.85 -3.11 0.96% (38.02) GSK LN Equity 296 5,707 26.22 27.58 5.34 0.97% GSZ FP Equity 999 10,844 25.24 27.56 13.14 0.70% HAL US Equity 1,771 6,395 49.49 63.20 28.56 0.97% 43.07 HD US Equity 609 7,238 73.54 79.73 11.23 0.75% 176.71 HMB SS Equity (55) (4,056) 41.18 41.74 -1.67 0.82% HON US Equity 6,343 11,930 61.10 93.59 72.50 0.73% 110.66 HPO. US Equity 1,838 7,393 25.45 31.78 19.57 1.27% (75.22) HSBA LN Equity 103 4,565 10.16 10.39 3.88 0.58% IBE SM Equity 1,621 7,501 5.56 6.76 37.61 0.57% IBM US Equity (23) 2,608 193.77 192.10 -1.05 0.83% 0.42 IMT LN Equity 2,104 12,946 36.65 42.61 24.23 0.67% INTC US Equity 1,291 12,041 24.19 26.79 17.10 0.63% (60.24) ISP IM Equity 4,302 5,699 1.93 3.39 55.21 1.37% ITUB US Equity 79 3,231 15.43 15.81 1.57 1.56% (1.07) ITUB4 BZ Equity 108 3,252 15.40 15.91 1.95 1.70% ITW US Equity 3,640 14,011 67.84 85.46 31.86 0.82% 268.14 ITX SM Equity (44) (3,652) 146.45 148.21 -1.38 0.87% JO US Equity 357 2,995 42.92 48.04 10.09 1.18% 61.43 JNJ US Equity 5,751 15,364 73.04 100.38 71.64 0.52% 147.60 JPM US Equity (4) (503) 55.25 55.70 -0.89 0.91% (5.03) KMB US Equity 116 9,903 107.52 108.79 2.25 0.52% (199.60) KMI US Equity 77 (6,775) 33.81 33.42 1.61 0.70% 7.25 KO US Equity 40.66 - LBTYA US Equity (67) (2,446) 39.04 40.10 -2.50 1.09% (37.15) LBTYK US Equity (76) (2,611) 37.89 38.99 -2.94 0.99% (35.36) LIN GR Equity 79 8,087 198.03 199.96 1.64 0.59% LLOY LN Equity 275 1,445 1.05 1.25 15.77 1.21% LLY US Equity 108 4,953 59.03 60.32 3.27 0.67% (15.08) LMT US Equity 600 2,016 122.48 158.92 32.89 0.90% (37.51) LNKD US Equity 72 (2,461) 183.83 178.43 1.42 2.06% (15.16) LOW US Equity (105) 6,264 48.39 47.59 -2.18 0.77% 119.63 LVS US Equity 1,209 4,085 61.33 79.49 17.08 1.73% 240.69 LYB US Equity 1,324 2,297 59.29 93.47 66.37 0.87% 45.86 MA US Equity 74.50 - MAERSKB DC Equity 5,841 14,148 1,642.52 2,320.57 36.88 1.12% MC FP Equity 345 5,711 186.24 197.48 7.30 0.83% MCD US Equity (38) 5,480 100.23 99.54 -1.36 0.51% (10.66) MCK US Equity 93 2,181 164.92 171.97 4.47 0.96% 6.03 MDIZ US Equity 3,063 13,641 28.68 35.12 37.50 0.60% 168.37 MDT US Equity 7,379 20,811 43.22 58.55 41.16 0.86% (128.88) MET US Equity 1,275 7,556 44.37 51.86 17.05 0.99% 135.61 MFC CN Equity 1,652 3,201 12.38 18.76 62.90 0.82% 20.55 MHS US Equity //WA WA MMM US Equity 9,278 21,331 96.89 139.04 64.40 0.68% 154.44 MO US Equity 542 10,839 36.70 38.53 10.53 0.48% 62.19 EFTA00288313 MON US Equity 713 11,917 106.02 112.36 7.85 036% (48.12) MOS US Equity 49.09 MRK US Equity 1,801 11,769 50.18 57.87 17.10 0.89% 200.40 MS US Equity 56 2,022 30.32 31.16 2.24 1.25% 18.08 MSFT US Equity 1,060 8,007 35.30 39.98 14.40 0.92% (8.81) MUV2 GR Equity 1,048 6,116 197.70 231.58 26.71 0.64% NAB AU Equity 556 9,956 31.52 33.28 7.59 034% NCM AU Equity 9.39 NEE US Equity 4,812 14,649 72.62 96.47 46.62 0.70% (59.25) NEM US Equity 1,097 (3,785) 34.95 24.82 18.46 1.57% 40.81 NESN VX Equity 888 9,821 69.64 75.93 14.07 0.64% NG/ IN Equity 2,234 13,258 11.96 13.98 33.69 0.50% NKE US Equity 322 2,940 67.01 74.34 12.56 0.87% 23.80 NOK US Equity 4,007 4,498 3.96 7.49 60.50 1.47% 115.02 NOV US Equity 603 8,176 76.64 82.28 9.17 0.80% 2.83 NOVN VX Equity 6,458 18,291 63.81 86.33 47.19 0.75% NOVOB DC Equity 1,051 9,444 40.35 44.84 11.06 1.01% NSC US Equity 1,966 9,797 80.78 96.99 25.56 0.79% 18.79 NVS US Equity 5,116 15,510 65.07 86.53 43.08 0.77% 370.68 OGXP3 BZ Equity 4,018 (4,107) 4.39 0.10 47.56 2.06% OR FP Equity 158 5,025 163.47 168.61 4.71 0.67% ORA FP Equity 1,045 6,239 13.10 15.30 16.38 1.02% ORCL US Equity 1,605 7,995 33.68 40.44 20.33 0.99% 47.47 OXY US Equity 163 7,355 95.04 97.15 2.65 0.84% (6.83) PBR US Equity (25) (864) 13.30 13.69 -1.37 2.12% 13.03 PBR/A US Equity (79) (2,236) 13.87 14.36 -1.65 2.15% 24.70 PCLN US Equity 868 3,043 956.05 1,228.91 18.39 1.55% 40.22 PCP US Equity 53 4,349 255.80 258.93 1.24 0.98% 26.89 PEP US Equity 298 9,681 82.78 85.32 6.29 0.49% (44.95) PETR3 BZ Equity (57) (1,122) 6.54 6.88 -2.27 2.23% PETR4 BZ Equity (89) (2,498) 6.95 7.19 -1.51 2.35% PFE US Equity 44 3,286 30.69 31.10 1.62 0.83% 40.08 PG US Equity 309 10,477 79.08 81.42 7.30 0.40% (15.68) PHIA NA Equity 32.36 PM US Equity 182 (8,133) 85.47 83.56 3.56 0.63% (23.77) PNC US Equity 914 9,010 76.60 84.38 12.90 0.79% 54.70 POT CN Equity 3558 - POT US Equity (73) (1,398) 33.81 35.57 -5.48 0.95% (11.05) PRU LN Equity 7,995 10,521 12.76 22.46 67.79 1.12% PSA US Equity 891 11,917 160.84 172.87 18.09 0A1% 0.41 PSX US Equity 1,610 6,030 64.65 81.91 28.44 0.94% 20.88 PX US Equity 2,707 16,340 113.54 132.35 28.14 0.59% (40.94) QCOM US Equity 2,639 12,547 66.83 80.88 29.41 0.72% (1.54) QQQ US Equity 2,213 7,968 68.46 87.47 36.37 0.76% 112.23 RAI US Equity 389 9,032 52.87 55.15 6.86 0.63% 30.33 RDS/A US Equity 190 7,386 73.50 75.40 5.58 0.46% (22.47) RDS/B US Equity 369 8,787 77.16 80.40 8.59 0.49% (36.06) EFTA00288314 RDSA LN Equity 399 7,114 35.70 37.70 11.30 0.50% RDSA NA Equity 179 7,159 36.79 37.71 5.18 0.48% RDSB LN Equity 427 7,865 38.14 40.22 10.16 0.53% REGN US Equity 170 6,240 302.78 311.04 1.75 1.56% 240.43 RIO AU Equity (32) 3,506 59.39 58.86 A.79 1.16% RIO LN Equity 5 4,819 54.83 54.89 0.08 1.16% RIO US Equity 75 4,934 54.04 54.86 1.43 1.06% 13.85 ROG VX Equity 6,230 17,035 212.78 290.60 53.13 0.69% RY CN Equity 33 8,293 65.48 65.74 0.84 0.48% (127.26) SAB LN Equity 631 9,453 48.63 51.87 6.97 0.96% SAN FP Equity (74) (2,136) 102.72 106.26 -3.98 0.87% SAN SM Equity 1,240 8,103 8.48 9.78 18.32 0.84% SAN US Equity 1,045 6,582 8.50 9.85 16.56 0.96% 27.50 SAP GR Equity (49) 5,241 80.60 79.85 -1.04 0.89% SAP US Equity (55) 5,649 80.62 79.84 -1.15 0.84% 4.48 SBUX US Equity (9) (1,071) 70.43 71.06 A.87 1.02% (11.40) SGO FP Equity 3,034 7,836 44.08 61.16 35.18 1.10% SI US Equity 851 5,671 118.49 136.26 15.62 0.96% 41.99 SIE GR Equity 980 5,345 114.81 135.86 20.35 0.90% SLB US Equity 1,839 8,221 83.35 101.99 30.69 0.73% 40.72 SMSN LI Equity (135) (6,021) 643.80 658.21 -2.10 1.07% SO US Equity 348 9,151 43.58 45.24 6.29 0.61% 23.49 SPG US Equity 221 8,178 166.14 170.62 4.85 0.56% 8.88 SREN VX Equity 91 2,001 80.46 84.11 4.21 1.08% STAN LN Equity (6) (2,352) 22.09 22.14 A.28 0.93% STL NO Equity 1,014 9,825 26.16 28.86 13.65 0.76% STT US Equity (33) 1,310 66.88 65.23 -2.22 1.14% 3.32 SU CN Equity 110 8,181 36.12 36.61 1.77 0.76% (29.67) SU FP Equity 523 6,518 84.31 91.08 7.33 1.10% SU US Equity 60 5,593 36.22 36.61 1.42 0.76% (16.41) SWEDA SS Equity 182 3,653 24.78 26.01 4.58 1.09% SYNN VX Equity (453) (4,842) 359.52 393.19 -13.78 0.68% T US Equity 23 4,603 36.06 36.24 0.81 0.63% 28.48 TD CN Equity 289 8,774 45.47 46.97 6.73 0.49% (16.85) TEF SM Equity 227 5,810 15.83 16.45 5.49 0.71% TEF US Equity 206 4,939 15.76 16.42 5.33 0.78% 34.36 TGT US Equity 440 (8,574) 63.57 60.31 8.54 0.60% (85.00) TJX US Equity 1,604 5,695 46.52 59.62 36.40 0.77% 55.50 TLS AU Equity 365 7,919 4.60 4.81 8.22 0.56% TLSN SS Equity (7) (2,212) 6.85 6.88 A.30 1.02% TM US Equity 334 (5,442) 115.49 108.41 6.47 0.95% 13.77 TMO US Equity 9,151 10,218 63.59 120.53 100.15 0.89% 222.86 TOT US Equity 964 6,885 60.09 68.50 19.65 0.71% 26.82 TRP CN Equity (97) 3,097 46.69 45.28 -5.22 0.60% 17.93 TRV US Equity 244 8,267 84.26 86.74 6.26 0.47% 45.34 TSCO LN Equity 764 (6,286) 5.60 4.92 10.49 1.16% TWC US Equity 840 5,234 120.22 139.53 16.84 0.95% 143.49 EFTA00288315 TWX US Equity (47) 4,244 65.74 65.02 -1.30 0.85% 2.11 TXN US Equity 4,042 12,205 34.93 46.50 34.19 0.97% 155.65 TYC US Equity 11,070 24,080 29.17 42.58 58.00 0.79% 125.77 UBS US Equity 334 5,489 19.43 20.62 6.50 0.94% 75.70 UBSN VX Equity 257 5,158 19.51 20.48 5.34 0.93% UCG IM Equity 3,386 5,391 5.58 9.09 41.39 1.52% ULVR LN Equity 196 7,912 42.99 44.05 2.81 0.88% UNA NA Equity 186 8,805 41.53 42.41 2.74 0.77% UNH US Equity 1,812 10,191 64.28 75.71 20.91 0.85% 56.69 UNP US Equity 2,000 12,014 165.36 192.90 23.48 0.71% 135.52 UPS US Equity 3,561 14,806 79.87 99.08 48.79 0.49% 78.41 USB US Equity 2,454 14,238 34.71 40.70 27.97 0.62% 105.37 UTX US Equity 6,947 15,190 82.05 119.57 50.51 0.91% 214.82 V US Equity 608 5,223 188.15 210.06 10.33 1.13% 30.86 VALE US Equity 210 (2,448) 15.05 13.76 5.96 1.44% 8.99 VALE3 BZ Equity 252 (2,939) 15.07 13.78 5.31 1.61% VIAB US Equity 3,659 9,272 60.42 84.25 44.25 0.89% 21.74 VIV FP Equity 167 2,668 26.19 27.83 8.79 0.71% VMW US Equity 888 4,785 89.16 105.70 13.34 1.39% 80.56 VOD LN Equity 195 (3,276) 3.87 3.64 5.48 1.09% VOD US Equity 175 (3,261) 38.55 36.49 5.98 0.90% (37.09) VOW3 GR Equity 159 2,383 256.35 273.46 5.35 1.25% VRX CN Equity 704 1,611 92.95 133.55 23.01 1.90% 164.69 VRX US Equity 813 1,880 93.20 133.52 22.97 1.88% 64.26 VTI US Equity 638 5,134 86.91 97.71 22.31 0.56% 44.85 VWO US Equity (9) (946) 40.86 41.23 4.14 0.79% 2.06 VZ US Equity 46 (6,492) 48.44 48.09 1.72 0.42% (25.03) WBC AU Equity 559 6,950 30.53 32.98 10.01 0.80% WES AU Equity 426 9,160 38.76 40.56 7.18 0.65% WFC US Equity 3,170 11,582 38.70 49.29 47.04 0.58% 47.11 WLP US Equity 2,759 10,369 74.31 94.08 28.43 0.94% 166.80 WMT US Equity 202 7,009 75.45 77.62 6.09 0.47% 8.34 WOW AU Equity 209 4,924 33.85 35.28 5.16 0.82% XOM US Equity 1,457 13,681 90.89 100.57 20.19 0.53% (19.06) XTA LN Equity #WA N/A YHOO US Equity 36.35 YUM US Equity 347 7,151 73.86 77.45 5.36 0.91% 153.34 ZURN VX Equity (242) 7,208 293.44 283.93 4.37 0.77% Current Portfolio - Global Macro Portfolio Current Price P/L in Vol 30P Realized Change on Day Security MTM Galn/(Loss) Exp. # Cost Avg. Price (In USD) Days Vol (In USD) SPX Index 18,131 62,272 1,455.70 1,879.55 44.43 0.66% 329.02 NDX Index 9,994 37,348 2,831.19 3,588.81 28.11 0.95% 383.77 RTY Index 7,922 23,963 868.48 1,155.61 34.39 0.96% 371.18 EFTA00288316 SPTSX Index 772 28,839 12,859.70 13,203.89 5.83 0.46% 102.98 MEXBOL Index 273 (20,915) 3,142.45 3,101.42 1.77 0.74% 114.33 IBOV Index (20) 9,414 23,215.64 23,166.72 -0.16 1.30% MERVAL Index (599) (4,326) 725.60 826.10 .12.11 1.14% (106.99) UKK Index 3,718 39,964 10,288.22 11,245.40 15.87 0.59% DAX Index 9,116 36,674 10,610.77 13,248.12 28.63 0.87% CAC Index 2,005 21,253 5,654.74 6,188.21 14.35 0.66% IBEX Index 9,774 39,643 11,555.29 14,404.16 30.50 0.81% SMI Index 7,180 44,078 8,219.63 9,558.63 30.40 0.54% FTSEMIB Index 7,816 25,266 23,118.94 30,270.77 32.25 0.96% P5120 Index 7,216 24,289 8,026.78 10,411.53 30.83 0.96% ISEQ Index 24,917 40,099 4,246.25 6,884.88 67.29 0.92% ICEXI Index 4,739 37,337 6.63 7.47 25.83 0.49% AEX Index 5,703 42,240 484.27 549.65 24.38 0.55% BEL20 Index 8,897 44,003 3,610.75 4,340.85 33.33 0.61% LUXXX Index 10,788 40,975 1,666.61 2,105.39 43.75 0.60% KFX Index 10,938 38,048 100.82 129.80 32.40 0.89% HEX Index 7,860 40,933 8,513.93 10,148.85 22.36 0.86% OMX Index 1,991 23,118 191.41 207.90 10.26 0.84% ATX Index 176 9,226 3,409.58 3,474.78 1.82 1.05% ASE Index 6,899 19,369 1,282.88 1,739.79 27.71 1.29% OSEBX Index 2,485 24,683 85.16 93.73 14.23 0.71% INDEXCF Index 1,190 (21,271) 39.64 37.42 3.26 1.72% 155.82 TOP40 Index 1,462 25,594 3,920.67 4,144.63 6.67 0.86% SENSEX Index 870 27,286 362.49 374.05 4.60 0.69% (169.45) NKY Index (7) 8,492 140.33 140.21 -0.08 1.03% (75.55) HSI Index 189 29,992 2,913.59 2,931.97 0.82 0.77% SHCOMP Index 955 (26,960) 344.53 332.32 4.81 0.74% (32.23) KOSPI Index 1,349 29,082 1.85 1.93 7.05 0.66% 113.10 AS51 Index 1,090 21,983 4,890.10 5,132.47 6.59 0.75% STBCNZL Index 34,639 73,231 444.47 654.71 110.99 0.43% 49.45 EEM US Equity (5) (930) 41.43 41.64 0.63 0.83% 2.44 IYR US Equity • 1,102 69.23 69.23 0.00 0.50% 3.67 MDY US Equity 4,977 14,269 184.03 248.22 45.47 0.77% 139.01 INK US Equity 1 5,352 41.26 41.27 0.12 0.16% 3.89 XLF US Equity 5,608 13,610 15.57 21.99 60.58 0.68% 132.08 XLU US Equity 828 9,939 39.06 42.31 14.63 0.57% 15.29 XLK US Equity 2,305 12,860 30.80 36.32 22.53 0.80% 62.89 XLI US Equity 6,226 16,147 38.20 52.93 50.65 0.76% 12.69 XLP US Equity 462 10,839 41.85 43.63 11.86 0.36% (5.18) XLY US Equity 1,276 5,441 52.24 64.49 28.12 0.83% 57.78 XLE US Equity 697 9,260 86.74 93.27 10.73 0.70% (15.99) XLB US Equity 4,024 14,930 37.57 47.70 33.89 0.80% 67.79 XLV US Equity 12,109 24,346 38.87 58.20 56.88 0.87% 398.94 SXXP Index 7,000 43,407 400.51 465.10 26.57 0.61% SXAP Index 11,937 28,526 520.28 738.00 33.97 1.23% SXKP Index 4,029 37,626 366.14 405.35 15.58 0.69% EFTA00288317 SX6P Index 7,014 37,276 357.32 424.56 37.45 0.50% SXEP Index 2,696 40,183 448.51 478.60 13.09 0.51% SXIP Index 11,873 28,923 222.31 313.56 54.11 0.76% SXNP Index 5,359 28,384 482.69 573.83 24.80 0.76% SX3P Index 928 24,010 670.96 696.90 7.15 0.54% SXDP Index 24,920 61,074 609.16 857.71 67.46 0.60% SX4P Index 3,388 25,840 917.36 1,037.64 16.66 0.79% SX8P Index 2,373 17,778 343.07 388.87 17.24 0.77% SXOP Index 12,163 41,808 382.78 494.14 35.39 0.82% SXQP Index 857 29,703 796.18 819.15 4.82 0.60% SXRP Index 89 16,765 432.46 434.77 0.80 0.66% SXMP Index 8,691 28,612 261.12 340.43 45.13 0.67% SXTP Index 22,497 39,247 172.05 270.67 63.86 0.90% SX7E Index 6,581 18,886 159.85 215.54 30.39 1.15% SXSE Index 7,645 40,148 3,709.25 4,415.57 28.01 0.68% SPGSCITR Index (53) 19,063 5,062.94 5,049.02 0.61 0.45% (83.63) XAG Curncy 1,353 (13,831) 21.53 19.42 12.71 0.77% 20.92 CO1 Comdty (67) (19,698) 108.90 109.27 0.50 0.69% 121.41 CL1 Comdty 848 30,849 99.40 102.13 3.87 0.71% NG1 Comdty 4,286 18,364 3.84 4.74 14.21 1.64% 202.54 XAU Comdty 147 (19,682) 91.74 91.05 1.07 0.70% (253.65) IBOXHY Index 3,152 53,418 220.12 233.11 85.99 0.07% 10.49 US_TSY CREDIT (16) 4,591 763.40 760.78 -2.95 0.12% (0.06) CA_TSY CREDIT 3,130 (72,133) 1,245.64 1,191.59 13.80 0.31% 121.70 MX_TSY CREDIT 70 37,266 214.97 215.37 0.49 0.38% (38.10) AU TSY CREDIT 590 52,225 1,495.06 1,511.95 2.85 0.40% 9.78 JP_TSY CREDIT 335 (22,684) 821.88 809.75 5.07 0.29% 7.39 MY_TSY CREDIT (220) 30,461 168.68 167.47 -2.35 0.31% (150.93) SG_TSY CREDIT (226) 42,433 220.87 219.70 -2.33 0.23% (86.27) AT_TSY CREDIT 3,707 77,381 357.33 374.45 18.60 0.26% (218.13) BE_TSY CREDIT 4,882 77,996 477.05 506.91 24.60 0.25% (205.50) FI_TSY CREDIT 3,432 80,015 348.46 363.41 17.87 0.24% (194.72) FR_TSY CREDIT 4,139 79,196 1,680.58 1,768.41 21.00 0.25% (196.52) DE_TSY CREDIT 2,827 80,183 1,244.62 1,288.50 13.89 0.25% (199.24) lE_TSY CREDIT 32,547 78,270 336.92 477.03 202.05 0.21% (41.80) IT_TSY CREDIT 9,094 54,986 1,616.07 1,883.35 75.47 0.22% 47.67 NL_TSY CREDIT 3,501 78,610 1,327.30 1,386.42 17.75 0.25% (205.59) ES_TSY CREDIT 11,213 50,187 392.28 479.93 109.31 0.20% 33.28 DK_TSY CREDIT 2,791 67,396 729.23 759.43 13.25 0.31% (499.20) NO_TSY CREDIT (15) 6,427 343.60 342.78 0.78 0.31% 1.68 PL_TSY CREDIT 1,130 31,505 426.98 442.30 13.23 0.27% (86.10) ZA_TSY CREDIT 62 (11,545) 83.23 82.78 0.70 0.77% 149.49 SE_TSY CREDIT 396 (45,879) 464.54 460.53 2.57 0.34% (58.35) CH_TSY CREDIT 3,437 68,798 1,007.78 1,058.12 19.25 0.26% (212.37) GELTSY CREDIT 1,596 75,587 1,500.30 1,531.97 7.51 0.28% (215.03) EFTA00288318