EFTA00288319.pdf

Atorus, LLC Current Date: Total Return since 1/1/12: 712M Return: T90 Day Return: T30 Day Return: Current Long Exposure @ Cost: Current Short Exposure @ Cost: Net Exposure: Starting Capital: Current NAV: 4/23/2014 82.87% 33.80% 0.44% 233% 4,844,856 (528,344) 4,316,512 1,000,000 1,828,741 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): 4/23/2014 .0.78% .0.16% 191 251 443 2.94 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,M0.00 1,800,000.00 1,800,000.00 1,400,000.00 1,200,000.00 1,000,000.00 800000.00 800,000.00 G et. O 19 ON' O1i G tu 4 41, et• p 4) 4) A\ 4 411' fts n) 4) A —Seriesl EFTA00288319 Atorus, LLC 4/23/2014 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 24 Positions TGT US Equity (8,574) 941 HK Equity (9,455) ZA_TSY CREDIT (11,615) XAG Curncy (14,431) CO1 Comdty (19,698) MEXBOL Index (20,915) INDEXCF Index (21,271) XAU Comdty (21,704) 1P_TSY CREDIT (22,684) SHCOMP Index (26,960) SE_TSY CREDIT (50,636) SXDP Index 61,074 SPX Index 62,272 DK_TSY CREDIT 67,396 CH_TSY CREDIT 68,798 CA_TSY CREDIT (72,133) GB_TSY CREDIT 75,587 AT_TSY CREDIT 77,381 BE_TSY CREDIT 77,996 IE_TSY CREDIT 78,270 NL_TSY CREDIT 78,610 FR_TSY CREDIT 79,196 FR_TSY CREDIT 80,015 DE_TSY CREDIT 80,183 NAV Impact of MTM by Category & Exposure Listed Equity Long -0.254% Listed Equity Short 0.003% EquityCom Long -0.451% EquityCom Short -0.009% G20 Rates Long 0.162% G20 Rates Short -0.014% %of Total Notional Security MTM Gain % Total NAV 22.09% 45 Positions 26.28% 0.16% 1N1 US Equity 5,716 0.31% 0.18% MAERSKB DC Equity 5,775 0.32% 0.22% ASE Index 6,298 0.34% 0.27% XLI US Equity 6,310 0.35% 0.37% SX7E Index 6,361 0.35% 0.39% ROG VX Equity 6,372 0.35% 0.40% HON US Equity 6,386 0.35% 0.40% EDF FP Equity 6,452 0.35% 0.42% SX6P Index 6,507 0.36% 0.50% NOVN VX Equity 6,610 0.36% 0.94% SXXP Index 6,773 0.37% 1.14% PS120 Index 6,881 0.38% 1.16% UTX US Equity 6,949 0.38% 1.25% DAI GR Equity 7,110 0.39% 1.28% ACA FP Equity 7,183 0.39% 1.34% SMI Index 7,222 0.39% 1.41% MDT US Equity 7,266 0.40% 1.44% SXSE Index 7,356 0.40% 1.45% FTSEMIB Index 7,470 0.41% 1.46% RTY Index 7,687 0.42% 1.46% HEX Index 7,924 0.43% 1.47% PRU LN Equity 7,933 0.43% 1.49% SXMP Index 8,371 0.46% 1.49% BEL20 Index 8,641 0.47% TMO US Equity 8,754 0.48% DAX Index 8,912 0.49% MMM US Equity 9,067 0.50% MC US Equity 9,245 0.51% IT_TSY CREDIT 9,290 0.51% NDX Index 9,575 0.52% IBEX Index 9,778 0.53% LUXM Index 10,799 0.59% KFX Index 10,900 0.60% TYC US Equity 11,054 0.60% SXAP Index 11,410 0.62% ES_TSY CREDIT 11,436 0.63% SXIP Index 11,766 0.64% SXOP Index 11,775 0.64% XLV US Equity 11,928 0.65% SPX Index 17,953 0.98% EFTA00288320 SXTP Index 22,286 1.22% ISEQ Index 24,473 1.34% SXDP Index 25,163 1.38% lE_TSY CREDIT 32,766 1.79% STBCNZL Index 34,639 1.89% APAC Long 22 APAC Short 26 EMEA Long 76 EMEA Short 13 AMER Long 177 AMER Short 35 EquityCom Long 63 EquityCom Short 8 G20 Rates Long 19 G20 Rates Short 4 Total Long 357 Total Short 86 Current Exposure by Geography (Listed Equl les) & Macro (Equity Indices & Commodiites, G20 Gov. Credit) $2,000,000 i $1,500,000 51,000,000 5500,000 $ $(500,000) 1 mi ■ APAC Long ■ APAC Short ■ EMEA Long ■ EMEA Short ■ AMER Long ■ AMER Short ■ EquityCom Long ■ EquityCom Short ■ G20 Rates Long ■ G20 Rates Short EFTA00288321 Atorus, LLC 4/23/2014 Historical Net Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodites, G20 Gov. Credit) —APAC — EMEA —AMER — EquityCom —G20 Rates NexEposule RIG 2.000,000 1,930,000 5,000.030 4,000.000 3030.000 Z000.030 1,004000 1,030000 (L004000) (2,000,003) es, ' 4 19Gts)(49 . \ rr x 'Sr' IC% OO.CV if evOis" eke OO p` \ \ \ \1` evO OO.." /et O044 \IS,` \ cl," (1,003,000) (3,000,000) Historical Gross Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodlites, G20 Gov. Credit) APAC AMER Equ'lyCo — G20 Rates --"Ths-\•••—••• .c O 4' O 419 4 •;: O 41 4 O 4 O 0, .;:5 O „$), 4 N?) 4 O ,,sv 4 <5 44 41 O O O „$), „);), 4 4 EFTA00288322 Atorus, LIC 4/23/2014 Current Gross Notional Risk by Category 220,958 or 572,090 1417,614 1,476,372 • APAC • EMEA • AMER • EquityCom • G20 Rates Performance Vs. MSCI World Index 2.15 1.95 1.75 1.55 1.35 1.15 0.95 0.75 eeeeeeeeeeeee osu oc. 4Pcif qe," e 4.301• *—*Series1 —Serial Rolling 30 Day Realized Volatility - EFTA00288323 Atorus, LLC 4/23/2014 Percentile Distribution of Current MTM Gains in Vol Days by Position (ex-99pct & ex-1st percentiles) 60.00 5000 40.00 moo 20.00 1000 000 10.061 cir et e creet creet csir tette PD. Vol Days by Position Percentile No. Vol Days 0.00,.: 1/93 5.00% -3.01 10.00% 4.25 15.00% .0.31 20.00% 0.37 25.00% 1.24 30.00% 2.26 35.00% 3.68 40.00% 4.73 45.00% 6.03 50.00% 7.16 55.00% 9.52 60.00% 12.80 65.00% 15.30 70.00% 18.05 75.00% 21.52 80.00% 26.40 85.00% 32.00 90.00% 38.90 95.00% 55.29 100.00% 209.46 MTM Gains(Losses) % of NAV "Signficant" (<7 Vol Days) MTM Gains(Losses) % of NAV "Signficant" (>7 Vol Days) 1.45% EFTA00288324 Atorus, LLC Current Portfolio -Listed Equity Portfolio Current Price P/L in Vol 30P Realized Change on Day Security MTM Galn/(Loss) Exp. (0 Cost Avg. Price (in USD) Days Vol (in USD) 4/23/2014 000270 KS Equity - 620 56.14 56.14 0.00 1.14% (6.41) 005380 KS Equity 140 3,149 224.39 234.35 3.99 1.11% 0.44 005490 KS Equity (153) (3,011) 272.57 286.45 4.69 1.09% 28.86 005930 KS Equity (188) (4,202) 1,278.08 1,335.32 -5.26 0.85% (25.96) 012330 KS Equity 1,067 5,584 247.00 294.20 19.65 0.97% (74.13) 1 HK Equity 1,044 12,219 16.14 17.52 11.35 0.75% (94.49) 1299 HK Equity 235 5,954 4.79 4.98 4.25 0.93% (93.19) 13 HK Equity 2,611 12,243 11.40 13.83 25.51 0.84% (66.59) 16 HK Equity 12.63 27 HK Equity (9) 123 9.63 8.96 -4.09 1.82% 2.18 2914 JP Equity (30) (3,774) 32.46 32.72 0.76 1.04% (81.47) 3382 JP Equity 7 1,329 37.70 37.89 0.48 1.03% 6.35 40631P Equity 6 2,231 60.49 60.66 0.25 1.16% (8.64) 45021P Equity 23 (3,939) 44.14 43.89 0.65 0.89% 9.93 4689 JP Equity (42) (892) 4.60 4.82 -2.33 2.00% (9.76) 5 HK Equity (45) (3,197) 10.17 10.31 -1.74 0.81% 22.24 5108 JP Equity (28) (658) 34.57 36.04 -3.94 1.08% (16.88) 54011P Equity 342 (4,349) 2.87 2.64 6.54 1.20% 28.21 63011P Equity (15) (1,651) 20.69 20.88 -0.74 1.19% 6.65 67521P Equity 11.05 69021P Equity 47.37 69541P Equity 918 6,393 6,392.98 180.30 12.38 1.16% 10.26 72011P Equity 30 (2,999) (3,742.97) 8.77 1.07 0.94% (2.49) 7203 JP Equity 142 (4,207) (5,259.85) 54.20 3.44 0.98% 21.99 7267 JP Equity 221 (3,514) (4,885.01) 33.81 6.73 0.94% (35.80) 762 HK Equity 207 (3,929) (5,161.69) 1.30 4.69 1.12% 196.19 7751 JP Equity 1 (5,492) (6,865.02) 31.43 0.01 0.82% (20.59) 80311P Equity (75) (3,821) (4,775.88) 14.37 -1.83 1.07% (20.57) 80581P Equity 52 (3,451) (4,383.01) 17.99 1.58 0.95% (27.86) 81061P Equity 110 (3,668) (4,603.66) 5.46 2.07 1.45% (46.59) 83161P Equity 67 (1,984) (2,000.57) 39.76 2.55 1.33% (9.55) 8411 JP Equity 7 (2,223) 1.95 0.43 0.73% (4.35) 8604 JP Equity 221 (3,335) (3,504.39) 6.04 5.00 1.33% (26.15) 8801 JP Equity (48) 2,660 30.47 29.92 -1.28 1.42% 1.63 8802 JP Equity 370 (4,007) 24.84 22.54 6.39 1.44% (40.07) 90201P Equity 104 (5,379) 75.21 73.75 1.65 1.17% (14.60) 941 HK Equity 1,057 (9,455) 10.19 9.05 9.92 1.13%L 245.97 94321P Equity (35) 6,077 53.19 52.89 -0.52 1.10% 55.94 94331P Equity (80) (1,667) 51.14 53.59 -3.58 1.34% (13.63) 94371P Equity 58 (6,149) 15.59 15.45 1.02 0.93% (38.17) 9983 JP Equity 24 (1,627) 328.51 323.65 1.02 1.45% 8.71 EFTA00288325 9984 JP Equity 5 877 76.40 76.85 0.30 1.91% 10.12 AAPL US Equity 269 6,302 518.25 540.34 6.24 0.68% 128.68 ABB US Equity 672 6,661 23.59 25.97 14.89 0.68% (28.61) ABBN VX Equity 693 6,962 23.63 25.98 14.40 0.69% (3.45) ABBV US Equity 23 2,296 49.39 49.89 0.76 1.34% (9.14) ABEV US Equity 127 4,344 7.61 7.83 3.68 0.80% (7.24) ABEV3 BZ Equity 169 4,143 7.59 7.90 4.75 0.86% 2.79 ABI BB Equity 482 8,888 103.14 108.74 7.35 0.74% (54.57) ABT US Equity (24) 4,097 38.86 38.64 M.83 0.70% (11.23) ABX CN Equity 213 (3,366) 18.97 17.77 4.15 1.53% (51.82) ABX US Equity 210 (3,243) 18.99 17.76 4.30 1.50% (48.69) ACA FP Equity 7,183 5,408 6.83 15.91 106.05 1.25% 56.27 ACE US Equity 437 8,503 96.60 101.56 11.42 0.45% 48.95 ACN US Equity 192 10,703 77.97 79.37 2.00 0.90% (47.58) ADP US Equity 35 3,867 75.63 76.31 1.38 0.66% 1.37 AFL US Equity (29) 4,556 63.05 62.65 .1.01 0.64% (10.35) AGN US Equity 4,706 9,698 110.56 164.21 24.39 1.99% (1.02) Al FP Equity 224 8,248 134.80 138.46 4.34 0.63% 27.85 AIG US Equity 238 5,216 49.23 51.48 5.29 0.86% 56.02 AIR FP Equity 547 2,244 56.66 70.49 25.05 0.97% (19.09) ALV GR Equity 47 3,306 166.54 168.91 1.99 0.71% 37.25 ALVG IX Equity 50 3,306 166.57 169.11 2.06 0.74% 44.59 AMGN US Equity 4,596 22,886 94.49 113.46 16.40 1.22% AMT US Equity 1,046 10,655 76.29 83.78 17.60 0.56% 4.02 AMZN US Equity 1 (1,189) 326.05 325.89 0.03 1.44% 22.96 ANZ AU Equity 646 7,345 29.47 32.06 11.48 0.77% 6.41 APA US Equity (248) (4,122) 82.74 87.72 -7.74 0.78% (74.19) APC US Equity 30 2,501 97.78 98.95 1.00 1.20% (6.55) AXP US Equity 2,256 10,373 71.56 87.13 23.08 0.94% (0.84) AZN LN Equity 4,587 12,676 49.80 67.82 38.47 0.94% (58.50) AZN SS Equity 4,060 12,119 50.82 67.84 39.01 0.86% (51.20) AZN US Equity 4,437 12,812 50.30 67.72 37.40 0.93% 108.09 BA US Equity 160 4,613 125.87 130.24 4.04 0.86% 63.27 BAC US Equity 9,245 10,884 8.82 16.32 83.97 1.01% 91.08 BARC LN Equity 121 2,977 4.00 4.17 3.25 1.25% 4.99 BAS GR Equity 1,174 7,333 97.30 112.88 15.91 1.01% 60.07 BATS LN Equity 496 7,532 53.98 57.53 8.15 0.81% (7.89) BAX US Equity (11) 1,006 73.12 72.35 .1.22 0.88% (4.05) BAYN GR Equity 47 2,663 132.02 134.32 1.89 0.93% 21.33 BBAS3 BZ Equity (38) (290) 9.50 10.75 .6.52 2.02% (0.59) BBD US Equity 63 3,222 14.49 14.77 1.21 1.62% (6.59) BBDC4 BZ Equity 70 3,172 14.49 14.81 1.35 1.63% 1.23 BBL US Equity (75) (2,101) 62.15 64.38 •3.87 0.93% 6.90 BBVA SM Equity 1,266 5,790 10.12 12.33 22.22 0.98% (1.03) BCE CN Equity (5) 5,900 44.18 44.14 0.16 0.50% (4.70) BCS US Equity 148 3,122 16.00 16.76 4.05 1.17% 12.77 BEN US Equity 68 2,447 52.56 54.02 2.70 1.03% 2.84 EFTA00288326 BG/ LN Equity (299) (3,503) 17.51 19.00 -12.19 0.70% 17.46 BHP AU Equity 198 6,689 34.33 35.35 3.08 0.96% (53.07) BHP US Equity 306 6,839 67.77 70.81 4.72 0.95% (40.62) BBB US Equity 245 1,066 245.93 302.55 13.46 1.71% (13.87) BIL Sl Equity (17) (2,664) 32.02 32.22 -O.68 0.94% 6.20 BK US Equity 341 8,609 32.86 34.16 5.45 0.73% 119.60 BUC US Equity 162 3,418 293.93 307.86 4.71 1.01% (5.60) BLT IN Equity (10) (3,396) 32.10 32.19 -0.32 0.90% 3.15 BMO CN Equity 479 11,017 66.19 69.07 8.31 0.52% (10.54) BMW GR Equity 1,541 5,212 99.22 128.56 26.95 1.10% (26.71) BMY US Equity (35) (733) 48.64 50.93 -4.03 1.17% 2.82 BN FP Equity (60) 3,491 73.40 72.16 -2.41 0.71% (10.70) BNP FP Equity 1,296 5,498 61.78 76.34 20.35 1.16% (18.91) BNS CN Equity 213 8,120 57.83 59.35 5.89 0.45% 5.52 BP/ LN Equity 483 9,797 7.76 8.14 7.30 0.67% (25.81) BRK/B US Equity 797 12,247 119.43 127.21 12.34 0.53% 50.97 BSBR US Equity 463 (6,537) 6.18 5.75 5.38 1.32% (9.64) BUD US Equity 429 9,049 103.62 108.53 6.37 0.74% (92.02) BX US Equity 236 3,119 30.36 32.66 4.33 1.75% (12.22) C US Equity 5 2,255 48.13 48.25 0.22 1.07% (0.06) CA FP Equity 650 3,932 34.37 40.04 18.63 0.89% (14.33) CAT US Equity 2,168 14,223 90.05 103.78 24.19 0.63% 2.02 CBA AU Equity 721 11,185 68.68 73.11 10.27 0.63% 17.45 CBS US Equity 242 1,267 49.35 58.79 16.54 1.16% (24.43) CCL US Equity 235 6,257 36.20 37.56 4.08 0.92% 17.62 CELG US Equity 145.78 - CFR VX Equity 235 5,816 96.04 99.92 4.44 0.91% 15.58 CL US Equity 2,178 20,847 59.72 65.96 20.36 0.51% (205.84) CM CN Equity 435 10,376 83.40 86.89 9.17 0.46% (61.60) CMCSA US Equity 106 4,527 50.01 51.17 2.30 1.02% 4.10 CMCSK US Equity 4,728 12,096 36.26 50.44 40.73 0.96% 30.84 CNI US Equity 1,720 12,873 51.38 58.24 16.96 0.79% 185.82 CNQ CN Equity 1,190 10,769 36.73 40.79 14.65 0.75% 130.67 CNR CN Equity 1,662 12,425 51.30 58.16 17.55 0.76% 165.60 COF US Equity 635 7,124 68.86 74.99 13.41 0.66% (28.96) COP US Equity (12) 3,499 74.39 74.14 -0.50 0.69% (4.59) COST US Equity 75 5,426 112.99 114.54 2.76 0.50% 33.16 COV LN Equity Ma N/A COV US Equity 706 7,080 64.09 70.47 13.91 0.72% (15.08) CRM US Equity (43) 2,054 56.86 55.69 -1.47 1.43% (44.05) CS FP Equity 739 2,155 19.39 26.04 33.88 1.01% 0.76 CSCO US Equity 37 5,008 23.26 23.43 0.88 0.85% (18.21) CSX US Equity 1,104 8,914 25.07 28.18 16.60 0.75% (38.22) CVE CN Equity 29.58 CVS US Equity 1,713 11,815 63.98 73.26 23.97 0.60% (38.85) CVX US Equity (180) (1,641) 112.39 124.73 -17.93 0.61% (7.72) D US Equity 2,286 12,764 60.42 71.24 32.24 0.56% 99.50 EFTA00288327 DAI GR Equity 7,110 13,908 62.20 94.01 4133 1.24% (86.17) DBK GR Equity 9 2,042 44.20 44.40 0.40 1.14% 3.86 DD US Equity 2,920 12,980 54.99 67.36 39.49 0.57% (8.35) DDAIF US Equity 4,045 8,377 63.20 93.72 33.95 1.42% (122.02) DE US Equity 776 8,537 85.81 93.62 13.97 0.65% 39.94 DELL US Equity #WA WA DG FP Equity 4,510 10,090 51.66 74.75 65.57 0.68% (112.42) DGE LN Equity (22) 2,332 30.86 30.57 -0.94 1.00% (49.40) DHR US Equity (5) 4,017 73.56 73.47 0.15 0.83% (25.21) DM US Equity 1,596 9,908 68.36 79.37 17.90 0.90% (34.74) DMA US Equity (10) (2,522) 77.61 77.91 -0.47 0.83% (10.39) DNB NO Equity 116 2,445 16.46 17.24 5.08 0.93% 27.61 DOW US Equity 2,507 7,396 37.11 49.69 35.35 0.96% 133.03 DPW GR Equity 181 660 29.41 37.48 19.44 1.41% 0.77 DTE GR Equity 695 3,835 13.54 16.00 20.00 0.91% 15.11 DTV US Equity 2,587 10,622 61.97 77.07 23.03 1.06% 47.46 DUK US Equity 42 5,733 72.44 72.97 1.40 0.53% 27.30 DVN US Equity 1,412 11,143 63.30 71.32 16.77 0.76% 118.61 EBAY US Equity 78 6,678 54.29 54.92 1.26 0.92% (43.00) ECL US Equity 151 9,210 105.22 106.94 2.21 0.74% (50.66) EDF FP Equity 6,452 9,189 23.45 39.91 84.56 0.83% (34.41) EMC US Equity 225 10,986 25.35 25.87 2.52 0.81% (454.67) EMR US Equity 314 8,739 66.80 69.20 4.51 0.80% 51.92 ENB CN Equity 462 9,424 44.93 47.14 9.52 0.52% (1.87) ENEL IM Equity 2,363 8,350 4.42 5.68 30.80 0.92% 17.02 ENI IM Equity 689 11,137 24.24 25.74 10.09 0.61% (25.95) EOAN GR Equity 64 2,996 18.77 19.17 2.94 0.73% 15.42 EOG US Equity 2,539 5,841 72.84 104.50 53.71 0.81%r 152.69 EPD US Equity 2,018 13,127 63.70 73.49 24.48 0.63% (73.81) ERICB SS Equity (74) 7,934 12.51 12.39 0.91 1.03% (411.06) ESRX US Equity 632 9,815 66.69 70.98 9.09 0.71% (56.56) ETN US Equity 144 5,260 72.48 74.46 2.54 1.07% (3.00) F US Equity (276) (2,897) 14.82 16.22 -12.32 0.77% (22.91) F8 US Equity 1,085 2,630 44.06 62.23 20.67 2.00% (38.70) FCX US Equity 43 4,194 33.09 33.42 0.98 1.04% 18.95 FDX US Equity 234 2,491 124.78 136.49 15.23 0.62% (15.99) FOX US Equity (18) 3,508 32.03 31.86 -0.46 1.13% (18.56) FOXA US Equity (27) 3,236 32.97 32.69 -0.73 1.16% (19.94) FP FP Equity 1,374 13,022 61.76 68.28 15.70 0.67% (34.14) G IM Equity 280 4,069 21.51 23.00 8.91 0.77% 28.31 GE US Equity 2,469 13,140 22.32 26.51 29.50 0.64% (99.52) GILD US Equity (60) (548) 67.41 74.79 -5.93 1.85% (10.36) GIS US Equity 965 17,619 49.73 52.45 9.58 0.57% 66.46 GLE FP Equity 734 3,248 49.51 60.69 18.69 1.21% 14.46 GLEN LN Equity (42) (3,693) 5.22 5.28 -1.12 1.01% 2.97 GLW US Equity 3,517 11,635 16.25 21.16 32.10 0.94% (46.89) GM US Equity 3 (1,197) 34.53 34.43 0.30 0.97% (5.90) EFTA00288328 GOOG US Equity 457 2,208 439.03 529.86 15.66 1.32% (17.13) GS US Equity (61) (1,895) 155.24 160.24 .3.49 0.92% (4.49) GSK LN Equity 308 5,707 26.22 27.63 5.56 0.97% 11.84 GSZ FP Equity 824 11,150 25.29 27.16 10.06 0.73% (176.86) HAL US Equity 1,970 6,395 49.49 64.74 29.54 1.04% I 203.87 HD US Equity 532 7,619 73.80 78.94 9.27 0.75% (80.50) HMB SS Equity (68) (4,056) 41.18 41.87 .2.04 0.83% (12.62) HON US Equity 6,386 11,930 61.10 93.80 74.69 0.72% 42.29 HPQ US Equity 1,836 7,393 25.45 31.77 19.64 1.26% (1.89) HSBA LN Equity 52 4,565 10.16 10.28 1.98 0.58% (49.81) IBE SM Equity 1,736 7,501 5.56 6.84 37.74 0.61% 115.92 IBM US Equity (17) 1,304 193.76 191.27 .1.55 0.84% (5.56) IMT LN Equity 2,157 13,136 36.73 42.76 24.62 0.67% 54.48 INTC US Equity 1,292 12,041 24.19 26.79 17.32 0.62% 1.39 ISP IM Equity 4,380 5,699 1.93 3.41 56.15 1.37% 78.58 ITUB US Equity 104 3,599 15.48 15.93 1.86 1.55% 27.65 ITUB4 BZ Equity 135 3,252 15.40 16.03 2.53 1.64% 26.85 ITW US Equity 3,652 14,011 67.84 85.52 32.41 0.80% 12.36 ITX SM Equity (49) (3,652) 146.45 148.40 .1.63 0.82% (4.61) JCI US Equity 264 2,995 42.92 46.71 7.31 1.21% (90.26) JNJ US Equity 5,716 15,720 73.49 100.22 69.82 0.52% (35.32) JPM US Equity (4) (335) 55.25 55.87 -1.26 0.89% (1.00) KMB US Equity 103 9,903 107.52 108.64 1.98 0.52% (13.15) KMI US Equity 22 (6,775) 33.81 33.69 0.46 0.71% (55.14) KO US Equity • 1,101 40.71 40.71 0.00 0.53% 1.41 LBTYA US Equity (41) (1,631) 39.04 40.01 -2.35 1.07% 3.45 LBTYK US Equity (47) (1,741) 37.89 38.92 -2.72 1.00% 3.36 LIN GR Equity 151 8,087 198.03 201.73 3.07 0.61% 72.73 LLOY LN Equity 275 1,827 1.09 1.25 12.59 1.20% 0.67 LLY US Equity 48 4,953 59.03 59.60 1.39 0.70% (59.15) LMT US Equity 634 2,016 122.48 161.02 34.01 0.93% 35.03 LNKD US Equity 125 (2,461) 183.83 174.49 2.39 2.13% 57.12 LOW US Equity (232) 6,264 48.34 46.62 4.60 0.80% (123.86) LVS US Equity 1,148 4,085 61.33 78.56 15.95 1.76% (60.98) LYB US Equity 1,282 2,297 59.29 92.37 62.32 0.90% (42.24) MA US Equity - 713 73.46 73.46 0.00 1.16% (9.90) MAERSKB DC Equity 5,775 14,148 1,642.52 2,312.98 37.93 1.08% (65.19) MC FP Equity 323 5,711 186.24 196.78 6.82 0.83% (21.54) MCD US Equity (49) 5,480 100.23 99.34 -2.12 0.42% (10.77) MCK US Equity 77 2,181 164.92 170.78 3.78 0.94% (15.65) MDIZ US Equity 3,074 13,641 28.68 35.15 37.85 0.60% 10.90 MDT US Equity 7,266 20,811 43.22 58.31 41.16 0.85% (112.98) MET US Equity 1,293 7,556 44.37 51.96 17.49 0.98% 17.35 MFC CN Equity 1,652 3,201 12.38 18.76 63.79 0.81% (0.21) MHS US Equity #WA WA MMM US Equity 9,067 21,331 96.89 138.08 62.34 0.68% (210.17) MO US Equity 495 10,839 36.70 38.37 9.35 0.49% (47.09) EFTA00288329 MON US Equity 689 11,917 106.02 112.15 7.83 0.74% (23.75) MOS US Equity 48.90 - MRK US Equity 1,692 11,769 50.18 57.40 16.01 0.90% (108.01) MS US Equity 47 2,280 30.40 31.03 1.68 1.24% (10.05) MSFT US Equity 991 8,007 35.30 39.67 13.32 0.93% (68.07) MUV2 GR Equity 1,074 6,116 197.70 232.41 28.39 0.62% 25.60 NAB AU Equity 513 9,956 31.52 33.14 7.17 0.72% (42.94) NCM AU Equity 9.45 - NEE US Equity 4,864 14,649 72.62 96.73 46.72 0.71% 51.35 NEM US Equity 742 (2,838) 34.95 25.81 15.41 1.70% (143.55) NESN VX Equity 903 9,821 69.64 76.04 14.63 0.63% 14.73 NG/ IN Equity 2,080 13,258 11.96 13.84 30.41 0.52% (153.15) NICE US Equity 322 2,940 67.01 74.36 12.72 0.86% 0.93 NOK US Equity 3,823 4,498 3.96 7.33 55.94 1.52% (180.52) NOV US Equity 655 8,702 76.98 82.78 9.45 0.80% 55.81 NOVN VX Equity 6,610 18,291 63.81 86.86 49.10 0.74% 152.64 NOVOB DC Equity 1,095 9,444 40.35 45.02 11.74 0.99% 43.84 NSC US Equity 1,712 9,797 80.78 94.89 21.24 0.82% (248.58) NVS US Equity 5,105 15,510 65.07 86.49 43.42 0.76% (11.20) OGXP3 BZ Equity 4,019 (4,107) 4.39 0.09 48.50 2.02% 111.08 OR FP Equity 160 5,025 163.47 168.68 4.84 0.66% 2.17 ORA FP Equity 995 6,459 13.16 15.19 16.19 0.95% (51.80) ORCL US Equity 1,483 7,995 33.68 39.93 18.05 1.03% (120.14) OXY US Equity 156 7,355 95.04 97.06 2.58 0.83% (7.01) PBR US Equity (15) (984) 13.35 13.56 -0.74 2.14% 9.27 PBR/A US Equity (61) (2,236) 13.87 14.25 -1.26 2.17% 17.33 PCLN US Equity 855 3,043 956.05 1,224.71 18.24 1.54% (13.32) PCP US Equity 60 4,727 256.08 259.35 1.31 0.98% 7.85 PEP US Equity 307 10,202 82.91 85.40 6.66 0.45% 9.84 PETR3 BZ Equity (45) (1,122) 6.54 6.81 -1.83 2.18% 11.03 PETR4 BZ Equity (72) (2,498) 6.95 7.15 -1.26 2.28% 15.72 PFE US Equity 20 4,381 30.74 30.88 0.54 0.85% (31.94) PG US Equity 136 10,477 79.08 80.11 3.01 0.43% (170.43) PHIA NA Equity 32.46 - PM US Equity 181 (8,133) 85.47 83.57 3.70 0.60% (0.67) PNC US Equity 947 9,010 76.60 84.66 13.51 0.78% 32.76 POT CN Equity 855 35.29 35.29 0.00 0.97% (7.18) POT US Equity (30) (699) 33.81 35.25 -4.52 0.94% 6.09 PRU LN Equity 7,933 10,521 12.76 22.39 70.30 1.07% (61.79) PSA US Equity 912 12,111 161.03 173.15 18.81 0.40% 21.02 PSX US Equity 1,641 6,030 64.65 82.24 28.99 0.94% 30.41 PX US Equity 2,551 16,340 113.54 131.27 25.83 0.60% (154.39) QCOM US Equity 2,494 12,547 66.83 80.11 26.63 0.75% (143.16) QQQ US Equity 2,168 7,968 68.46 87.09 35.09 0.78% (44.91) RAI US Equity 190 9,542 52.93 53.99 2.98 0.67% (205.37) RDS/A US Equity 197 7,386 73.50 75.47 5.81 0.46% 6.91 RDS/B US Equity 382 9,236 77.31 80.51 8.43 0.49% 13.84 EFTA00288330 RDSA LN Equity 383 7,114 35.70 37.62 10.88 0.50% (16.07) RDSA NA Equity 172 7,159 36.79 37.67 5.00 0.48% (6.59) RDSB LN Equity 426 8,313 38.25 40.21 9.63 0.53% (2.06) REGN US Equity 38 6,240 302.78 304.64 0.39 1.59% (129.21) RIO AU Equity (69) 3,506 59.38 58.23 -1.95 1.01% (36.83) RIO IN Equity (14) 4,819 54.83 54.67 -0.27 1.06% (18.52) RIO US Equity 47 4,934 54.04 54.56 0.90 1.06% (27.16) ROG VX Equity 6,372 17,035 212.78 292.38 54.06 0.69% 143.32 RY CN Equity 4 8,293 65.48 65.52 0.12 0.46% (28.63) SAB LN Equity 548 9,453 48.63 51.45 5.90 0.98% (82.42) SAN FP Equity (56) (1,424) 102.72 106.74 4.49 0.87% (6.11) SAN SM Equity 1,220 8,103 8.48 9.76 18.08 0.83% (20.68) SAN US Equity 991 6,728 8.53 9.78 15.19 0.97% (54.84) SAP GR Equity (67) 5,241 80.59 79.57 -1.49 0.86% (18.28) SAP US Equity (77) 5,649 80.61 79.54 -1.61 0.84% (21.58) SBUX US Equity (2) (1,143) 70.43 70.54 -0.15 0.96% 8.31 SGO FP Equity 2,996 7,836 44.08 60.94 34.60 1.10% (38.72) SI US Equity 785 5,671 118.49 134.88 14.42 0.96% (65.25) SIE GR Equity 941 5,345 114.81 135.02 20.41 0.86% (39.12) SLB US Equity 1,886 8,483 83.83 102.47 30.06 0.74% 48.75 SMSN LI Equity (191) (6,021) 643.80 664.22 •2.99 1.06% (53.25) SO US Equity 374 9,151 43.58 45.36 6.75 0.61% 25.79 SPG US Equity 211 8,178 166.14 170.42 4.79 0.54% (10.01) SREN VX Equity - 751 85.03 85.03 0.00 1.10% 8.29 STAN LN Equity 49 (2,352) 22.09 21.63 2.16 0.96% 55.81 STL NO Equity 916 9,825 26.16 28.60 12.11 0.77% (97.36) STT US Equity (22) 2,033 66.52 65.81 -0.95 1.12% 18.13 SU CN Equity 300 8,181 36.12 37.45 4.48 0.82% 194.33 SU FP Equity 445 6,518 84.31 90.07 6.07 1.12% (77.26) SU US Equity 184 6,406 36.37 37.42 3.53 0.81% 144.49 SWEDA SS Equity 182 3,653 24.78 26.01 4.62 1.08% (0.09) SYNN VX Equity (477) (5,164) 359.52 392.72 -14.35 0.64% 5.53 T US Equity (76) 2,784 35.97 35.02 -3.75 0.73% (91.28) TD CN Equity 273 9,304 45.55 46.89 6.53 0.45% (16.31) TEF SM Equity 275 6,355 15.90 16.58 5.96 0.73% 52.09 TEF US Equity 240 5,450 15.83 16.53 5.57 0.79% 37.57 TGT US Equity 393 (8,574) 63.57 60.66 7.52 0.61% (52.11) TJX US Equity 1,550 5,695 46.52 59.18 34.37 0.79% (53.15) TLS AU Equity 335 7,919 4.60 4.80 7.77 0.54% (29.31) TLSN SS Equity (43) (2,212) 6.85 6.99 -1.80 1.07% (35.09) TM US Equity 339 (5,442) 115.49 108.30 6.63 0.94% 5.85 TMO US Equity 8,754 10,218 63.59 118.06 89.92 0.95% (388.50) TOT US Equity 911 6,885 60.09 68.04 18.05 0.73% (52.46) TRP CN Equity (60) 2,065 46.70 45.38 •4.87 0.60% 4.53 TRV US Equity 377 8,267 84.26 88.10 8.72 0.52% 135.28 TSCO LN Equity 693 (6,286) 5.60 4.98 9.55 1.15% (89.74) TWC US Equity 842 5,234 120.22 139.57 16.93 0.95% 1.73 EFTA00288331 TWX US Equity 23 4,244 65.75 66.10 0.60 0.90% 70.95 TXN US Equity 4,098 12,205 34.93 46.66 34.30 0.98% 56.10 TYC US Equity 11,054 24,080 29.17 42.56 60.64 0.76% (16.34) UBS US Equity 323 5,489 19.43 20.58 6.26 0.94% (11.05) UBSN VX Equity 291 5,158 19.51 20.61 6.19 0.91% 34.59 UCG IM Equity 3,421. 5,391 5.58 9.12 42.96 1.48% 35.00 ULVR LN Equity 188 7,912 42.99 44.00 2.77 0.86% (7.92) UNA NA Equity 184 8,805 41.53 42.40 2.79 0.75% (1.19) UNH US Equity 1,780 10,191 64.28 75.51 20.61 0.85% (32.11) UNP US Equity 1,934 12,014 165.36 191.99 22.36 0.72% (65.73) UPS US Equity 3,629 14,806 79.87 99.45 48.54 0.50% 68.45 USB US Equity 2,537 14,238 34.71 40.90 29.20 0.61% 82.89 UTX US Equity 6,949 15,190 82.05 119.59 52.75 0.87% 2.76 V US Equity 574 5,407 188.79 208.83 9.43 1.13% (35.11) VALE US Equity 245 (2,448) 15.05 13.54 6.78 1.47% 41.83 VALE3 BZ Equity 284 (2,939) 15.07 13.61 6.28 1.54% 38.92 VIAB US Equity 3,664 9,272 60.42 84.29 44.75 0.88% 4.90 VIV FP Equity 140 2,668 26.19 27.57 7.09 0.74% (26.82) VMW US Equity 356 4,785 89.16 95.80 4.59 1.62% (481.63) VOD LN Equity 202 (3,276) 3.87 3.63 6.48 0.95% 7.35 VOD US Equity 214 (3,360) 38.49 36.04 7.16 0.89% 43.89 VOW3 GR Equity 143 2,658 257.86 271.72 4.54 1.18% (17.78) VRX CN Equity 706 1,611 92.95 133.69 23.09 1.90% 2.56 VRX US Equity 817 1,880 93.20 133.71 23.06 1.88% 3.85 VTI US Equity 625 5,134 86.91 97.49 21.80 0.56% (12.54) VWO US Equity 8 (1,741) 41.03 40.83 0.58 0.81% 16.73 VZ US Equity 138 (6,492) 48.44 47.40 4.76 0.45% 94.39 WBC AU Equity 581 6,950 30.53 33.08 10.78 0.78% 21.83 WES AU Equity 455 9,705 38.86 40.68 7.13 0.66% 30.01 WFC US Equity 3,231 11,582 38.70 49.49 47.50 0.59% 60.86 WLP US Equity 2,825 10,369 74.31 94.55 29.92 0.91% 66.17 WMT US Equity 243 7,009 75.45 78.06 7.29 0.48% 41.18 WOW AU Equity 250 5,661 34.06 35.56 5.28 0.84% 47.68 XOM US Equity 1,461 13,984 91.08 100.59 21.05 0.50% 3.87 XTA LN Equity #WA N/A YHOO US Equity • 485 35.63 35.63 0.00 1.70% (9.65) YUM US Equity 306 7,151 73.86 77.02 4.73 0.91% (40.79) ZURN VX Equity (210) 7,208 293.52 285.21 .3.76 0.77% 31.74 Current Portfolio - Global Macro Portfolio Current Price PA in Vol 30P Realized Change on Day Security MTM Gain/(Loss) Exp. # Cost Avg. Price (In USD) Days Vol (in USD) SPX Index 17,953 62,272 1,455.70 1,875.39 44.64 0.65% (177.56) NDX Index 9,575 37,348 2,831.19 3,557.04 26.48 0.97% (415.38) RTY Index 7,687 23,963 868.48 1,147.08 33.82 0.95% (233.54) EFTA00288332 SPTSX Index 710 28,839 12,859.70 13,176.24 5.39 0.46% (61.89) MEXBOL Index 413 (20,915) 3,142.45 3,080.46 2.71 0.73% 144.14 IBOV Index (39) 9,414 23,215.35 23,120.24 M.33 1.25% (18.81) MERVAL Index (669) (4,326) 725.60 837.87 44.14 1.09% (52.09) UKX Index 3,540 39,964 10,288.22 11,199.55 15.48 0.57% (177.39) DAX Index 8,912 36,674 10,610.77 13,189.12 28.51 0.85% (203.04) CAC Index 1,865 22,463 5,679.43 6,150.95 12.31 0.67% (146.49) IBEX Index 9,778 39,643 11,555.29 14,405.48 30.87 0.80% 4.51 SMI Index 7,222 44,078 8,219.63 9,566.35 30.74 0.53% 41.42 FTSEMIB Index 7,470 25,266 23,118.94 29,953.72 30.31 0.98% (342.87) PSI20 Index 6,881 24,289 8,026.78 10,300.72 29.58 0.96% (331.74) ISEQ Index 24,473 40,099 4,246.25 6,837.77 65.57 0.93% (441.83) ICEXI Index 4,721 37,337 6.63 7.47 26.85 0.47% (17.91) AEX Index 5,653 42,240 484.27 549.08 25.12 0.53% (49.65) BEL20 Index 8,641 44,003 3,610.75 4,319.81 31.75 0.62% (255.16) LUXXX Index 10,799 40,975 1,666.61 2,105.85 44.47 0.59% 11.31 KFX Index 10,900 38,048 100.82 129.70 33.13 0.86% (38.35) HEX Index 7,924 40,933 8,513.93 10,162.05 23.10 0.84% 63.54 OMX Index 1,738 23,118 191.41 205.80 8.67 0.87% (250.79) ATX Index 205 9,226 3,409.58 3,485.29 2.19 1.01% 28.51 ASE Index 6,298 19,369 1,282.88 1,700.01 24.98 1.30% (586.88) OSEBX Index 2,374 24,683 85.16 93.35 13.55 0.71% (109.94) INDEXCF Index 1,282 (21,271) 39.64 37.25 3.67 1.64% 103.07 TOP40 index 1,298 25,594 3,920.67 4,119.45 6.04 0.84% (163.42) SENSEX Index 887 29,111 363.21 374.28 4.82 0.63% 18.61 NKY Index 114 11,146 140.78 142.22 0.97 1.05% 161.10 HSI Index (105) 29,992 2,913.56 2,903.35 M.47 0.75% (291.77) SHCOMP Index 1,020 (26,960) 344.53 331.50 5.10 0.74% 69.08 KOSPI Index 1,179 29,082 1.85 1.92 6.57 0.62% (169.72) AS51 Index 1,046 21,983 4,890.10 5,122.69 6.72 0.71% (43.84) STBCNZL Index #N/A N/A EEM US Equity 8 (1,708) 41.52 41.34 0.54 0.81% 12.36 IYR US Equity (3) 2,254 69.13 69.02 0.32 0.49% (6.83) MDY US Equity 4,953 14,269 184.03 247.90 46.10 0.75% (24.78) JNK US Equity 2 6,053 41.26 41.28 0.24 0.16% 1.47 XLF US Equity 5,652 13,610 15.57 22.04 62.40 0.67% 43.71 XLU US Equity 833 9,939 39.06 42.33 14.92 0.56% 5.09 XLK US Equity 2,142 12,860 30.80 35.93 20.22 0.82% (161.09) XLI US Equity 6,310 16,147 38.20 53.13 52.12 0.75% 84.86 XLP US Equity 444 10,839 41.85 43.56 11.27 0.36% (18.10) XLY US Equity 1,245 5,441 52.24 64.19 27.56 0.83% (31.10) XLE US Equity 749 9,734 87.06 93.76 11.30 0.68% 55.07 XLB US Equity 4,028 14,930 37.57 47.71 35.41 0.76% 3.97 XLV US Equity 11,928 24,346 38.87 57.91 55.40 0.88% (180.74) SXXP Index 6,773 43,407 400.51 463.01 25.79 0.61% (226.12) SXAP Index 11,410 28,526 520.28 728.39 32.87 1.22% (520.07) SXKP Index 3,875 37,626 366.14 403.85 15.18 0.68% (153.68) EFTA00288333 SX6P Index 6,507 37,276 357.32 419.70 32.32 0.54% (501.22) SXEP Index 2,438 41,598 449.38 475.72 11.03 0.53% (264.87) SXIP Index 11,766 28,923 222.31 312.74 54.35 0.75% (107.16) SXNP Index 5,137 28,384 482.69 570.05 23.88 0.76% (221.05) SX3P Index 893 24,010 670.96 695.92 6.91 0.54% (34.85) SXDP Index 25,163 61,074 609.16 860.14 67.75 0.61%1 243.77 SX4P Index 3,347 25,840 917.36 1,036.19 16.76 0.77% (40.67) SX8P Index 2,124 17,778 343.07 384.06 14.88 0.80% (246.30) SXOP Index 11,775 41,808 382.78 490.59 34.04 0.83% (384.77) SXQP Index 749 31,390 797.23 816.25 4.00 0.60% (114.07) SXRP Index 39 16,765 432.46 433.46 0.35 0.65% (50.57) SXMP Index 8,371 28,612 261.12 337.52 45.48 0.64% (316.89) SXTP Index 22,286 39,247 172.05 269.75 64.87 0.88% (210.59) SX7E Index 6,361 18,886 159.85 213.68 29.14 1.16% (217.76) SXSE Index 7,356 40,148 3,709.25 4,388.87 26.29 0.70% (287.24) SPGSCITR Index (62) 19,063 5,062.93 5,046.56 -0.72 0.45% (9.26) XAG Curncy 1,330 (14,431) 21.43 19.46 13.12 0.70% (27.75) CO1 Comdty (38) (19,698) 108.90 109.11 -0.29 0.68% 28.79 CL1 Comdty 634 30,849 99.40 101.44 3.09 0.66% (212.70) NG1 Comdty 4,243 18,950 3.86 4.73 14.30 1.57% (44.05) XAU Comdty 145 (21,704) 93.51 92.88 1.02 0.65% (439.16) IBOXHY Index 3,185 53,418 220.12 233.24 84.91 0.07% 32.95 US_TSY CREDIT (8) 16,070 762.42 762.03 A.44 0.12% 26.39 CA_TSY CREDIT 3,068 (72,133) 1,245.64 1,192.66 13.71 0.31% (67.53) MX_TSY CREDIT 25 27,950 214.97 215.16 0.24 0.38% (27.28) AU TSY CREDIT 283 52,225 1,495.06 1,503.16 1.35 0.40% (305.26) JP_TSY CREDIT 303 (22,684) 821.88 810.89 4.75 0.28% (32.36) MY_TSY CREDIT (151) 22,846 168.68 167.57 .2.20 0.30% 13.55 SG_TSY CREDIT (224) 31,825 220.86 219.32 .3.01 0.23% (54.66) AT_TSY CREDIT 4,017 77,381 357.33 375.88 20.43 0.25% 310.85 BE_TSY CREDIT 5,173 77,996 477.05 508.69 26.50 0.25% 292.05 FI_TSY CREDIT 3,719 80,015 348.46 364.66 19.70 0.24% 288.01 FR_TSY CREDIT 4,435 79,196 1,680.58 1,774.69 22.81 0.25% 296.99 DE_TSY CREDIT 3,142 80,183 1,244.62 1,293.38 15.67 0.25% 315.58 lE_TSY CREDIT 32,766 78,270 336.92 477.97 209.46 0.20% 218.80 IT_TSY CREDIT 9,290 54,986 1,616.07 1,889.11 75.99 0.22% 196.58 NL_TSY CREDIT 3,806 78,610 1,327.30 1,391.57 19.57 0.25% 306.15 ES_TSY CREDIT 11,436 50,187 392.28 481.67 108.68 0.21% 223.41 DK_TSY CREDIT 3,243 67,396 729.23 764.32 15.26 0.32% 454.&_5j NO_TSY CREDIT • 9,521 342.44 342.44 0.00 0.30% (9.44) PL_TSY CREDIT 1,216 31,505 426.98 443.46 14.10 0.27% 85.82 ZA_TSY CREDIT 136 (11,615) 83.22 82.25 1.52 0.77% 75.23 SE_TSY CREDIT 163 (50,636) 464.16 462.67 0.96 0.34% (236.05) CH_TSY CREDIT 3,755 68,798 1,007.78 1,062.78 21.19 0.26% GUT( CREDIT 1,635 75,587 1,500.30 1,532.74 7.69 0.28% 38.81 EFTA00288334