EFTA00288335.pdf

Atorus, LLC 4/25/2014 Current Date: 4/25/2014 Change on Day: -1.61% Total Return since 1/1/12: 80.64% MSCI World Change on 712M Return: 31.73% Day -0.62% T9O Day Return: 3.58% No of Positions T3O Day Return: -0.08% (+MTM) on Day 127 Current Long Exposure @ Cost: 4,932,168 No of Positions (-MTM) Current Short Exposure @ Cost: (537,454) on Day 298 Net Exposure: 4,394,714 Current No. of Starting Capital: 1,000,000 Positions: 439 Current NAV: 1,806,431 Current Leverage (Gross Exposures): 3.03 Profit Factor: Historically 2.25X • 3.25X, depending on measurement interval Win Ratio: 40% - 50% historically T24M (+) NAV Days 52% T24M Avg. Daily NAV (+) Change 1.02% T24M Avg. Daily NAV (..) Change -0.90% Target Vol-Adj. Risk Listed Equities 50.00% Target Vol-Adj. Risk Global Macro 50.00% Targeted Max Loss (ex-Leverage) 10.00% Leverage Target At Inception: 2X Notes on Leverage: 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. T24M Sharpe Ratio: 1.141 Historical Sharpe & Notes: 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 2.000.00MW I.6o0.o00.00 1.640.000.W LOCW00.00 1.200.000.OO 1.000.000.00 a0o.0o0.00 moon' ,„„ , , ,,§,,,„„ „Qs?, ,„,, 4, "IN CP C5‘ lY —Series]. EFTA00288335 Atorus, LLC 4/25/2014 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 941 HK Equity (9,455) ZA_TSY CREDIT (11,615) NO_TSY CREDIT (13,847) XAG Curncy (15,640) CO1 Comdty (19,698) MEXBOL Index (20,915) INDEXCF Index (21,271) JP_TSY CREDIT (22,684) XAU Comdty (23,727) SHCOMP Index (26,960) SE_TSY CREDIT (55,416) SPX Index 62,272 DK_TSY CREDIT 67,396 CH_TSY CREDIT 68,798 CA_TSY CREDIT (72,133) STBCNZL Index 73,231 GB_TSY CREDIT 75,587 AT_TSY CREDIT 77,381 IE_TSY CREDIT 78,270 BE_TSY CREDIT 78,588 FR_TSY CREDIT 79,196 NL_TSY CREDIT 79,461 DE_TSY CREDIT 80,183 FI_TSY CREDIT 80,881 NAV Impact of MTM by Category & Exposure Listed Equity Long -0.829% Listed Equity Short 0.059% EquityCom Long -0.872% EquityCom Short 0.044% G20 Rates Long 0.194% G20 Rates Short -0.007% % of Total Notional Security MTM Gain % Total NAV 22.21%1 45 Positions 25.86% 0.17% 1N1 US Equity 5,633 0.31% 0.21% MAERSKB DC Equity 5,653 0.31% 0.25% NOVN VX Equity 5,973 0.33% 0.29% SX7E Index 6,003 0.33% 0.36% XLI US Equity 6,048 0.33% 0.38% ROG VX Equity 6,119 0.34% 0.39% ASE Index 6,186 0.34% 0.41% HON US Equity 6,194 0.34% 0.43% SX6P Index 6,200 0.34% 0.49% EDF FP Equity 6,382 0.35% 1.01% PSI20 Index 6,439 0.36% 1.14% UTX US Equity 6,551 0.36% 1.23% SXXP Index 6,609 0.37% 1.26% DAI GR Equity 6,675 0.37% 1.32% SMI Index 6,896 0.38% 1.34% SXSE Index 6,993 0.39% 1.38% RTY Index 7,024 0.39% 1.41% ACA FP Equity 7,043 0.39% 1.43% FTSEMIB Index 7,160 0.40% 1.44% MDT US Equity 7,170 0.40% 1.45% HEX Index 7,343 0.41% 1.45% PRO LN Equity 8,036 0.44% 1.47% TMO US Equity 8,152 0.45% 1.48% SXMP Index 8,261 0.46% DAX Index 8,292 0.46% BEL20 Index 8,374 0.46% MMM US Equity 8,728 0.48% MC US Equity 8,919 0.49% IT_TSY CREDIT 9,230 0.51% NDX Index 9,259 0.51% IBEX Index 9,285 0.51% TYC US Equity 9,988 0.55% SXAP Index 10,371 0.57% KFX Index 10,491 0.58% LUXX‹ Index 10,633 0.59% ES_TSY CREDIT 11,438 0.63% SXIP Index 11,534 0.64% SXOP Index 11,543 0.64% XLV US Equity 11,602 0.64% SPX Index 17,441 0.97% EFTA00288336 SXTP Index 22,093 1.22% ISEQ Index 23,628 1.31% SXDP Index 24,863 1.38% lE_TSY CREDIT 32,780 1.81% STBCNZL Index 35,819 1.98% J APAC Lon 21. APAC Short 25 EMEA Long 75 EMEA Short 12 AMER Long 179 AMER Short 32 E • ultyCom Lon 64 EquityCom Short 8 G20 Rates Lon 18 G20 Rates Short 5 Total Long 357 Total Short 82 Current Exposure by Geography (Listed Equl es) & Macro (Equity Indices & Commodiites, G20 Gov. Credit) $2,000,000 $1,500,000 $1,000,000 $500,000 5- $(500,000) ■ APAC Long ■ APAC Short ■ EMEA Long ■ EMEA Short ■ AMER Long ■ AMER Short ■ EquityCom Long ■ EquityCom Short ■ G20 Rates Long ■ G20 Rates Short EFTA00288337 Atorus, LLC 4/25/2014 Historical Net Exposure by Geography (Listed Equities) & Macro (Equity Indices & Comrnodiites, G20 Gov. Credit) 2,000,000 1,500,000 5,000,000 4,000,000 1,000,000 3,000,000 500,000 Vr —APAC 2,000,000 —(MCA —AMER 1,000,000 — Eq it< —G20 Rates 0 , stiexEposure MIS e 4‘• (581\ 001e NI. to etC3 t to% e e cp. c:P *Nts (54. N, v ‘ % % Q % Q. % % \ 4\ A\ N' A• A. 4% 4 A 4 NN% N. \ 11,000,0001 12,000,0001 (1,000,0001 13.000,0001 Historical Gross Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodlites, G20 Gov. Credit) EFTA00288338 Atorus, LIC 4/25/2014 Current Gross Notional Risk by Category 220,200 569,616 4 1,218,9 p • APAC • EMEA • AMER • EquityCom • G20 Rates Performance Vs. PAM World Index 2.15 1.95 1.75 1.55 1.35 1.15 0.95 0.75 tit. G '') e 19 19 19 .6, O% of 0. 0. ,44 O4. e000 AQ•eet c• ce c•o" ,\" $ 4, A Al is, '1, 02 43(‘ 10 CP 4 ‘ 12/‘ ,,— , Settits1 Settits2 Rolling 30 Day Realized Volatility - Atorus EFTA00288339 Atorus, LLC 4/25/2014 Percentile Distribution of Current MTM Gains in Vol Days by Position (ex-99pct & ex-1st percentiles) COCO 40X0 3000 2000 lam j0,41,Zattcsfreafre are e as* cow dree Days by Position Percentile No. Vol Days 0.00,1, 1/.53 5.00% -2.73 10.00% .1.36 15.00% .0.57 20.00% 0.16 25.00% 0.99 30.00% 2.02 35.00% 3.33 40.00% 4.68 45.00% 6.01 50.00% 7.98 55.00% 9.78 60.00% 12.20 65.00% 14.78 70.00% 17.27 75.00% 21.50 80.00% 25.01 85.00% 30.83 90.00% 38.12 95.00% 52.85 100.00% 209.13 MTM Gains(Losses) % of NAV "Signficant" (<7 Vol Days) MTM Gains(Losses) % of NAV "Signficant" (>7 Vol Days) 1.16% 43.90% EFTA00288340 Atorus, LLC Current Portfolio -listed Equity Portfolio Current Price P/I. in Vol 30P Realized Change on Day Security MTM Gain/(Loss) Exp. ea Cost Avg. Price (in USD) Days Vol (in USD) 4/25/2014 000270 KS Equity 10 (965) 55.88 55.28 0.99 1.09% 6.58 005380 KS Equity 33 3,149 224.39 226.77 0.96 1.10% (77.13) 005490 KS Equity (105) (3,011) 272.57 282.09 -3.08 1.13% 59.13 005930 KS Equity (90) (1,401) 1,278.08 1,360.40 -7.55 0.85% (6.89) 012330 KS Equity 979 5,584 247.00 290.33 17.59 1.00% (122.72) 1 HK Equity 1,018 12,607 16.18 17.49 11.38 0.71% (66.61) 1299 HK Equity 147 5,954 4.79 4.91 2.64 0.93% (66.40) 13 HK Equity 2,562 12,243 11.40 13.79 25.67 0.81% (64.57) 16 HK Equity 12.44 27 HK Equity (12) 123 9.59 8.75 -5.23 1.84% (1.82) 2914 JP Equity (47) (3,774) 32.46 32.87 -1.22 1.01% (25.27) 3382 JP Equity 24 1,329 37.70 38.39 1.80 1.02% 21.55 4063 JP Equity (56) 3,628 60.10 59.19 -1.31 1.17% (39.22) 4502 JP Equity (26) (2,954) 44.14 44.53 A.97 0.91% (38.40) 4689 JP Equity 4.89 5 HK Equity (9) (3,197) 10.17 10.20 A.33 0.81% 32.78 5108 JP Equity 36.20 5401.1P Equity 340 (4,349) 2.87 2.65 7.07 1.11% (22.44) 6301.1P Equity (32) (1,651) 20.69 21.10 -1.71 1.15% (4.20) 6752 JP Equity 11.02 6902 JP Equity 46.39 6954 JP Equity 877 6,393 6,392.98 179.28 12.28 1.12% 35.59 7201.1P Equity 72 (2,999) (3,742.97) 8.64 2.56 0.94% 27.33 7203 JP Equity 191 (4,207) (5,259.85) 53.55 4.72 0.96% (3.53) 7267 JP Equity 202 (4,294) (4,885.01) 33.95 5.01 0.94% (41.89) 762 HK Equity 82 (3,929) (5,161.69) 1.34 1.89 1.11% (31.01) 7751 JP Equity (2) (5,492) (6,865.02) 31.45 A.05 0.77% 20.61 8031.1P Equity (98) (3,821) (4,775.88) 14.46 -2.66 0.97% (20.81) 8058 JP Equity 14 (2,589) (4,383.01) 18.16 0.57 0.94% (39.71) 8106 JP Equity 141 (3,668) (4,603.66) 5.41 2.70 1.42% 13.61 8316 JP Equity 94 (1,984) (2,000.57) 39.20 3.57 1.32% 12.91 84111P Equity 2 (3,941) 1.95 0.06 0.73% (14.58) 8604 JP Equity 269 (3,335) (3,504.39) 5.95 6.33 1.27% 47.00 8801.1P Equity (62) 2,660 30.46 29.77 -1.73 1.34% (15.14) 8802 JP Equity 410 (4,236) 24.70 22.31 6.98 1.39% 28.58 9020.1P Equity 175 (5,379) 75.21 72.76 2.74 1.19% (28.81) 941 HK Equity 1,175 (9,455) 10.19 8.93 11.13 1.12% 28.15 9432 JP Equity (5) 6,077 53.19 53.15 0.08 1.07% 70.82 9433 JP Equity (42) (1,333) 51.14 52.77 -2.45 1.30% 20.95 9437 JP Equity 96 (6,149) 15.59 15.35 1.62 0.96% (51.23) 9983 JP Equity 45 (2,416) 326.81 320.75 1.34 1.39% 16.67 EFTA00288341 9984 JP Equity (16) 1,743 76.08 75.39 -0.49 1.86% (17.39) AAPL US Equity 610 6,302 518.25 568.45 11.56 0.84% 25.49 ABB US Equity 682 6,661 23.59 26.01 15.60 0.66% (13.61) ABBN VX Equity 707 6,962 23.63 26.03 14.13 0.72% (31.54) ABBV US Equity 18 2,296 49.39 49.77 0.56 1.39% 21.50 ABEV US Equity 31 4,344 7.61 7.66 0.85 0.85% (67.41) ABEV3 BZ Equity 68 4,143 7.59 7.71 1.77 0.92% (59.48) ABI BB Equity 502 8,888 103.14 108.97 8.23 0.69% 4.36 ABT US Equity (79) 4,097 38.85 38.11 -2.71 0.71% (27.67) ABX CN Equity 221 (3,366) 18.97 17.72 4.47 1.47% (36.43) ABX US Equity 213 (3,243) 18.99 17.75 4.55 1.44% (32.79) ACA FP Equity 7,043 5,408 6.83 15.74 102.96 1.27% (184.29) ACE US Equity 448 8,503 96.60 101.69 11.59 0.45% (17.06) ACN US Equity 93 10,703 77.97 78.65 0.98 0.89% 22.53 ADP US Equity 16 3,867 75.63 75.94 0.61 0.66% (35.18) AFL US Equity (69) 3,645 63.03 61.86 -2.93 0.65% (14.97) AGN US Equity 4,978 9,698 110.56 167.31 25.65 2.00% 159.44 Al FP Equity 482 8,248 134.80 142.68 8.48 0.69% 55.94 AIG US Equity 276 6,420 49.74 51.88 5.13 0.84% (52.50) AIR FP Equity 529 2,347 57.15 70.03 24.05 0.94% (6.55) ALV GR Equity 20 5,509 167.39 167.99 0.49 0.73% (45.31) ALVG IX Equity 21 5,509 167.40 168.04 0.51 0.75% (40.25) AMGN US Equity 3,431 18,308 94.49 112.19 15.38 1.22% (228.01) AMT US Equity 961 11,011 76.50 83.18 16.01 0.55% (77.23) AMZN US Equity 53 (951) 326.05 307.90 3.25 1.71% 81.10 ANZ AU Equity 650 7,345 RN/A N/A 11.53 0.77% APA US Equity (78) (1,374) 82.74 87.42 -7.50 0.75% 6.82 APC US Equity 48 2,501 97.78 99.67 1.62 1.19% (15.66) AXP US Equity 2,233 10,373 71.56 86.97 23.79 0.90% (67.47) AZN LN Equity 4,787 12,676 49.80 68.61 33.99 1.11% (401.46) AZN SS Equity 4,231 12,119 50.82 68.56 33.35 1.05% (385.69) AZN US Equity 4,613 12,812 50.30 68.41 34.74 1.04% (299.61) BA US Equity 111 4,613 125.87 128.89 2.97 0.81% (25.28) BAC US Equity 8,919 10,884 8.82 16.05 77.95 1.05% (380.88) BARC LN Equity 142 2,977 4.00 4.19 4.04 1.18% (22.08) BAS GR Equity 1,158 7,333 97.30 112.66 16.17 0.98% (42.85) BATS LN Equity 470 7,532 53.98 57.34 8.85 0.71% 7.61 BAX US Equity (3) 335 73.12 72.37 -1.22 0.85% (0.65) BAYN GR Equity 9 4,438 132.62 132.90 0.23 0.92% (42.60) BBAS3 BZ Equity (23) (232) 9.50 10.45 -5.09 1.96% 4.58 BBD US Equity 98 3,222 14.49 14.93 1.81 1.68% (23.76) BBDC4 BZ Equity 94 3,172 14.49 14.93 1.76 1.69% (25.45) BBL US Equity (66) (1,680) 62.15 64.58 -4.30 0.91% 1.87 BBVA SM Equity 1,214 5,790 10.12 12.24 20.76 1.01% (109.35) BCE CN Equity (36) 4,720 44.18 43.84 •1.72 0.45% (29.15) Bcs US Equity 154 3,122 16.00 16.79 4.29 1.15% (24.38) BEN US Equity 11 2,447 52.56 52.80 0.45 1.05% (51.34) EFTA00288342 BG/ LN Equity (343) (3,503) 17.51 19.23 -14.34 0.68% 1.36 BHP AU Equity 220 6,689 //N/A N/A 3.46 0.95% BHP US Equity 303 6,839 67.77 70.77 4.77 0.93% (22.66) BBB US Equity 192 1,066 245.93 290.28 9.94 1.81% (21.61) BIL SI Equity (13) (1,332) 32.02 32.33 -1.15 0.84% 1.29 BK US Equity 169 8,609 32.86 33.51 2.51 0.78% (68.85) BUC US Equity 80 3,418 293.93 300.85 2.31 1.02% (40.42) BLT IN Equity (16) (2,716) 32.10 32.29 -0.68 0.88% 10.74 BMO CN Equity 406 11,017 66.19 68.63 6.95 0.53% (58.19) BMW GR Equity 1,330 5,212 99.22 124.54 22.30 1.14% (98.53) BMY US Equity - 735 50.53 50.53 0.00 1.12% (2.32) BN FP Equity (35) 1,745 73.40 71.97 -2.94 0.67% (0.62) BNP FP Equity 1,321 5,498 61.78 76.62 21.76 1.10% (27.43) BNS CN Equity 190 9,096 57.99 59.20 4.68 0.45% (36.48) BP/ LN Equity 662 9,797 7.76 8.29 9.41 0.72% 104.02 BRK/B US Equity 798 13,041 119.88 127.21 12.00 0.51% (1.33) BSBR US Equity 475 (6,537) 6.18 5.73 5.58 1.30% 75.24 BUD US Equity 467 9,049 103.62 108.96 7.32 0.70% 4.09 BX US Equity 72 3,119 30.36 31.06 1.28 1.79% (107.94) C US Equity (20) 3,763 48.12 47.86 -0.54 1.01% (37.39) CA FP Equity 465 3,932 34.37 38.43 12.33 0.96% (32.33) CAT US Equity 2,219 14,434 90.25 104.13 21.45 0.72% (278.66) CBA AU Equity 688 11,185 //N/A N/A 9.79 0.63% CBS US Equity 134 760 49.35 58.02 15.16 1.16% (6.86) CCL US Equity 333 6,257 36.20 38.13 5.65 0.94% 20.40 CELG US Equity 0 (348) 142.74 142.69 0.02 1.75% (6.91) CFR VX Equity 263 7,019 96.74 100.36 4.34 0.86% 11.01 CL US Equity 2,285 20,847 59.72 66.27 22.09 0.50% 8.73 CM CN Equity 431 10,376 83.40 86.86 9.26 0.45% (8.54) CMCSA US Equity 95 4,527 50.01 51.05 2.09 1.00% (31.97) CMCSK US Equity 4,717 12,096 36.26 50.40 41.21 0.95% (92.69) CNI US Equity 1,564 12,873 51.38 57.62 15.45 0.79% (1.05) CNQ CN Equity 1,062 10,769 36.73 40.36 13.95 0.71% (161.07) CNR CN Equity 1,527 12,425 51.30 57.60 16.36 0.75% (23.77) COF US Equity 496 7,124 68.86 73.65 10.56 0.66% (126.88) COP US Equity (3) 4,333 74.40 74.35 -0.11 0.68% (5.64) COST US Equity 86 6,251 113.22 114.78 2.89 0.48% (6.79) COV LN Equity MO N/A COV US Equity 522 7,080 64.09 68.82 9.14 0.81% (201.61) CRM US Equity (110) 1,643 56.63 53.06 -4.50 1.49% (41.00) CS FP Equity 720 2,155 19.39 25.87 33.86 0.99% (22.08) CSCO US Equity (51) 5,008 23.26 23.02 -1.15 0.88% (76.52) CSX US Equity 1,081 8,914 25.07 28.11 15.69 0.77% (81.81) CVE CN Equity 29.37 - CVS US Equity 1,723 11,815 63.98 73.31 24.76 0.59% 19.75 CVX US Equity (136) (1,313) 112.39 124.01 -17.83 0.58% 4.22 D US Equity 2,468 12,862 60.50 72.10 36.06 0.53% 144.87 EFTA00288343 DAI GR Equity 6,675 13,908 62.20 92.06 38.94 1.23% L (352.22) DBK GR Equity (36) 1,633 44.18 43.23 -1.91 1.15% (34.13) DD US Equity 2,762 12,980 54.99 66.69 36.01 0.59% (93.13) DDAIF US Equity 3,778 8,377 63.20 91.71 32.79 1.38% (199.16) DE US Equity 715 9,160 86.29 93.02 12.23 0.64% (71.37) DELL US Equity #WA WA DG FP Equity 4,443 10,090 51.66 74.40 63.88 0.69% (78.58) DGE LN Equity (39) 2,332 30.85 30.34 -1.75 0.96% (4.07) DHR US Equity (17) 3,213 73.56 73.17 0.69 0.78% (18.73) DIS US Equity 1,466 9,908 68.36 78.48 16.28 0.91% (150.22) DISCA US Equity 42 (4,082) 77.65 76.85 1.20 0.86% 36.34 DNB NO Equity 76 3,191 16.67 17.06 2.40 0.99% (69.45) DOW US Equity 2,285 7,396 37.11 48.58 30.88 1.00% (99.82) DPW GR Equity 167 660 29.41 36.85 17.23 1.47% (17.68) DTE GR Equity 664 3,835 13.54 15.89 18.96 0.91% (55.05) DTV US Equity 2,430 10,622 61.97 76.15 21.73 1.05% (144.98) DUK US Equity 97 5,733 72.44 73.66 3.36 0.50% 52.00 DVN US Equity 1,310 11,143 63.30 70.74 14.93 0.79% (211.92) EBAY US Equity (64) 6,678 54.28 53.77 -1.03 0.94% (132.43) ECL US Equity 15 9,210 105.22 105.39 0.21 0.76% (81.37) EDF FP Equity 6,382 9,189 23.45 39.73 83.75 0.83% (147.10) EMC US Equity 72 10,986 25.35 25.52 0.79 0.83% (60.38) EMR US Equity 249 8,739 66.80 68.70 3.60 0.79% (118.42) ENB CN Equity 496 10,226 45.11 47.30 9.87 0.49% 19.94 ENEL IM Equity 2,177 8,525 4.44 5.58 27.07 0.94% (190.90) ENI IM Equity 597 11,929 24.33 25.55 8.11 0.62% (115.57) EOAN GR Equity 15 2,996 18.77 18.86 0.69 0.71% (21.06) EOG US Equity 2,177 5,841 72.84 99.99 41.69 0.89% (330.21) EPD US Equity 1,614 13,127 63.70 71.53 17.48 0.70% (235.22) ERICB SS Equity (197) 7,934 12.50 12.20 .2.40 1.03% (69.52) ESRX US Equity 648 9,815 66.69 71.09 8.96 0.74% (73.74) ETN US Equity 119 5,260 72.48 74.13 2.18 1.04% (53.16) F US Equity (193) (2,897) 14.82 15.80 .7.60 0.88% 85.29 FB US Equity 856 2,630 44.06 58.40 15.45 2.11% (192.13) FCX US Equity 109 5,057 33.25 33.97 1.98 1.09% (26.04) FDX US Equity 193 2,491 124.78 134.46 11.90 0.65% (34.89) FOX US Equity (26) 3,508 32.03 31.79 0.68 1.09% (13.83) FOXA US Equity (32) 3,236 32.97 32.64 0.90 1.11% (13.54) FP FP Equity 1,459 13,022 61.76 68.68 16.43 0.68% (31.37) G IM Equity 265 4,069 21.51 22.92 8.30 0.79% (25.31) GE US Equity 2,554 13,140 22.32 26.65 31.74 0.61% 109.81 GILD US Equity • 434 74.12 74.12 0.00 1.90% 5.42 GIS US Equity 913 17,619 49.73 52.30 9.65 0.54% (42.70) GLE FP Equity 676 3,248 49.51 59.81 17.47 1.19% (72.48) GLEN LN Equity (55) (3,693) 5.22 5.30 •1.58 0.94% 14.70 GLW US Equity 3,281 11,635 16.25 20.84 28.26 1.00% (263.31) GM US Equity 19 (958) 34.53 33.83 2.26 0.90% 19.36 EFTA00288344 GOOG US Equity • 603 518.00 518.00 0.00 1.37% (9.00) GS US Equity (33) (1,516) 155.24 158.59 -2.29 0.94% 25.26 GSK LN Equity 333 5,707 26.22 27.75 6.19 0.94% 6.10 GSZ FP Equity 514 11,150 25.29 26.45 6.04 0.76% (131.15) HAL US Equity 1,745 6,543 49.74 63.02 25.18 1.06% (108.33) HD US Equity 563 7,619 73.80 79.25 10.72 0.69% (5.34) HMB SS Equity (63) (4,056) 41.18 41.81 -1.94 0.80% 7.48 HON US Equity 6,194 11,930 61.10 92.82 72.55 0.72% (186.91) HPQ US Equity 1,800 7,393 25.45 31.65 20.01 1.22% (78.16) HSBA LN Equity (17) 4,565 10.16 10.13 -0.65 0.56% (81.39) IBE SM Equity 1,705 7,501 5.56 6.82 37.09 0.61% (56.22) IBM US Equity 5 (768) 190.78 189.58 0.76 0.83% 4.87 IMT LN Equity 2,203 13,136 36.73 42.89 25.03 0.67% 73.67 INTC US Equity 1,060 12,041 24.19 26.32 13.16 0.67% (245.69) ISP IM Equity 4,174 5,699 1.93 3.34 52.47 1.40% (172.94) ITUB US Equity 190 4,335 15.61 16.30 2.81 1.56% 17.67 ITUB4 BZ Equity 207 3,252 15.40 16.38 3.92 1.62% 18.67 ITW US Equity 3,480 14,011 67.84 84.68 31.04 0.80% (168.55) ITX SM Equity (49) (3,652) 146.45 148.40 -1.70 0.79% 4.24 JCI US Equity 81 1,797 42.92 44.86 3.66 1.23% (38.01) JNJ US Equity 5,633 16,431 74.34 99.83 65.68 0.52% (18.70) JPM US Equity 55.80 - KMB US Equity 152 9,903 107.52 109.18 2.98 0.52% 5.65 KMI US Equity 133 (6,775) 33.81 33.14 2.71 032% 122.12 KO US Equity 2 3,434 40.73 40.74 0.09 0A9% 1.48 LBTYA US Equity 40.00 - LBTYK US Equity (32) (1,393) 37.89 38.77 -2.34 0.99% 5.59 LIN GR Equity 113 8,087 198.03 200.79 2.16 0.65% (110.06) LLOY LN Equity 275 1,914 1.10 1.25 11.94 1.20% (21.97) LLY US Equity (31) 4,953 59.03 58.66 -0.84 033% 13.01 LMT US Equity 629 2,016 122.48 160.66 34.02 0.92% 1.90 LNKD US Equity 294 (2,461) 183.83 161.87 5.15 2.32% 139.51 LOW US Equity (238) 6,264 48.34 46.56 -4.77 0.80% (40.74) LVS US Equity 1,061 4,085 61.33 77.26 14.67 1.77% (125.58) LYB US Equity 1,232 2,297 59.29 91.09 59.74 0.90% (19.98) MA US Equity (16) 555 73.41 71.40 .2.15 1.30% (20.24) MAERSKB DC Equity 5,653 14,148 1,642.52 2,298.81 37.91 1.05% (132.33) MC FP Equity 324 5,711 186.24 196.80 7.19 039% (9.84) MCD US Equity 8 5,480 100.24 100.39 0.37 0.41% 33.18 MCK US Equity 52 2,181 164.92 168.83 2.48 0.95% (29.65) MDIZ US Equity 3,165 13,641 28.68 35.34 40.26 0.58% 7.47 MDT US Equity 7,170 20,811 43.22 58.12 42.41 0.81% (150.71) MET US Equity 1,154 7,556 44.37 51.14 15.83 0.96% (121.59) MFC CN Equity 1,586 3,201 12.38 18.51 58.49 0.85% (74.91) MHS US Equity RNA WA MMM US Equity 8,728 21,331 96.89 136.54 58.56 0.70% 33.39 MO US Equity 640 10,839 36.70 38.86 12.77 0.46% 116.51 EFTA00288345 MON US Equity 450 11,917 106.02 110.02 4.81 039% (110.62) MOS US Equity 49.25 MRK US Equity 1,665 11,769 50.18 57.28 16.12 0.88% (50.74) MS US Equity 17 2,280 30.40 30.62 0.61 1.20% (27.71) MSFT US Equity 1,094 8,007 35.30 40.13 14.67 0.93% 99.66 MUV2 GR Equity 955 6,116 197.70 228.55 23.50 0.66% (65.52) NAB AU Equity 503 9,956 #WA N/A 7.01 032% NCM AU Equity #N/A N/A NEE US Equity 5,024 14,729 72.72 97.52 52.63 0.65% 178.05 NEM US Equity 236 (946) 34.95 26.22 14.73 1.70% (34.17) NESN VX Equity 901 9,821 69.64 76.03 15.14 0.61% (9.38) NG/ LN Equity 2,051 13,258 11.96 13.81 28.66 0.54% 101.62 NICE US Equity 260 2,940 67.01 72.94 9.89 0.90% (23.39) NOK US Equity 3,772 4,498 3.96 7.29 56.93 1.47% 34.19 NOV US Equity 708 9,753 77.58 83.21 10.35 0.70% 76.04 NOVN VX Equity 5,973 18,291 63.81 84.64 40.42 0.81% (117.03) NOVOB DC Equity 1,065 9,444 40.35 44.90 12.10 0.93% (41.20) NSC US Equity 1,610 9,797 80.78 94.06 19.89 0.83% (105.32) NVS US Equity 4,638 15,510 65.07 84.53 36.96 0.81% 15.72 OGXP3 BZ Equity 4,022 (4,107) 4.39 0.09 52.27 1.87% 175.01 OR FP Equity 186 5,025 163.47 169.51 5.64 0.66% 47.77 ORA FP Equity 896 6,898 13.27 15.00 12.93 1.00% (129.26) ORCL US Equity 1,378 7,995 33.68 39.48 17.48 0.99% (25.07) OXY US Equity 116 7,355 95.04 96.55 1.91 0.83% (33.35) PBR US Equity (3) (984) 13.35 13.39 -0.16 2.18% 22.34 PBR/A US Equity (45) (2,236) 13.87 14.15 -0.90 2.22% 45.05 PCLN US Equity 686 3,043 956.05 1,171.53 13.79 1.63% (140.18) PCP US Equity (71) 4,727 256.02 252.25 -1.46 1.03% (83.37) PEP US Equity 295 10,723 83.02 85.31 6.32 0.44% (12.86) PETR3 BZ Equity (28) (1,122) 6.54 6.71 -1.14 2.22% 23.48 PETR4 BZ Equity (52) (2,498) 6.95 7.09 A.90 2.31% 47.42 PFE US Equity (0) 5,476 30.70 30.70 0.00 0.79% 27.07 PG US Equity 302 10,477 79.08 81.36 6.18 0.47% 49.48 PHIA NA Equity 32.27 - PM US Equity 157 (8,133) 85.47 83.82 3.42 0.57% (17.88) PNC US Equity 890 9,010 76.60 84.17 12.51 039% (27.34) POT CN Equity 12 2,561 35.34 35.52 0.50 0.98% 20.82 POT US Equity - 877 35.54 35.54 0.00 0.94% 8.00 PRU LN Equity 8,036 10,521 12.76 22.51 76.49 1.00% (48.92) PSA US Equity 941 12,499 161.39 173.54 19.69 0.38% (11.40) PSX US Equity 1,676 6,158 64.94 82.61 31.51 0.86% 6.62 PX US Equity 2,318 16,340 113.54 129.65 22.38 0.63% (194.60) QCOM US Equity 2,014 12,547 66.83 77.56 19.70 0.81% (5.01) QQQ US Equity 2,093 7,968 68.46 86.44 32.93 0.80% (116.02) RAI US Equity 335 9,542 52.93 54.79 5.14 0.68% 170.45 RDS/A US Equity 201 8,337 73.73 75.51 5.85 0.41% (4.68) RDS/B US Equity 388 9,236 77.31 80.56 9.19 0.46% (24.04) EFTA00288346 RDSA LN Equity 412 7,114 35.70 37.76 11.86 0.49% (9.04) RDSA NA Equity 190 7,159 36.79 37.76 5.59 0.47% (11.39) RDSB LN Equity 449 9,209 38.45 40.32 9.11 0.54% (23.63) REGN US Equity (343) 6,240 301.87 286.13 .3.16 1.74% (181.55) RIO AU Equity (67) 3,506 #N/A N/A .1.90 1.01% RIO LN Equity 20 4,819 54.83 55.06 0.40 1.06% (4.23) RIO US Equity 76 4,934 54.04 54.87 1.47 1.05% (15.65) ROG VX Equity 6,119 17,035 212.78 289.22 51.69 0.69% (111.34) RY CN Equity (1) 8,293 65.48 65.47 0.02 0.46% (5.96) SAB LN Equity 748 9,453 48.63 52.47 8.24 0.96% 91.42 SAN FP Equity 105.68 - SAN SM Equity 1,158 8,103 8.48 9.69 17.23 0.83% (96.24) SAN US Equity 939 7,021 8.57 9.72 14.07 0.95% (71.99) SAP GR Equity (135) 5,241 80.55 78.52 -2.98 0.87% (63.90) SAP US Equity (173) 5,649 80.55 78.15 .3.75 0.82% (58.67) SBUX US Equity (9) (571) 70.43 71.50 .1.54 0.99% (5.67) SGO FP Equity 2,889 7,836 44.08 60.34 34.21 1.08% (84.79) SI US Equity 693 5,671 118.49 132.96 13.83 0.88% (44.48) SIE GR Equity 869 5,345 114.81 133.48 19.65 0.83% (50.38) SLB US Equity 1,798 8,483 83.83 101.60 30.81 0.69% (35.62) SMSN LI Equity (121) (3,011) 643.80 669.61 .3.98 1.01% 4.10 SO US Equity 532 9,693 43.71 46.11 9.46 0.58% 129.07 SPG US Equity 233 8,178 166.14 170.88 5.28 0.54% (6.56) SREN VX Equity 85.55 - STAN LN Equity 44 (2,352) 22.09 21.67 2.12 0.89% 18.09 STL NO Equity 970 9,825 26.16 28.74 13.21 0.75% 55.76 STT US Equity (60) 1,626 66.43 64.06 -3.35 1.11% (39.37) SU CN Equity 193 8,181 36.12 36.98 2.81 0.84% (73.47) SU FP Equity 710 6,518 84.31 93.50 8.94 1.22% (77.14) SU US Equity 100 8,032 36.53 36.98 1.53 0.82% (76.71) SWEDA SS Equity 168 3,653 24.78 25.92 4.29 1.07% (25.22) SYNN VX Equity (423) (5,164) 359.52 388.98 .12.68 0.65% 32.14 7 US Equity (59) 1,392 35.93 34.47 .5.58 0.76% (4.92) TD CN Equity 264 10,362 45.69 46.85 5.69 0.45% (19.54) TEF SM Equity 222 6,355 15.90 16.45 4.67 0.75% (77.98) TEF US Equity 188 5,961 15.89 16.39 4.16 0.76% (64.78) TGT US Equity 350 (8,574) 63.57 60.98 6.70 0.61% 43.44 71X US Equity 1,439 5,695 46.52 58.27 31.29 0.81% (3.44) TLS AU Equity 319 7,919 #N/A N/A 7.31 0.55% TLSN SS Equity (68) (2,814) 6.89 7.06 -2.21 1.09% (7.57) TM US Equity 416 (5,442) 115.49 106.66 8.35 0.92% 18.29 TMO US Equity 8,152 10,218 63.59 114.32 79.61 1.00% (218.59) TOT US Equity 972 6,885 60.09 68.56 19.32 0.73% (8.38) TRP CN Equity • 1,102 45.78 45.78 0.00 0.60% 2.42 TRV US Equity 396 8,267 84.26 88.29 9.18 0.52% (33.23) TSCO LN Equity 638 (6,286) 5.60 5.03 9.07 1.12% 4.95 TWC US Equity 851 5,234 120.22 139.76 17.29 0.94% (29.73) EFTA00288347 TWX US Equity (38) 4,244 65.74 65.17 4.00 0.89% (41.72) TXN US Equity 4,092 12,205 34.93 46.64 28.77 1.17% TYC US Equity 9,988 24,080 29.17 41.26 50.42 0.82% UBS US Equity 245 5,489 19.43 20.30 4.63 0.97% (63.29) UBSN VX Equity 227 5,158 19.51 20.37 4.69 0.94% (66.81) UCG IM Equity 3,259 5,391 5.58 8.96 46.34 1.30% (149.75) ULVR LN Equity 77 6,329 42.99 43.51 1.50 0.81% 0.68 UNA NA Equity 16 5,283 41.53 41.66 0.41 0.75% (14.02) UNH US Equity 1,840 10,191 64.28 75.89 19.99 0.90% (114.83) UNP US Equity 1,658 12,014 165.36 188.18 17.95 0.77% (201.95) UPS US Equity 3,277 14,806 79.87 97.55 41.45 0.53% (249.53) USB US Equity 2,288 14,238 34.71 40.29 24.81 0.65% (167.27) UTX US Equity 6,551 15,190 82.05 117.43 50.43 0.86% (297.87) V US Equity 397 4,326 183.86 200.74 7.73 1.19% (179.69) VALE US Equity 249 (2,664) 14.92 13.52 6.01 1.56% 60.13 VALE3 BZ Equity 301 (2,939) 15.07 13.53 6.42 1.60% 62.10 VIAB US Equity 3,551 9,272 60.42 83.55 42.27 0.91% (161.03) VIV FP Equity 114 2,668 26.19 27.31 5.65 0.76% (40.26) VMW US Equity 254 4,785 89.16 93.90 3.31 1.61% (109.81) VOD LN Equity 188 (3,479) 3.86 3.65 6.01 0.90% (28.15) VOD US Equity 163 (3,458) 38.42 36.61 5.36 0.88% (39.42) VOW3 GR Equity 93 3,208 259.69 267.20 2.42 1.19% (41.50) VRX CN Equity 701 1,611 92.95 133.37 22.95 1.90% (5.62) VRX US Equity 810 1,880 93.20 133.35 22.78 1.89% (8.16) VTI US Equity 577 5,134 86.91 96.67 20.18 0.56% (46.05) VWO US Equity 46 (3,316) 40.93 40.35 1.75 0.80% 37.05 VZ US Equity 328 (6,492) 48.44 45.99 9.70 0.52% 66.13 WBC AU Equity 572 6,950 XN/A N/A 10.67 0.77% WES AU Equity 463 9,705 XN/A N/A 7.23 0.66% WFC US Equity 3,140 11,582 38.70 49.19 44.86 0.60% (49.13) WLP US Equity 3,032 10,369 74.31 96.04 29.97 0.98% (74.79) WMT US Equity 288 7,910 75.77 78.52 7.98 0.46% 36.92 WOW AU Equity 145 4,924 #WA N/A 3.46 0.85% XOM US Equity 1,415 14,589 91.42 100.29 19.46 0.50% 25.30 XTA LN Equity #WA N/A YHOO US Equity (12) 413 35.60 34.57 4.70 1.73% (7.39) YUM US Equity 345 7,151 73.86 77.42 5.26 0.92% 85.76 ZURN VX Equity (202) 7,208 293.54 285.52 4.70 0.76% (0.71) 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 17,441 62,272 1,455.70 1,863.40 43.86 0.64% (645.38) NDX Index 9,259 37,348 2,831.19 3,533.10 25.05 0.99% (751.9;i RTY Index 7,024 23,963 868.48 1,123.03 30.36 0.97% (577.35) EFTA00288348 SPTSX Index 683 28,839 12,859.70 13,164.47 5.18 0.46% MEXBOL Index 529 (20,915) 3,142.45 3,063.02 3.50 0.72% IBOV Index (75) 7,531 23,213.41 22,983.08 0.76 1.32% MERVAL Index (560) (4,326) 725.60 819.54 41.47 1.13% UKX Index 3,661 39,964 10,288.22 11,230.62 16.48 0.56% DAX Index 8,292 36,674 10,610.77 13,009.86 26.38 0.86% CAC Index 1,849 24,884 5,723.77 6,149.09 10.97 0.68% IBEX Index 9,285 39,643 11,555.29 14,261.72 28.40 0.82% SMI Index 6,896 44,078 8,219.63 9,505.64 28.69 0.55% FTSEMIB Index 7,160 25,266 23,118.94 29,670.84 27.21 1.04% P5120 Index 6,439 24,289 8,026.78 10,154.67 28.52 0.93% ISEQ Index 23,628 40,099 4,246.25 6,748.31 64.49 0.91% ICEXI Index 4,521 37,337 6.63 7.43 25.00 0.48% AEX Index 5,177 42,240 484.27 543.63 22.46 0.55% BEL20 Index 8,374 44,003 3,610.75 4,297.94 30.44 0.63% LUXXX Index 10,633 40,975 1,666.61 2,099.10 41.40 0.63% KFX Index 10,491 38,048 100.82 128.62 32.19 0.86% HEX Index 7,343 40,933 8,513.93 10,041.21 21.54 0.83% OMX Index 1,838 23,118 191.41 206.63 9.01 0.88% ATX Index 52 9,226 3,409.58 3,428.67 0.56 1.00% ME Index 6,186 19,369 1,282.88 1,692.58 25.30 1.26% OSEBX Index 2,596 24,683 85.16 94.11 14.80 0.71% INDEXCF Index 2,211 (21,271) 39.64 35.52 6.15 1.69% TOP40 Index 1,302 28,885 3,943.03 4,120.73 5.59 0.81% SENSEX Index 859 30,936 363.83 373.92 4.71 0.59% NKY Index 45 13,269 140.77 141.24 0.34 1.00% HSI Index (487) 29,992 2,912.82 2,866.29 .2.17 0.75% SHCOMP Index 1,477 (26,960) 344.53 325.66 7.31 0.75% KOSPI Index 781 29,082 1.85 1.89 4.20 0.64% AS51 Index 1,034 21,983 #N/A N/A 6.63 0.71% STBCNZL Index 35,819 73,231 #N/A N/A 105.72 0.46% EEM US Equity 49 (3,255) 41.45 40.82 1.90 0.79% IYR US Equity (8) 4,457 69.13 69.01 .0.35 0.50% MDY US Equity 4,740 14,269 184.03 245.16 43.97 0.76% INK US Equity 1 7,455 41.26 41.27 0.09 0.15% XLF US Equity 5,486 13,610 15.57 21.85 61.95 0.65% XLU US Equity 1,031 9,939 39.06 43.11 18.99 0.55% XLK US Equity 2,067 12,860 30.80 35.75 19.09 0.84% XLI US Equity 6,048 16,147 38.20 52.51 50.94 0.74% XLP US Equity 504 10,839 41.85 43.79 12.99 0.36% XLY US Equity 1,166 5,441 52.24 63.44 24.94 0.86% XLE US Equity 690 9,734 87.06 93.23 10.61 0.67% XLB US Equity 3,810 14,930 37.57 47.16 32.92 0.78% XLV US Equity 11,602 24,346 38.87 57.39 54.87 0.87% SXXP Index 6,609 43,407 400.51 461.50 24.88 0.61% SXAP Index 10,371 28,526 520.28 709.43 29.46 1.23% SXKP Index 3,891 37,626 366.14 404.00 14.46 0.72% (68.65) 151.02 (102.82) 95.96 (99.70) (648.02) (187.45) 110,679.83) (152.48) (529.35) I t (412.81) (531.31) (459.98) (339.19) (529.89) (282.58) (588.33) (132.62) (136.52) (128.16) 95.30 (78.39) 48.54 (444.03) 306.11 (444.49) 44.72 (15.42) (226.01) 1.81 (156.03) 126.13 (189.63) (217.64) 15.56 (112.62) (62.24) (134.14) (267.34) (341.09) (274.39) EFTA00288349 SX6P Index 6,200 37,276 357.32 416.76 31.18 0.53% I (292.93) SXEP Index 2,880 44,427 451.27 480.52 11.67 0.56% (98.91) SXIP Index 11,534 28,923 222.31 310.95 51.03 0.78% (383.46) SXNP Index 5,091 28,384 482.69 569.27 23.59 0.76% (239.97) SX3P Index 847 24,010 670.96 694.64 7.07 0.50% (30.22) SXDP Index 24,863 61,074 609.16 857.14 68.86 0.59% (245.00) SX4P Index 3,328 25,840 917.36 1,035.51 16.75 0.77% (166.95) SX8P Index 1,907 17,778 343.07 379.87 13.01 0.82% (274.91) SXOP Index 11,543 41,808 382.78 488.47 32.86 0.84% I (317.07) SXQP Index 846 34,762 799.27 818.71 4.44 0.55% (3.05) SXRP Index (40) 16,765 432.46 431.44 -0.37 0.63% (77.04) SXMP Index 8,261 28,612 261.12 336.51 43.36 0.67% (253.30) SXTP Index 22,093 39,247 172.05 268.90 64.92 0.87% (373.98) SX7E Index 6,003 18,886 159.85 210.66 26.20 1.21% (492.46) SXSE Index 6,993 40,148 3,709.25 4,355.37 23.82 0.73% (579.67) SPGSCITR Index (55) 19,063 5,062.94 5,048.24 -0.63 0.46% (108.75) XAG Curncy 1,132 (15,640) 21.28 19.74 10.41 0.70% (59.61) CO1 Comdty (123) (19,698) 108.90 109.58 -0.89 0.70% 133.07 CL1 Comdty 373 30,849 99.40 100.60 1.74 0.69% (410.41) NG1 Comdty 3,836 18,950 3.86 4.65 13.38 1.51% (280.89) XAU Comdty (210) (23,727) 92.49 93.31 -1.33 0.67% (433.80) IBOXHY Index 3,199 53,418 220.12 233.30 87.61 0.07% (4.39) US_TSY CREDIT 15 39,029 762.37 762.66 0.35 0.11% 33.30 CA_TSY CREDIT 2,937 (72,133) 1,245.64 1,194.92 14.75 0.28% (62.25) MX_TSY CREDIT (47) 9,317 214.96 213.89 -1.33 0.38% (34.11) AU TSY CREDIT 272 52,225 1,495.06 1,502.84 1.41 0.37% 85.72 JP_TSY CREDIT 231 (22,684) 821.88 813.50 4.04 0.25% (33.57) MY_TSY CREDIT (55) 7,615 168.68 167.46 -2.59 0.28% (0.45) SG_TSY CREDIT (41) 32,696 220.73 220.45 -0.53 0.23% 168.25 AT_TSY CREDIT 4,279 77,381 357.33 377.09 21.54 0.26% 358.88 BE_TSY CREDIT 5,406 78,588 477.27 510.10 27.69 0.25% 333.94 FI_TSY CREDIT 3,941 80,881 348.39 365.36 20.64 0.24% 256.15 FR_TSY CREDIT 4,648 79,196 1,680.58 1,779.21 23.93 0.25% 313.60 DE_TSY CREDIT 3,419 80,183 1,244.62 1,297.69 16.89 0.25% 367.54 IE_TSY CREDIT 32,780 78,270 336.92 478.03 209.13 0.20% 181.49 IT_TSY CREDIT 9,230 54,986 1,616.07 1,887.35 73.57 0.23% 84.83 NL_TSY CREDIT 4,089 79,461 1,327.94 1,396.28 20.59 0.25% 362.39 ES_TSY CREDIT 11,438 50,187 392.28 481.69 104.56 0.22% 130.77 DK_TSY CREDIT 3,490 67,396 729.23 766.99 15.71 0.33% 445.48 NO_TSY CREDIT (2) (13,847) 341.94 341.98 -0.04 0.30% (17.84) PL_TSY CREDIT 1,111 31,505 426.98 442.04 12.56 0.28% (63.33) ZA_TSY CREDIT 149 (11,615) 83.22 82.16 1.78 0.72% (10.03) SE_TSY CREDIT 207 (55,416) 464.03 462.30 1.16 0.32% CH_TSY CREDIT 3,910 68,798 1,007.78 1,065.05 22.72 0.25% 181.36 GELTSY CREDIT 1,961 75,587 1,500.30 1,539.21 9.63 0.27% 356.82 EFTA00288350