EFTA00288351.pdf

Atorus, LLC 5/21/2014 Current Date: 5/21/2014 Change on Day: 0.66% Total Return since 1/1/12: 82.86% MSCI World Change on 712M Return: 22.10% Day 0.51% T9O Day Return: 1.74% No of Positions T3O Day Return: 1.31% (+MTM) on Day 283 Current Long Exposure @ Cost: 5,475,105 No of Positions (•MTM) Current Short Exposure @ Cost: (375,599) on Day 151 Net Exposure: 5,099,506 Current No. of Starting Capital: 1,000,000 Positions: 437 Current NAV: 1,828,603 Current Leverage (Gross Exposures): 3.20 Profit Factor: Win Ratio: T24M (+) NAV Days T24M Avg. Daily NAV (+) Change T24M Avg. Daily NAV (.) Change Target Vo!adj. Risk Listed Equities Target Vol-Adj. Risk Global Macro Targeted Max Loss (ex•Leverage) Leverage Target At Inception: Notes on Leverage: T24M Sharpe Ratio: Historical Sharpe & Notes: Historically 2.25X • 3.25X, depending on measurement Interval 40% - 50% historically We implement leverage of 2X, in other words at inception we upsize our positions by a factor two times greater than our volatility adjusted position sizing. Leverage levels can be customized to eac h investor. Historical sharpe ratio is in excess of 2.0X (backtest from 1995, see Investor Presentation). Our sharpe ratio increases materially during market downturns in excess of 20 days of realized volatility. Since we generate positive returns in these environments, the variance in our downside volatility is materially less than broader markets. Recessions, which generally result in market directionality in excess of 20 days of volatility are significant alpha capture opportunities for us. Additionally, by never dollar cost averaging and concurrently adding to our winners we have an inherent assymetry in our volatility profile. NAV 2,000,000.00 1,800,000.00 1600,000.00 1,100,000.00 1,200,000.00 1000,000.00 800,000.00 600 OCO 00 etc FL °I, tb eb tb 114 c 9% et 19% Ise 9%et0. 1.9% e 19> xtO. 1O.% O1 O7A 4 1.' 4 A\ 4 ,,,4" 4' 0, 4 1 er.;), 0, —Series]. EFTA00288351 Atorus, LLC 5/21/2014 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 TSCO LN Equity (6,286) ATX Index (6,300) KMI US Equity (6,775) DISCA US Equity (6,841) TGT US Equity (8,574) CO1 Comdty (8,864) SPGSCITR Index (11,539) XAG Curncy (15,640) INDEXCF Index (21,271) XAU Comdty (23,727) SHCOMP Index (33,248) SE_TSY CREDIT (44,333) MX_TSY CREDIT 77,867 lE_TSY CREDIT 78,270 BE_TSY CREDIT 79,771 AU TSY CREDIT 81,398 AT_TSY CREDIT 81,569 FR_TSY CREDIT 82,246 NL_TSY CREDIT 82,865 DE_TSY CREDIT 84,524 FI_TSY CREDIT 85,645 GB_TSY CREDIT 89,647 US_TSY CREDIT 91,833 CA_TSY CREDIT 91,863 NAV Impact of MTM by Category & Exposure Listed Equity Long 0.492% Listed Equity Short 0.044% EquityCom Long 0.436% EquityCom Short -0.040% G20 Rates Long -0.151% G20 Rates Short 0.002% %of Total Notional Security MTM Gain % Total NAV 20.53% 45 Positions 25.28% 0.11% FTSEMIB Index 5,490 0.30% 0.11% XLF US Equity 5,503 0.30% 0.12% AZN SS Equity 5,509 0.30% 0.12% AEX Index 5,771 0.32% 0.15% NVS US Equity 5,792 0.32% 0.15% HON US Equity 5,870 0.32% 0.20% 1N1 US Equity 5,895 0.32% 0.27% UTX US Equity 6,030 0.33% 0.36% AZN US Equity 6,047 0.33% 0.41% AZN LN Equity 6,166 0.34% 0.57% EDF FP Equity 6,194 0.34% 0.76% XLI US Equity 6,302 0.34% 1.33% DAI GR Equity 6,517 0.36% 1.34% ACA FP Equity 6,629 0.36% 1.36% ROG VX Equity 6,765 0.37% 1.39% SXXP Index 6,973 0.38% 1.39% SXSE Index 6,977 0.38% 1.41% SX6P Index 7,193 0.39% 1.42% NOVN VX Equity 7,273 0.40% 1.44% MAERSKB DC Equity 7,565 0.41% 1.46% SMI Index 7,826 0.43% 1.53% BEL20 Index 7,895 0.43% 1.57% IT_TSY CREDIT 7,978 0.44% 1.57% MDT US Equity 7,990 0.44% TMO US Equity 8,324 0.46% HEX Index 8,669 0.47% PRU LN Equity 8,954 0.49% DAX Index 9,123 0.50% SXAP Index 9,514 0.52% MMM US Equity 9,588 0.52% IBEX Index 9,707 0.53% LUXXX Index 9,996 0.55% SXOP Index 10,327 0.56% NDX Index 10,612 0.58% ES_TSY CREDIT 10,753 0.59% TYC US Equity 11,152 0.61% SXIP Index 11,404 0.62% KFX Index 11,411 0.62% XLV US Equity 12,379 0.68% ISEQ Index 17,634 0.96% EFTA00288352 SPX Index 18,494 1.01% SXTP Index 22,258 1.22% SXDP Index 26,879 1.47% lE_TSY CREDIT 31,493 1.72% STBCNZL Index 35,531 1.94% APAC Lon 29 APAC Short 19 EMEA Long 72 EMEA Short 14 AMER Long 178 AMER Short 31 E • ultyCom Lon 64 EquityCom Short 7 G20 Rates Lon 22 G20 Rates Short 1 Total Long 365 Total Short 72 Current Exposure by Geography (Listed Equl les) & Macro (Equity Indices & Commodiites, G20 Gov. Credit) $2,000,000 $1,500,000 $1,000,000 5500,000 $(500,000) ■ APAC Long ■ APAC Short ■ EMEA Long ■ EMEA Short ■ AMER Long ■ AMER Short ■ EquityCom Long ■ EquityCom Short ■ G20 Rates Long ■ G20 Rates Short EFTA00288353 Atorus, LLC 5/21/2014 Historical Net Exposure by Geography (Listed Equities) & Macro (Equity Indices & Comrnodlites, G20 Gov. Credit) 6.000.000 5,000,000 0,000,000 3.000.000 2,0000330 1,000,000 —APAC —(MCA —AMER — Rates — G20e NexEposule REG 2,000,000 1,500,000 1,000,000 r a1 500,000 CI* 0$1. (50R CP CP' G (V % . \ \ x A 0 G . . Cl. % %0 Vl0 O c ) A c,A Cl. \ % ,,,(1. '1' l O'N'b %O4 %al .(1, ‘ Vr (1,000,000) (2,000,000) (1.000.000) (3,000,000) Historical Gross Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodlites, G20 Gov. Credit) EFTA00288354 Atorus, LIC 5/21/2014 Current Gross Notional Risk by Category 246,534 6;8,412 1,517,13 • 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 O1ry O1~ o3/4"eee/eoGeeeedsuee c' .cti tete, \ti e I e s—oSeries1 —Series2 Rolling 30 Day Realized Volatility - EFTA00288355 Atorus, LLC 5/21/2014 Percentile Distribution of Current MTM Gains In Vol Days by Position (ex-99pct & ex-lst percentiles) 30.00 50.00 40.00 30.00 20.00 10.00 °CO ah <1.' • w_ •• 11 tf •19 ah- 4:r tb• 4). ar (». 4b. 4 5. 421%,°' øy. 45' cir Percentile No. Vol Days 0.00% -13.84 5.00% -3.24 10.00% -1.42 15.00% -0.45 20.00% 0.01 25.00% 1.13 30.00% 1.88 35.00% 2.98 40.00% 3.90 45.00% 5.49 50.00% 7.65 55.00% 9.55 60.00% 11.90 65.00% 14.64 70.00% 17.56 75.00% 22.40 80.00% 26.82 85.00% 32.77 90.00% 43.07 95.00% 58.42 100.00% 185.42 pii v I D. v.> by MTM Gains(Losses) % of NAV "Signficant" (<7 Vol Days) 0.78% MTM Gains(Losses) % of NAV "Signficant" (>7 Vol Days) 43.02% EFTA00288356 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) 000270 KS Equity (30) (891) 55.84 57.75 -3.22 1.06% (13.26) 005380 KS Equity (4) 3,149 224.39 224.11 -0.12 1.05% 0.08 005490 KS Equity (67) (1,921) 290.53 300.72 -3.72 0.94% (14.94) 005930 KS Equity 8 3,015 1,402.58 1,406.18 0.32 0.81% (13.48) 012330 KS Equity 889 5,584 247.00 286.31 15.65 1.02% (20.48) 1 HK Equity 912 12,607 16.18 17.35 8.57 0.84% (65.52) 1299 HK Equity 142 5,954 4.79 4.90 2.64 0.90% (40.88) 13 HK Equity 749 4,897 11.40 13.15 15.18 1.01% (124.61) 16 HK Equity 13.07 27 HK Equity (52) (1,260) 7.60 7.91 -2.22 1.85% (22.18) 2914 JP Equity (22) 387 33.66 31.87 -5.78 0.97% (2.26) 3382 JP Equity 34 2,327 38.42 38.98 1.58 0.92% (15.48) 4063 JP Equity • 889 58.58 58.58 0.00 0.98% (4.07) 4502 JP Equity (85) 3,927 44.95 44.00 -2.67 0.81% (41.51) 4689 JP Equity (11) (1,319) 4.42 4.46 -0.41 2.12% 21.25 5 HK Equity (109) (4,127) 10.15 10.42 -3.62 0.73% 75.70 5108 JP Equity (37) 520 35.84 33.46 -6.90 1.03% (1.55) 5401.1P Equity 283 (5,599) 2.81 2.67 5.69 0.89% 44.16 6301.1P Equity (115) 3,338 22.11 21.37 -3.33 1.04% (113.91) 6752 JP Equity 10.29 - 6902 JP Equity 42.01 6954 JP Equity 359 6,629 6,392.98 166.93 5.72 0.95% (17.71) 7201 JP Equity 12 (2,999) (3,742.97) 8.82 0.41 0.95% 21.32 7203 JP Equity 209 (4,207) (5,259.85) 53.31 5.61 0.88% 71.87 7267 JP Equity 240 (4,675) (4,885.01) 33.52 4.24 1.21% 28.04 762 HK Equity (48) 932 (5,161.69) 1.49 -2.96 1.75% 10.23 7751 JP Equity (21) 5,921 (6,865.02) 32.55 -0.47 0.76% (75.26) 8031.1P Equity (113) (2,292) (4,775.88) 14.79 -5.66 0.87% 32.06 8058 JP Equity 33 5,854 (4,383.01) 19.38 0.67 0.85% (16.90) 8306 JP Equity 145 (3,668) (4,603.66) 5.41 3.19 1.24% 21.54 8316 JP Equity 177 (2,542) (2,000.57) 37.73 5.66 1.23% 46.56 8411 JP Equity (93) 4,380 1.93 -3.44 0.62% (65.46) 8604 JP Equity 171 (3,335) (3,504.39) 6.14 3.63 1.41% 5.07 8801.1P Equity 40 4,655 31.26 31.52 0.65 1.32% (140.23) 8802 JP Equity 157 (4,920) 24.34 23.57 2.40 1.33% 145.42 9020 JP Equity 71 (5,379) 75.21 74.21 1.66 0.80% (7.24) 941 HK Equity 62 (4,728) 10.19 10.06 1.38 0.94% 11.92 9432 JP Equity 481 8,028 54.13 57.37 6.82 0.88% 51.44 9433 JP Equity (107) 3,581 55.61 54.00 -2.36 1.26% 17.64 9437 JP Equity (238) (6,149) 15.59 16.20 -4.74 0.82% 14.34 9983 JP Equity 94 (2,180) 323.49 309.56 3.15 1.36% 29.78 5/21/2014 EFTA00288357 9984 JP Equity 57 (1,937) 68.82 66.79 1.80 1.64% 16.53 AAPL US Equity 1,072 7,342 527.64 604.72 16.46 0.89% 8.95 ABB US Equity 23.59 ABBN VX Equity (15) (2,385) 23.43 23.57 -0.74 0.85% 22.78 ABBV US Equity 218 4,019 50.65 53.39 4.70 1.15% (8.91) ABEV US Equity (12) (3,165) 7.37 7.39 -0.42 0.90% 0.26 ABEV3 BZ Equity (0) (3,012) 7.43 7.43 -0.02 1.01% (0.97) ABI BB Equity 587 8,888 103.14 109.96 9.26 0.71% (8.74) ABT US Equity 69 4,097 38.87 39.52 2.61 0.65% 2.37 ABX CN Equity 435 (4,342) 18.52 16.66 9.78 1.03% (8.56) ABX US Equity 433 (4,194) 18.59 16.67 10.03 1.03% (11.24) ACA FP Equity 6,629 5,408 6.83 15.21 100.72 1.22% 87.03 ACE US Equity 578 10,287 97.54 103.02 14.95 0.38% 40.29 ACN US Equity 142 8,563 77.97 79.26 2.48 0.67% 70.32 ADP US Equity 87 5,607 76.56 77.74 2.37 0.65% 1.02 MI. US Equity (27) 3,098 62.64 62.10 -1.13 0.78% 30.36 AGN US Equity 4,616 9,698 110.56 163.19 25.90 1.84% 132.50 Al FP Equity 580 12,864 137.87 144.09 7.58 0.59% (9.67) AIG US Equity 517 7,022 49.93 53.61 7.85 0.94% 153.37 AIR FP Equity (19) 2,224 69.34 68.77 -0.71 1.18% (24.98) ALV GR Equity (124) 7,052 169.15 166.23 -2.24 0.78% 9.54 ALVG IX Equity (83) 5,730 168.58 166.17 -1.87 0.78% 3.60 AMGN US Equity (5) (825) 112.50 113.23 -0.69 0.94% (7.32) AMT US Equity 1,724 12,212 77.36 88.28 22.98 0.61% 66.68 AMZN US Equity 18 (2,898) 306.51 304.58 0.34 1.84% (34.91) ANZ AU Equity 184 12,947 29.78 30.20 1.91 0.74% (36.72) AM US Equity 152 4,994 87.41 90.07 4.14 0.73% 20.89 APC US Equity 77 3,906 98.44 100.38 2.44 0.81% 46.85 MP US Equity 2,368 10,373 71.56 87.90 28.81 0.79% 85.70 AZN LN Equity 6,166 12,676 49.80 74.03 21.77 2.23% II 626.01 AZN SS Equity 5,509 12,119 50.82 73.92 20.52 2.22% 527.07 AZN US Equity 6,047 12,812 50.30 74.04 22.40 2.11% 514.55 BA US Equity 180 8,072 128.04 130.90 2.85 0.78% 56.59 BAC US Equity 69 (4,560) 14.84 14.62 1.45 1.05% (16.88) BARC LN Equity (43) 5,219 4.11 4.07 -0.57 1.46% 83.25 BAS GR Equity 1,165 7,333 97.30 112.76 18.80 0.85% 19.00 BATS LN Equity 750 7,532 53.98 59.35 12.80 0.78% 53.65 BAX US Equity 57 4,842 73.52 74.38 2.16 0.54% 8.68 BAYN GR Equity 323 7,767 135.04 140.65 5.05 0.82% 1.49 BBAS3 BZ Equity (34) 1,259 10.86 10.57 -1.60 1.70% (39.99) BBC) US Equity 129 4,539 14.82 15.24 2.28 1.24% (82.76) BBOC4 BZ Equity 107 4,490 14.84 15.20 1.65 1.45% (65.80) BBL US Equity 25 (2,644) 64.96 64.34 1.13 0.84% (6.71) BBVA SM Equity 1,254 6,043 10.19 12.31 28.32 0.73% 60.62 BCE CN Equity 168 9,622 44.94 45.72 4.83 0.36% 13.06 BCS US Equity (29) 5,457 16.46 16.38 -0.38 1.38% 107.08 BEN US Equity 96 2,814 52.91 54.72 3.09 1.10% 30.39 EFTA00288358 BG/ LN Equity (518) (3,788) 18.76 21.33 -13.09 1.04% 22.46 BHP AU Equity (114) 9,507 34.48 34.07 -1.42 0.85% (132.36) BHP US Equity 101 7,278 68.00 68.94 1.52 0.92% 20.62 BBB US Equity 206 1,066 245.93 293.57 12.73 1.52% 12.82 BIL S1 Equity 38 (2,997) 32.61 32.20 1.81 0.70% 12.11 BK US Equity 391 8,609 32.86 34.35 5.14 0.88% 92.72 BLK US Equity 20 2,324 297.25 299.83 1.11 0.79% 23.39 BLT IN Equity 36 (2,804) 32.60 32.18 1.64 0.77% 14.89 BMO CN Equity 394 13,003 66.63 68.65 7.65 0.40% 52.04 BMW GR Equity 1,131 5,212 99.22 120.74 26.93 0.81% 3.79 BMY US Equity (29) 1,407 49.84 48.82 -1.83 1.14% (0.20) BN FP Equity (32) 3,347 74.68 73.98 -1.21 0.79% (18.73) BNP FP Equity 200 (4,875) 72.39 69.43 4.47 0.92% 60.54 BNS CN Equity 640 11,902 58.65 61.81 12.74 0.42% 24.54 BP/ LN Equity 1,017 9,797 7.76 8.57 14.57 0.71% 75.88 BRK/B US Equity 715 14,233 120.53 126.58 10.15 0.49% 42.39 BSBR US Equity 18 2,143 6.67 6.73 0.67 1.23% 7.12 BUD US Equity 578 9,049 103.62 110.24 8.62 0.74% 8.71 BX US Equity (25) (401) 29.04 30.86 -3.66 1.71% (10.22) C US Equity (10) 1,507 47.20 46.88 -0.90 0.75% 9.44 CA FP Equity 235 3,932 34.37 36.42 6.03 0.99% (26.00) CAT US Equity 1,941 14,645 90.43 102.42 20.50 0.65% 1.88 CBA AU Equity 914 16,830 69.70 73.48 9.80 0.55% (52.25) CBS US Equity (44) (2,100) 57.39 58.59 -1.80 1.17% (53.91) CCL US Equity 554 6,257 36.20 39.41 9.57 0.93% 19.20 CELG US Equity 19 2,632 147.09 148.15 0.58 1.25% (0.84) CFR VX Equity 465 7,019 96.74 103.15 8.40 0.79% (26.13) CL US Equity 2,461 21,171 59.75 66.70 26.31 0.44% 21.95 CM CN Equity 681. 11,908 84.09 88.89 14.27 0.40% 48.29 CMCSA US Equity 101 4,527 50.01 51.12 2.96 0.75% 45.20 CMCSK US Equity 4,800 12,096 36.26 50.65 57.06 0.70% 176.38 CNI US Equity 1,979 12,873 51.38 59.27 25.13 0.61% 51.62 CNQ CN Equity 1,025 10,769 36.73 40.23 11.24 0.85% 142.35 CNR CN Equity 1,925 12,795 51.50 59.25 25.09 0.60% 43.23 COF US Equity 786 7,124 68.86 76.45 17.57 0.63% 79.68 COP US Equity 238 7,461 75.97 78.39 4.43 0.72% (4.98) COST US Equity 43 9,550 114.02 114.53 0.76 0.60% (75.17) COV LN Equity #WA N/A COV US Equity 809 7,080 64.09 71.41 18.28 0.62% 69.73 CRM US Equity 29 (1,129) 52.04 50.69 1.29 2.03% 54.58 CS FP Equity 27 (3,180) 24.03 23.83 0.81 1.03% (9.26) CSCO US Equity - 1,062 24.43 24.43 0.00 0.82% 11.18 CSX US Equity 1,606 9,460 25.28 29.57 24.39 0.70% 163.71 CVE CN Equity 28.84 CVS US Equity 2,304 12,136 64.26 76.46 33.08 0.57% 56.62 CVX US Equity - 1,158 123.85 123.85 0.00 0.67% 11.49 D US Equity 1,772 13,256 60.80 68.92 22.01 0.61% (22.51) EFTA00288359 DAI GR Equity 6,517 13,908 62.20 91.35 43.47 1.08% 67.57 D8K GR Equity 99 (3,216) 42.62 41.31 3.44 0.90% 9.19 DD US Equity 2,878 13,319 55.25 67.19 39.10 0.55% 106.52 DDAIF US Equity 3,766 8,377 63.20 91.62 36.50 1.23% 105.69 DE US Equity 341 10,094 86.88 89.82 6.66 0.51% (47.36) DELL US Equity #WA WA DG FP Equity 4,192 10,090 51.66 73.12 62.02 0.67% (55.65) DGE LN Equity 98 2,332 30.86 32.16 4.85 0.87% 7.22 DHR US Equity 144 5,021 73.91 76.03 3.86 0.74% 69.81 DIS US Equity 1,979 10,618 69.12 82.00 22.78 0.82% 137.15 DISCA US Equity 102 (6,841) 75.84 74.71 1.55 0.96% (108.87) DNB NO Equity 331 5,584 17.37 18.40 6.26 0.95% 22.11 DOW US Equity 2,572 7,396 37.11 50.02 35.69 0.97% 26.80 DPW GR Equity 161 660 29.41 36.57 23.19 1.05% (1.21) DTE GR Equity 889 7,575 15.16 16.93 11.66 1.01% (34.10) DTV US Equity 3,685 10,622 61.97 83.47 29.07 1.19% (12.40) DUK US Equity 63 (4,230) 71.00 69.95 3.03 0.49% 13.07 DVN US Equity 1,747 11,143 63.30 73.22 17.16 0.91% 153.28 EBAY US Equity (13) (978) 50.75 51.40 -1.26 1.02% 9.62 Ea US Equity 210 9,210 105.22 107.61 4.16 0.55% 72.13 EDF FP Equity 6,194 9,189 23.45 39.25 88.38 0.76% (100.96) EMC US Equity 436 10,986 25.35 26.36 5.67 0.70% 81.08 EMR US Equity (160) 8,739 66.77 65.57 •2.55 0.72% (10.73) EMI CN Equity 674 12,532 45.66 48.11 11.82 0.45% 106.47 ENEL IM Equity 1,987 8,902 4.48 5.48 25.46 0.88% 94.34 ENI IM Equity 174 11,929 24.33 24.69 2.24 0.65% 2.40 EOAN GR Equity 30 2,606 18.59 18.81 1.27 0.92% 67.39 EOG US Equity 2,476 5,841 72.84 103.71 35.87 1.18% 137.64 EPD US Equity 1,983 13,127 63.70 73.32 23.88 0.63% 56.68 ERICB SS Equity (60) 7,934 12.51 12.41 -0.73 1.03% 29.41 ESRX US Equity 69.83 - ETN US Equity 23 5,260 72.48 72.80 0.53 0.83% 55.14 F US Equity (209) (2,897) 14.82 15.89 -9.66 0.75% (11.28) F8 US Equity 913 2,630 44.06 59.36 17.56 1.98% 18.00 FCX US Equity 134 6,027 33.55 34.29 2.32 0.96% (25.44) FDX US Equity 283 4,359 130.52 139.00 10.44 0.62% 35.50 FOX US Equity 164 6,139 32.72 33.60 2.39 1.12% 53.64 FOXA US Equity 141 4,692 33.47 34.48 2.70 1.11% 43.36 FP FP Equity 1,959 14,528 62.63 71.08 18.11 0.74% 118.01 G IM Equity (25) 2,243 21.99 21.75 -1.56 0.71% 5.57 GE US Equity 2,432 13,140 22.32 26.45 35.09 0.53% 62.84 GILD US Equity 217 4,205 77.50 81.51 4.01 1.29% (2.64) GIS US Equity 1,327 22,280 50.42 53.42 14.93 0.40% (15.94) GLE FP Equity - 698 57.49 57.49 0.00 1.25% 10.77 GLEN LN Equity (147) (2,955) 5.22 5.48 -7.30 0.68% 17.96 GLW US Equity 3,504 11,700 16.27 21.15 39.99 0.75% 73.40 GM US Equity (115) 2,862 34.75 33.41 .4.26 0.94% 2.06 EFTA00288360 GOOG US Equity (12) (421) 521.01 535.95 -2.29 1.25% (3.70) GS US Equity (2) (325) 158.25 159.25 0.64 0.98% (5.66) GSK LN Equity 270 5,707 26.22 27.46 5.47 0.86% 36.27 GSZ FP Equity 864 11,150 25.29 27.25 9.40 0.82% 94.44 HAL US Equity 1,755 7,135 50.67 63.14 24.59 1.00% 34.56 HD US Equity 373 7,619 74.42 78.07 5.95 0.82% 8.17 HMB SS Equity (4) 3,636 42.77 42.72 .0.17 0.64% 9.75 HON US Equity 5,870 11,930 61.10 91.16 76.12 0.65% 110.26 HPQ US Equity 2,063 7,473 25.51 32.56 28.10 0.98% (105.80) HSBA LN Equity 85 6,635 10.30 10.43 1.78 0.72% (95.28) IBE SM Equity 2,071 7,531 5.56 7.09 43.73 0.63% 19.13 IBM US Equity 106 (4,032) 191.43 186.38 3.26 0.81% (22.39) IMT LN Equity 2,864 13,847 37.07 44.74 30.88 0.67% 25.25 INTC US Equity 979 12,041 24.19 26.16 15.22 0.53% 81.03 ISP IM Equity 3,493 5,699 1.93 3.11 49.88 1.23% 57.06 ITUB US Equity 246 5,715 15.88 16.56 3.96 1.09% (65.29) ITUB4 BZ Equity 208 4,601 15.79 16.50 3.58 1.26% (67.83) ITW US Equity 3,675 14,011 67.84 85.63 44.68 0.59% 48.17 ITX SM Equity 102 (3,652) 146.45 142.36 4.78 0.58% (15.70) JCI US Equity (21) (352) 44.85 47.48 4.61 1.27% (6.57) JNJ US Equity 5,895 17,409 75.46 101.01 77.15 0.44% 164.56 JPM US Equity (1) (4,014) 54.24 54.25 A.04 0.85% (41.24) KMB US Equity 226 9,903 107.52 109.97 4.24 0.54% 12.51 KMI US Equity 91 (6,775) 33.81 33.35 1.89 0.71% (23.11) KO US Equity - 1,158 40.75 40.75 0.00 0.49% 0.89 LBTYA US Equity 148 3,592 43.18 44.96 4.00 1.03% 108.63 LBTYK US Equity 160 5,290 41.41 42.66 3.25 0.93% 101.50 LIN GR Equity 302 9,647 199.93 206.19 4.30 0.73% (238.64) LLOY LN Equity 143 1,914 1.16 1.25 5.95 1.26% (9.49) LLY US Equity (7) 4,953 59.03 58.94 .0.19 0.78% 24.19 LMT US Equity 644 2,016 122.48 161.57 44.90 0.71% 11.48 LNKD US Equity 430 (2,461) 183.83 151.69 7.39 2.37% (36.51) LOW US Equity (3) 690 45.39 45.20 -0.42 0.99% (6.92) LVS US Equity (6) (619) 72.72 73.45 A.60 1.66% (6.10) LYB US Equity 1,495 2,297 59.29 97.86 85.23 0.76% 28.34 MA US Equity 56 3,476 73.94 75.13 1.28 1.26% 58.71 MAERSKB DC Equity 7,565 14,263 1,646.82 2,520.25 58.04 0.91% MC FP Equity 288 5,711 186.24 195.64 7.72 0.65% 25.97 MCD US Equity 154 9,603 100.64 102.26 3.38 0.48% 51.49 MCK US Equity 235 2,181 164.92 182.70 12.34 0.87% 37.25 MDIZ US Equity 4,229 13,641 28.68 37.57 42.48 0.73% 107.41 MDT US Equity 7,990 20,811 43.22 59.82 51.23 0.75% 270.22 MET US Equity 997 7,556 44.37 50.22 11.95 1.10% 115.32 MFC CN Equity 1,234 2,561 12.38 18.34 55.86 0.86% 40.04 MHS US Equity #WA WA MMM US Equity 9,588 21,331 96.89 140.45 75.53 0.60% (28.97) MO US Equity 1,118 12,846 37.19 40.42 16.82 0.52% 126.81 EFTA00288361 MON US Equity 1,192 11,917 106.02 116.62 14.88 0.67% 44.85 MOS US Equity 49.81 - MRK US Equity 1,476 11,769 50.18 56.48 13.78 0.91% 119.50 MS US Equity (30) 2,280 30.39 30.00 -0.98 1.35% 17.89 MSFT US Equity 1,106 8,007 35.30 40.18 18.17 0.76% 121.73 MUV2 GR Equity 569 6,116 197.70 216.07 10.46 0.89% 63.11 NAB AU Equity (502) 13,313 31.48 30.33 -5.05 0.75% (43.10) NCM AU Equity 9.20 NEE US Equity 4,790 14,972 73.03 96.39 51.27 0.62% 140.15 NEM US Equity 512 (1,819) 32.73 23.52 18.35 1.53% 3.75 NESN VX Equity 1,302 11,468 70.75 78.79 19.94 0.57% (73.91) NG/ IN Equity 3,212 13,258 11.96 14.86 39.53 0.61% (44.43) NKE US Equity 258 2,940 68.03 74.00 11.58 0.76% 22.80 NOK US Equity 4,042 4,498 3.96 7.53 66.62 1.35% 295.76 NOV US Equity 643 9,753 77.58 82.69 8.18 0.81% 64.03 NOVN VX Equity 7,273 19,643 65.09 89.19 56.99 0.65% 6.40 NOVOB DC Equity 508 9,444 40.35 42.52 5.53 0.97% 39.05 NSC US Equity 2,175 10,109 81.19 98.66 30.02 0.72% 98.15 NVS US Equity 5,792 16,897 66.54 89.35 60.61 0.57% r 82.78 OGXP3 BZ Equity 4,038 (4,107) 4.39 0.07 59.96 1.64% 307.55 OR FP Equity 435 8,826 167.38 175.63 7.26 0.68% 3.82 ORA FP Equity 1,783 8,559 13.80 16.68 19.88 1.05%., (283.15) ORCL US Equity 1,889 8,492 34.07 41.64 35.31 0.63% (20.80) OXY US Equity 154 7,355 95.04 97.03 3.47 0.60% 113.78 PBR US Equity (30) 1,199 15.35 14.97 -1.43 1.73% (4.41) PBR/A US Equity (20) 1,111 16.20 15.91 -1.04 1.72% (12.78) PCLN US Equity 148 2,920 1,111.26 1,167.64 3.66 1.38% 31.62 PCP US Equity (0) 887 245.24 245.24 0.00 0.98% 6.24 PEP US Equity 355 12,677 83.59 85.93 6.51 0.43% 34.17 PETR3 BZ Equity (32) 1,645 7.62 7.47 -1.03 1.87% (6.90) PETR4 BZ Equity (24) 1,075 8.10 7.93 -1.15 1.95% (11.06) PFE US Equity (37) (2,492) 29.08 29.51 -1.55 0.96% (12.98) PG US Equity 167 11,013 79.25 80.45 2.98 0.51% 24.87 PHIA NA Equity 31.78 - PM US Equity 4 4,593 85.78 85.86 0.21 0.45% 34.67 PNC US Equity 831 9,010 76.60 83.67 11.15 0.83% 118.54 POT CN Equity 145 6,237 35.98 36.81 2.83 0.82% (57.05) POT US Equity 114 7,308 36.30 36.86 2.01 0.78% (55.55) PRU LN Equity 8,954 10,521 12.76 23.62 98.41 0.86% 94.10 PSA US Equity 694 13,406 162.12 170.51 11.25 0.46% (32.00) PSX US Equity 1,605 6,461 65.64 81.94 29.65 0.84% (47.59) PX US Equity 2,439 16,340 113.54 130.49 29.82 0.50% 5.99 QCOM US Equity 2,413 12,547 66.83 79.68 28.00 0.69% (59.67) QQQ US Equity RAI US Equity 2,344 1,048 7,968 10,690 68.46 53.26 88.59 58.49 43.19 11.27 0.68% 0.87% I 57.71 254.88 RDS/A US Equity 644 11,546 75.02 79.20 10.71 0.52% 62.50 RDS/B US Equity 1,062 11,427 78.85 86.17 14.74 0.63% 18.40 EFTA00288362 RDSA LN Equity 771 9,744 36.73 39.64 14.16 0.56% 47.78 RDSA NA Equity 544 11,195 37.76 39.59 8.96 0.54% 50.74 RDSB LN Equity 1,115 10,889 39.07 43.08 16.37 0.63% (16.28) REGN US Equity (217) 6,240 302.42 292.28 -1.81 1.91% (59.61) RIO AU Equity (257) 3,073 58.98 54.43 -7.70 1.09% (55.40) RIO IN Equity (105) 4,819 54.81 53.64 -2.35 0.93% (30.98) RIO US Equity (30) 4,934 54.04 53.71 .0.60 1.02% 12.13 ROG VX Equity 6,765 17,035 212.78 297.29 56.88 0.70% (126.45) RY CN Equity 288 10,940 65.94 67.67 6.04 0.44% 89.86 SAB LN Equity 1,222 11,420 49.47 54.77 16.69 0.64% 38.48 SAN FP Equity 8 (2,723) 105.66 105.36 0.37 0.77% 11.06 SAN SM Equity 1,536 9,215 8.63 10.07 26.41 0.63% 54.81 SAN US Equity 1,252 7,569 8.66 10.10 20.74 0.80% 58.22 SAP GR Equity (54) 839 80.27 75.41 -7.57 0.85% 3.09 SAP US Equity - 996 75.31 75.31 0.00 0.87% 6.36 SBUX US Equity 70.47 - SGO FP Equity 2,301 7,836 44.08 57.03 31.62 0.93% 6.37 SI US Equity 775 5,671 BN/A N/A 16.39 0.83% SIE GR Equity 652 5,345 114.81 128.83 13.54 0.90% (50.91) SLB US Equity 1,786 8,679 84.17 101.48 32.22 0.64% 108.04 SMSN LI Equity (3) 3,159 698.64 698.02 -0.09 0.96% (44.49) SO US Equity (359) 11,861 44.07 42.78 .4.72 0.64% (3.25) SPG US Equity 444 12,778 168.98 174.85 9.58 0.36% (38.46) SREN VX Equity 88.15 STAN LN Equity 22.46 - STL NO Equity 1,463 11,476 26.77 30.19 13.59 0.94% 84.39 511 US Equity (9) 1,460 64.70 64.30 -0.57 1.10% 23.14 SU CN Equity 518 11,105 36.96 38.68 5.07 0.92% (11.89) SU FP Equity 416 8,613 86.36 90.54 4.28 1.13% (117.29) SU US Equity 512 9,658 36.78 38.73 6.11 0.87% 1.21 SWEDA SS Equity 89 4,735 25.97 26.46 2.33 0.81% 42.14 SYNN VX Equity (318) (4,132) 359.52 387.21 -13.84 0.56% 14.47 7 US Equity (24) 3,371 35.61 35.36 -0.96 0.74% (36.43) TD CN Equity 374 10,892 45.74 47.32 7.23 0.48% 19.53 TEF SM Equity 179 7,580 16.07 16.44 2.99 0.79% (9.57) TEF US Equity 192 6,344 15.95 16.43 3.33 0.91% 9.44 TGT US Equity 903 (8,574) 63.57 56.88 11.59 0.91% 13.78 71X US Equity 250 1,886 49.32 55.86 13.43 0.99% 44.62 TLS AU Equity 750 13,319 4.66 4.92 10.94 0.51% 52.23 TLSN SS Equity (374) (5,268) 7.02 7.52 -10.93 0.65% 8.84 TM US Equity 357 (5,442) 115.49 107.92 8.77 0.75% 2.57 TMO US Equity 8,324 10,218 63.59 115.39 85.76 0.95% (27.41) TOT US Equity 1,266 7,801 61.19 71.12 20.61 0.79% 83.32 TRP CN Equity 4 2,112 46.99 47.06 0.32 0.53% 7.77 TRV US Equity 917 12,867 86.72 92.90 13.29 0.54% 39.07 TSCO LN Equity 544 (6,286) 5.60 5.11 8.01 1.08% 60.01 TWC US Equity 825 5,234 120.22 139.17 22.65 0.70% 56.27 EFTA00288363 TWX US Equity 312 7,427 66.94 69.75 4.67 0.90% 53.85 TXN US Equity 3,721 12,205 34.93 45.58 26.80 1.14% (16.34) TYC US Equity 11,152 24,080 29.17 42.67 57.02 0.81% (129.88) UBS US Equity 27 1,098 19.43 19.91 3.18 0.77% 9.69 UBSN VX Equity 17 1,032 19.51 19.83 1.81 0.90% 1.76 UCG IM Equity 2,369 5,500 5.62 8.05 32.89 1.31% 131.56 ULVR LN Equity 349 6,329 42.99 45.36 7.90 0.70% (11.64) UNA NA Equity 248 7,481 42.16 43.55 4.78 0.69% (7.50) UNH US Equity 2,107 10,191 64.28 77.57 27.95 0.74% 121.13 UNP US Equity 2,190 12,764 166.78 195.40 24.39 0.70% 88.42 UPS US Equity 4,001 14,806 79.87 101.45 40.94 0.66% 155.28 USB US Equity 2,673 14,238 34.71 41.23 37.02 0.51% 34.03 UTX US Equity 6,030 15,190 82.05 114.62 55.24 0.72% 228.27 V US Equity 200 5,407 202.44 209.93 3.77 0.98% 43.48 VALE US Equity 317 (2,664) 14.92 13.14 7.66 1.55% 1.20 VALE3 BZ Equity 377 (2,939) 15.07 13.13 7.48 1.72% 0.28 VIAB US Equity 3,647 9,272 60.42 84.18 50.35 0.78% 101.08 VIV FP Equity 25.87 - VMW US Equity 300 4,785 89.16 94.75 4.24 1.48% 75.09 VOD LN Equity 384 (3,581) 3.85 3.44 10.58 1.01% 61.75 VOD US Equity 359 (3,458) 38.42 34.43 9.38 1.11% 9.73 VOW3 GR Equity 13 3,208 259.69 260.76 0.47 0.87% 0.91 VRX CN Equity 524 2,397 107.01 130.39 14.39 1.52% 23.13 VRX US Equity 754 1,880 93.20 130.60 26.82 1.50% 10.63 VTI US Equity 624 5,134 86.91 97.48 23.14 0.53% 24.95 VWO US Equity 43 5,559 42.23 42.56 1.17 0.67% 30.46 VZ US Equity 49.14 - WBC AU Equity 31 11,844 30.87 30.95 0.33 0.77% (76.36) WES AU Equity 36 13,490 39.08 39.19 0.34 0.77% (81.28) WFC US Equity 3,272 12,761 39.49 49.62 48.37 0.53% 163.88 WLP US Equity 4,548 10,369 74.31 106.91 43.00 1.02% 78.01 WMT US Equity (89) 9,262 76.30 75.58 -1.80 0.53% (33.41) WOW AU Equity (14) 1,512 34.46 34.14 -1.05 0.89% (5.96) XOM US Equity 1,635 15,723 92.14 101.72 22.47 0.46% 171.58 XTA LN Equity XN/A N/A YHOO US Equity (4) 1,073 34.30 34.17 -0.24 1.58% 1.82 YUM US Equity 79 7,151 73.86 74.67 1.72 0.64% (4.55) ZURN VX Equity SO 7,208 293.77 295.83 1.65 0.42% (17.97) Current Portfolio - Global Macro Portfolio Current Price P/L in Vol 301' Realized Change on Day Security MTM Gain/(Loss) Exp.. Cost Avg. Price (In USD) Days Vol (in USD) SPX Index 18,494 62,272 1,455.70 1,888.03 53.60 0.55% 655.50 NDX Index 10,612 37,348 2,831.19 3,635.61 35.61 0.80% 070.32 RTY Index 236 1,428 947.28 1,103.63 18.14 0.91% 8.69 EFTA00288364 SPTSX Index 1,159 35,883 12,970.96 13,389.87 7.81 0.41% 174.51 MEXBOL Index 3,237.66 IBOV Index 2 5,649 23,590.66 23,600.08 0.04 1.09% (12.22) MERVAL Index 262 11,145 880.07 900.73 1.91 1.23% 67.47 UKX Index 4,732 43,063 10,369.13 11,508.46 20.61 0.53% 222.01 DAX Index 9,123 36,674 10,610.77 13,250.20 35.03 0.71% 191.81 CAC Index 1,662 24,884 5,723.77 6,106.04 11.84 0.56% 48.84 IBEX Index 9,707 41,170 11,643.70 14,389.05 32.60 0.72% 280.32 SMI Index 7,826 49,310 8,347.57 9,672.48 39.23 0.40% (19.35) FTSEMIB Index 5,490 25,266 23,118.94 28,142.38 19.56 1.11% 269.44 P512O Index 4,041 24,476 8,041.34 9,369.03 15.90 1.04% (215.01) ISEQ Index 17,634 32,079 4,246.25 6,580.39 57.65 0.95% 417.37 ICEXI Index 2,259 22,402 6.63 7.30 19.69 0.51% (102.16) AEX Index 5,771 44,526 487.32 550.48 27.11 0.48% 167.50 BEL20 Index 7,895 47,159 3,649.75 4,260.75 33.86 0.49% 127.24 LUXXX Index 9,996 41,632 1,672.08 2,073.55 36.03 0.67% (252.41) KFX Index 11,411 39,508 101.67 131.03 40.98 0.70% 518.19 HEX Index 8,669 41,358 8,528.98 10,316.66 32.22 0.65% 222.75 OMX Index 2,315 23,118 191.41 210.59 15.08 0.66% 124.07 ATX Index 21 (6,300) 3,286.84 3,275.64 0.43 0.79% (0.33) ASE Index (0) 1,715 1,553.16 1,553.16 0.00 1.75% 23.44 OSEBX Index 4,307 26,592 86.02 99.95 22.45 0.72% 177.01 INDEXCF Index (1,198) (21,271) 39.64 41.87 -4.18 1.35% (280.29) TOP40 index 2,642 33,820 3,975.21 4,285.81 9.51 0.82% 194.26 SENSEX Index 4,973 43,256 371.48 414.19 14.49 0.79% (219.94) NKY Index (98) 4,994 141.10 138.39 -2.12 0.92% (21.61) HSI Index 329 29,992 2,913.59 2,945.55 1.53 0.72% 2.83 SHCOMP Index 1,913 (33,248) 344.53 324.71 8.61 0.67% (309.50) KOSPI Index 1,775 38,430 1.87 1.96 8.89 0.52% (135.45) ASS1 Index 344 33,715 4,948.24 4,998.74 1.67 0.61% (84.12) STBCNZL Index 35,531 73,207 #N/A N/A 100.26 0.48% EEM US Equity 8 4,335 42.84 42.92 0.28 0.66% 33.65 IYR US Equity 117 9,689 69.78 70.62 2.90 0.41% (38.72) MDY US Equity 4,822 14,269 184.03 246.22 52.65 0.64% 105.25 JNK US Equity 32 8,156 41.27 41.43 3.17 0.12% 1.98 XLF US Equity 5,503 13,610 15.57 21.87 63.15 0.64% 123.14 XLU US Equity 590 10,859 39.38 41.52 8.20 0.66% 8.28 XLK US Equity 2,572 12,860 30.80 36.96 28.95 0.69% 105.10 XLI US Equity 6,302 16,147 38.20 53.11 61.14 0.64% 221.97 XLP US Equity 630 12,093 42.09 44.28 12.37 0.42% 72.24 XLY US Equity 1,249 5,441 52.24 64.23 31.05 0.74% 81.17 XLE US Equity 823 10,444 87.53 94.43 13.67 0.58% 121.82 XLB US Equity 4,167 14,930 37.57 48.06 43.62 0.64% 87.82 XLV US Equity 12,379 24,346 38.87 58.63 68.57 0.74% 309.51 SXXP Index 6,973 45,756 403.51 465.01 32.18 0.47% 214.08 SXAP Index 9,514 28,526 520.28 693.81 32.00 1.04% 253.52 SXKP Index 4,472 37,626 366.14 409.66 17.07 0.70% (130.35) EFTA00288365 SX6P Index 7,193 38,710 359.38 426.16 36.23 0.51% 271.07 SXEP Index 4,484 51,146 456.85 496.91 14.09 0.62% SXIP Index 11,404 28,923 222.31 309.96 63.76 0.62% SXNP Index 4,595 28,384 482.69 560.84 25.48 0.64% 37.10 SX3P Index 1,865 31,675 679.66 719.68 13.79 0.43% 63.89 SXDP Index 26,879 61,074 609.16 877.25 80.85 0.54% SX4P Index 3,924 26,236 919.19 1,056.66 24.07 0.62% (22.21) SX8P Index 288 4,876 356.73 377.80 7.36 0.80% 50.35 SXOP Index 10,327 43,418 386.09 477.92 33.98 0.70% 67.15 SXQP Index 1,675 41,086 803.87 836.64 9.06 0.45% 107.10 SXRP Index 68 16,765 432.46 434.21 0.81 0.50% 34.90 SXMP Index 1,314 8,552 290.76 335.43 22.09 0.70% 54.00 SXTP Index 22,258 39,247 172.05 269.63 60.91 0.93% 394.46 SX7E Index 3,226 12,087 159.85 202.51 23.68 1.13% 112.46 SXSE Index 6,977 40,565 3,715.50 4,354.51 28.50 0.60% 256.90 SPGSCITR Index (179) (11,539) 4,989.44 5,066.67 4.25 0.36% (74.89) XAG Curncy 1,374 (15,640) 21.28 19.41 12.68 0.69% 13.58 CO1 Comdty (134) (8,864) 108.90 110.55 -2.57 0.59% (68.44) CL1 Comdty 1,450 30,849 99.40 104.07 8.01 0.59% 513.91 NG1 Comdty 2,983 18,950 3.86 4.47 11.51 1.37% (380.64) XAU Comdty (4) (23,727) 88.69 88.70 M.03 0.47% (5.35) IBOXHY Index 3,641 53,418 220.12 235.13 133.07 0.05% (6.87) US_TSY CREDIT 345 91,833 765.15 768.02 3.70 0.10% (116.27) CA_TSY CREDIT (147) 91,863 1,215.16 1,213.22 -0.75 0.21% MX_TSY CREDIT 553 77,867 219.86 221.42 2.33 0.30% (63.70) AU TSY CREDIT 614 81,398 1,506.03 1,517.39 3.07 0.25% (182.28) JP_TSY CREDIT - 11,986 819.73 819.73 0.00 0.21% (15.92) MY_TSY CREDIT 239 58,788 169.82 170.51 1.83 0.22% 156.19 SG_TSY CREDIT 383 66,005 221.48 222.77 3.00 0.19% 80.56 AT_TSY CREDIT 3,780 81,569 358.40 375.01 16.48 0.28% (306.15) BE_TSY CREDIT 5,006 79,771 477.76 507.74 21.99 0.29% (239.76) FI_TSY CREDIT 3,374 85,645 349.64 363.42 15.46 0.25% (297.84) FR_TSY CREDIT 4,296 82,246 1,684.51 1,772.49 19.40 0.27% (236.15) DE_TSY CREDIT 2,860 84,524 1,247.55 1,289.77 12.61 0.27% (300.46) IE_TSY CREDIT 31,493 78,270 336.92 472.49 185.42 0.22% (206.36) IT_TSY CREDIT 7,978 54,986 1,616.07 1,850.56 53.20 0.27% 39.49 NL_TSY CREDIT 3,536 82,865 1,330.92 1,387.72 15.75 0.27% (299.68) ES_TSY CREDIT 10,753 50,187 392.28 476.33 83.77 0.26% 88.40 DK_TSY CREDIT 2,921 67,396 729.23 760.83 13.93 0.31% (234.89) NO_TSY CREDIT (149) 30,106 349.02 347.30 -1.86 0.27% (54.24) PL_TSY CREDIT 1,357 35,151 429.04 445.60 15.56 0.25% 121.66 ZA_TSY CREDIT (53) 20,844 86.29 86.07 0.40 0.63% 92.20 SE_TSY CREDIT (243) (44,333) 464.03 466.58 -1.99 0.28% 31.16 CH_TSY CREDIT 2,863 69,857 1,008.64 1,049.97 16.92 0.24% 1. 1 1 1i GB_TSY CREDIT 2,387 89,647 1,507.67 1,547.82 11.68 0.23% (34.47) EFTA00288366