EFTA00288383.pdf

Atorus, LLC 5/23/2014 Current Date: 5/23/2014 Change on Day: 0.21% Total Return since 1/1/12: 84.95% MSCI World Change on 712M Return: 29.87% Day 0.33% T9O Day Return: 1.45% No of Positions T3O Day Return: 0.92% (+MTM) on Day 270 Current Long Exposure @ Cost: 5,500,207 No of Positions (•MTM) Current Short Exposure @ Cost: (386,181) on Day 166 Net Exposure: 5,114,026 Current No. of Starting Capital: 1,000,000 Positions: 438 Current NAV: 1,849,527 Current Leverage (Gross Exposures): 3.18 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 shame 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 x,000,000.00 1,800,000.00 1600,000.00 1,400,000.00 1,200,000.00 1,000,000.00 800000.00 COO 000 00 1 11, 'IP 19 0' 4 'V Q, Ate 4s 'V 61.' 'Is eb ib eb 0) 04 • 0' 61.' Os' oyb c• c• 419 is, 4' 4 Ate 4 is, 4' 4 —Series1 EFTA00288383 Atorus, LLC 5/23/2014 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 9437 JP Equity (6,149) TSCO LN Equity (6,286) KMI US Equity (6,775) DISCA US Equity (6,841) TGT US Equity (8,574) ATX Index (12,313) XAG Curncy (15,640) JP_TSY CREDIT (16,070) INDEXCF Index (21,271) XAU Comdty (23,727) SHCOMP Index (34,398) SE_TSY CREDIT (44,333) MX_TSY CREDIT 77,867 lE_TSY CREDIT 78,270 BETSY 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 CA_TSY CREDIT 91,863 US_TSY CREDIT 100,443 NAV Impact of MTM by Category & Exposure Listed Equity Long 0.236% Listed Equity Short .0.042% EquityCom Long 0.180% EquityCorn Short .0.022% G20 Rates Long .0.003% G20 Rates Short 0.018% % of Total Notional Security MTM Gain % Total NAV 20.70% 45 Positions 25.32% 0.10% EDF FP Equity 5,369 0.29% 0.11% FTSEMIB Index 5,632 0.30% 0.12% AZN LN Equity 5,645 0.31% 0.12% XLF US Equity 5,652 0.31% 0.15% AZN US Equity 5,661 0.31% 0.21% JNJ US Equity 5,896 0.32% 0.27% AEX Index 5,921 0.32% 0.27% NVS US Equity 5,990 0.32% 0.36% SENSEX Index 6,008 0.32% 0.40% HON US Equity 6,020 0.33% 0.58% UTX US Equity 6,195 0.33% 0.75% XLI US Equity 6,488 0.35% 1.32% DAI GR Equity 6,804 0.37% 1.33% ROG VX Equity 6,921 0.37% 1.36% ACA FP Equity 6,984 0.38% 1.38% SXXP Index 7,057 0.38% 1.39% SXSE Index 7,096 0.38% 1.40% SX6P Index 7,299 0.39% 1.41% NOVN VX Equity 7,523 0.41% 1.44% MAERSKB DC Equity 7,790 0.42% 1.45% BEL20 Index 7,955 0.43% 1.52% MDT US Equity 8,028 0.43% 1.56% SMI Index 8,066 0.44% 1.71% IT_TSY CREDIT 8,133 0.44% TMO US Equity 8,404 0.45% PRU LN Equity 8,679 0.47% HEX Index 9,012 0.49% DAX Index 9,336 0.50% MMM US Equity 9,693 0.52% IBEX Index 9,709 0.52% SXAP Index 10,014 0.54% LUXXX Index 10,370 0.56% SXOP Index 10,632 0.57% ES_TSY CREDIT 10,701 0.58% NDX Index 11,162 0.60% KFX Index 11,257 0.61% SXIP Index 11,411 0.62% TYC US Equity 11,558 0.62% XLV US Equity 12,617 0.68% ISEQ Index 17,714 0.96% EFTA00288384 SPX Index 19,029 1.03% SXTP Index 22,614 1.22% SXDP Index 26,827 1.45% lE_TSY CREDIT 31,381 1.70% STBCNZL Index 36,076 1.95% APAC Lon 27 APAC Short 19 EMEA Long 71 EMEA Short 15 AMER Long 182 AMER Short 29 E • ultyCom Lon 64 EquityCom Short 8 G20 Rates Lon 21 G20 Rates Short 2 Total Long 365 Total Short 73 Current Exposure by Geography (Listed Equl les) & Macro (Equity Indices & Commodiites, G20 Gov. Credit) 1 ■ APAC Long ■ APAC Short ■ EMEA Long ■ EMEA Short ■ AMER Long ■ AMER Short ■ EquityCom Long ■ EquityCom Short ■ G20 Rates Long ■ G20 Rates Short EFTA00288385 Atorus, LLC 5/23/2014 Historical Net Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodites, G20 Gov. Credit) 6,000,000 5,003,030 4,000,C00 3.000.000 2,003.000 1,000,C00 „ A p lc E MCA AMER — EquityCom —G20 Rates NexEposuce RIG 2,000,000 1.500,000 1000,000 ti%, ( A . ) e dog Q • t i • \ ' V S I , ' V ' V S I , ' I • , , , c l , ' L . ' I , m o c c o m (2,000,003) (1,000,003) (3,000,003) Historical Gross Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodlites, G20 Gov. Credit) EFTA00288386 Atorus, LIC 5/23/2014 Current Gross Notional Risk by Category 245,530 10:9,045 411 i , • 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 e dc.' o•Q• e ticb ei 0 0 0 0 e e e -,\AQ• et, tete est e e e •—•Serits1 —Serits2 Rolling 30 Day Realized Volatility - EFTA00288387 Atorus, LLC 5/23/2014 Percentile Distribution of Current MTM Gains in Vol Days by Position (ex-99pct & ex-1st percentiles) 70.00 50.00 50.00 40.00 30.00 20.00 10.00 0.03 44r 4:r I& IP 4r & by IP' 4r 4P' 43 4P' 4r dr cir P/t Vol Days by Position Percentile No. Vol Days 0.001 14.49 5.00% -2.53 10.00% .1.00 15.00% 4.01 20.00% 0.40 25.00% 0.87 30.00% 1.98 35.00% 3.09 40.00% 4.09 45.00% 5.69 50.00% 7.60 55.00% 10.56 60.00% 13.05 65.00% 15.37 70.00% 18.48 75.00% 23.41 80.00% 29.07 85.00% 35.25 90.00% 44.36 95.00% 63.56 100.00% 188.66 MTM Gains(Losses) % of NAV "Signficant" (<7 Vol Days) MTM Gains(Losses) % of NAV "Signficant" (>7 Vol Days) 1.09% EFTA00288388 Atorus, LLC Current Portfolio •Listed Equity Portfolio Current Price P/L in Vol 30P Realized Change on Day Security MTM Gain/(Loss) Exp. @ Cost Avg. Price (in USD) Days Vol (in USD) 000270 KS Equity (16) (297) 55.84 58.79 -5.12 1.03% (1.13) 005380 KS Equity 56 3,149 224.39 228.38 1.79 0.99% 20.31 005490 KS Equity (39) (961) 290.53 302.20 -4.59 0.88% 5.52 005930 KS Equity (47) 4,464 1,399.31 1,384.87 -1.27 0.82% (51.72) 012330 KS Equity 971 5,584 247.00 289.98 18.28 0.95% 57.33 1 HK Equity 871 12,607 16.18 17.30 (73.62) 1299 HK Equity 158 5,954 4.79 4.92 (6.21) 13 HK Equity 686 4,897 11.40 13.00 (36.99) 16 HK Equity 13.15 27 HK Equity 8.03 2914 JP Equity (6) (690) 32.49 32.78 -0.85 1.04% (6.10) 3382 JP Equity 96 2,327 38.42 40.00 4.30 0.95% 54.45 4063 JP Equity 11 2,640 59.21 59.47 0.46 0.94% (5.70) 4502 JP Equity 44 4,914 44.83 45.22 1.21 0.73% 110.39 4689 JP Equity 4.44 - 5 HK Equity (95) (4,127) 10.15 10.39 -3.20 0.72% 23.73 5108 JP Equity (8) (579) 33.84 34.32 -1.36 1.05% (8.20) 5401 JP Equity 115 (5,599) 2.81 2.75 2.24 0.92% (81.66) 6301 JP Equity (19) 3,338 22.10 21.97 -0.52 1.11% 65.89 6752 JP Equity 10.60 - 6902 JP Equity 44.20 - 6954 JP Equity 512 6,629 6,392.98 170.58 8.10 0.95% 102.95 7201 JP Equity (42) (2,999) (3,742.97) 8.98 -1.38 1.00% (14.30) 7203 JP Equity 103 (4,207) (5,259.85) 54.72 2.65 0.92% (40.01) 7267 JP Equity 126 (4,675) (4,885.01) 34.39 2.31 1.16% (50.67) 762 HK Equity - 503 (5,161.69) 1.48 0.00 1.76% (11.18) 7751 JP Equity (0) 5,921 (6,865.02) 32.67 0.00 0.75% 7.08 8031 JP Equity (179) (2,292) (4,775.88) 15.20 -8.50 0.92% (20.50) 8058 JP Equity 123 5,854 (4,383.01) 19.68 2.49 0.84% 14.74 8306 JP Equity 24 (3,668) (4,603.66) 5.59 0.51 1.28% (85.52) 8316 JP Equity 87 (3,090) (2,000.57) 38.93 2.39 1.17% (65.71) 8411 JP Equity (53) 2,190 1.93 -4.13 0.58% 7.67 8604 JP Equity 24 (3,335) (3,504.39) 6.43 0.51 1.44% (60.37) 8801 JP Equity 186 4,655 31.26 32.50 2.91 1.37% 142.79 8802 JP Equity (2) (4,920) 24.34 24.35 -0.03 1.38% (18S.19) 9020 JP Equity 27 (5,379) 75.21 74.84 0.62 0.80% (39.04) 941 HK Equity 92 (3,782) 10.19 9.95 2.49 0.98% 47.89 9432 JP Equity 659 8,028 54.13 58.57 9.34 0.88% 196.64 9433 JP Equity 62 3,581 55.66 56.62 1.31 1.32% 92.99 9437 JP Equity (288) (6,149) 15.59 16.32 -5.83 0.80% (7.44) 9983 JP Equity (0) (2,292) 322.77 322.81 -0.01 1.42% (41.67) 5/23/2014 EFTA00288389 9984 JP Equity 8 (1,937) 68.82 68.55 0.27 1.50% (3.20) AAPL US Equity 1,150 7,342 527.64 610.32 17.56 0.89% 47.45 ABB US Equity 23.77 ABBN VX Equity (34) (2,385) 23.46 23.80 -1.69 0.85% (11.87) ABBV US Equity 271 4,019 50.65 54.06 6.59 1.02% 19.90 ABEV US Equity (24) (3,165) 7.37 7.42 -0.82 0.91% 26.23 ABEV3 BZ Equity (14) (3,012) 7.43 7.47 0.44 1.05% 21.17 ABI BB Equity 563 8,888 103.14 109.68 8.53 0.74% (86.83) ABT US Equity 78 4,097 38.87 39.61 3.02 0.63% (0.82) ABX CN Equity 460 (4,484) 18.45 16.56 10.56 0.97% 29.14 ABX US Equity 457 (4,194) 18.59 16.56 10.76 1.01% 26.78 ACA FP Equity 6,984 5,408 6.83 15.66 107.84 1.20% 293.97 ACE US Equity 561 10,752 97.76 102.86 15.35 0.34% (21.69) ACN US Equity 203 8,563 77.97 79.82 3.68 0.65% 47.52 ADP US Equity 156 6,187 76.75 78.68 3.84 0.66% 51.64 AFL US Equity (54) 2,479 62.62 61.29 -2.83 0.77% (15.14) AGN US Equity 4,866 9,698 110.56 166.03 27.80 1.80% 189.24 Al FP Equity 622 12,864 137.87 144.53 8.24 0.59% (24.78) AIG US Equity 526 7,022 49.93 53.67 8.58 0.87% 21.10 AIR FP Equity 41 3,660 69.52 70.30 1.00 1.12% 53.34 ALV GR Equity (139) 7,052 169.14 165.87 -2.62 0.75% (28.66) ALVG IX Equity (94) 5,730 168.57 165.85 -2.22 0.74% (24.52) AMGN US Equity • 990 114.23 114.23 0.00 0.89% (5.02) AMT US Equity 1,742 12,212 77.36 88.39 23.74 0.60% (26.03) AMZN US Equity (28) (2,898) 306.51 309.45 -0.53 1.81% (32.91) ANZ AU Equity 580 12,947 29.78 31.11 5.66 0.79% 136.99 APA US Equity 164 4,994 87.41 90.28 4.83 0.68% (8.04) APC US Equity 125 4,258 98.70 101.60 3.77 0.78% (4.96) AXP US Equity 2,464 10,373 71.56 88.56 34.24 0.69% 73.06 AZN LN Equity 5,645 12,676 49.80 71.98 19.38 2.30% x (250.84) AZN SS Equity 5,046 12,119 50.82 71.98 18.41 2.26% (257.22) AZN US Equity 5,661 12,812 50.30 72.52 20.53 2.15% (38.69) BA US Equity 272 8,072 128.04 132.35 4.48 0.75% 17.89 BAC US Equity 23 (5,483) 14.81 14.75 0.42 1.01% (27.96) BARC LN Equity 30 5,219 4.11 4.13 0.41 1.41% 40.32 BAS GR Equity 1,181 7,333 97.30 112.97 19.91 0.81% (14.58) BATS LN Equity 721 7,532 53.98 59.14 12.12 0.79% (155.96) BAX US Equity 63 4,842 73.52 74.47 2.58 0.50% (2.78) BAYN GR Equity 318 7,767 135.04 140.57 5.41 0.76% 4.50 BBAS3 BZ Equity (42) 629 10.82 10.14 -4.20 1.60% 2.06 BBD US Equity 7 4,539 14.82 14.84 0.13 1.14% (11.00) BBDC4 BZ Equity (4) 4,490 14.84 14.83 -0.07 1.33% (12.22) BBL US Equity (8) (1,322) 64.96 65.36 -0.75 0.83% (2.71) BBVA SM Equity 1,352 6,081 10.20 12.47 29.92 0.74% 46.96 BCE CN Equity 250 9,622 44.94 46.11 7.08 0.37% (22.94) BCS US Equity 40 5,457 16.46 16.58 0.52 1.40% 56.05 BEN US Equity 113 2,814 52.91 55.03 3.81 1.05% 2.37 EFTA00288390 BG/ IN Equity (347) (3,788) 18.76 20.48 •8.10 1.13% 70.19 BHP AU Equity 71 9,507 34.49 34.74 0.85 0.87% 24.60 BHP US Equity 198 7,278 68.00 69.84 3.10 0.88% 5.84 BIIB US Equity 235 1,066 245.93 300.15 15.22 1.45% 2.90 BIL SI Equity (3) (2,398) 32.61 32.65 -0.19 0.71% 7.49 BK US Equity 426 8,609 32.86 34.49 5.77 0.86% (8.11) BUC US Equity 29 3,418 298.32 300.81 1.23 0.68% 3.26 BLT LN Equity (8) (4,661) 32.52 32.57 -0.22 0.77% 6.05 BMO CN Equity 687 13,003 66.63 70.14 13.04 0.40% 69.85 BMW GR Equity 1,213 5,212 99.22 122.32 29.37 0.79% 22.70 BMY US Equity (10) 469 49.84 48.84 -1.91 1.08% (0.32) BN FP Equity (48) 2,677 74.67 73.35 -2.49 0.72% (21.74) BNP FP Equity 79 (5,869) 71.94 70.97 1.47 0.92% (72.50) BNS CN Equity 788 11,902 58.65 62.54 15.76 0.42% 42.27 BP/ LN Equity 954 9,797 7.76 8.52 14.03 0.69% (53.50) BRK/B US Equity 738 14,233 120.53 126.78 10.95 0.47% (18.05) BSBR US Equity 13 2,143 6.67 6.71 0.53 1.14% 6.77 BUD US Equity 527 9,049 103.62 109.66 8.10 0.72% (69.15) BX US Equity 0 546 31.27 31.27 0.00 1.62% (0.73) C US Equity 8 3,015 47.18 47.30 0.34 0.74% 16.99 CA FP Equity 278 3,932 34.37 36.79 7.52 0.94% 33.99 CAT US Equity 2,184 14,645 90.43 103.92 21.61 0.69% 99.73 CBA AU Equity 1,275 16,830 69.70 74.98 13.07 0.58% 163.25 CBS US Equity (39) (700) 57.39 60.61 -5.07 1.11% (17.95) CCL US Equity 645 6,257 36.20 39.93 10.91 0.94% 41.83 CELG US Equity 58 2,632 147.09 150.34 2.05 1.08% (3.72) CFR VX Equity 598 7,922 97.57 104.94 9.48 0.80% 56.28 CL US Equity 2,520 21,496 59.78 66.79 27.16 0.43% 91.71 CM CN Equity 963 12,138 84.21 90.89 18.81 0.42% 91.97 CMCSA US Equity 178 5,206 50.25 51.97 4.77 0.72% 36.74 CMCSK US Equity 5,084 12,096 36.26 51.50 63.40 0.66% 137.72 CNI US Equity 2,095 12,873 51.38 59.74 28.04 0.58% 16.40 CNQ CN Equity 1,283 10,769 36.73 41.11 14.02 0.85% 113.90 CNR CN Equity 2,049 12,795 51.50 59.75 27.41 0.58% 22.07 COF US Equity 847 7,124 68.86 77.04 19.62 0.61% 23.69 COP US Equity 252 7,461 75.97 78.53 5.34 0.63% 3.06 COST US Equity 71 9,550 114.02 114.87 1.29 058% 12.93 COV LN Equity #WA N/A COV US Equity 782 7,080 64.09 71.17 18.05 0.61% (6.25) CRM US Equity (12) (565) 52.04 53.12 -1.03 2.00% (3.67) CS FP Equity 7 (3,180) 24.03 23.98 0.24 0.92% (24.92) CSCO US Equity 7 3,110 24.42 24.48 0.30 0.76% 13.12 CSX US Equity 1,562 9,460 25.28 29.46 24.56 0.67% (33.24) CVE CN Equity 29.32 - CVS US Equity 2,439 12,136 64.26 77.18 34.72 0.58% 6.50 CVX US Equity 4 (1,805) 123.85 123.61 0.32 0.61% 3.61 D US Equity 1,923 13,256 60.80 69.62 23.31 0.62% (13.35) EFTA00288391 DAI GR Equity 6,804 13,908 62.20 92.63 44.74 1.09% 129.62 DBK GR Equity 137 (3,216) 42.62 40.80 4.89 0.87% 44.94 DD US Equity 3,065 13,319 55.25 67.97 42.67 0.54% 101.90 DDAIF US Equity 3,921 8,377 63.20 92.79 42.65 1.10% 86.39 DE US Equity 352 10,094 86.88 89.91 6.98 0.50% (29.30) DELL US Equity #WA N/A DG FP Equity 4,213 10,090 51.66 73.22 64.67 0.65% 5.24 DGE LN Equity 83 2,332 30.86 31.95 3.98 0.89% (36.57) DHR US Equity 296 5,774 74.45 78.26 6.74 0.76% 30.13 DIS US Equity 2,149 10,796 69.30 83.09 26.44 0.75% 89.19 DISCA US Equity (191) (6,841) 75.84 77.95 -2.65 1.05% (218.28) DNB NO Equity 386 5,584 17.37 18.57 7.60 0.91% 40.43 DOW US Equity 2,667 7,396 37.11 50.49 37.99 0.95% 125.13 DPW GR Equity 163 660 29.41 36.67 25.61 0.96% 4.49 DTE GR Equity 864 7,575 15.16 16.88 11.65 0.98% (26.90) DTV US Equity 3,770 10,622 61.97 83.97 29.43 1.21% (3.03) DUK US Equity 29 (5,553) 70.80 70.43 1.05 0.50% (3.08) DVN US Equity 1,663 11,143 63.30 72.75 16.72 0.89% (65.31) EBAY US Equity (19) (1,212) 51.01 51.83 -1.72 0.93% (7.89) Ea US Equity 229 9,210 105.22 107.83 5.16 0.48% 17.23 EDF FP Equity 5,369 9,189 23.45 37.14 65.15 0.90% (173.64) EMC US Equity 519 10,986 25.35 26.55 6.85 0.69% 38.30 EMR US Equity (42) 8,739 66.79 66.47 -0.66 0.73% 39.80 EMI CN Equity 695 12,532 45.66 48.19 12.78 0.43% (58.83) ENEL IM Equity 1,977 8,902 4.48 5.48 24.40 0.91% 108.09 ENI IM Equity 408 11,929 24.33 25.16 4.80 0.71% 5.89 EOAN GR Equity 69 2,606 18.59 19.08 2.88 0.92% 25.84 EOG US Equity 2,534 5,841 72.84 104.44 36.15 1.20% 11.70 EPD US Equity 2,161 13,127 63.70 74.18 26.57 0.62% 63.95 ERICB SS Equity (147) 7,934 12.50 12.28 -1.90 0.98% (81.96) ESRX US Equity (2) 2,120 70.17 70.10 -0.13 0.81% (4.75) ETN US Equity 76 5,260 72.48 73.53 1.84 0.78% 2.93 F US Equity (232) (2,897) 14.82 16.00 •11.45 0.70% (7.75) F8 US Equity 1,008 2,630 44.06 60.94 20.23 1.90% 1.83 FCX US Equity 161 6,027 33.55 34.44 2.92 0.91% 12.44 FDX US Equity 355 4,359 130.52 141.14 13.14 0.62% 66.54 FOX US Equity 210 6,139 32.72 33.84 3.24 1.06% 30.20 FOXA US Equity 192 5,663 33.68 34.82 3.16 1.07% 40.16 FP FP Equity 1,986 14,528 62.63 71.19 19.03 0.72% 54.93 G IM Equity • 1,181 21.66 21.66 0.00 0.75% 9.57 GE US Equity 2,464 13,140 22.32 26.50 35.41 0.53% 9.19 GILD US Equity 209 4,205 77.50 81.36 4.02 1.24% (91.57) GIS US Equity 1,516 23,244 50.54 53.84 15.99 0.41% 95.51 GLE FP Equity 57.71 - GLEN LN Equity (179) (2,955) 5.22 5.54 -8.40 0.72% 7.65 GLW US Equity 3,635 11,764 16.29 21.33 41.56 0.74% 35.32 GM US Equity (34) 954 34.76 33.56 -3.97 0.90% 3.74 EFTA00288392 GOOG US Equity - 729 549.04 549.04 0.00 1.21% 6.67 GS US Equity 918 160.03 160.03 0.00 0.96% 0.74 GSK LN Equity 241 5,707 26.22 27.33 5.05 0.84% (36.80) GSZ FP Equity 1,038 11,150 25.29 27.64 11.45 0.81% (22.01) HAL US Equity 1,874 7,135 50.67 63.98 25.64 1.02% 57.59 HD US Equity 476 7,619 74.42 79.07 7.57 0.83% 41.90 HMB SS Equity (47) 5,375 42.69 42.32 .1.34 0.65% (54.75) HON US Equity 6,020 11,930 61.10 91.93 80.38 0.63% 94.45 HPQ US Equity 2,357 7,473 25.51 33.56 30.59 1.03% 384.21 HSBA LN Equity 37 6,635 10.30 10.36 0.80 0.69% (20.43) IBE SM Equity 2,071 7,531 5.56 7.09 44.31 0.62% 14.38 IBM US Equity 119 (4,032) 191.43 185.80 3.93 0.75% 0.78 IMT LN Equity 2,901 13,847 37.07 44.83 30.58 0.69% (146.63) INTC US Equity 1,015 12,041 24.19 26.23 16.55 0.51% 32.33 ISP IM Equity 3,517 5,699 1.93 3.12 50.58 1.22% (33.25) ITUB US Equity 90 5,715 15.88 16.13 1.60 0.99% (45.85) ITUB4 BZ Equity 114 4,601 15.79 16.18 2.05 1.20% (29.33) ITW US Equity 3,821 14,011 67.84 86.33 48.88 0.56% 68.29 ITX SM Equity 101 (3,652) 146.45 142.40 5.09 0.54% 21.68 JO US Equity • 715 48.20 48.20 0.00 1.24% 4.99 JNJ US Equity 5,896 17,676 75.75 101.02 79.25 0.42% 71.71 JPM US Equity (8) (2,007) 54.24 54.46 -0.52 0.79% 0.42 KMB US Equity 288 9,903 107.52 110.65 5.60 0.52% 52.00 KMI US Equity 26 (6,775) 33.81 33.68 0.52 0.74% 5.93 KO US Equity 3 (1,661) 40.68 40.60 0.41 0.47% 0.88 LBTYA US Equity 176 4,019 43.39 45.29 4.40 1.00% (23.93) LBTYK US Equity 239 5,290 41.41 43.28 5.15 0.88% 8.46 LIN GR Equity 290 9,647 199.93 205.94 3.98 0.76% (109.66) LLOY LN Equity 177 1,914 1.16 1.27 7.82 1.18% 22.26 LLY US Equity 57 4,953 59.03 59.70 1.59 0.72% 5.87 LMT US Equity 659 2,016 122.48 162.52 50.32 0.65% 10.53 LNKD US Equity 382 (2,461) 183.83 155.32 6.99 2.22% 7.75 LOW US Equity 30 2,416 46.45 47.03 1.14 1.09% 15.15 LVS US Equity (9) (313) 72.72 74.81 .1.76 1.62% 0.03 LYB US Equity 1,517 2,297 59.29 98.43 89.95 0.73% 16.85 MA US Equity MAERSKB DC Equity 115 7,790 3,476 14,263 73.94 1,646.82 76.37 2,546.27 2.73 57.31 1.21% 0.95% 28.92 Kr (287.78) MC FP Equity 262 5,711 186.24 194.79 7.25 0.63% (38.79) MCD US Equity 146 9,603 100.64 102.17 3.53 0.43% (29.42) MCK US Equity 251 2,181 164.92 183.94 13.87 0.83% (4.04) MDIZ US Equity 4,095 13,641 28.68 37.29 41.38 0.73% (40.43) MDT US Equity 8,028 20,811 43.22 59.90 53.53 0.72% 50.02 MET US Equity 1,082 7,556 44.37 50.72 13.78 1.04% 29.24 MFC CN Equity 1,255 2,561 12.38 18.44 58.51 0.84% 10.58 MHS US Equity #WA WA MMM US Equity 9,693 21,331 96.89 140.92 77.06 0.59% 87.31 MO US Equity 1,216 12,846 37.19 40.71 18.25 0.52% 13.59 EFTA00288393 MON US Equity 1,557 11,917 106.02 119.86 18.72 0.70% 113.03 MOS US Equity 49.44 - MRK US Equity 1,558 11,769 50.18 56.83 15.86 0.83% 84.77 MS US Equity 4 2,280 30.40 30.45 0.14 1.28% 9.04 MSFT US Equity 1,095 8,132 35.37 40.13 19.65 0.69% 15.78 MUV2 GR Equity 599 6,116 197.70 217.06 10.94 0.90% 18.64 NAB AU Equity (164) 13,313 31.52 31.13 -1.54 0.80% 120.19 NCM AU Equity 9.49 - NEE US Equity 4,856 15,032 73.10 96.71 55.07 0.59% 12.84 NEM US Equity 517 (1,819) 32.73 23.42 18.68 1.52% 1.17 NESN VX Equity 1,193 11,639 70.85 78.11 19.91 0.51% (79.70) NG/ LN Equity 3,124 13,258 11.96 14.78 38.87 0.61% (70.73) NKE US Equity 337 2,940 68.03 75.83 14.13 0.81% 50.88 NOK US Equity 4,387 4,498 3.96 7.83 68.37 1.43% 81.54 NOV US Equity 569 10,804 78.01 82.12 6.56 0.80% (39.94) NOVN VX Equity 7,523 20,070 65.47 90.01 58.81 0.64% 118.87 NOVOB DC Equity 519 9,444 40.35 42.57 5.81 0.95% (67.14) NSC US Equity 2,283 10,109 81.19 99.52 32.45 0.70% 48.24 NVS US Equity 5,990 17,033 66.68 90.13 63.24 0.56% 76.50 OGXP3 BZ Equity 4,039 (4,107) 4.39 0.07 64.21 1.53% (78.76) OR FP Equity 357 8,826 167.38 174.14 5.88 0.69% (42.66) ORA FP Equity 1,610 8,559 13.80 16.40 17.90 1.05% (102.02) ORCL US Equity 1,977 8,622 34.16 41.99 39.74 0.58% 85.00 OX? US Equity 167 7,355 95.04 97.19 3.91 0.58% (22.71) PBR US Equity (10) 400 15.35 14.98 -1.53 1.60% 2.40 PBR/A US Equity (6) 370 16.20 15.96 -0.91 1.64% 2.50 PCLN US Equity 200 2,920 1,111.26 1,187.42 5.14 1.33% 20.47 PCP US Equity 19 2,766 246.74 248.44 0.73 0.95% 21.30 PEP US Equity 331 12,677 83.59 85.77 6.27 0.42% 18.47 PETR3 BZ Equity (10) 548 7.62 7.49 -1.08 1.64% 1.70 PETR4 BZ Equity (6) 358 8.10 7.96 -1.03 1.71% 1.84 PFE US Equity (13) (831) 29.08 29.52 -1.54 0.98% 5.74 PG US Equity 186 11,013 79.25 80.59 3.56 0.47% 16.49 PHIA NA Equity 31.82 - PM US Equity 49 5,649 85.88 86.63 1.94 0.45% 19.57 PNC US Equity 918 9,010 76.60 84.41 12.83 0.79% 57.29 POT CN Equity 32 6,886 36.04 36.21 0.57 0.83% (90.95) POT US Equity (34) 7,998 36.33 36.17 0.54 0.79% (99.44) PRU LN Equity 8,679 10,521 12.76 23.29 101.22 0.81% (226.72) PSA US Equity 742 13,406 162.12 171.09 11.60 0.48% 76.79 PSX US Equity 1,634 6,461 65.64 82.24 31.42 0.80% (11.52) PX US Equity 2,487 16,340 113.54 130.83 33.16 0.46% 39.85 QCOM US Equity 2,428 12,547 66.83 79.76 31.71 0.61% 3.34 QQQ US Equity 2,465 9,597 71.29 89.60 40.26 0.64% 56.55 RAI US Equity 1,008 10,690 53.26 58.29 11.02 0.86% (93.71) RDS/A US Equity 673 11,546 75.02 79.39 10.78 0.54% (47.07) RDS/B US Equity 500 11,427 78.85 82.30 5.74 0.76% (78.46) EFTA00288394 RDSA LN Equity 777 9,744 36.73 39.66 13.07 0.61% RDSA NA Equity 578 11,195 37.76 39.71 8.59 0.60% RDSB IN Equity 559 10,889 39.07 41.08 6.88 0.75% REGN US Equity (107) 6,240 302.70 297.60 -0.98 1.75% RIO AU Equity (167) 4,367 58.26 56.11 -3.41 1.12% RIO LN Equity (41) 4,819 54.83 54.37 -0.94 0.90% RIO US Equity 56 4,934 54.04 54.66 1.10 1.04% ROG VX Equity 6,921 17,035 212.78 299.23 60.40 0.67% RY CN Equity 562 10,940 65.94 69.32 10.71 0.48% SAS LN Equity 1,520 11,420 49.47 56.06 17.38 0.77% SAN FP Equity (4) (4,530) 105.52 105.61 -0.13 0.74% SAN SM Equity 1,466 9,215 8.63 10.01 24.24 0.66% SAN US Equity 1,199 7,569 8.66 10.04 20.96 0.76% SAP GR Equity 1 (718) 74.41 74.29 0.19 0.86% SAP US Equity 9 (1,498) 74.84 74.41 0.65 0.87% SBUX US Equity 9 2,158 71.76 72.06 0.56 0.74% SGO FP Equity 2,324 7,836 44.08 57.16 35.09 0.85% SI US Equity #N/A N/A SIE GR Equity 747 5,345 114.81 130.85 15.49 0.90% SLB US Equity 1,780 8,679 84.17 101.42 32.75 0.63% SMSN LI Equity (26) 4,757 696.61 692.78 -0.57 0.97% SO US Equity (262) 11,861 44.09 43.14 -3.41 0.65% SPG US Equity 457 12,778 168.98 175.03 9.59 0.37% SREN VX Equity 88.23 STAN IN Equity 0 1,922 22.53 22.53 0.03 0.85% STL NO Equity 1,517 11,476 26.77 30.31 15.22 0.87% STT US Equity (7) 3,014 64.65 64.50 -0.22 1.02% SU CN Equity 623 11,105 36.96 39.03 6.32 0.89% SU FP Equity 529 8,613 86.36 91.67 5.51 1.11% SU US Equity 593 9,658 36.78 39.04 6.99 0.88% SWEDA SS Equity 27 4,735 25.97 26.12 0.72 0.80% SYNN VX Equity (325) (4,132) 359.52 387.78 -14.49 0.54% T US Equity (8) 1,124 35.61 35.37 -1.02 0.69% TD CN Equity 793 10,892 45.74 49.07 13.44 0.54% TEF SM Equity 199 7,580 16.07 16.49 3.40 0.77% TEF US Equity 201 6,344 15.95 16.45 3.78 0.84% TGT US Equity 1,050 (8,574) 63.57 55.79 13.38 0.92% TJX US Equity 77 629 49.32 55.39 12.58 0.98% TLS AU Equity 906 13,319 4.66 4.98 13.85 0.49% TLSN SS Equity (308) (5,268) 7.02 7.43 -8.79 0.67% TM US Equity 278 (5,442) 115.49 109.58 7.79 0.66% TMO US Equity 8,404 10,218 63.59 115.89 94.13 0.87% TOT US Equity 1,280 7,801 61.19 71.23 23.33 0.70% TRP CN Equity 8 4,433 47.14 47.22 0.33 0.53% TRV US Equity 910 12,867 86.72 92.85 13.99 0.51% TSCO LN Equity 543 (6,286) 5.60 5.11 8.13 1.06% TWC US Equity 919 5,234 120.22 141.34 27.27 0.64% I (105.15) (110.29) (169.10) (8.95) 14.03 (9.28) 21.65 139.55 (12.23) (162.47) r (16.88) 15.82 42.23 1.16 0.12 19.77 63.01 58.60 (24.64) 1.66 (2.47) 50.39 - 0.92 14.33 (8.14) 17.79 100.18 18.04 (32.63) 7.16 (0.40) 76.43 (2.26) (6.80) 47.31 (6.34) 77.62 53.02 3.23 2.68 24.85 (11.02) (7.43) (4.14) 40.06 EFTA00288395 TWX US Equity 404 7,427 66.94 70.58 6.60 0.82% 68.97 TXN US Equity 3,931 12,205 34.93 46.18 29.69 1.08% 8.95 TYC US Equity 11,558 24,080 29.17 43.17 58.65 0.82% 242.63 UBS US Equity 38 2,047 19.69 20.06 2.49 0.74% 11.49 UBSN VX Equity 26 1,924 19.72 19.99 1.57 0.86% 2.59 UCG IM Equity 2,429 5,500 5.62 8.11 35.22 1.25% 61.21 ULVR LN Equity 254 6,329 42.99 44.71 6.20 0.65% (54.76) UNA NA Equity 175 7,481 42.16 43.15 3.67 0.64% (46.51) UNH US Equity 2,299 10,191 64.28 78.78 30.13 0.75% 80.71 UNP US Equity 2,269 12,951 167.13 196.41 25.21 0.69% 85.38 UPS US Equity 4,208 14,806 79.87 102.57 42.69 0.67% 184.14 USB US Equity 2,753 14,315 34.74 41.42 41.73 0.46% 40.89 UTX US Equity 6,195 15,190 82.05 115.52 58.94 0.69% 84.64 V US Equity 281 5,407 201.03 211.47 5.52 0.94% 54.74 VALE US Equity 309 (2,664) 14.92 13.19 7.72 1.50% 17.12 VALE3 BZ Equity 367 (2,939) 15.07 13.19 7.83 1.59% 21.25 VIAB US Equity 3,790 9,272 60.42 85.11 58.75 0.70% 46.64 VIV FP Equity 25.92 - VMW US Equity 380 4,785 89.16 96.24 5.53 1.44% (1.75) VOD LN Equity 360 (3,581) 3.85 3.46 10.56 0.95% (21.61) VOD US Equity 341 (3,458) 38.42 34.63 9.72 1.01% (26.43) VOW3 GR Equity 30 3,208 259.69 262.09 1.10 0.84% 11.83 VRX CN Equity 588 2,771 109.70 132.99 15.55 1.36% 56.68 VRX US Equity 802 1,880 93.20 132.99 32.57 1.31% 42.39 VTI US Equity 676 5,134 86.91 98.35 26.20 0.50% 18.97 VWO US Equity 93 5,559 42.23 42.94 2.49 0.68% 13.25 VZ US Equity 2 2,023 49.51 49.57 0.18 0.67% 5.98 WBC AU Equity 265 11,844 30.87 31.56 2.79 0.80% 126.47 WES AU Equity 346 13,490 39.08 40.09 3.32 0.77% 115.34 WFC US Equity 3,423 12,761 39.49 50.08 52.69 0.51% 54.21 WLP US Equity 4,810 10,369 74.31 108.78 45.17 1.03% 211.98 WMT US Equity (84) 9,262 76.31 75.62 .1.74 0.52% 24.13 WOW AU Equity 7 1,701 34.64 34.79 0.45 0.93% 9.22 XOM US Equity 1,596 15,723 92.14 101.49 22.19 0.46% (26.53) XTA LN Equity XN/A N/A YHOO US Equity 18 2,049 34.50 34.81 0.60 1.50% 10.53 YUM US Equity 86 7,151 73.86 74.75 2.04 0.59% (13.52) ZURN VX Equity 58 7,208 293.77 296.12 1.83 0.44% (20.24) 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 19,029 62,272 1,455.70 1,900.53 65.00 0.47% 345.40 NDX Index 11,162 37,348 2,831.19 3,677.33 44.40 0.67% 351.73 RTY Index 293 5,660 1,070.74 1,126.19 6.17 0.84% 65.84 EFTA00288396 SPTSX Index 1,552 35,883 12,970.96 13,532.16 11.26 0.38% 118.16 MEXBOL Index 0 5,846 3,256.13 3,256.37 0.01 0.66% 0.86 IBOV Index 7 1,883 23,590.66 23,683.19 0.38 1.04% (11.69) MERVAL Index 554 11,886 882.16 923.29 3.81 1.22% 117.01 UKX Index 4,547 43,063 10,369.13 11,464.09 20.89 0.51% (135.19) DAX Index 9,336 36,674 10,610.77 13,311.84 38.38 0.66% 148.41 CAC Index 1,737 24,884 5,723.77 6,123.26 12.92 0.54% 45.76 IBEX Index 9,709 41,170 11,643.70 14,389.67 33.85 0.70% 102.93 SMI Index 8,066 50,070 8,365.44 9,713.02 43.77 0.37% (25.00) FTSEMIB Index 5,632 25,266 23,118.94 28,272.60 19.37 1.15% IL_ 515.43 P5120 Index 4,219 24,476 8,041.34 9,427.48 17.39 0.99% 120.58 ISEQ Index 17,714 32,079 4,246.25 6,591.02 60.31 0.92% (148.00) ICEXI Index 1,851 17,922 6.63 7.31 19.12 0.54% (182.34) AEX Index 5,921 44,526 487.32 552.12 28.48 0.47% 43.32 BEL20 Index 7,955 47,159 3,649.75 4,265.37 35.68 0.47% (60.68) LUXXX Index 10,370 41,632 1,672.08 2,088.57 35.37 0.70% KFX Index 11,257 39,508 101.67 130.63 41.06 0.69% a 78.16) .82) HEX Index 9,012 41,358 8,528.98 10,387.44 35.25 0.62% 114.54 OMX Index 2,183 23,118 191.41 209.49 14.88 0.63% (126.54) ATX Index (227) (12,313) 3,293.92 3,354.59 -2.34 0.79% (99.88) ASE Index (36) (1,321) 1,553.16 1,596.04 -1.51 1.82% (20.42) OSEBX Index 4,622 26,592 86.02 100.97 25.27 0.69% 95.41 INDEXCF Index (1,340) (21,271) 39.64 42.14 -4.52 1.39% (230.90) TOP40 index 3,206 33,820 3,975.21 4,352.04 11.74 0.81% 93.40 SENSEX Index 6,008 43,256 371.48 423.07 16.84 0.82% IIIEL647.20 NKY Index 41 10,301 141.25 141.81 0.42 0.95% 69.26 HSI Index 499 29,992 2,913.59 2,962.08 2.35 0.71% 17.64 SHCOMP Index 1,762 (34,398) 343.81 326.20 8.31 0.62%I (236.48) KOSPI Index 2,035 38,430 1.87 1.97 10.70 0.49% 33.75 AS51 Index 862 33,715 4,948.24 5,074.79 4.14 0.62% 156.30 STBCNZL Index 36,076 73,207 444.47 663.50 103.27 0.48% EEM US Equity 28 5,479 42.92 43.14 0.82 0.62% (10.19) IYR US Equity 182 9,689 69.78 71.09 4.57 0.41% 74.14 MDY US Equity 5,068 14,269 184.03 249.39 61.28 0.58% 129.57 JNK US Equity 34 8,156 41.27 41.44 3.49 0.12% 9.89 XLF US Equity 5,652 13,610 15.57 22.04 74.14 0.56% 61.37 XLU US Equity 656 10,859 39.38 41.76 8.91 0.68% (27.51) XLK US Equity 2,731 12,860 30.80 37.34 35.17 0.60% 130.52 XLI US Equity 6,488 16,147 38.20 53.55 72.09 0.56% 144.63 XLP US Equky 630 12,093 42.09 44.28 13.57 0.38% 20.14 XLY US Equity 1,337 5,441 52.24 65.08 37.00 0.66% 53.54 XLE US Equity 789 11,154 87.93 94.15 13.48 0.52% (24.05) XLB US Equity 4,374 14,991 37.61 48.58 52.22 0.56% 164.82 XLV US Equity 12,617 24,346 38.87 59.01 89.27 0.58% 18.80 SXXP Index 7,057 46,109 403.93 465.75 33.28 0.46% 29.50 SXAP Index 10,014 28,526 520.28 702.93 34.34 1.02% 309.21 SXKP Index 4,513 37,626 366.14 410.05 18.49 0.65% 44.24 EFTA00288397 SX6P Index 7,299 38,710 359.38 427.14 35.74 0.53% 208.97 SXEP Index 4,293 51,146 456.85 495.20 13.83 0.61% (7ILO) SXIP Index 11,411 28,923 222.31 310.01 67.06 0.59% 2.37 SXNP Index 4,754 28,384 482.69 563.53 27.13 0.62% 63.82 SX3P Index 1,670 31,675 679.66 715.50 13.34 0.40% SXDP Index 26,827 61,074 609.16 876.73 83.17 0.53% 15.49 SX4P Index 3,945 27,028 922.72 1,057.38 24.19 0.60% 1.18 SX8P Index 290 8,940 366.07 377.96 4.34 0.75% 0.43 SXOP Index 10,632 43,418 386.09 480.63 36.55 0.67% 106.37 SXQP Index 1,497 41,086 803.87 833.16 8.52 0.43% SXRP Index 59 16,765 432.46 433.98 0.71 0.49% (53.97) SXMP Index 1,406 9,936 296.53 338.51 21.92 0.65% 17.39 SXTP Index 22,614 39,247 172.05 271.18 63.94 0.90% (112.11) SX7E Index 3,312 12,087 159.85 203.64 24.55 1.12% 125.83 SXSE Index 7,096 40,565 3,715.50 4,365.43 28.99 0.60% 156.81 SPGSCITR Index (60) (3,846) 4,989.44 5,067.11 4.40 0.35% (7.10) XAG Curncy 1,336 (15,640) 21.28 19.46 12.52 0.68% 41.69 CO1 Comdty (45) (2,955) 108.90 110.54 -2.62 0.57% (4.75) CL1 Comdty 1,537 30,849 99.40 104.35 8.31 0.60% 190.43 NG1 Comdty 2,120 15,160 3.86 4.41 9.90 1.41% 182.35 XAU Comdty (14) (23,727) 88.17 88.22 A.13 0.46% 146.92 IBOXHY Index 3,603 53,418 220.12 234.97 137.97 0.05% (2.23) US_TSY CREDIT 373 100,443 765.33 768.17 3.83 0.10% 114.31 CA_TSY CREDIT 290 91,863 1,215.16 1,219.00 1.49 0.21% 326.98 MX_TSY CREDIT 923 77,867 220.85 223.47 3.87 0.31% 134.21 AU TSY CREDIT 370 81,398 1,506.03 1,512.88 1.97 0.23% (67.50) JP_TSY CREDIT 34 (16,070) 818.85 817.09 1.02 0.21% 17.13 MY_TSY CREDIT 311 67,652 169.94 170.72 2.27 0.20% 23.89 SG_TSY CREDIT 240 66,005 221.48 222.29 1.89 0.19% (47.65) AT_TSY CREDIT 3,732 81,569 358.40 374.80 17.53 0.26% (154.48) BE_TSY CREDIT 5,010 79,771 477.76 507.76 23.49 0.27% (148.34) FI_TSY CREDIT 3,325 85,645 349.64 363.22 16.33 0.24% (144.29) FR_TSY CREDIT 4,284 82,246 1,684.51 1,772.26 20.70 0.25% (165.20) DE_TSY CREDIT 2,756 84,524 1,247.55 1,288.23 13.08 0.25% (191.99) IE_TSY CREDIT 31,381 78,270 336.92 472.01 188.66 0.21% 181.50 IT_TSY CREDIT 8,133 54,986 1,616.07 1,855.12 55.65 0.27% 268.57 NL_TSY CREDIT 3,498 82,865 1,330.92 1,387.11 16.77 0.25% (149.17) ES_TSY CREDIT 10,701 50,187 392.28 475.93 85.49 0.25% 128.20 DK_TSY CREDIT 2,856 67,396 729.23 760.13 14.40 0.29% (171.48) NO_TSY CREDIT (56) 10,035 349.02 347.07 -2.22 0.25% (29.24) PL_TSY CREDIT 1,579 35,151 429.04 448.32 18.44 0.24% 48.40 ZA_TSY CREDIT 338 24,153 86.48 87.69 2.24 0.62% 84.08 SE_TSY CREDIT 114 (44,333) 464.03 462.84 0.88 0.29% 318.44 CH_TSY CREDIT 2,806 69,857 1,008.64 1,049.15 17.79 0.23% (104.43) GUTSY CREDIT 2,244 89,647 1,507.67 1,545.41 12.67 0.20% 14.87 EFTA00288398