EFTA00288399.pdf

Atorus, LLC 5/29/2014 Current Date: 5/29/2014 Change on Day: 0.39% Total Return since 1/1/12: 88.27% MSCI World Change on 712M Return: 32.58% Day 0.42% T9O Day Return: 0.79% No of Positions T3O Day Return: 2.11% (+MTM) on Day 261 Current Long Exposure @ Cost: 5,710,793 No of Positions (•ATM) Current Short Exposure @ Cost: (413,335) on Day 150 Net Exposure: 5,297,458 Current No. of Starting Capital: 1,000,000 Positions: 435 Current NAV: 1,882,652 Current Leverage (Gross Exposures): 3.25 Profit Factor: Historically 2.25X • 3.25X, depending on measurement Interval Win Ratio: 40% • 50% histor tally T24M (+) NAV Days 53% T24M Avg. Daily NAV (+) Change 0.99% T24M Avg. Daily NAV (..) Change .0.91% Target Volad). Risk Listed Equities 50.00% Target Volad). 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: 1.18 Sharpe Since 1/1/12: 1.28 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. 2,030,030.00 1,800,000.00 1,600,000.00 1,400,000.00 1,200,000.00 1000,000.00 800,000.00 600 00000 'V • "V 'V 'V •'V ib tb Orb tt Ix Ix c 9%.09%, ,v0% et0.%.O0.% ,tr 9% Q9's' 19% ,1> or 4' A‘ % 5 5\v AV' re'~ry 5 SOrieS1 EFTA00288399 Atorus, LLC 5/29/2014 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 KMI US Equity (6,775) DISCA US Equity (6,841) DUK US Equity (6,884) TGT US Equity (8,574) CO1 Comdty (9,568) SPGSCITR Index (12,481) XAG Curncy (15,640) INDEXCF Index (21,271) XAU Comdty (23,727) JP_TSY CREDIT (30,073) SHCOMP Index (34,398) SE_TSY CREDIT (44,333) 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 MX_TSY CREDIT 82,898 DE_TSY CREDIT 84,524 FI_TSY CREDIT 85,645 GB_TSY CREDIT 89,647 US_TSY CREDIT 100,443 MY_TSY CREDIT 103,107 CA_TSY CREDIT 109,559 NAV Impact of MTM by Category & Exposure Listed Equity Long 0.259% Listed Equity Short -0.037% EquityCom Long 0.215% EquityCom Short .0.024% G20 Rates Long 0.171% G20 Rates Short .0.009% T12M Contribution to Yr/Yr NAV Change by Category Listed Equities 43.56% EquityCom 48.15% G20 Rates 8.99% % of Total Notional Security MTM Gain % Total NAV 20.97%1 45 Positions 25.62% 0.11% MDY US Equity 5,234 0.28% 0.11% AZN US Equity 5,381 0.29% 0.11% BE_TSY CREDIT 5,395 0.29% 0.14% AZN LN Equity 5,572 0.30% 0.16% .1%.1 US Equity 5,789 0.31% 0.20% XLF US Equity 5,827 0.31% 0.26% NVS US Equity 5,978 0.32% 0.35% AEX Index 6,138 0.33% 0.39% HON US Equity 6,164 0.33% 0.49% UTX US Equity 6,330 0.34% 0.56% ROG VX Equity 6,612 0.35% 0.72% XLI US Equity 6,716 0.36% 1.30% FTSEMIB Index 6,728 0.36% 1.33% DAI GR Equity 7,238 0.38% 1.33% ACA FP Equity 7,388 0.39% 1.34% SXXP Index 7,411 0.39% 1.35% NOVN VX Equity 7,543 0.40% 1.35% SX6P Index 7,550 0.40% 1.38% SXSE Index 7,644 0.41% 1.40% SMI Index 7,926 0.42% 1.46% MAERSKB DC Equity 8,223 0.44% 1.64% MDT US Equity 8,315 0.44% 1.68% BEL20 Index 8,445 0.45% 1.79% TMO US Equity 8,525 0.45% IT_TSY CREDIT 8,710 0.46% PRO LN Equity 8,732 0.46% HEX Index 8,884 0.47% MMM US Equity 9,914 0.53% DAX Index 10,075 0.54% IBEX Index 10,485 0.56% SXAP Index 10,566 0.56% ES_TSY CREDIT 11,019 0.59% SXOP Index 11,163 0.59% LUXXX Index 11,262 0.60% KFX Index 11,483 0.61% TYC US Equity 11,872 0.63% SXIP Index 11,932 0.63% NDX Index 11,932 0.63% XLV US Equity 13,005 0.69% ISEQ Index 18,418 0.98% EFTA00288400 SPX Index 19,863 1.06% SXTP Index 23,599 1.25% SXDP Index 26,545 1.41% lE_TSY CREDIT 32,115 1.71% STBCNZL Index 36,710 1.95% Na Names by CategotiM APAC Long 28 APAC Short 17 EMEA Long 71 EMEA Short 13 AMER Long 180 AMER Short 31 EquityCom Long 64 EquityCom Short 8 G20 Rates Long 21 G20 Rates Short 2 Total Long 364 Total Short 71 Current Exposure by Geography (Listed Equl les) & Macro (Equity Indices & Commodiites, G20 Gov. Credit) $2,000,000 $1,500,000 $1,000,000 $500,000 $(500,000) 1 1 • APAC Long • APAC Short • EMEA Long • EMEA Short • AMER Long • AMER Short • EquityCom Long • EquityCom Short • G20 Rates Long • G20 Rates Short EFTA00288401 Atorus, LLC 5/29/2014 Historical Net Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodites, G20 Gov. Credit) —APAC EWA —AMER — EqurtyCom —G20 Rates • •NexEposum RIG 2.000.000 6,000,030 5.000.000 4,000600 3.000.000 1.500.000 1.00 0,000 • I .000 - 2,000,000 500,000 i 1.000.000 C3% 4 % .4.1.,‘ (50e003) e t> CP. C . \ -..,:' A. """ el. O4,1, e e, ,% 1. 1, 1, 1, % % 'Is 4 A\ ii9 tb\ 1 , 1, 9 c9 3/4, N. .1t4 19 4.\''' 1/* 1.Z <I.\ 4 4 19 (1,030,000) - (2,000,0120) (1,000,000) (3.000.000) Historical Gross Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodlites, G20 Gov. Credit) EFTA00288402 Atorus, LIC 5/29/2010 Current Gross Notional Risk by Category 251,576 to 6;1,351 1,620,23 ■ 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 igg 6;) O1) O1~ Q' ea c9 c° O•y 'L O•y'si ,;* bi rs v '(‘ Asti Asti Q. O % 4) c>\ 4 '0 Q A\ t‘t t c9 s A ce * 4\ cp Series' —Series2 Rolling 30 Day Realized Volatility - Ator EFTA00288403 Atorus, LLC 5/29/2010 Percentile Distribution of Current MTM Gains in Vol Days by Position (ex-99pct & ex-Ist percentiles) 70.00 60.00 50.00 40.00 30.00 20.00 10.00 aco moo 4, # 4 # 4, # 4 # .4 # 4 # 4> # dr, 4, 4 4 # # (so # 4 # 4 # 4 # 4 # .4 # 4 # 4> 4 # # 3 3 3 3 P/L Vol Days by Position Percentile No. Vol Da 0.00% -17.23 5.00% -2.13 10.00% -0.35 15.00% 0.04 20.00% 0.46 25.00% 1.29 30.00% 2.48 35.00% 3.98 40.00% 5.25 45.00% 7.02 50.00% 8.35 55.00% 10.32 60.00% 13.67 65.00% 17.03 70.00% 19.89 75.00% 24.93 80.00% 31.20 85.00% 39.36 90.00% 47.96 95.00% 67.69 100.00% 206.08 MTM Gains(Losses) % of NAV "Signficant" (<7 Vol Days) 1.00% MTM Gains(Losses) % of NAV "Signficant" (>7 Vol Days) 44.40% EFTA00288404 Atorus, LLC Current Portfolio -Listed Equity Portfolio Current Price P/L in Vol 30P Realized Change on Day Security MTM Gain/(Loss) Exp. es Cost Avg. Price (in USD) Days Vol (In USD) 5/29/2014 000270 KS Equity 3 2,318 58.09 58.17 0.14 0.92% 3.96 005380 KS Equity 26 3,149 224.39 226.26 0.87 0.96% 16.10 005490 KS Equity 55 (3,111) 294.20 288.99 2.04 0.87% 44.62 005930 KS Equity 100 4,464 1,399.47 1,430.66 2.46 0.91% 130.88 012330 KS Equity 835 5,584 247.00 283.94 17.32 0.86% 6.85 1 HK Equity 1,092 12,607 16.18 17.58 10.67 0.81% 233.78 1299 HK Equity 228 5,954 4.79 4.97 5.38 0.71% 14.08 13 HK Equity 848 4,897 11.40 13.38 18.76 0.92% 30.35 16 HK Equity 13.46 27 HK Equity (29) 860 7.99 7.72 -2.04 1.67% (15.21) 2914 JP Equity 33.82 3382 JP Equity 104 2,327 38.42 40.14 5.29 0.85% (12.25) 4063 JP Equity 6 3,520 59.49 59.59 0.21 0.86% (25.52) 4502 JP Equity 83 4,914 44.83 45.59 2.40 0.71% 17.53 4689 JP Equity (3) 1,973 4.47 4.47 -0.09 1.73% 1.10 5 HK Equity (160) (4,127) 10.15 10.55 -5.85 0.66% (9.05) 5108 JP Equity 35.52 5401.1P Equity 12 (5,599) 2.81 2.81 0.25 0.86% 27.66 6301.1P Equity (29) 2,504 22.09 21.84 -1.17 0.97% (14.69) 6752 JP Equity 10.71 - 6902 JP Equity 46.27 - 69541P Equity 536 6,864 6,392.98 171.20 9.36 0.83% (59.51) 7201 JP Equity (84) (2,999) (3,742.97) 9.10 -3.22 0.87% (53.54) 7203 JP Equity 34 (4,207) (5,259.85) 55.63 1.18 0.69% (35.10) Sharpe Since 1/1/11 1.281 (4.72) 7267 JP Equity 21.57 762 HK Equity 2.69 7751 JP Equity 8.72 8031 JP Equity (21.25) 8058 JP Equity 2.65 8106 JP Equity 1.96 8316 JP Equity 1.31 8411 JP Equity (5.07) 8604 JP Equity 82 59.68 8802 JP Equity (31) (4,927) 24.35 24.50 -OM 1.22% (2.48) 90201P Equity 2 (5,379) 75.21 75.18 0.06 0.73% (6.11) 941 HK Equity 126 (3,782) 10.19 9.85 3.50 0.95% (37.93) 9432 JP Equity 706 8,028 54.13 58.89 11.08 0.79% (24.94) 9433 JP Equity 174 4,686 56.19 58.27 3.51 1.06% 50.07 9437 JP Equity (318) (4,919) 15.59 16.60 -9.33 0.69% 4.79 99831P Equity (75) (2,292) 322.77 333.33 -3.20 1.02% 0.21 EFTA00288405 9984 JP Equity 70.84 - AAPL US Equity 1,450 7,609 530.72 631.87 20.23 0.94% 76.64 ABB US Equity 23.72 - ABBN VX Equity #N/A N/A ABBV US Equity 265 4,794 51.17 54.01 6.46 0.86% (23.74) ABEV US Equity 65 (3,165) 7.37 7.22 2.18 0.95% (22.45) ABEV3 BZ Equity 68 (3,012) 7.43 7.26 2.20 1.03% (14.87) ABI BB Equity 558 8,888 103.14 109.62 8.76 0.72% 21.13 ABT US Equity 81. 4,097 38.87 39.63 3.53 0.56% (3.73) ABX CN Equity 645 (4,901) 18.24 15.84 12.04 1.09% (81.49) ABX US Equity 622 (4,194) 18.59 15.83 13.13 1.13% (61.20) ACA FP Equity 7,388 5,408 6.83 16.17 122.88 1.11% 0.40 ACE US Equity 628 11,217 97.97 103.46 15.27 0.37% 54.88 ACN US Equity 245 8,563 77.97 80.20 4.73 0.60% 52.34 ADP US Equity 206 6,767 76.95 79.29 5.50 0.55% 20.11 AFL US Equity (14) 620 62.62 61.28 -3.15 0.69% 1.66 AGN US Equity 4,158 9,698 110.56 157.97 24.54 1.75% (6.81) Al FP Equity 650 12,864 137.87 144.83 9.31 0.54% 3.12 AIG US Equity 566 7,473 50.16 53.95 8.67 0.87% 61.39 AIR FP Equity 111 3,660 69.52 71.63 2.87 1.05% (25.11) ALV GR Equity 15 7,052 169.21 169.57 0.31 0.71% 2.58 ALVG IX Equity 27 5,730 168.62 169.43 0.70 0.69% (3.35) AMGN US Equity 17 4,025 115.34 115.82 0.50 0.85% 2.10 AMT US Equity 1,859 12,212 77.36 89.13 26.69 0.57% 24.61 AMZN US Equity (63) (2,898) 306.51 313.19 -1.29 1.69% (20.04) ANZ AU Equity 675 12,947 29.78 31.33 7.46 0.70% 92.06 APA US Equity 304 5,744 88.07 92.73 7.58 0.70% 78.75 APC US Equity 185 5,048 99.21 102.85 4.72 0.78% 55.79 AXP US Equity 2,819 10,373 71.56 91.01 39.38 0.69% (4.65) AZN LN Equity 5,572 12,676 49.80 71.69 19.68 2.23% 113.77 AZN SS Equity 4,930 12,119 #WA N/A 18.54 2.19% AZN US Equity 5,381 12,812 50.30 71.43 19.75 2.13% 54.39 BA US Equity 431 8,072 128.04 134.87 7.28 0.73% 14.04 BAC US Equity (31) (1,371) 14.81 15.14 -2.29 0.98% (1.73) BARC LN Equity (2) 5,219 4.11 4.11 -0.03 1.39% 20.40 BAS GR Equity 1,340 7,561 97.75 115.08 24.28 0.73% 15.44 BATS LN Equity 817 7,532 53.98 59.83 14.19 0.76% 118.05 BAX US Equity 58 4,842 73.52 74.40 2.49 0.48% 9.00 BAYN GR Equity 472 8,765 135.89 143.22 7.03 0.77% 38.59 BBAS3 BZ Equity (19) (920) 10.26 10.48 -1.43 1.47% (8.57) BBD US Equity (104) 4,539 14.81 14.48 -2.10 1.09% (17.09) BBDC4 BZ Equity (97) 4,490 14.84 14.52 -1.89 1.14% (10.50) BBL US Equity (2) (1,927) 64.58 64.65 -0.15 0.77% (16.01) BBVA SM Equity 1,492 6,176 10.23 12.71 35.60 0.68% (31.13) BCE CN Equity 160 9,622 44.94 45.69 4.49 0.37% (12.28) BCS US Equity (6) 5,457 16.46 16.45 -0.08 1.36% 23.23 BEN US Equity 127 2,814 52.91 55.29 4.48 1.01% 1.77 EFTA00288406 BG/ IN Equity (346) (3,788) 18.76 20.48 -7.94 1.15% (40.04) BHP AU Equity 85 9,507 34.49 34.79 1.09 0.82% (68.43) BHP US Equity 196 7,278 68.00 69.83 3.21 0.84% 69.38 BBB US Equity 313 1,066 245.93 318.12 19.51 1.50% 30.07 BIL SI Equity 23 (3,909) 32.55 32.36 0.94 0.63% (0.33) BK US Equity 422 8,609 32.86 34.47 5.79 0.85% 9.99 BUC US Equity 64 3,418 298.32 303.91 2.93 0.64% 12.71 BLT IN Equity 16 (2,797) 32.52 32.33 0.77 0.76% 46.50 BMO CN Equity 671 14,194 66.92 70.09 11.82 0.40% (131.80) BMW GR Equity 1,352 5,212 99.22 124.96 31.00 0.84% 42.22 BMY US Equity (4) 1,157 49.51 49.35 -0.32 1.04% 16.73 BN FP Equity (4) 1,770 74.42 74.26 -0.29 0.74% 22.26 BNP FP Equity 23 (4,695) 71.94 71.59 0.61 0.79% 17.22 BNS CN Equity 1,020 13,000 59.01 63.64 19.15 0.41% 108.62 BP/ LN Equity 887 9,797 7.76 8.47 14.63 0.62% 12.13 BRK/B US Equity 847 14,531 120.66 127.70 13.57 0.43% 19.91 BSBR US Equity 20 3,066 6.70 6.74 0.58 1.11% (29.82) BUD US Equity 551 9,049 103.62 109.93 8.74 0.70% 8.22 BX US Equity 1 2,269 31.17 31.19 0.04 1.49% 11.48 C US Equity (4) 3,768 47.33 47.28 .0.17 0.61% (20.08) CA FP Equity 261 3,932 34.37 36.64 7.63 0.87% 14.84 CAT US Equity 2,068 14,645 90.43 103.21 21.73 0.65% (11.75) CBA AU Equity 1,572 17,559 69.92 76.18 17.22 0.52% 143.61 CBS US Equity (5) 1,652 60.25 60.09 -0.27 1.04% (9.17) CCL US Equity 594 6,257 36.20 39.64 11.08 0.86% 34.93 CELG US Equity 96 3,789 149.03 152.80 2.26 1.12% (52.60) CFR VX Equity 573 9,275 KN/A N/A 9.11 0.68% CL US Equity 2,449 22,469 60.15 66.71 25.57 0.43% 171.53 CM CN Equity 807 12,827 84.55 89.87 14.06 0.45% (205.53) CMCSA US Equity 180 7,243 50.72 51.98 3.84 0.65% 19.04 CMCSK US Equity 5,101 12,096 36.26 51.55 68.84 0.61% 34.96 CNI US Equity 2,247 13,291 51.61 60.34 31.13 0.54% 67.22 CNQ CN Equity 1,103 10,769 36.73 40.49 11.86 0.86% 70.04 CNR CN Equity 2,190 13,349 51.81 60.31 32.28 0.51% 67.10 COF US Equity 1,005 7,384 69.16 78.57 22.22 0.61% 16.46 COP US Equity 332 7,461 75.97 79.35 7.30 0.61% (58.52) COST US Equity 25 9,550 114.02 114.31 0.45 0.58% (19.75) COV LN Equity KN/A N/A COV US Equity 927 7,190 64.20 72.48 21.81 0.59% (20.78) CRM US Equity • 435 54.40 54.40 0.00 1.99% 5.96 CS FP Equity 24.48 - CSCO US Equity 23 5,589 24.57 24.67 0.53 0.78% (40.13) CSX US Equity 1,595 9,460 25.28 29.54 25.31 0.67% (25.13) CVE CN Equity 29.17 CVS US Equity 2,501 12,378 64.47 77.50 38.28 0.53% 8.66 CVX US Equity 49 (4,572) 123.45 122.12 1.86 0.58% 32.07 D US Equity 1,660 13,256 60.80 68.41 19.91 0.63% 1.85 EFTA00288407 DAI GR Equity 7,238 13,908 62.20 94.57 56.26 0.92% 76.38 D8K GR Equity 124 (5,118) 42.04 41.02 3.04 0.80% 18.44 DD US Equity 3,234 13,480 55.38 68.67 47.07 0.51% 60.58 DDAIF US Equity 4,164 8,377 63.20 94.62 49.46 1.01% 68.01 DE US Equity 462 10,094 86.88 90.86 9.29 0.49% (18.68) DELL US Equity #N/A N/A DG FP Equity 4,380 10,090 51.66 74.08 75.00 0.58% 26.91 DGE LN Equity 74 2,332 30.86 31.83 3.45 0.91% 33.08 DHR US Equity 297 8,033 75.57 78.36 5.28 0.70% (41.88) DIS US Equity 2,272 11,196 69.73 83.88 27.92 0.73% 49.59 DISCA US Equity (195) (6,841) 75.84 78.00 -2.90 0.98% 81.89 DNB NO Equity 464 5,584 #N/A N/A 9.78 0.85% DOW US Equity 2,982 7,396 37.11 52.08 41.90 0.96% 99.41 DPW GR Equity 169 660 29.41 36.92 27.04 0.95% 0.59 DTE GR Equity 717 7,575 15.16 16.59 9.48 1.00% (16.96) DTV US Equity 3,493 10,622 61.97 82.35 29.32 1.12% (31.40) DUK US Equity 3 (6,884) 70.75 70.71 0.10 0.48% 1.52 DVN US Equity 1,837 11,143 63.30 73.73 19.54 0.84% 76.67 EBAY US Equity 23 (1,600) 50.88 50.14 1.47 0.99% 17.35 Ea US Equity 280 9,546 105.33 108.42 6.51 0.45% 0.31 EDF FP Equity 5,065 9,189 23.45 36.37 57.69 0.96% Ir (413.03) EMC US Equity 596 10,986 25.35 26.73 8.25 0.66% 83.85 EMR US Equity (28) 8,739 66.79 66.58 -0.47 0.69% (39.80) ENB CN Equity 419 12,532 45.66 47.18 7.23 0.46% (104.55) ENEL IM Equity 2,317 8,902 4.48 5.65 27.29 0.95% (127.99) ENI IM Equity 626 11,929 24.33 25.61 7.35 0.71% (36.13) EOAN GR Equity 94 4,169 18.83 19.26 2.48 0.91% 9.30 EOG US Equity 2,657 5,841 72.84 105.97 38.88 1.17% 72.77 EPD US Equity 2,099 13,408 63.88 73.88 27.28 0.57% (26.23) ERICB SS Equity (112) 7,934 #WA N/A -1.58 0.89% ESRX US Equity 37 5,382 70.60 71.08 0.89 0.77% 1.90 ETN US Equity 108 5,260 72.48 73.97 2.81 0.73% (18.75) F US Equity (166) (1,448) 14.82 16.52 -14.99 0.77% (17.44) F8 US Equity 1,184 2,630 44.06 63.89 23.99 1.88% 25.96 FCX US Equity 118 6,027 33.55 34.20 2.22 0.88% 80.91 FDX US Equity 450 4,359 130.52 143.98 15.63 0.66% 26.03 FOX US Equity 307 6,139 32.72 34.36 5.02 1.00% 73.45 FOXA US Equity 276 5,663 33.68 35.32 4.82 1.01% 57.62 FP FP Equity 1,809 14,528 62.63 70.43 18.60 0.67% (11.20) G IM Equity 54 5,340 22.35 22.58 1.28 0.79% (4.03) GE US Equity 2,562 13,140 22.32 26.67 39.70 0.49% 21.11 GILD US Equity 253 4,205 77.50 82.16 4.84 1.24% (9.06) GIS US Equity 1,830 23,244 50.54 54.52 18.28 0.43% 113.69 GLE FP Equity 58.59 - GLEN LN Equity (150) (2,955) 5.22 5.49 -7.57 0.67% 0.61 GLW US Equity 3,670 11,942 16.35 21.38 44.11 0.70% 7.89 GM US Equity 3 3,870 34.39 34.41 0.10 0.81% (2.76) EFTA00288408 GOOG US Equity 15 2,864 557.90 560.79 0.45 1.16% (14.76) GS US Equity (4) 3,898 160.88 160.72 -0.11 0.93% (0.21) GSK LN Equity 180 5,707 26.22 27.04 3.99 0.79% 32.92 GSZ FP Equity 1,072 11,763 25.40 27.72 11.70 0.78% 46.34 HAL US Equity 1,837 7,135 50.67 63.72 27.74 0.93% 37.35 HD US Equity 551 7,619 74.42 79.80 9.19 0.79% 11.64 HMB SS Equity (33) 7,694 #WA N/A -0.67 0.63% HON US Equity 6,164 11,930 61.10 92.67 87.26 0.59% 13.56 HPQ US Equity 2,381 7,632 25.64 33.64 31.73 0.98% 93.03 HSBA LN Equity 141 6,635 10.30 10.52 3.14 0.68% 17.25 IBE SM Equity 2,085 7,531 5.56 7.10 53.11 0.52% 13.43 IBM US Equity 183 (5,196) 189.74 183.06 4.88 0.72% 14.45 IMT LN Equity 2,911 13,847 37.07 44.86 33.73 0.62% 180.78 INTC US Equity 1,346 12,417 24.27 26.90 21.57 0.50% 18.19 ISP IM Equity 4,094 5,699 1.93 3.32 57.99 1.24% 43.91 ITUB US Equity 86 5,715 15.88 16.12 1.66 0.91% (13.14) ITUB4 BZ Equity 120 4,601 15.79 16.20 2.56 1.02% (4.86) ITW US Equity 3,880 14,011 67.84 86.62 51.81 0.53% (24.34) ITX SM Equity 40 (3,652) 146.45 144.84 2.17 0.50% (3.05) JO US Equity (8) 2,578 48.47 48.33 -0.25 1.22% (13.94) AU US Equity 5,789 18,409 76.50 100.56 89.49 0.35% 15.53 JPM US Equity - 1,155 55.59 55.59 0.00 0.68% 3.89 KMB US Equity 335 9,903 107.52 111.16 7.01 0.48% 49.09 KMI US Equity 47 (6,775) 33.81 33.57 1.03 0.68% 1.46 KO US Equity (4) (4,445) 40.65 40.69 -0.25 0.32% (5.32) LBTYA US Equity 175 5,297 43.83 45.28 3.84 0.86% (2.88) LBTYK US Equity 211 6,609 41.75 43.09 4.17 0.77% (16.64) LIN GR Equity 382 9,647 199.93 207.84 5.21 0.76% (57.53) LLOY LN Equity 216 1,914 1.16 1.30 10.54 1.07% (1.31) LLY US Equity 44 4,953 59.03 59.55 1.29 0.69% (32.01) LMT US Equity 659 2,016 122.48 162.50 56.50 0.58% (4.95) LNKD US Equity 284 (2,461) 183.83 162.60 5.04 2.29% (28.51) LOW US Equity 9 4,313 46.77 46.87 0.18 1.10% 6.94 LVS US Equity - 570 76.62 76.62 0.00 1.52% 5.79 LYB US Equity 1,566 2,297 59.29 99.71 95.86 0.71% 23.47 MA US Equity 136 3,476 73.94 76.82 3.71 1.05% (9.89) MAERSKB DC Equity 8,223 14,320 #N/A N/A 58.93 0.97% MC FP Equity 299 6,319 187.15 196.01 10.00 0.47% 12.19 MCD US Equity 52 9,603 100.64 101.19 1.22 0.44% (20.28) MCK US Equity 292 2,181 164.92 186.99 16.79 0.80% 50.38 MDIZ US Equity 4,151 13,641 28.68 37.41 46.74 0.65% (0.05) MDT US Equity 8,315 20,811 43.22 60.49 67.20 0.59% 87.07 MET US Equity 1,089 7,556 44.37 50.76 13.86 1.04% (63.53) MFC CN Equity 1,224 2,561 12.38 18.29 60.11 0.79% (23.81) MHS US Equity #WA N/A MMM US Equity 9,914 21,331 96.89 141.93 83.83 0.55% 115.85 MO US Equity 1,355 13,034 37.23 41.11 21.68 0.48% 112.40 EFTA00288409 MON US Equity 1,707 11,917 106.02 121.21 22.34 0.64% 52.95 MOS US Equity 49.72 - MRK US Equity 1,688 11,769 50.18 57.38 17.06 0.84% 196.66 MS US Equity 47 2,280 30.40 31.03 1.74 1.19% 2.14 MSFT US Equity 1,094 8,506 35.55 40.12 20.70 0.62% 30.67 MUV2 GR Equity 741 6,116 197.70 221.66 14.02 0.86% 17.27 NAB AU Equity (194) 13,313 31.51 31.06 -2.03 0.72% 70.15 NCM AU Equity 9.15 NEE US Equity 4,771 15,214 73.31 96.30 54.16 0.58% (188.17) NEM US Equity 550 (2,151) 30.61 22.78 17.14 1.49% (47.55) NESN VX Equity 1,129 11,809 #N/A N/A 18.71 0.51% NG/ IN Equity 3,189 13,258 11.96 14.84 39.64 0.61% (33.84) NKE US Equity 357 3,822 69.77 76.28 11.91 038% (1.63) NOK US Equity 4,439 4,498 3.96 7.87 82.05 1.20% 36.58 NOV US Equity 545 10,804 78.01 81.94 7.16 030% 8.82 NOVN VX Equity 7,543 20,656 #N/A N/A 65.99 0.55% NOVOB DC Equity 458 9,444 #N/A N/A 5.13 0.95% NSC US Equity 2,446 10,342 81.54 100.83 36.95 0.64% 65.21 NVS US Equity 5,978 17,372 67.02 90.08 71.23 0.48% 6.35 OGXP3 BZ Equity 4,023 (4,107) 4.39 0.09 44.70 2.19% (194.01) OR FP Equity 407 8,826 167.38 175.10 7.29 0.63% 94.01 ORA FP Equity 1,846 8,559 13.80 16.78 20.56 1.05% 146.64 ORCL US Equity 1,979 8,768 34.27 42.00 42.18 0.54% 55.82 OXY US Equity 340 7,763 95.26 99.44 7.40 0.59% 52.11 PBR US Equity (1) (815) 14.71 14.73 -0.07 1.50% (2.26) PBR/A US Equity (3) (832) 15.73 15.79 0.22 1.53% (4.08) PCLN US Equity 447 3,358 1,130.84 1,281.37 9.25 1.44% 57.45 PCP US Equity 70 4,610 248.55 252.34 1.65 0.92% 15.13 PEP US Equity 606 12,677 83.59 87.58 10.86 0.44% 96.54 PETR3 BZ Equity 7 (1,416) 7.43 7.40 0.31 1.54% (8.36) PETR4 BZ Equity 4 (1,327) 7.91 7.89 0.18 1.59% (7.19) PFE US Equity (2) 1,935 29.65 29.62 -0.11 0.90% (3.83) PG US Equity 146 11,013 79.25 80.30 2.83 0.47% 22.54 PHIA NA Equity 31.64 - PM US Equity 142 5,649 85.88 88.04 5.90 0A3% 57.87 PNC US Equity 937 9,010 76.60 84.57 14.24 033% 6.63 POT CN Equity 29 6,886 36.04 36.19 0.61 0.69% (0.99) POT US Equity (25) 7,998 36.33 36.21 -0.50 0.62% 0.04 PRU LN Equity 8,732 10,521 12.76 23.35 110.33 035% (60.24) PSA US Equity 666 13,406 162.12 170.18 10.44 0A8% (39.18) PSX US Equity 1,803 6,461 65.64 83.96 33.80 0.83% 101.90 PX US Equity 2,598 16,340 113.54 131.59 36.57 0A3% 161.47 QCOM US Equity 2,499 12,547 66.83 80.14 34.45 0.58% (62.30) QQ(3 US Equity 2,671 9,597 71.29 91.14 44.51 0.63% 32.60 RAI US Equity 1,163 10,690 53.26 59.06 13.87 038% 133.18 RDS/A US Equity 592 11,546 75.02 78.86 9.56 0.54% 91.19 RDS/B US Equity 484 11,427 78.85 82.18 5.72 034% 67.54 EFTA00288410 RDSA LN Equity 733 9,744 36.73 39.50 12.23 0.62% 68.19 RDSA NA Equity 513 11,195 37.76 39.49 7.69 0.60% 63.98 RDSB LN Equity 556 10,889 39.07 41.07 6.90 0.74% 60.60 REGN US Equity 61 6,240 302.78 305.73 0.56 1.73% (15.81) RIO AU Equity (182) 4,367 58.24 55.92 -4.00 1.04% (56.81) RIO LN Equity (149) 4,819 54.78 53.14 -3.59 0.86% (15.06) RIO US Equity (65) 4,934 54.03 53.33 -1.37 0.96% 14.81 ROG VX Equity 6,612 17,035 /*A N/A 66.18 0.59% RY CN Equity 470 11,337 66.05 68.79 8.96 0.46% (25.50) SAS LN Equity 1,310 11,420 49.47 55.15 14.24 0.81% 58.02 SAN FP Equity (27) (4,530) 105.52 106.14 -0.87 0.68% (12.38) SAN SM Equity 1,639 9,357 8.65 10.17 30.00 0.58% (21.80) SAN US Equity 1,295 7,569 8.66 10.15 22.85 0.75% (48.23) SAP GR Equity (11) (385) 74.34 76.44 -3.46 0.82% (0.62) SAP US Equity (8) (375) 74.84 76.43 -2.48 0.86% (1.12) SBUX US Equity 23 5,700 72.66 72.95 0.56 0.73% (27.29) SGO FP Equity 2,325 7,880 44.14 57.16 39.14 0.75% 11.22 SI US Equity /*A N/A SIE GR Equity 852 5,345 114.81 133.12 18.72 0.85% 13.93 SLB US Equity 1,981 9,071 84.83 103.36 37.40 0.58% 153.70 SMSN LI Equity 156 6,583 694.98 711.46 2.31 1.03% 131.56 SO US Equity (192) 11,861 44.10 43.40 -2.64 0.61% 4.52 SPG US Equity (293) 12,778 168.89 165.11 -4.54 0.51% (8.64) SREN VX Equity 8N/A N/A STAN IN Equity 2 5,034 22.52 22.53 0.05 0.72% 15.56 STL NO Equity 1,722 11,476 8N/A N/A 17.14 0.88% STT US Equity 17 3,883 64.77 65.06 0.46 0.97% 7.23 SU CN Equity 450 11,105 36.96 38.46 4.72 0.86% 21.80 SU FP Equity 730 8,613 86.36 93.68 8.08 1.05% (72.71) SU US Equity 437 9,658 36.78 38.45 5.34 0.85% 11.09 SWEDA SS Equity 71 4,735 /WA N/A 2.12 0.71% SYNN VX Equity (321) (4,132) /WA N/A -17.23 0.45% T US Equity (2) (1,802) 35.29 35.32 -0.12 0.68% 2.15 TD CN Equity 876 12,480 46.19 49.43 14.86 0.47% (11.66) TEF SM Equity 291 7,580 16.07 16.68 5.27 0.73% 29.46 TEF US Equity 289 6,344 15.95 16.67 5.51 0.83% 44.14 TGT US Equity 1,056 (8,574) 63.57 55.74 14.37 0.86% (52.68) TJX US Equity 6 (1,698) 54.56 54.36 0.40 0.94% (1.53) TLS AU Equity 944 13,319 4.66 4.99 13.25 0.54% 153.45 TLSN SS Equity (312) (5,268) #N/A N/A -9.93 0.60% TM US Equity 191 (5,774) 115.16 111.35 5.55 0.60% (74.53) TMO US Equity 8,525 10,218 63.59 116.64 98.65 0.85% 73.40 TOT US Equity 1,077 7,801 61.19 69.64 19.79 0.70% 7.40 TRP CN Equity (15) 1,773 47.14 46.73 -1.58 0.55% 6.13 TRV US Equity 1,084 12,867 86.72 94.03 15.79 0.53% 80.29 TSCO LN Equity 565 (6,286) 5.60 5.09 8.35 1.08% (74.25) TWC US Equity 893 5,234 120.22 140.73 28.11 0.61% 17.62 EFTA00288411 TWX US Equity 365 8,859 67.50 70.28 5.15 0.80% (35.05) TXN US Equity 4,057 12,205 34.93 46.54 32.34 1.03% 72.55 TYC US Equity 11,872 24,080 29.17 43.55 59.96 0.82% (278.69) UBS US Equity 57 2,373 19.76 20.23 3.51 0.68% (9.99) UBSN VX Equity 55 2,230 //N/A N/A 3.11 0.79% UCG IM Equity 2,914 5,500 5.62 8.60 40.90 1.30% (15.91) ULVR LN Equity 267 6,329 42.99 44.80 6.69 0.63% 53.93 UNA NA Equity 199 7,481 42.16 43.28 4.00 0.67% 75.24 UNH US Equity 2,330 10,191 64.28 78.98 31.50 0.73% 55.80 UNP US Equity 2,347 13,092 167.40 197.41 29.11 0.62% 30.42 UPS US Equity 4,444 14,806 79.87 103.84 45.46 0.66% 54.04 USB US Equity 2,980 14,393 34.77 41.98 46.03 0.45% 17.53 UTX US Equity 6,330 15,190 82.05 116.24 63.49 0.66% 21.57 V US Equity 359 5,407 200.80 214.15 8.20 0.81% 8.21 VALE US Equity 325 (2,664) 14.92 13.10 9.57 1.27% (30.23) VALE3 BZ Equity 376 (2,939) 15.07 13.14 8.13 1.57% (40.10) VIAB US Equity 3,865 9,272 60.42 85.60 65.27 0.64% 3.88 VIV FP Equity 26.19 VMW US Equity 504 4,785 89.16 98.55 7.28 1.45% 151.05 VOD LN Equity 315 (3,727) 3.83 3.51 9.53 0.89% (17.11) VOD US Equity 306 (3,458) 38.42 35.02 9.39 0.94% (5.52) VOW3 GR Equity 72 3,208 259.69 265.48 3.43 0.65% 9.92 VRX CN Equity 473 2,771 109.70 128.44 12.33 1.39% 55.15 VRX US Equity 707 1,880 93.20 128.28 27.78 1.35% 31.76 VTI US Equity 733 5,134 86.91 99.32 29.78 0.48% 12.78 VWO US Equity 72 5,559 42.23 42.77 2.08 0.62% 19.33 VZ US Equity 4 5,565 49.62 49.65 0.11 0.63% (9.54) WBC AU Equity 451 11,844 30.87 32.04 5.22 0.73% 74.50 WES AU Equity 413 13,490 39.08 40.28 4.46 0.69% 99.00 WFC US Equity 3,483 12,761 39.49 50.27 54.65 0.50% (78.02) WLP US Equity 4,742 10,369 74.31 108.30 46.90 0.98% (11.61) WMT US Equity (39) 9,262 76.31 75.99 A.90 0.47% 36.51 WOW AU Equity 7 3,061 34.75 34.83 0.28 0.87% 15.06 XOM US Equity 1,560 15,723 92.14 101.28 23.74 0.42% (35.78) XTA LN Equity PN/A N/A YHOO US Equity 23 2,439 34.57 34.90 0.70 1.33% 10.67 YUM US Equity 278 7,655 74.04 76.73 5.98 0.61% (8.50) ZURN VX Equity 62 7,615 #N/A N/A 2.03 0.40% Current Portfolio - Global Macro Portfolio Current Price Pil in Vol 30P Realized Change on Day Security MTM Gain/(Loss) Exp. 0 Cost Avg. Price (in USD) Days Vol (In USD) SPX Index 19,863 62,272 1,455.70 1,920.03 74.16 0.43% NDX Index 11,932 37,348 2,831.19 3,735.72 47.92 0.67% 311.43 RTY Index 369 10,580 1,101.66 1,140.07 4.15 0.84% 32.67 EFTA00288412 SPTSX Index 1,334 39,053 13,011.63 13,455.96 9.62 0.36% 65.62 MEXBOL Index 55 14,885 3,258.95 3,270.93 0.60 0.61% 47.54 IBOV Index 3 (6,691) 23,547.23 23,537.60 0.04 1.06% (3.56) MERVAL Index 1,247 17,235 902.65 967.95 5.45 1.33% 362.29 UKK Index 4,641 43,528 10,379.92 11,486.74 23.48 0.45% 167.13 DAX Index 10,075 36,674 10,610.77 13,525.85 41.27 0.67% 57.20 CAC Index 1,921. 24,884 5,723.77 6,165.57 14.65 0.53% 26.89 IBEX Index 10,485 41,399 11,656.78 14,608.99 38.51 0.66% (43.28) SMI Index 7,926 51,115 #N/A N/A 47.98 0.32% FTSEMIB Index 6,728 25,266 23,118.94 29,274.80 21.22 1.26% (70.78) PSI20 Index 4,825 24,476 8,041.34 9,626.38 19.41 1.02% (214.63) ISEQ Index 18,418 32,079 4,246.25 6,684.22 67.01 0.86% (92.62) ICEXI Index 1,033 11,839 #N/A N/A 16.73 0.52% AEX Index 6,138 45,212 488.20 554.49 30.93 0.44% 254.21 BEL20 Index 8,445 47,159 3,649.75 4,303.29 39.82 0.45% 73.77 LUXXX Index 11,262 41,632 #N/A N/A 37.19 0.73% KFX Index 11,483 39,946 #N/A N/A 43.32 0.66% HEX Index 8,884 41,676 #N/A N/A 34.62 0.62% OMX Index 2,192 23,118 #N/A N/A 15.79 0.60% ATX Index (124) (3,078) #N/A N/A •5.16 0.78% ASE Index • 1,710 1,641.53 1,641.53 0.00 1.75% (17.43) OSEBX Index 4,734 27,164 #N/A N/A 27.65 0.63% INDEXCF Index (1,136) (21,271) 39.64 41.76 4.12 1.30% (248.50) TOP40 Index 2,741 36,288 3,996.66 4,298.58 9.76 0.77% 237.85 SENSEX Index 4,640 43,256 371.48 411.33 13.14 0.82% NKY Index 262 13,269 141.70 144.51 2.39 0.83% 33.92 HSI Index 560 29,992 2,913.59 2,967.98 3.14 0.59% (92.12) SHCOMP Index 1,667 (34,398) 343.81 327.15 8.43 0.57% 70.46 KOSPI Index 2,205 44,039 1.88 1.98 10.42 0.48% 36.55 AS51 Index 1,226 33,715 4,948.24 5,128.14 7.04 0.52% 189.47 STSCNZL Index 36,710 73,207 444.47 667.35 101.06 0.50% 65.92 EEM US Equity 28 5,479 42.92 43.14 0.82 0.62% 15.36 IYR US Equity 214 9,689 69.78 71.32 5.80 0.38% 12.51 MDY US Equity 5,234 14,269 184.03 251.53 66.04 0.56% 110.73 JNK US Equity 49 9,733 41.30 41.51 5.16 0.10% 16.52 XLF US Equity 5,827 13,610 15.57 22.24 84.88 0.50% 43.80 XLU US Equity 849 10,859 39.38 42.46 11.78 0.66% 33.18 XLK US Equity 2,914 12,860 30.80 37.78 39.54 0.57% 92.40 XLI US Equity 6,716 16,147 38.20 54.09 80.70 0.52% 93.37 XLP US Equity 748 12,093 42.09 44.69 16.63 0.37% 101.36 XLY US Equity 1,394 5,441 52.24 65.62 41.13 0.62% 28.24 XLE US Equity 949 11,776 88.27 95.38 17.19 0.47% 108.99 XIS US Equity 4,578 15,173 37.71 49.09 59.55 0.51% 199.14 XLV US Equity 13,005 24,346 38.87 59.63 97.31 0.55% 296.74 SXXP Index 7,411 47,431 405.49 468.84 38.01 0.41% 103.68 SXAP Index 10,566 28,526 520.28 712.99 40.75 0.91% 107.25 SXKP Index 4,856 37,626 366.14 413.39 22.33 0.58% 65.74 EFTA00288413 SX6P Index 7,550 38,710 359.38 429.47 38.34 0.51% (15.41) SXEP Index 4,179 51,146 456.85 494.18 13.50 0.61% 219.10 SXIP Index 11,932 28,923 222.31 314.01 79.36 0.52% 10.36 SXNP Index 5,052 28,685 483.46 568.60 32.98 0.53% (0.60) SX3P Index 1,639 31,675 679.66 714.83 13.81 0.37% 182.60 SXDP Index 26,545 61,074 609.16 873.92 90.19 0.48% 258.75 SX4P Index 4,221 27,423 924.54 1,066.84 28.28 0.54% 32.71 SX8P Index 535 10,159 367.89 387.27 7.93 0.66% 11.87 SXOP Index 11,163 43,901 386.96 485.35 42.60 0.60% 47.24 SXQP Index 1,715 44,881 806.50 837.32 10.08 0.38% 273.10 SXRP Index 15 16,765 432.46 432.85 0.20 0.45% 48.50 SXMP Index 1,576 9,936 296.53 343.57 27.60 0.57% 53.80 SXTP Index 23,599 39,247 172.05 275.50 75.44 0.80% 168.88 SX7E Index 3,701 12,087 159.85 208.79 29.28 1.05% (70.41) SXSE Index 7,644 40,877 3,720.00 4,415.66 33.30 0.56% 37.04 SPGSCITR Index (58) (12,481) 5,012.08 5,035.25 -1.30 0.35% (27.12) XAG Curncy 1,645 (15,640) 21.28 19.04 15.47 0.68% (3.90) CO1 Comdty (41) (9,568) 109.50 109.97 0.85 0.51% (13.88) CL1 Comdty 1,298 30,849 99.40 103.58 6.38 0.66% 269.14 NG1 Comdty 2,724 15,160 3.86 4.56 11.67 1.54% (232.30) XAU Comdty 666 (23,727) 86.87 84.43 5.95 0.47% (230.40) IBOXHY Index 3,743 53,418 220.12 235.55 146.98 0.05% 49.43 US_TSY CREDIT 710 100,443 765.33 770.74 7.27 0.10% (72.13) CA_TSY CREDIT 1,100 109,559 1,216.53 1,228.74 4.34 0.23% 222.89 MX_TSY CREDIT 1,519 82,898 221.11 225.16 5.95 0.31% 255.72 AU TSY CREDIT 1,346 81,398 1,506.03 1,530.93 7.10 0.23% 900.96 JP_TSY CREDIT (112) (30,073) 817.28 820.34 -1.79 0.21% (82.40) MY_TSY CREDIT 354 103,107 170.18 170.76 1.72 0.20% 236.84 SG_TSY CREDIT 586 66,005 221.48 223.45 4.17 0.21% 335.46 AT_TSY CREDIT 4,032 81,569 358.40 376.12 20.91 0.24% 43.26 BE_TSY CREDIT 5,395 79,771 477.76 510.07 27.95 0.24% 30.07 PI_TSY CREDIT 3,563 85,645 349.64 364.19 19.47 0.21% 51.47 FR_TSY CREDIT 4,556 82,246 1,684.51 1,777.83 23.95 0.23% 33.70 DE_TSY CREDIT 2,964 84,524 1,247.55 1,291.30 15.67 0.22% 40.67 IE_TSY CREDIT 32,115 78,270 336.92 475.17 206.08 0.20% 179.17 IT_TSY CREDIT 8,710 54,986 1,616.07 1,872.08 59.13 0.27% (2.72) NL_TSY CREDIT 3,756 82,865 1,330.92 1,391.24 19.99 0.23% 38.62 ES_TSY CREDIT 11,019 50,187 392.28 478.41 89.97 0.24% (52.41) DK_TSY CREDIT 3,085 67,396 729.23 762.61 17.02 0.27% 99.96 NO_TSY CREDIT 124 50,645 347.94 348.79 1.09 0.22% 189.93 PL_TSY CREDIT 1,759 35,151 429.04 450.51 23.27 0.22% 181.13 ZA_TSY CREDIT (57) 9,661 86.48 85.97 -0.89 0.66% 127.92 SE_TSY CREDIT (32) (44,333) 464.03 464.37 -0.26 0.28% (77.41) CH_TSY CREDIT 2,949 69,857 1,008.64 1,051.22 18.82 0.22% 147.82 GB_TSY CREDIT 2,263 89,647 1,507.67 1,545.73 12.59 0.20% 213.36 EFTA00288414