EFTA00288415.pdf

Atorus, LLC 5/30/2014 Current Date: 5/30/2014 Change on Day: 0.34% Total Return since 1/1/12: 89.17% MSCI World Change on 712M Return: 37.34% Day 0.11% T9O Day Return: 1.12% No of Positions T3O Day Return: 1.78% (+MTM) on Day 264 Current Long Exposure @ Cost: 5,754,375 No of Positions (-MTM) Current Short Exposure @ Cost: (425,809) on Day 146 Net Exposure: 5,328,566 Current No. of Starting Capital: 1,000,000 Positions: 436 Current NAV: 1,891,702 Current Leverage (Gross Exposures): 3.27 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 Vol-Adj. Risk Listed Equities 50.00% Target Vol-Adj. Risk Global Macro 50.00% Targeted Max Loss (ex-Leverage) 10.00% Leverage Target At Inception: 2X Notes on Leverage: We implement leverage of 2X, in other words at inception we upsize our positions by a factor two times greater than our volatility adjusted position sizing. Leverage levels can be customized to eac h investor. T24M Sharpe Ratio: 1.19 Sharpe Since 1/1/12: 1.29 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. L000,00000 L800,030.00 L600p00.00 1,400,C00.00 L200p00.00 L000,030.00 800,00100 600,00000 O1ry e 01~ dcv eeeeeeeee 0 44 e ev 1' 9.• ei• ei• 4 oP oP A\ oP 44 oPt 4 At' 4 4's N, 4 1' — Se rieS1 EFTA00288415 Atorus, LLC 5/30/2014 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 % of Total Notional 24 Positions • 21.00% DISCA US Equity (6,841) 0.11% DUK US Equity (6,884) 0.11% TGT US Equity (8,574) 0.14% IBOV Index (8,977) 0.15% CO1 Comdty (9,568) 0.15% XAG Curncy (15,640) 0.25% SPGSCITR Index (15,645) 0.25% INDEXCF Index (21,271) 0.34% XAU Comdty (25,211) 0.41% JP_TSY CREDIT (32,078) 0.52% SHCOMP Index (34,398) 0.56% SE_TSY CREDIT (44,333) 0.72% BE_TSY CREDIT 79,771 1.29% AU TSY CREDIT 81,398 1.32% AT_TSY CREDIT 81,569 1.32% FR_TSY CREDIT 82,246 1.33% NL_TSY CREDIT 82,865 1.34% DE_TSY CREDIT 84,524 1.37% PI_TSY CREDIT 85,645 1.39% MX_TSY CREDIT 87,928 1.42% GB_TSY CREDIT 89,647 1.45% US_TSY CREDIT 100,443 1.63% MY_TSY CREDIT 103,107 1.67% CA_TSY CREDIT 109,559 1.77% NAV Impact of MTM by Category & Exposure Listed Equity Long 0.200% Listed Equity Short 0.020% EquityCom Long 0.042% EquityCom Short 0.046% G20 Rates Long 0.058% G20 Rates Short 0.019% MIN Contribution to Yr/Yr NAV Change by Category Listed Equities 44.45% EquityCom 47.31% G20 Rates 9.20% Security MTM Gain % Total NAV 45 Positions 25.72% MDY US Equity 5,184 0.27% BE_TSY CREDIT 5,474 0.29% AZN US Equity 5,538 0.29% AZN LN Equity 5,630 0.30% XLF US Equity 5,870 0.31% NVS US Equity 5,913 0.31% 1N1 US Equity 5,938 0.31% HON US Equity 6,218 0.33% AEX Index 6,230 0.33% UTX US Equity 6,337 0.34% ROG VX Equity 6,604 0.35% XLI US Equity 6,699 0.35% ACA FP Equity 6,919 0.37% FTSEMIB Index 6,979 0.37% DAI GR Equity 7,380 0.39% NOVN VX Equity 7,471 0.39% SXXP Index 7,497 0.40% SXSE Index 7,757 0.41% SX6P Index 7,866 0.42% SMI Index 7,985 0.42% MAERSKB DC Equity 8,223 0.43% MDT US Equity 8,505 0.45% BEL20 Index 8,523 0.45% TMO US Equity 8,578 0.45% PRU LN Equity 8,653 0.46% IT_TSY CREDIT 8,882 0.47% HEX Index 9,264 0.49% MMM US Equity 10,007 0.53% DAX Index 10,206 0.54% SXAP Index 10,716 0.57% IBEX Index 10,916 0.58% SXOP Index 10,955 0.58% ES_TSY CREDIT 11,200 0.59% KFX Index 11,483 0.61% TYC US Equity 11,946 0.63% NDX Index 11,947 0.63% LUXXX Index 12,053 0.64% SXIP Index 12,067 0.64% XLV US Equity 13,105 0.69% ISEQ Index 18,404 0.97% EFTA00288416 SPX Index 20,014 1.06% SXTP Index 23,824 1.26% SXDP Index 26,518 1.40% lE_TSY CREDIT 32,489 1.72% STBCNZL Index 36,586 1S3% No. Nomes by Catega APAC Long 31 APAC Short 17 EMEA Long 73 EMEA Short 12 AMER Long 180 AMER Short 29 EquityCom Long 64 EquityCom Short 7 G20 Rates Long 21 G20 Rates Short 2 Total Long 369 Total Short 67 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 $(500,000) 1 ■ APAC Long ■ APAC Short ■ EMEA Long ■ EMEA Short ■ AMER Long ■ AMER Short ■ EquityCom Long ■ EquityCom Short ■ G20 Rates Long ■ G20 Rates Short EFTA00288417 Atorus, LLC 5/30/2014 Historical Net Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodites, G20 Gov. Credit) 6.000.000 5000(00 4000(00 2,400 s000aoo 2000000 1000000 1000000 ► ri,~l~ .. ~. 3000 APAC —EMEA —AMER EquilyCom -----G2ORmes ‘ NexEposureRIIS '1\~91 (360 ) le\ 1* 1 111 \ IV \ 19%) \ %9• A 99 194Cb419.' 19 • „" Se G e; 1944\41944 (1,030,000) (2,000,000) (1,000,000) (3.000.003) Historical Gross Exposure by Geography (Listed Equities) & Macro (Equity indices & Commodlites, G20 Gov. Credit) 19^," ps% 9,46Q. nclel cr . ce lc" ne 199 1.0." "99 1904_ 094 . (11 4\''' 4 ,„4:" 4' 0, 4 A‘ 05\ % 47 4' — APAC — EAI EA — AMER — EquityCorn G20 R EFTA00288418 Atorus, LIC 5/30/2014 Current Gross Notional Risk by Category 2S5,444 i, i r 639,451 to • APAC • EMEA • AMER • EquityCom • G20 Rates Performance Vs. MSCI World Index 2.15 1.95 1.75 1.55 1.35 1.15 0.95 0.75 O1ry Off~ dc‘g e o3/4" 0, •o, 0, \ \ti cpte e e Ace e e etr S' e o3/4" e i‘s. 4 4‘ 4` AO 0 91 9' 9, P s 4\ 4.$ . *Series1 —Series2 Rolling 30 Day Realized Volatility - EFTA00288419 Atorus, LLC 5/30/2010 Percentile Distribution of Current MTM Gains in Vol Days by Position (ex-99pct & ex-lst percentiles) 70.00 60.00 50.00 40.00 30.00 20.00 10.00 0.410 10.0P 4 4 # SP dr. 4 # _# 4 4 4., dr. dr. 4 # VP 'JCS _IrSa # _ # 4 4 # _# 4 # 4 # 4 4 # _ # 4 el. 4 # _ # # 7 7 7 7 Vol Days by Position Percentile No. Vol Da vs 0.00% -15.80 5.00% -1.94 10.00% -0.58 15.00% 0.01 20.00% 0.53 25.00% 1.41 30.00% 2.99 35.00% 3.90 40.00% 5.13 45.00% 6.75 50.00% 8.62 55.00% 10.95 60.00% 13.56 65.00% 17.02 70.00% 20.84 75.00% 27.00 80.00% 33.09 85.00% 41.43 90.00% 49.80 95.00% 70.37 100.00% 197.68 MTM Gains(Losses) % of NAV "Signficant" (<7 Vol Days) 1.11% MTM Gains(Losses) % of NAV "Signficant" (>7 Vol Days) 44.56% EFTA00288420 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) 5/30/2014 000270 KS Equity (7) 1,240 58.05 57.73 A.60 0.93% (9.32) 005380 KS Equity (43) 3,149 224.35 221.35 -1.36 1.00% (67.32) 005490 KS Equity 103 (3,177) 294.09 284.52 3.58 0.91% 50.71 005930 KS Equity 92 4,464 1,399.47 1,428.33 2.28 0.90% (7.42) 012330 KS Equity 813 5,584 247.00 282.97 16.78 0.87% (21.82) 1 HK Equity 1,367 12,607 16.18 17.93 12.34 0.88% 280.17 1299 HK Equity 289 5,954 4.79 5.02 6.74 0.72% 61.65 13 HK Equity 895 4,897 11.40 13.49 19.32 0.95% 47.59 16 HK Equity 13.63 27 HK Equity (14) 1,384 7.95 7.87 A.58 1.69% 26.04 2914 JP Equity • 985 33.86 33.86 0.00 0.89% 0.98 3382 JP Equity 105 2,327 38.42 40.16 5.45 0.83% 0.67 4063 JP Equity 1 2,640 59.49 59.51 0.04 0.82% (3.75) 4502 JP Equity 49 4,914 44.83 45.28 1.41 0.71% (33.95) 4689 JP Equity 34 2,453 4.49 4.55 0.79 1.76% 46.76 5 HK Equity (156) (4,127) 10.15 10.53 -5.88 0.64% 4.56 5108 JP Equity - 880 35.92 35.92 0.00 0.99% 9.93 54011P Equity 8 (5,599) 2.81 2.81 0.18 0.83% (4.00) 63011P Equity (22) 1,669 22.09 21.80 -1.39 0.95% (2.96) 67521P Equity 10.78 - 6902 JP Equity 46.13 - 6954 JP Equity 514 6,864 158.80 170.70 9.16 0.82% (21.29) 7201 JP Equity (61) (2,999) 8.86 9.04 -2.33 0.87% 22.21 7203 JP Equity (16) (4,207) 56.09 56.31 A.53 0.73% (50.82) 7267 JP Equity 54 (4,675) 35.34 34.93 0.99 1.17% (12.15) 762 HK Equity (8) (2,034) 1.48 1.49 A.21 1.80% 49.83 7751 JP Equity 19 5,733 32.67 32.78 0.53 0.63% (2.40) 80311P Equity (72) (917) 14.10 15.20 .9.18 0.85% (69.89) 8058 P Equity 152 7,333 19.38 19.78 2.92 0.71% 5.13 8106 JP Equity (27) (3,668) 5.63 5.67 A.69 1.06% (10.51) 83161P Equity (35) (3,372) 39.96 40.38 -0.94 1.10% (7.18) 8411 JP Equity 4 (2,628) 1.94 1.94 0.28 0.49% 1.51 8604 JP Equity (73) (3,335) 6.47 6.61 -1.68 1.30% (31.01) 8801 JP Equity 58 4,655 31.26 31.64 0.92 1.34% 8802 JP Equity 7 (4,927) 24.35 24.31 0.12 1.24% 38.05 9020 JP Equity (53) (5,379) 75.21 75.95 .1.32 0.74% (54.57) 941 HK Equity 143 (3,782) 10.19 9.81 4.08 0.93% 17.93 94321P Equity 755 8,321 54.29 59.21 11.87 0.76% 50.75 94331P Equity 233 5,238 56.47 58.98 4.23 1.05% 66.41 94371P Equity (304) (4,919) 15.59 16.56 •8.96 0.69% 12.26 9983P Equity (64) (2,292) 322.77 331.85 .2.75 1.02% 9.87 EFTA00288421 9984 JP Equity 637 71.96 71.96 0.00 1.37% 10.12 AAPL US Equity 1,518 7,877 533.74 636.61 20.10 0.96% 70.45 ABB US Equity 23.73 ABBN VX Equity - 1,091 23.81 23.81 0.00 0.80% ABBV US Equity 285 5,052 51.32 54.22 6.79 0.83% 21.23 ABEV US Equity 119 (3,165) 7.37 7.09 3.86 0.97% 56.99 ABEV3 BZ Equity 128 (3,012) 7.43 7.12 4.12 1.03% 63.66 ABI BB Equity 577 8,888 103.14 109.84 9.13 0.71% 19.82 ABT US Equity 113 4,711 39.00 39.94 4.44 0.54% 37.12 ABX CN Equity 580 (5,037) 18.17 16.08 10.10 1.14% (82.62) ABX US Equity 592 (4,324) 18.49 15.96 11.85 1.15% (40.87) ACA FP Equity 6,919 5,408 6.83 15.58 105.25 1.22% (451.37) ACE US Equity 646 11,217 97.97 103.62 17.56 0.33% 18.42 ACN US Equity 343 8,563 77.97 81.09 6.66 0.60% 98.70 ADP US Equity 239 6,767 76.95 79.67 6.54 0.54% 33.59 AFL US Equity • 1,165 61.23 61.23 0.00 0.64% (0.98) AGN US Equity 4,902 9,698 110.56 166.45 27.93 1.81% 783.44 Al FP Equity (520) 12,864 137.64 132.30 .4.97 0.81% 114068. AIG US Equity 574 7,924 50.36 54.01 8.71 0.83% 8.11 AIR FP Equity 117 3,660 69.52 71.74 3.13 1.02% 6.29 ALV GR Equity 16 7,052 169.21 169.59 0.33 0.69% 0.70 ALVG IX Equity 34 5,730 168.62 169.62 0.88 0.67% 6.45 AMGN US Equity 14 5,046 115.42 115.73 0.33 0.81% (4.06) AMT US Equity 1,918 12,212 77.36 89.50 28.47 0.55% 59.34 AMZN US Equity (40) (2,898) 306.51 310.75 -0.85 1.63% 22.35 ANZ AU Equity 616 12,947 29.78 31.19 6.89 0.69% (58.57) APA US Equity 329 6,493 88.62 93.11 7.56 0.67% 27.71 APC US Equity 192 5,312 99.39 102.99 4.74 0.76% 7.18 AXP US Equity 2,880 10,534 71.80 91.43 42.30 0.65% 61.39 AZN LN Equity 5,630 12,676 49.80 71.92 19.84 2.24% 57.55 AZN SS Equity 4,985 12,119 50.82 71.72 18.85 2.18% AZN US Equity 5,538 12,812 50.30 72.04 20.50 2.11% 157.48 BA US Equity 444 8,072 128.04 135.08 8.09 0.68% 13.04 BAC US Equity 15.14 - BARC LN Equity 35 5,219 4.11 4.14 0.49 1.37% 37.35 BAS GR Equity 1,355 7,675 97.98 115.27 24.41 0.72% 15.12 BATS LN Equity 892 7,532 53.98 60.37 15.17 0.78% 75.65 BAX US Equity 59 4,842 73.52 74.42 2.68 0.46% 0.76 BAYN GR Equity 553 9,264 136.33 144.46 7.80 0.76% 85.15 BBAS3 BZ Equity 19 (1,410) 10.34 10.20 0.93 1.45% 38.27 BBD US Equity (234) 4,539 14.78 14.06 -4.54 1.13% (126.03) BBDC4 BZ Equity (242) 4,490 14.80 14.04 -4.71 1.14% (140.19) BBL US Equity 80 (2,804) 64.60 62.76 3.47 0.82% 84.30 BBVA SM Equity 1,550 6,204 10.24 12.80 35.54 0.70% 58.40 BCE CN Equity 188 9,622 44.94 45.82 5.26 0.37% 28.04 BCS US Equity 17 5,457 16.46 16.51 0.24 1.30% 22.87 BEN US Equity 118 3,181 53.16 55.12 3.81 0.97% (10.30) EFTA00288422 BG/ IN Equity (355) (3,788) 18.76 20.52 .8.24 1.14% (6.91) BHP AU Equity 18 9,507 34.49 34.55 0.22 0.83% (66.57) BHP US Equity (14) 7,278 67.99 67.87 -0.22 0.88% (204.19) BBB US Equity 319 1,066 245.93 319.46 21.12 1.42% 5.81 BIL Si Equity 163 (4,833) 32.51 31.41 4.97 0.68% 145.85 BK US Equity 420 8,609 32.86 34.47 5.99 0.81% (1.41) BUC US Equity 72 3,418 298.32 304.59 3.80 0.55% 7.70 BLT IN Equity 108 (3,724) 32.47 31.53 3.57 0.81% 94.85 BMO CN Equity 680 14,492 66.99 70.13 11.97 0.39% 9.85 BMW GR Equity 1,386 5,212 99.22 125.60 32.42 0.82% 33.49 BMY US Equity 5 1,938 49.59 49.72 0.25 1.00% 14.62 BN FP Equity 4 2,870 74.49 74.59 0.18 0.74% 12.62 BNP FP Equity 201 (4,695) 71.94 68.86 4.78 0.89% 186.56 BNS CN Equity 1,105 13,275 59.11 64.03 20.07 0.41% 87.19 BP/ LN Equity 856 10,051 7.78 8.44 14.58 0.58% (31.44) BRK/B US Equity 913 14,754 120.77 128.25 16.11 0.38% 67.73 BSBR US Equity 23 3,373 6.70 6.75 0.62 1.10% 3.37 BUD US Equity 547 9,049 103.62 109.88 9.09 0.67% (4.57) BX US Equity (20) 2,814 31.12 30.89 -0.49 1.45% (26.66) C US Equity 13 3,768 47.33 47.48 0.55 0.61% 16.49 CA FP Equity 238 3,932 34.37 36.45 6.85 0.88% (22.18) CAT US Equity 1,879 14,645 90.43 102.04 19.11 0.67% (187.30) CBA AU Equity 1,531 17,559 69.92 76.02 17.07 0.51% (40.32) CBS US Equity (17) 2,487 60.04 59.62 -0.70 1.00% (19.33) CCL US Equity 659 6,257 36.20 40.02 12.26 0.86% 66.43 CELG US Equity 98 4,174 149.38 152.87 2.29 1.02% 2.04 CFR VX Equity 641 9,275 98.59 105.40 9.88 0.70% CL US Equity 2,832 22,469 60.16 67.75 28.86 0.44% 393.29 CM CN Equity 603 12,827 84.55 88.52 9.47 0.50% (201.46) CMCSA US Equity 191 7,922 50.83 52.06 4.01 0.60% 11.91 CMCSK US Equity 5,147 12,610 36.71 51.69 70.97 0.58% 47.74 CNI US Equity 2,274 13,430 51.69 60.44 33.24 0.51% 27.20 CNQ CN Equity 1,123 10,769 36.73 40.57 12.35 0.84% 21.03 CNR CN Equity 2,237 13,453 51.87 60.49 34.62 0.48% 47.35 COF US Equity 1,046 7,643 69.45 78.96 23.32 0.59% 42.60 COP US Equity 375 7,930 76.19 79.79 8.25 0.57% 46.64 COST US Equity 139 9,550 114.02 115.68 2.48 0.59% 115.74 COV LN Equity #WA N/A COV US Equity 995 7,190 64.20 73.09 22.40 0.62% 68.59 CRM US Equity (10) 933 53.87 53.29 -0.54 1.99% (18.86) CS FP Equity 947 24.66 24.66 0.00 0.92% 7.30 CSCO US Equity 15 6,415 24.58 24.63 0.31 0.76% (9.36) CSX US Equity 1,542 9,563 25.32 29.40 26.88 0.60% (52.85) CVE CN Equity 29.60 - CVS US Equity 2,640 12,458 64.55 78.23 40.09 0.53% 141.54 CVX US Equity 31 (4,572) 123.45 122.62 1.25 0.54% (18.77) D US Equity 1,745 13,256 60.80 68.80 21.89 0.60% 85.05 EFTA00288423 DAI GR Equity 7,380 13,908 62.20 95.21 58.87 0.90% 143.14 DBK GR Equity 185 (5,592) 41.95 40.56 4.01 0.82% 64.33 DD US Equity 3,364 13,534 55.43 69.20 50.54 0.49% 131.38 DDAIF US Equity 4,241 8,377 63.20 95.20 52.71 0.96% 77.06 DE US Equity 495 10,094 86.88 91.14 10.36 0.47% 33.39 DELL US Equity #WA WA DG FP Equity 4,386 10,090 51.66 74.11 76.97 0.56% 5.28 DGE LN Equity 99 2,332 30.86 32.17 4.91 0.87% 26.00 DHR US Equity 297 8,786 75.80 78.36 5.09 0.66% 0.01 DIS US Equity 2,290 11,329 69.87 83.99 30.06 0.67% 17.75 DISCA US Equity (118) (6,841) 75.84 77.15 -1.81 0.96% 73.02 DNB NO Equity 449 5,943 17.45 18.76 9.93 0.76% DOW US Equity 2,985 7,396 37.11 52.09 45.14 0.89% 3.01 DPW GR Equity 173 660 29.41 37.09 27.35 0.96% 3.84 DTE GR Equity 828 7,575 15.16 16.81 10.91 1.00% 112.54 DTV US Equity 3,482 10,622 61.97 82.29 30.24 1.08% (10.64) DUK US Equity (9) (6,884) 70.75 70.84 0.29 0.47% (12.74) DVN US Equity 1,850 11,401 63.51 73.81 20.69 0.78% 14.22 EBAY US Equity 11 (2,223) 50.67 50.41 0.54 0.94% (12.22) Ea US Equity 339 9,882 105.45 109.07 8.43 0.41% 60.98 EDF FP Equity 4,586 9,189 23.45 35.15 47.09 1.06% (462.51) EMC US Equity 533 10,986 25.35 26.58 7.24 0.67% (63.26) EMR US Equity (13) 8,739 66.79 66.70 -0.24 0.62% 15.22 ENS CN Equity 474 12,532 45.66 47.38 8.55 0.44% 55.27 ENEL IM Equity 2,407 8,902 4.48 5.70 28.03 0.96% 90.47 ENI IM Equity 621 11,929 24.33 25.60 7.46 0.70% (4.95) EOAN GR Equity 138 4,560 18.88 19.45 3.25 0.93% 48.06 EOG US Equity 2,640 5,841 72.84 105.76 38.59 1.17% (16.71) EPD US Equity 2,223 13,548 63.98 74.47 29.19 0.56% 126.24 ERICB SS Equity (16) 7,934 12.51 12.48 -0.24 0.82% ESRX US Equity 53 5,382 70.60 71.29 1.26 0.78% 15.76 ETN US Equity 81 5,260 72.48 73.59 2.26 0.68% (26.80) F US Equity (80) (724) 14.82 16.46 -15.24 0.73% 2.32 F8 US Equity 1,144 2,630 44.06 63.22 23.52 1.85% (39.68) FCX US Equity 65 6,027 33.55 33.91 1.22 0.88% (52.44) FDX US Equity 459 4,639 131.27 144.27 15.76 0.63% 10.35 FOX US Equity 322 6,139 32.72 34.44 5.47 0.96% 14.85 FOXA US Equity 292 5,663 33.68 35.42 5.31 0.97% 15.75 FP FP Equity 1,808 14,528 62.63 70.42 19.67 0.63% (0.97) G IM Equity 80 5,340 22.35 22.69 1.91 0.78% 25.47 GE US Equity 2,603 13,140 22.32 26.74 42.83 0.46% 40.79 GILD US Equity 199 4,205 77.50 81.18 3.92 1.21% (52.86) GIS US Equity 1,959 23,606 50.60 54.80 21.47 0.39% 131.94 GLE FP Equity 57.64 - GLEN LN Equity (118) (2,955) 5.22 5.43 -5.83 0.68% 29.57 GLW US Equity 3,625 11,991 16.37 21.32 45.80 0.66% (44.93) GM US Equity 13 4,841 34.41 34.50 0.38 0.73% 12.88 EFTA00288424 GOOG US Equity 5 3,422 558.07 558.96 0.15 1.08% (11.20) GS US Equity (27) 4,854 160.65 159.76 -0.61 0.91% (28.83) GSK LN Equity 150 5,707 26.22 26.91 3.37 0.78% (30.14) GSZ FP Equity 1,171 11,763 25.40 27.93 12.53 0.79% 99.96 HAL US Equity 1,915 7,135 50.67 64.27 29.45 0.91% 79.04 HD US Equity 572 7,619 74.42 80.01 9.89 0.76% 21.49 HMB SS Equity (53) 7,694 42.69 42.40 -1.09 0.63% HON US Equity 6,218 11,930 61.10 92.94 97.13 0.54% 54.21 HPQ US Equity 2,355 7,711 25.70 33.56 31.60 0.97% (26.30) HSBA LN Equity 160 7,322 10.32 10.55 3.24 0.67% 21.27 IBE SM Equity 2,203 7,531 5.56 7.19 53.21 0.55% 120.09 IBM US Equity 163 (5,775) 189.05 183.72 3.90 0.72% (21.54) IMT LN Equity 3,006 13,847 37.07 45.12 33.96 0.64% 95.53 INTC US Equity 1,507 12,606 24.31 27.21 22.92 0.52% 164.63 ISP IM Equity 4,217 5,699 1.93 3.36 60.54 1.22% 125.01 ITUB US Equity (105) 5,715 15.87 15.59 -1.88 0.98% (185.06) ITUB4 BZ Equity (41) 4,601 15.79 15.65 -0.87 1.02% (155.42) ITW US Equity 3,875 14,011 67.84 86.60 59.15 0.47% (4.89) ITX SM Equity 26 (3,652) 146.45 145.40 1.40 0.51% (14.12) JCI US Equity (8) 3,124 48.45 48.33 -0.22 1.14% 0.01 JNJ US Equity 5,938 18,676 76.77 101.18 87.13 0.36% 151.90 JPM US Equity (1) 2,294 55.57 55.55 -0.05 0.67% (1.63) KMB US Equity 415 9,903 107.52 112.03 9.07 0.46% 81.23 KMI US Equity 85 (6,775) 33.81 33.38 1.98 0.64% 39.12 KO US Equity (13) (3,333) 40.65 40.81 -1.25 0.30% (9.93) LBTYA US Equity 158 5,724 43.92 45.14 3.24 0.85% (18.24) LBTYK US Equity 187 7,049 41.83 42.94 3.59 0.74% (25.28) LIN GR Equity 433 9,647 199.93 208.91 5.79 0.78% 51.83 LLOY LN Equity 230 1,914 1.16 1.30 11.71 1.03% 14.73 LLY US Equity 64 4,953 59.03 59.79 1.96 0.65% 19.68 LMT US Equity 674 2,016 122.48 163.41 61.15 0.55% 15.07 LNKD US Equity 306 (2,461) 183.83 160.99 5.52 2.25% 27.33 LOW US Equity 14 4,313 46.77 46.92 0.30 1.08% 5.20 LVS US Equity (1) 1,243 76.55 76.48 0.06 1.41% (2.20) LYB US Equity 1,561 2,297 59.29 99.59 108.72 0.63% (4.70) MA US Equity 125 3,476 73.94 76.59 3.66 0.98% (10.83) MAERSKB DC Equity 8,223 14,320 #WA N/A 58.93 0.97% MC FP Equity 396 6,459 187.39 198.88 12.08 0.51% 100.62 MCD US Equity 49 9,603 100.64 101.15 1.16 0.44% (3.49) MCK US Equity 317 2,181 164.92 188.89 18.98 0.77% 25.46 MDIZ US Equity 4,219 13,702 28.71 37.55 48.85 0.63% 68.07 MDT US Equity 8,505 20,811 43.22 60.89 70.17 0.58% 190.65 MET US Equity 1,108 7,556 44.37 50.87 14.60 1.00% 18.57 MFC CN Equity 1,227 2,561 12.38 18.30 62.66 0.76% 3.09 MHS US Equity #WA N/A MMM US Equity 10,007 21,331 96.89 142.35 94.58 0.50% 93.38 MO US Equity 1,483 13,034 37.23 41.47 22.88 0.50% 128.19 EFTA00288425 MON US Equity 1,753 11,917 106.02 121.61 24.71 0.60% 45.84 MOS US Equity 49.91 - MRK US Equity 1,813 11,769 50.18 57.91 18.38 0.84% 126.16 MS US Equity 33 2,280 30.40 30.84 1.25 1.17% (14.05) MSFT US Equity 1,248 8,630 35.62 40.77 23.20 0.62% 158.45 MUV2 GR Equity 751 6,116 197.70 221.99 14.27 0.86% 10.21 NAB AU Equity (180) 13,313 31.51 31.09 -1.93 0.70% 14.21 NCM AU Equity 9.14 - NEE US Equity 4,941 15,275 73.39 97.13 55.81 0.58% 172.38 NEM US Equity 551 (2,318) 29.86 22.77 16.07 1.48% 2.08 NESN VX Equity 1,256 11,809 70.94 78.49 22.36 0.48% NG/ LN Equity 3,272 13,331 11.98 14.92 43.04 0.57% 83.12 NKE US Equity 381 4,263 70.43 76.73 11.65 0.77% 27.52 NOK US Equity 4,657 4,498 3.96 8.07 83.44 1.24% 223.80 NOV US Equity (477) 8,643 77.77 73.70 -5.46 1.01% (821.05) NOVN VX Equity 7,471 20,816 66.12 89.85 64.26 0.56% NOVOB DC Equity 458 9,444 #N/A N/A 5.13 0.95% NSC US Equity 2,424 10,420 81.65 100.65 36.39 0.64% (22.78) NVS US Equity 5,913 17,474 67.12 89.83 73.16 0.46% (65.58) OGXP3 BZ Equity 4,018 (4,107) 4.39 0.10 40.97 2.39% (495.95) OR FP Equity 389 8,826 167.38 174.76 7.58 0.58% (18.25) ORA FP Equity 1,838 8,559 13.80 16.77 20.52 1.05% (7.93) ORCL US Equity 1,976 8,805 34.29 41.99 43.90 0.51% (2.39) OXY US Equity 348 8,172 95.47 99.54 7.69 0.55% 8.38 PBR US Equity 45 (1,244) 14.72 14.19 2.26 1.59% 46.92 PBR/A US Equity 52 (1,262) 15.75 15.10 2.53 1.65% 57.50 PCLN US Equity 443 3,796 1,146.24 1,279.90 8.67 1.34% (4.85) PCP US Equity 70 4,610 248.55 252.34 1.86 0.82% (0.11) PEP US Equity 685 12,677 83.59 88.11 12.69 0.43% 79.61 PETR3 BZ Equity 86 (1,892) 7.43 7.09 2.99 1.53% 83.51 PETR4 BZ Equity 83 (1,774) 7.91 7.54 2.92 1.59% 82.72 PFE US Equity (2) 2,897 29.64 29.62 0.08 0.88% (0.34) PG US Equity 191 11,013 79.25 80.63 3.88 0.45% 45.86 PHIA NA Equity 31.60 - PM US Equity 174 6,496 86.22 88.53 6.23 0.43% 37.00 PNC US Equity 1,010 9,010 76.60 85.19 16.84 0.67% 73.22 POT CN Equity 41 6,886 36.04 36.26 0.89 0.67% 12.44 POT US Equity (15) 7,998 36.33 36.26 -0.31 0.60% 10.10 PRU LN Equity 8,653 10,521 12.76 23.26 111.15 0.74% (78.16) PSA US Equity 828 13,406 162.12 172.13 12.53 0.49% 163.34 PSX US Equity 1,880 6,461 65.64 84.74 38.14 0.76% 76.97 PX US Equity 2,682 16,431 113.63 132.18 43.12 0.38% 84.62 QCOM US Equity 2,515 12,547 66.83 80.22 35.75 0.56% 15.60 QQQ US Equity 2,683 9,597 71.29 91.22 48.23 0.58% 11.52 RAI US Equity 1,299 10,690 53.26 59.73 15.31 0.79% 136.77 RDS/A US Equity 554 11,546 75.02 78.62 8.85 0.54% (37.83) RDS/B US Equity 412 11,427 78.85 81.69 4.78 0.75% (70.62) EFTA00288426 RDSA LN Equity 709 9,744 36.73 39.41 11.85 0.61% (24.77) RDSA NA Equity 489 11,195 37.76 39.40 7.76 0.56% (24.82) RDSB IN Equity 499 10,889 39.07 40.87 6.45 0.71% (56.15) REGN US Equity 70 6,240 302.78 306.17 0.70 1.59% 9.11 RIO AU Equity (186) 3,494 58.18 55.24 -5.00 1.06% (40.02) RIO LN Equity (219) 3,855 54.65 51.71 -6.28 0.91% (97.35) RIO US Equity (189) 3,947 53.92 51.46 -4.51 1.06% (132.32) ROG VX Equity 6,604 17,035 212.78 295.27 68.73 0.56% RY CN Equity 466 11,337 66.05 68.76 8.94 0.46% (3.90) SAB IN Equity 1,405 11,420 49.47 55.56 15.45 0.80% 95.13 SAN FP Equity (51) (4,530) 105.52 106.71 -1.65 0.69% (23.87) SAN SM Equity 1,703 9,429 8.66 10.23 30.22 0.60% 64.69 SAN US Equity 1,357 7,651 8.68 10.22 24.62 0.72% 62.86 SAP GR Equity 76.66 SAP US Equity 76.49 SBUX US Equity 27 6,585 72.70 73.01 0.63 0.66% 4.79 SGO FP Equity 2,313 7,923 44.20 57.10 40.19 0.73% (11.46) SI US Equity #N/A N/A SIE GR Equity 855 5,345 114.81 133.19 19.12 0.84% 3.13 SLB US Equity 2,038 9,268 85.16 103.89 38.61 0.57% 58.11 SMSN LI Equity 130 7,267 696.26 708.76 1.77 1.01% (28.14) SO US Equity (124) 11,861 44.11 43.65 -1.74 0.60% 68.32 SPG US Equity (232) 12,778 168.93 165.92 -3.70 0.49% 61.54 SREN VX Equity 89.08 STAN LN Equity (3) 5,034 22.52 22.51 .0.07 0.69% (4.27) STL NO Equity 1,680 11,476 26.77 30.69 16.88 0.87% STT US Equity 26 3,883 64.77 65.20 0.72 0.93% 8.45 SU CN Equity 452 11,105 36.96 38.46 4.95 0.82% 2.16 SU FP Equity 763 8,613 86.36 94.01 8.65 1.02% 32.80 SU US Equity 445 9,658 36.78 38.48 5.66 0.81% 7.51 SWEDA SS Equity 110 4,735 25.97 26.57 3.28 0.71% SYNN VX Equity (302) (4,132) 359.52 385.81 -15.80 0.46% T US Equity (11) (2,731) 35.30 35.44 -0.59 0.66% (9.07) TD CN Equity 904 12,877 46.28 49.53 15.12 0.46% 29.14 TEF SM Equity 334 7,580 16.07 16.77 5.97 0.74% 43.31 TEF US Equity 311 6,344 15.95 16.73 6.19 0.79% 22.44 TGT US Equity 942 (8,574) 63.57 56.59 12.39 0.89% (144.03) TJX US Equity 2 (2,423) 54.50 54.45 0.11 0.91% (3.96) TLS AU Equity 931 13,319 4.66 4.98 13.56 0.52% (13.14) TLSN SS Equity (295) (5,268) 7.02 7.41 -9.27 0.60% TM US Equity 102 (5,774) 115.16 113.12 2.99 0.59% (93.40) TMO US Equity 8,578 10,218 63.59 116.97 106.76 0.79% 53.63 TOT US Equity 1,075 7,801 61.19 69.62 19.83 0.69% (2.66) TRP CN Equity (10) 887 47.13 46.61 -2.10 0.53% (2.27) TRV US Equity 1,014 12,867 86.72 93.56 15.64 0.50% (69.40) TSCO LN Equity 565 (6,286) 5.60 5.09 8.59 1.04% (0.13) TWC US Equity 901 5,234 120.22 140.92 30.12 0.57% 8.66 EFTA00288427 TWX US Equity 313 9,336 67.62 69.89 4.34 0.77% (53.56) TXN US Equity 4,176 12,205 34.93 46.88 33.86 1.01% 119.21 TYC US Equity 11,946 24,080 29.17 43.64 62.95 0.79% 73.63 UBS US Equity 37 2,373 19.76 20.07 2.26 0.69% (19.53) UBSN VX Equity 39 2,230 19.78 20.12 2.25 0.77% UCG IM Equity 2,985 5,500 5.62 8.67 41.15 1.32% 71.51 ULVR LN Equity 290 6,329 42.99 44.96 7.62 0.60% 22.96 UNA NA Equity 217 7,481 42.16 43.38 4.44 0.65% 18.04 UNH US Equity 2,394 10,191 64.28 79.38 33.16 0.71% 63.91 UNP US Equity 2,434 13,232 167.68 198.53 31.48 0.58% 89.10 UPS US Equity 4,452 14,806 79.87 103.89 47.64 0.63% 8.46 USB US Equity 3,069 14,451 34.80 42.19 47.65 0.45% 89.28 UTX US Equity 6,337 15,190 82.05 116.28 69.89 0.60% 6.85 V US Equity 370 6,218 202.38 214.43 8.23 0.72% 8.69 VALE US Equity 393 (2,664) 14.92 12.72 10.99 1.34% 89.01 VALE3 BZ Equity 459 (2,939) 15.07 12.71 10.94 1.43% 110.85 VIAB US Equity 3,832 9,272 60.42 85.38 67.96 0.61% (32.91) VIV FP Equity 26.25 VMW US Equity 413 4,785 89.16 96.85 5.89 1.46% (89.47) VOD LN Equity 312 (3,800) 3.83 3.51 9.45 0.87% (3.63) VOD US Equity 305 (3,458) 38.42 35.03 9.63 0.92% (0.90) VOW3 GR Equity 83 3,208 259.69 266.37 4.12 0.62% 11.04 VRX CN Equity 518 2,771 109.70 130.21 13.79 1.36% 45.37 VRX US Equity 761 1,880 93.20 130.94 30.26 1.34% 54.76 VTI US Equity 744 5,134 86.91 99.50 33.09 0.44% 10.63 VWO US Equity 11 4,447 42.23 42.33 0.39 0.62% (46.27) VZ US Equity 31 5,565 49.62 49.90 0.87 0.64% 27.50 WBC AU Equity 434 11,844 30.87 32.00 5.14 0.71% (16.63) WES AU Equity 447 13,490 39.08 40.38 4.80 0.69% 33.11 WFC US Equity 3,604 12,761 39.49 50.64 56.97 0.50% 121.73 WLP US Equity 4,727 10,369 74.31 108.19 46.86 0.97% (14.96) WMT US Equity 37 9,262 76.31 76.61 0.83 0.48% 76.46 WOW AU Equity 17 4,006 34.79 34.94 0.48 0.88% 12.38 XOM US Equity 1,442 15,893 92.22 100.59 23.55 0.39% (118.20) XTA LN Equity OVA N/A YHOO US Equity (4) 2,439 34.57 34.52 A.13 1.17% (26.32) YUM US Equity 317 7,906 74.14 77.11 6.90 0.58% 40.95 ZURN VX Equity 151 8,022 294.19 299.74 4.81 0.39% Current Portfolio - Global Macro Portfolio Current Price PA in Vol 30P Realized Change on Day Security MTM Gain/(Loss) Exp. 0 Cost Avg. Price (In USD) Days Vol (in USD) SPX Index 20,014 62,272 1,455.70 1,923.57 80.09 0.40% 151.71 NDX Index 11,947 37,348 2,831.19 3,736.82 51.23 0.62% 14.52 RTY Index 315 10,580 1,101.66 1,134.50 3.63 0.82% (53.24) EFTA00288428 SPTSX Index 1,342 40,109 13,023.03 13,458.81 10.15 0.33% 8.80 MEXBOL Index (152) 11,908 3,258.41 3,217.32 -2.00 0.64% (192.69) IBOV Index 254 (8,977) 23,544.78 22,878.79 2.71 1.04% 258.36 MERVAL Index 991 19,018 907.27 954.53 3.89 1.34% (277.32) UKX Index 4,603 43,993 10,390.42 11,477.56 23.40 0.45% (38.82) DAX Index 10,206 36,674 10,610.77 13,563.61 45.34 0.61% 130.89 CAC Index 1,919 24,884 5,723.77 6,165.15 15.58 0.50% (1.85) IBEX Index 10,916 41,628 11,670.18 14,730.51 40.00 0.66% 437.06 SMI Index 7,985 51,399 8,395.47 9,699.79 49.06 0.32% FTSEMIB Index 6,979 25,266 23,118.94 29,505.09 22.99 1.20% 253.66 PSI20 Index 5,057 24,476 8,041.34 9,702.72 20.99 0.98% 234.20 ISEQ Index 18,404 32,079 4,246.25 6,682.41 69.76 0.82% (13.68) ICEXI Index 954 14,393 6.89 7.35 12.86 0.52% AEX Index 6,230 45,555 488.65 555.48 32.68 0.42% 92.46 BEL20 Index 8,523 47,350 3,652.00 4,309.33 41.53 0.43% 78.42 LUXXX Index 12,053 41,632 1,672.08 2,156.15 40.71 0.71% KFX Index 11,483 39,946 #N/A N/A 43.32 0.66% HEX Index 9,264 41,995 8,552.31 10,438.94 37.11 0.59% OMX Index 2,203 23,118 191.41 209.65 15.91 0.60% ATX Index 3,450.26 ASE Index 28 3,372 1,655.35 1,668.95 0.47 1.75% 56.78 OSEBX Index 4,694 27,379 86.39 101.20 30.95 0.55% INDEXCF Index (749) (21,271) 39.64 41.04 -2.70 1.31% 354.23 TOP40 Index 2,048 36,288 3,996.66 4,222.18 7.28 0.78% (681.35) SENSEX Index 4,321 43,256 371.48 408.59 12.31 0.81% (316.96) NKY Index 193 13,269 141.70 143.76 1.78 0.81% (68.97) HSI Index 654 29,992 2,913.59 2,977.16 3.64 0.60% 94.84 SHCOMP Index 1,740 (34,398) 343.81 326.42 8.81 0.57% 80.56 KOSPI Index 1,717 45,441 1.88 1.95 7.68 0.49% (497.12) ASS1 Index 1,096 33,715 4,948.24 5,109.17 6.21 0.52% (128.82) STEtCNZL Index 36,586 73,207 444.47 666.60 104.07 0.48% (123.39) EEM US Equity (38) 4,383 42.92 42.55 -1.38 0.63% (59.43) IYR US Equity 263 10,308 69.89 71.67 6.75 0.38% 51.88 MDY US Equity 5,184 14,269 184.03 250.88 69.14 0.53% (50.27) INK US Equity 54 10,259 41.31 41.53 5.50 0.10% 4.97 XLF US Equity 5,870 13,610 15.57 22.29 88.80 0.49% 43.80 XLU US Equity 926 10,859 39.38 42.74 12.89 0.66% 77.72 XLK US Equity 2,931 12,860 30.80 37.82 41.89 0.54% 16.72 XLI US Equity 6,699 16,147 38.20 54.05 88.88 0.47% (16.89) XLP US Equity 848 12,093 42.09 45.04 19.20 0.37% 101.35 XLY US Equity 1,400 6,257 53.67 65.68 38.64 0.58% 7.00 XLE US Equity 939 12,042 88.41 95.31 18.10 0.43% (9.53) XLB US Equity 4,574 15,233 37.75 49.08 65.54 0.46% (4.03) XLV US Equity 13,105 24,346 38.87 59.79 99.42 0.54% 100.49 SXXP Index 7,497 47,629 405.72 469.58 42.53 0.37% 86.31 SXAP Index 10,716 28,526 520.28 715.73 45.69 0.82% 150.84 SXKP Index 4,985 37,626 366.14 414.65 24.61 0.54% 129.72 EFTA00288429 SX6P Index 7,866 38,710 359.38 432.41 42.76 0.48%r 318.11 SXEP Index 4,092 51,146 456.85 493.41 13.77 0.58% (86.63) SXIP Index 12,067 28,923 222.31 315.05 86.07 0.48% 135.56 SXNP Index 5,131 28,985 484.22 569.93 36.60 0.48% 80.22 SX3P Index 1,814 31,675 679.66 718.58 15.04 0.38% 175.89 SXDP Index 26,518 61,074 609.16 873.65 98.67 0.44% (26.46) SX4P Index 4,338 27,720 925.89 1,070.79 30.89 0.51% 118.83 SX8P Index 623 10,159 367.89 390.46 9.21 0.67% 88.77 SXOP Index 10,955 44,082 387.28 483.52 44.96 0.55% (207.80) SXQP Index 1,975 45,829 807.20 841.99 11.55 0.37% 266.60 SXRP Index 23 16,765 432.46 433.05 0.33 0.41% 7.73 SXMP Index 1,605 11,427 302.01 344.45 27.70 0.51% 33.23 SXTP Index 23,824 39,247 172.05 276.49 80.77 0.75% 226.38 SX7E Index 3,739 12,087 159.85 209.29 32.19 0.96% 38.25 SXSE Index 7,757 41,190 3,724.51 4,425.96 36.57 0.51% 114.19 SPGSCITR Index 53 (15,645) 5,016.75 4,999.62 0.92 0.37% 111.08 XAG Curncy 1,805 (15,640) 21.28 18.82 16.14 0.71% 200.13 CO1 Comdty 8 (9,568) 109.50 109.41 0.16 0.52% 48.76 CL1 Comdty 1,028 30,849 99.40 102.71 4.97 0.67% (267.74) NG1 Comdty 2,657 15,160 3.86 4.54 12.54 1.40% (66.44) XAU Comdty 781 (25,211) 87.78 85.06 6.61 0.47% (193.95) IBOXHY Index 3,794 53,418 220.12 235.75 142.08 0.05% 50.57 US_TSY CREDIT 660 100,443 765.33 770.36 6.66 0.10% (49.85) CA_TSY CREDIT 902 109,559 1,216.53 1,226.54 3.47 0.24% (197.77) MX_TSY CREDIT 1,245 87,928 221.30 224.43 4.45 0.32% (289.11) AU TSY CREDIT 1,474 81,398 1,506.03 1,533.29 7.62 0.24% 127.75 JP_TSY CREDIT (48) (32,078) 817.28 818.51 -0.70 0.21% 71.45 MY_TSY CREDIT 488 103,107 170.18 170.98 2.32 0.20% 133.47 SG_TSY CREDIT 476 66,005 221.48 223.08 3.31 0.22% (110.08) AT_TSY CREDIT 4,133 81,569 358.40 376.56 21.11 0.24% 100.26 BE_TSY CREDIT 5,474 79,771 477.76 510.54 28.04 0.24% 78.55 FI_TSY CREDIT 3,656 85,645 349.64 364.57 19.69 0.22% 93.18 FR_TSY CREDIT 4,589 82,246 1,684.51 1,778.49 24.02 0.23% 32.24 DE_TSY CREDIT 3,088 84,524 1,247.55 1,293.14 16.00 0.23% 124.84 IE_TSY CREDIT 32,489 78,270 336.92 476.78 197.68 0.21% 375.28 IT_TSY CREDIT 8,882 54,986 1,616.07 1,877.11 58.42 0.28% 171.60 NL_TSY CREDIT 3,853 82,865 1,330.92 1,392.81 20.20 0.23% 97.86 ES_TSY CREDIT 11,200 50,187 392.28 479.83 88.01 0.25% 182.21 DK_TSY CREDIT 3,255 67,396 729.23 764.45 17.46 0.28% 170.47 NO_TSY CREDIT (68) 50,762 347.94 347.47 -0.57 0.24% (191.85) PL_TSY CREDIT 1,854 35,151 429.04 451.67 23.64 0.22% 95.28 ZA_TSY CREDIT (150) 4,831 86.40 83.80 4.15 0.75% (118.15) SE_TSY CREDIT 257 (44,333) 464.03 461.34 1.93 0.30% 290.95 CH_TSY CREDIT 3,107 69,857 1,008.64 1,053.50 19.23 0.23% 158.25 GELTSY CREDIT 2,365 89,647 1,507.67 1,547.45 12.94 0.20% 102.39 EFTA00288430