EFTA00288431.pdf

Atorus, LLC Current Date: Total Return since 1/1/12: T12M Return: T9O Day Return: T3O Day Return: Current Long Exposure @ Cost: Current Short Exposure @ Cost: Net Exposure: Starting Capital: Current NAV: 6/3/2014 89.21% 38.64% 1.02% 1.47% 5,774,932 (442,505) 5,332,428 1,000,000 1,892,131 Change on Day: 6/3/2014 0.14% MSCI World Change on Day -0.08% No of Positions (+MTM) on Day No of Positions (-MTM) on Day Current No. of Positions: Current Leverage (Gross Exposures): 201 226 436 3.29 Profit Factor: Win Ratio: T24M (+) NAV Days T24M Avg. Daily NAV (+) Change T24M Avg. Daily NAV (..) Change Target Volad). Risk Listed Equities Target Voladj. Risk Global Macro Targeted Max Loss (ex•Leverage) Leverage Target At Inception: Notes on Leverage: T24M Sharpe Ratio: Sharpe Since 1/1/12: Historical Sharpe & Notes: 2,800,000.00 1,800,000.00 1,6004:00.00 1,400,000.00 1,200,000.00 1,000,000.00 800,000.00 600 MO 00 Historically 2.25X • 3.25X, depending on measurement interval 40% - 50% histor tally 53% 0.99% .0.90% 50.00% 50.00% 10.00% 2X No. of Profitable Positions T12M 59.34% Avg. Realized Gain/Avg. Realized 2.92 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. 1.19 1.28 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. 1ti i"z y'rf is 4 ($)..04 ve, 4 A\ 4 4444 — Se rieS1 1 EFTA00288431 Atorus, LLC 6/3/2014 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 DISCA US Equity (6,841) DUK US Equity (6,884) TG7 US Equity (8,574) CO1 Comdty (9,568) IBOV Index (11,198) XAG Curncy (15,640) SPGSCITR Index (15,778) INDEXCF Index (21,271) XAU Comdty (26,688) SHCOMP Index (34,398) JP_TSY CREDIT (40,109) SE_TSY CREDIT (44,333) BUSY CREDIT 79,771 AU 7SY CREDIT 81,398 AT_TSY CREDIT 81,569 FR_TSY CREDIT 82,246 NL_TSY CREDIT 82,865 DE_TSY CREDIT 84,524 FUMY CREDIT 85,645 CA_TSY CREDIT 87,647 MX_TSY CREDIT 87,928 GB_TSY CREDIT 89,647 US_TSY CREDIT 100,443 MY_TSY CREDIT 103,107 NAV Impact of MTM by Category & Exposure Listed Equity Long -0.022% Listed Equity Short 0.003% EquityCom Long -0.120% EquityCom Short -0.013% G20 Rates Long -0.174% G20 Rates Short 0.010% T12M Contribution (% of total Yr/Yr NAV Change by Category) Listed Equities 45.98% EquityCom 46.43% G20 Rates 7.70% % cd Total Notional Security MTM Gain % Total NAV 20.72%1 45 Positions 25.69% 0.11% AGN US Equity 5,298 0.28% 0.11% CMCSK US Equity 5,317 0.28% 0.14% NVS US Equity 5,649 0.30% 0.15% AZN US Equity 5,807 0.31% 0.18% AZN LN Equity 5,862 0.31% 0.25% XLF US Equity 5,923 0.31% 0.25% 1N1 US Equity 6,104 0.32% 0.34% AEX Index 6,253 0.33% 0.43% HON US Equity 6,293 0.33% 0.55% 117X US Equity 6,482 0.34% 0.65% ROG VX Equity 6,761 0.36% 0.71% XLI US Equity 6,797 0.36% 1.28% ACA FP Equity 6,864 0.36% 1.31% FTSEMIB Index 7,118 0.38% 1.31% NOVN VX Equity 7,185 0.38% 1.32% DAI GR Equity 7,211 0.38% 1.33% SXXP Index 7,445 0.39% 1.36% SXSE Index 7,640 0.40% 1.38% SMI Index 7,773 0.41% 1.41% SX6P Index 7,946 0.42% 1.41% MAERSKB DC Equity 8,327 0.44% 1.44% BEL20 Index 8,360 0.44% 1.62% IMO US Equity 8,496 0.45% 1.66% MDT US Equity 8,526 0.45% PRU LN Equity 8,651 0.46% I7_7SY CREDIT 8,722 0.46% HEX Index 9,454 0.50% MMM US Equity 10,019 0.53% DAX Index 10,080 0.53% SXAP Index 10,529 0.56% IBEX Index 10,878 0.57% SXOP Index 11,003 0.58% ES_TSY CREDIT 11,083 0.59% KFX Index 11,592 0.61% LUX) Index 11,652 0.62% NDX Index 11,896 0.63% TYC US Equity 12,014 0.63% SXIP Index 12,019 0.64% XLV US Equity 13,155 0.70% ISEQ Index 18,404 0.97% EFTA00288432 SPX Index 20,074 1.06% SXTP Index 23,943 1.27% SXDP Index 26,487 1.40% IE_TSY CREDIT 32,471 1.72% STBCNZL Index 36,571 1.93% No. Names APAC Long 31 APAC Short 17 EMEA Long 73 EMEA Short 13 AMER Long 182 AMER Short 28 EquityCom Long 65 EquityCom Short 7 G20 Rates Long 21 G20 Rates Short 2 Total Long 369 Total Short 67 Current Exposure by Geography (listed Equities) & Macro (Equity Indices & Cornmodiltes, G20 Gov. Credit) $2,500,000 $2,000,000 $1,500,000 51,000,000 $500,000 $- $(500,000) ■ APAC Long ■ APAC Short ■ EMEA Long ■ EMEA Short ■ AMER Long ■ AMER Short ■ EquityCom Long ■ EquityCom Short ■ G20 Rates Long ■ G20 Rates Short EFTA00288433 Atorus, LLC 6/3/2014 Historical Net Exposure by Geography (Listed Equities) & Maao (Equity Indices & Commodites, G20 Gov. Credit) 6,000.000 5,000,000 4,000,000 "°" 30 2,000,000 1,000,000 —APAC — EWA —AMER — EqurtyCom —G20 Rates NexEposute REG 2,000,000 1,500,000 1,000,000 500,000 1 (OR (1.000.000) O9% 1 \ izte \ . 1 611. \ \ 1 9 ', 1, l ieb 0 , sir \ \%, \ \ O1) % c : 1 9 \ \ % 46 4 ) 1 t,11:4 \d e ll 0. \Na \ 0,000,0E0) (2,000,0E0) (3,000,003) Historical Gross Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodlites, G20 Gov. Credit) EFTA00288434 Atorus, LIC 6/3/2014 Current Gross Notional Risk by Category 2S5,444 406;9,451 4 1111 :\,,,_ • APAC • EMEA • AMER • EquityCom • G20 Rates Performance Vs. MSCI World Index 115 1.95 1.75 1.55 1.35 1.15 0.95 0.75 Nert. A a a a NI> .„1, ••• titi r ecee ,t) 0 0 1), 0 .—*Serits1 —Serits2 Rolling 30 Day Realized Volatility - A EFTA00288435 Atorus, LLC 6/3/2010 Percentile Distribution of Current MTM Gains in Vol Days by Position (ex-99pct & ex-1st percentiles) 70.00 60.00 50.00 40.00 30.00 20.00 10.00 «CO 10.09 A/////0 4 _41- 13 / g /g/ggg g_ e c94* 2 2 2 7 .P,/3 Vol Days by Position Percentile No. Vol Da 0.00% -16.19 5.00% -2.21 10.00% -0.92 15.00% 0.00 20.00% 0.69 25.00% 1.62 30.00% 2.62 35.00% 3.88 40.00% 5.18 45.00% 6.56 50.00% 8.12 55.00% 10.26 60.00% 13.44 65.00% 16.89 70.00% 20.64 75.00% 25.57 80.00% 33.31 85.00% 43.27 90.00% 51.71 95.00% 72.12 100.00% 203.30 MTM Gains(Losses) % of NAV "Signficant" (<7 Vol Days) 1.18% MTM Gains(Losses) % of NAV "Signficant" (>7 Vol Days) 44.36% EFTA00288436 Atorus, LLC Current Portfolio -Listed Equity Portfolio Current Price P/L in Vol 309 Realized Change on Day Security MTM Gain/(Loss) Exp. ea Cost Avg. Price (in USD) Days Vol (in USD) 000270 KS Equity (20) 930 56.98 55.78 -2.21 0.98% (16.34) 005380 KS Equity (49) 3,149 223.71 220.27 -1.62 0.97% (8.59) 005490 KS Equity 75 (3,177) 288.33 281.49 2.69 0.88% 63.66 005930 KS Equity 47 4,464 1,427.20 1,442.22 1.17 0.90% 89.42 012330 KS Equity 752 5,584 246.07 279.23 15.49 0.87% (23.96) 1 HK Equity 1,367 12,607 16.32 18.09 12.34 0.88% 1299 HK Equity 289 5,954 4.83 5.06 6.74 0.72% 13 HK Equity 895 4,897 11.51 13.62 19.32 0.95% 16 HK Equity 13.87 27 HK Equity (14) 1,384 7.87 7.79 -0.58 1.69% 2914 JP Equity 9 1,879 34.03 34.18 0.50 0.91% 0.57 3382 JP Equity 115 2,476 38.77 40.57 5.83 0.80% 15.73 40631P Equity 30 3,520 60.02 60.53 1.01 0.84% 21.84 45021P Equity 61 4,914 45.16 45.72 1.81 0.68% 36.91 46891P Equity 102 2,453 4.47 4.66 2.43 1.72% (9.40) 5 HK Equity (156) (4,127) 10.12 10.50 -5.88 0.64% 5108 JP Equity (3) 1,739 35.90 35.84 -0.17 1.00% 1.91 S4011P Equity (19) (5,599) 2.83 2.84 -0.43 0.80% (42.72) 63011P Equity (8) 835 22.28 22.07 -1.03 0.91% 7.02 67521P Equity 11.04 69021P Equity 47.17 - 6954 JP Equity 500 6,864 160.80 172.51 8.85 0.82% 92.68 72011P Equity (64) (2,999) 8.91 9.11 -2.48 0.87% (19.07) 7203 JP Equity (55) (4,207) 56.57 57.31 -1.77 0.74% (35.45) 7267 JP Equity 27 (4,675) 35.35 35.14 0.50 1.16% (0.78) 762 HK Equity (8) (2,034) 1.49 1.50 -0.21 1.80% 77511P Equity 26 5,733 32.79 32.94 0.74 0.62% (4.80) 80311P Equity (62) (1,384) 14.41 15.06 -5.14 0.87% (21.82) 80581P Equity 134 7,826 19.56 19.89 2.40 0.71% (28.70) 8106 JP Equity (40) (3,668) 5.72 5.78 -1.08 1.02% (52.43) 83161P Equity (64) (3,372) 40.72 41.50 -1.70 1.12% (37.23) 84111P Equity (11) (1,971) 1.98 1.99 -1.07 0.50% (59.16) 8604 JP Equity (69) (3,335) 6.56 6.70 -1.63 1.27% 65.13 88011P Equity 169 4,655 31.84 32.99 2.70 1.34% 8802 JP Equity (85) (4,927) 24.58 25.00 -1.38 1.26% (45.88) 90201P Equity (75) (5,379) 76.05 77.11 -1.88 0.74% (59.09) 941 HK Equity 143 (3,782) 10.28 9.89 4.08 0.93% 94321P Equity 813 8,614 55.52 60.76 12.62 0.75% 183.71 94331P Equity 275 5,790 56.65 59.34 4.64 1.02% (9.12) 94371P Equity (231) (3,689) 15.68 16.66 -9.23 0.68% (19.21) 99831P Equity (95) (2,292) 327.38 340.97 -4.11 1.01% (31.33) 6/3/2014 EFTA00288437 9984 JP Equity 10 1,425 73.56 74.09 0.60 1.19% 20.73 AAPL US Equity 1,394 8,145 542.57 635.42 17.72 0.97% 109.89 ABB US Equity 23.47 - ABBN VX Equity 5 (878) 23.72 23.58 0.75 0.81% 3.18 ABBV US Equity 285 5,311 51.51 54.28 6.64 0.81% 6.30 ABEV US Equity 119 (3,634) 7.38 7.14 3.37 0.97% (24.02) ABEV3 BZ Equity 124 (3,012) 7.48 7.17 4.16 0.99% (20.77) ABI BB Equity 544 8,888 103.39 109.72 8.88 0.69% 22.66 ABT US Equity 96 5,326 39.13 39.84 3.61 0.50% 5.54 ABX CN Equity 623 (5,037) 18.10 15.86 10.95 1.13% 21.05 ABX US Equity 595 (4,456) 18.34 15.89 11.98 1.12% 17.96 ACA FP Equity 6,864 5,408 6.86 15.57 106.55 1.19% 48.27 ACE US Equity 647 11,217 97.31 102.92 17.68 0.33% (80.67) ACN US Equity 372 8,563 78.34 81.74 7.38 0.59% 42.47 ADP US Equity 214 6,767 76.41 78.84 6.17 0.51% (48.79) AR US Equity 6 2,337 61.29 61.45 0.41 0.63% (3.57) AGN US Equity 5,298 9,698 109.36 169.11 30.14 1.81% (163.04) Al FP Equity (463) 12,864 137.08 132.32 -4.46 0.81% (54.83) AIG US Equity 597 8,376 50.59 54.19 8.93 0.80% 6.18 AIR FP Equity 151 3,660 69.11 71.96 4.20 0.98% (22.60) ALV GR Equity 7 7,052 169.16 169.31 0.14 0.68% (2.03) ALVG IX Equity 26 5,730 168.55 169.33 0.68 0.67% (2.27) AMGN US Equity 42 5,046 116.20 117.16 1.02 0.81% 34.51 AMT US Equity 1,768 12,212 77.45 88.67 25.32 0.57% 17.40 AMZN US Equity (21) (2,898) 304.28 306.45 -0.45 1.59% 20.94 ANZ AU Equity 605 12,947 29.84 31.24 6.95 0.67% 31.05 AM US Equity 305 7,242 88.23 91.95 6.31 0.67% (67.76) APC US Equity 177 5,575 98.79 101.93 4.18 0.76% (43.44) AXP US Equity 2,935 10,696 71.89 91.61 44.38 0.62% (28.21) AZN LN Equity 5,862 12,676 49.95 73.05 20.56 2.25% 55.59 AZN SS Equity 5,254 12,119 50.98 73.09 19.49 2.22% 56.83 AZN US Equity 5,807 12,812 50.09 72.80 21.18 2.14% (75.70) BA US Equity 474 8,591 128.92 136.03 8.66 0.64% 31.68 BAC US Equity 0 947 15.21 15.21 0.00 0.93% 0.42 BARC LN Equity 30 5,219 4.06 4.08 0.42 1.37% (60.72) BAS GR Equity 1,344 7,790 98.39 115.36 24.58 0.70% 18.50 BATS LN Equity 841 7,532 53.69 59.69 14.04 0.80% (43.69) BAX US Equity 47 4,842 73.25 73.96 2.26 0.43% (18.18) BAYN GR Equity 566 9,764 136.20 144.10 7.61 0.76% (39.72) BBAS3 BZ Equity 35 (1,887) 10.29 10.10 1.25 1.48% 1.75 BOO US Equity (309) 4,539 14.74 13.80 -5.79 1.17% (2.76) BBOC4 BZ Equity (312) 4,490 14.77 13.81 -6.13 1.13% (1.36) BBL US Equity 56 (3,656) 63.52 62.55 1.83 0.84% 36.93 BBVA SM Equity 1,549 6,233 10.24 12.79 36.89 0.67% (8.75) BCE CN Equity 235 9,622 45.16 46.26 6.56 0.37% 48.63 BCS US Equity 15 5,457 16.29 16.33 0.23 1.17% (58.44) BEN US Equity 128 3,548 53.31 55.24 3.93 0.92% (4.49) EFTA00288438 BG/ IN Equity (353) (3,788) 18.82 20.57 -8.48 1.10% (9.33) BHP AU Equity (218) 9,507 34.66 33.88 -2.56 0.90% 51.52 BHP US Equity 16 7,278 67.13 67.28 0.25 0.88% (92.60) BBB US Equity 305 1,066 246.08 316.52 20.01 1.43% 0.79 BIL Si Equity 164 (4,833) 32.28 31.18 5.13 0.66% 35.79 BK US Equity 446 8,609 32.85 34.55 6.54 0.79% (3.33) BUC US Equity 79 3,418 301.56 308.53 4.17 0.55% 37.97 BLT IN Equity 105 (4,374) 32.07 31.30 3.03 0.79% 34.96 BMO CN Equity 634 14,492 67.31 70.26 11.15 0.39% 73.53 BMW GR Equity 1,320 5,212 99.71 124.97 31.05 0.82% 32.37 BMY US Equity (12) 925 49.57 48.93 -1.28 1.03% 1.25 BN FP Equity (12) 3,971 74.29 74.07 -0.43 0.72% (5.51) BNP FP Equity 183 (4,695) 72.37 69.55 4.33 0.90% (29.78) BNS CN Equity 1,073 13,275 59.53 64.34 19.84 0.41% 102.70 BP/ LN Equity 868 10,304 7.78 8.43 14.96 0.56% (26.18) BRK/B US Equity 861 14,978 120.05 126.95 16.03 0.36% (107.78) BSBR US Equity 39 3,680 6.72 6.79 0.98 1.08% 7.46 BUD US Equity 522 9,049 103.87 109.86 8.58 0.67% 22.78 BX US Equity 6 2,814 31.07 31.14 0.15 1.39% (4.29) C US Equity 32 3,768 47.59 47.99 1.41 0.60% 20.95 CA FP Equity 218 3,932 34.13 36.02 6.33 0.87% (28.01) CAT US Equity 2,091 14,645 91.07 104.07 20.22 0.71% 117.04 CBA AU Equity 1,522 17,559 69.83 75.89 17.55 0.49% (23.73) CBS US Equity 3 3,321 59.76 59.82 0.10 1.01% (16.54) CCL US Equity 664 6,257 36.24 40.08 13.37 0.79% 6.45 CELG US Equity 125 4,560 151.00 155.12 2.65 1.03% 39.13 CFR VX Equity 542 9,275 98.34 104.09 8.12 0.72% (24.92) CL US Equity 3,021 22,469 59.33 67.31 30.33 0.44% (304.54) CM CN Equity 546 12,827 84.57 88.17 8.62 0.49% 2.52 CMCSA US Equity 264 7,922 50.64 52.33 5.41 0.62% (30.97) CMCSK US Equity 5,317 12,610 36.59 52.02 71.24 0.59% (58.84) CNI US Equity 2,385 13,535 51.64 60.74 35.63 0.49% (34.92) CNQ CN Equity 1,197 10,769 37.12 41.24 13.41 0.83%[ 125.18 CNR CN Equity 2,326 13,557 51.83 60.73 36.87 0.47% (27.28) COF US Equity 1,004 7,903 69.91 78.80 21.30 0.60% 25.45 COP US Equity 348 8,399 76.46 79.63 7.62 0.54% 10.75 COST US Equity 144 9,550 113.97 115.68 2.59 0.58% (4.23) COV LN Equity #N/A N/A COV US Equity 948 7,190 64.52 73.02 20.91 0.63% 40.54 CRM US Equity (28) 1,371 52.32 51.27 -1.01 2.03% (25.16) CS FP Equity (5) 1,866 24.61 24.55 -0.27 0.90% 1.13 CSCO US Equity 41 6,415 24.50 24.65 0.84 0.76% (21.01) CSX US Equity 1,586 9,665 24.99 29.10 29.48 0.56% (161.34) CVE CN Equity 29.74 CVS US Equity 2,668 12,539 64.26 77.93 39.94 0.53% (85.63) CVX US Equity 41 (4,572) 123.46 122.34 1.80 0.50% (0.37) D US Equity 1,886 13,256 61.12 69.82 22.90 0.62% 80.32 EFTA00288439 DAI GR Equity 7,211 13,908 62.40 94.76 56.49 0.92% 67.70 DBK GR Equity 212 (5,592) 41.73 40.15 4.53 0.84% 31.09 DD US Equity 3,384 13,534 55.15 68.94 53.06 0.47% (84.41) DDAIF US Equity 4,119 8,377 63.65 94.95 56.15 0.88% 89.49 DE US Equity 523 10,094 86.40 90.88 11.01 0.47% (58.50) DELL US Equity #WA WA DG FP Equity 4,367 10,090 51.79 74.21 85.39 0.51% 37.66 DGE LN Equity 85 2,332 30.88 32.00 4.18 0.87% 1.34 DHR US Equity 311 8,786 75.99 78.68 5.48 0.64% 23.11 DIS US Equity 2,333 11,429 69.69 83.92 32.00 0.64% (55.73) DISCA US Equity (136) (6,841) 76.08 77.60 -2.06 0.96% (21.80) DNB NO Equity 532 6,302 17.63 19.12 11.25 0.75% 38.80 DOW US Equity 3,065 7,396 37.20 52.61 46.76 0.89% 24.61 DPW GR Equity 173 660 29.25 36.91 28.53 0.92% (4.32) DTE GR Equity 856 7,575 15.14 16.85 11.56 0.98% (8.55) DTV US Equity 3,521 10,622 62.01 82.57 30.50 1.09% 9.19 DUK US Equity (9) (6,884) 70.52 70.62 -0.29 0.46% 21.79 DVN US Equity 1,866 11,659 64.38 74.68 21.19 0.76% 143.30 EBAY US Equity (0) (2,849) 50.54 50.54 .0.01 0.93% 4.18 Ea US Equity 333 10,218 105.74 109.18 8.48 0.38% 17.41 EDF FP Equity 4,588 9,189 23.04 34.55 48.02 1.04% (237.07) EMC US Equity 544 10,986 25.17 26.41 7.54 0.66% (83.33) EMR US Equity 30 8,739 66.74 66.97 0.58 0.59% (7.13) ENB CN Equity 509 12,532 45.79 47.65 9.28 0.44% 37.22 ENEL IM Equity 2,317 8,902 4.48 5.65 28.05 0.93% 3.97 ENI IM Equity 583 11,929 24.50 25.70 7.29 0.67% 88.55 EOAN GR Equity 131 4,560 19.05 19.60 3.09 0.93% 40.69 EOG US Equity 2,619 5,841 73.34 106.23 39.23 1.14% 58.35 EPD US Equity 2,450 13,689 64.25 75.76 29.83 0.60% 44.61 ERICB SS Equity (73) 7,934 12.42 12.30 -1.10 0.84% (56.57) ESRX US Equity (59) 5,382 70.49 69.73 -1.33 0.82% (7.78) ETN US Equity 75 5,260 72.42 73.46 2.27 0.63% (4.33) F US Equity 16.58 - F8 US Equity 1,119 2,630 44.13 62.91 23.10 1.84% 6.57 FCX US Equity 101 6,027 33.41 33.97 1.88 0.89% (25.87) FDX US Equity 468 4,920 130.92 143.38 16.25 0.59% (42.42) FOX US Equity 335 6,139 32.68 34.46 5.88 0.93% (9.10) FOXA US Equity 302 5,663 33.62 35.42 5.69 0.94% (10.02) FP FP Equity 1,693 14,528 62.62 69.92 17.80 0.65% (2.48) G IM Equity 77 5,340 22.53 22.85 1.91 0.75% 43.55 GE US Equity 2,611 13,140 22.33 26.76 51.43 0.39% 7.24 GILD US Equity 207 4,205 78.55 82.42 4.21 1.17% 59.38 GIS US Equity 2,014 23,967 50.72 54.98 21.78 0.39% 29.05 GLE FP Equity 57.28 - GLEN LN Equity (150) (2,955) 5.20 5.46 -7.13 0.71% 14.41 GLW US Equity 3,651 12,039 16.40 21.37 48.29 0.63% 14.11 GM US Equity 42 4,859 34.87 35.17 1.20 0.73% 65.13 EFTA00288440 GOOG US Equity (42) 4,165 551.65 546.20 0.92 1.09% (38.09) GS US Equity (46) 4,854 162.54 161.02 4.08 0.87% 56.75 GSK LN Equity 99 5,707 26.09 26.54 2.23 0.78% (28.84) GSZ FP Equity 1,141 11,763 25.75 28.25 12.61 0.77% HAL US Equity 2,028 7,135 50.73 65.15 30.64 0.93% 9.52 HD US Equity 653 8,762 75.07 80.67 9.86 0.76% (15.19) HMB SS Equity 9 7,694 42.61 42.66 0.18 0.65% (15.05) HON US Equity 6,293 11,930 60.95 93.11 98.41 0.54% (43.31) HPQ US Equity 2,296 7,791 25.99 33.65 32.20 0.92% 88.63 HSBA LN Equity 137 8,008 10.28 10.45 2.52 0.68% (46.25) IBE SM Equity 2,224 7,531 5.57 7.22 54.90 0.54% 20.72 IBM US Equity 100 (6,355) 187.59 184.63 2.45 0.64% 32.68 IMT LN Equity 2,891 13,847 36.88 44.58 32.42 0.64% (82.70) INTC US Equity 1,513 12,794 24.62 27.54 23.23 0.51% 163.75 ISP IM Equity 4,243 5,699 1.92 3.36 62.18 1.20% (28.06) ITUB US Equity (176) 5,715 15.87 15.40 .3.10 0.99% 2.52 ITUB4 BZ Equity (104) 4,601 15.79 15.44 .2.22 1.02% 1.75 ITW US Equity 3,966 14,011 67.68 86.84 62.57 0.45% (40.23) ITX SM Equity 43 (3,652) 146.92 145.18 2.27 0.52% (11.98) JCI US Equity 5 3,669 48.48 48.55 0.13 1.14% 1.47 JNJ US Equity 6,104 18,676 77.10 102.29 86.42 0.38% 105.43 JPM US Equity (9) 3,459 55.62 55.47 0.41 0.67% 8.19 KMB US Equity 422 9,903 106.72 111.27 9.29 0.46% (77.16) KMI US Equity 38 (6,775) 33.94 33.75 0.91 0.62% (27.14) KO US Equity (8) (2,222) 40.77 40.92 4.26 0.30% (6.47) LBTYA US Equity 195 5,724 43.58 45.06 4.00 0.85% (46.74) LBTYK US Equity 257 7,489 41.58 43.00 4.67 0.73% (62.07) LIN GR Equity 483 9,647 200.39 210.42 6.36 0.79% 23.48 LLOY LN Equity 219 1,914 1.16 1.29 11.08 1.03% (9.37) LLY US Equity 21. 4,953 59.09 59.34 0.63 0.66% 5.53 LMT US Equity 682 2,016 122.50 163.91 64.03 0.53% 0.31 LNKD US Equity 381 (2,461) 184.34 155.81 6.81 2.27% (7.87) LOW US Equity 34 4,313 46.83 47.19 0.72 1.09% 4.89 LVS US Equity 10 1,864 74.67 75.05 0.37 1.39% (50.68) LYB US Equity 1,581 2,297 59.36 100.22 110.56 0.62% 4.41 MA US Equity 138 3,998 73.90 76.44 3.62 0.95% (22.71) MAERSKB DC Equity 8,327 14,377 1,640.92 2,591.26 64.15 0.90% (147.37) MC FP Equity 327 6,646 188.52 197.80 9.39 0.52% 32.64 MCD US Equity 137 9,603 100.19 101.61 3.09 0.46% (43.65) MCK US Equity 327 2,181 166.29 191.22 19.80 0.76% 20.84 MDIZ US Equity 4,319 13,763 28.81 37.86 48.88 0.64% 45.11 MDT US Equity 8,526 20,811 43.14 60.82 73.56 0.56% (55.66) MET US Equity 1,235 7,556 45.30 52.70 16.42 1.00%I 184.71 MFC CN Equity 1,237 2,561 12.58 18.66 67.45 0.72% 63.44 MHS US Equity 0N/A WA MMM US Equity 10,019 21,331 97.17 142.80 103.42 0.45% 88.04 MO US Equity 1,452 13,034 37.11 41.25 22.43 0.50% (45.96) EFTA00288441 MON US Equity 1,837 11,917 105.13 121.34 25.75 0.60% (115.10) MOS US Equity 49.00 MRK US Equity 1,787 11,769 50.17 57.79 18.31 0.83% (4.57) MS US Equity 29 2,280 30.33 30.71 1.21 1.04% (5.27) MSFT US Equity 1,271 8,724 35.24 40.37 23.82 0.61% (120.42) MUV2 GR Equity 701 6,116 196.78 219.35 12.99 0.88% (31.41) NAB AU Equity (105) 13,313 31.48 31.23 -1.13 0.70% (16.68) NCM AU Equity 9.02 NEE US Equity 4,987 15,275 73.26 97.18 56.96 0.57% (34.01) NEM US Equity 565 (2,485) 29.21 22.57 15.25 1.49% 4.12 NESN VX Equity 1,204 11,809 71.22 78.48 21.61 0.47% 50.01 NG/ LN Equity 3,332 13,405 11.84 14.78 45.32 0.55% (209.85) NICE US Equity 379 4,704 70.17 75.82 11.11 0.73% (57.39) NOK US Equity 4,627 4,498 3.94 7.98 85.58 1.20% (64.91) NOV US Equity (426) 8,643 79.06 75.34 -4.97 0.99% 130.76 NOVN VX Equity 7,185 20,816 66.14 88.97 60.88 0.57% 10.61 NOVOB DC Equity 420 9,444 40.90 42.72 5.15 0.86% 135.67 NSC US Equity 2,440 10,479 80.35 99.06 40.71 0.57% (219.85) NVS US Equity 5,649 17,610 67.26 88.83 65.44 0.49% 3.30 OGXP3 BZ Equity 4,025 (4,107) 4.35 0.09 38.23 2.56% 83.17 OR FP Equity 306 8,826 168.36 174.19 5.85 0.59% 53.36 ORA FP Equity 1,602 8,559 13.81 16.40 16.82 1.11% 6.08 ORCL US Equity 1,949 8,853 34.21 41.74 42.60 0.52% (35.88) OXY US Equity 376 8,580 95.97 100.18 8.14 0.54% 28.49 PBR US Equity 85 (1,657) 14.72 13.96 3.23 1.59% (16.62) PBR/A US Equity 99 (1,673) 15.73 14.80 3.57 1.66% (16.43) PCLN US Equity 425 4,234 1,148.16 1,263.51 7.68 1.31% (40.83) PCP US Equity 147 4,610 250.90 258.89 3.91 0.81% 45.02 PEP US Equity 661 12,677 83.62 87.98 12.76 0.41% 4.06 PETR3 BZ Equity 143 (2,348) 7.43 6.98 3.87 1.58% (26.21) PETR4 BZ Equity 145 (2,200) 7.91 7.39 3.94 1.67% (22.81) PFE US Equity 8 3,859 29.56 29.62 0.23 0.87% (13.26) PG US Equity 166 11,013 78.74 79.93 3.33 0.45% (71.23) PHIA NA Equity 31.85 PM US Equity 163 7,343 86.03 87.94 5.98 0.37% (37.49) PNC US Equity 1,036 9,010 76.63 85.45 17.22 0.67% 3.96 POT CN Equity (28) 6,886 35.73 35.58 -0.60 0.69% (59.09) POT US Equity (101) 7,998 36.03 35.58 -2.04 0.62% (62.37) PRU LN Equity 8,651 10,521 12.68 23.12 115.90 0.71% (116.07) PSA US Equity 834 13,406 161.34 171.38 12.59 0.49% (68.09) PSX US Equity 1,916 6,461 65.38 84.77 39.02 0.76% (33.44) PX US Equity 2,897 16,521 113.72 133.66 44.17 0.40% (0.35) QCOM US Equity 2,542 12,547 66.85 80.40 38.67 0.52% 5.69 QQQ US Equity 2,666 9,597 71.30 91.11 49.32 0.56% 1.29 RAI US Equity 1,163 10,690 53.31 59.11 13.15 0.83% 10.48 RDS/A US Equity 593 11,546 75.37 79.24 9.86 0.52% 56.75 RDS/B US Equity 479 11,427 79.32 82.65 5.58 0.75% 71.81 EFTA00288442 RDSA LN Equity 714 9,744 36.92 39.62 12.66 0.58% 51.80 RDSA NA Equity 489 11,195 38.01 39.67 7.95 0.55% 77.41 RDSB LN Equity 525 10,889 39.36 41.26 6.87 0.70% 83.68 REGN US Equity 123 6,240 304.01 310.00 1.23 1.61% 25.78 RIO AU Equity (178) 2,620 59.13 55.36 .6.10 1.12% 44.53 RIO IN Equity (145) 2,891 54.71 52.11 .5.40 0.93% 0.82 RIO US Equity (127) 3,947 53.77 52.09 .2.90 1.11% (15.43) ROG VX Equity 6,761 17,035 213.79 298.63 71.96 0.55% 112.13 RY CN Equity 419 11,337 65.92 68.36 7.89 0.47% (23.17) SAB LN Equity 1,245 11,420 49.52 54.92 14.37 0.76% 11.77 SAN FP Equity (32) (4,530) 105.53 106.27 .1.03 0.68% (0.54) SAN SM Equity 1,703 9,483 8.68 10.24 31.93 0.56% 13.67 SAN US Equity 1,349 7,733 8.70 10.21 24.79 0.70% 4.80 SAP GR Equity - 1,076 76.23 76.23 0.00 0.80% 2.92 SAP US Equity • 1,113 76.23 76.23 0.00 0.78% 5.98 SBUX US Equity 95 7,471 73.24 74.17 1.88 0.68% 42.49 SGO FP Equity 2,303 7,956 44.33 57.16 43.86 0.66% 20.68 SI US Equity Ma N/A SIE GR Equity 863 5,345 114.64 133.15 19.92 0.81% (9.12) SLB US Equity 2,048 9,464 85.11 103.52 39.12 0.55% (50.06) SMSN LI Equity 127 7,952 703.74 714.95 1.61 0.99% 74.73 SO US Equity (116) 11,861 44.13 43.70 -1.69 0.58% 5.32 SPG US Equity (186) 12,778 168.42 166.00 -3.04 0.48% (39.43) SREN VX Equity 88.37 STAN LN Equity (13) 5,034 22.49 22.43 -0.40 0.67% (6.62) STL NO Equity 1,629 11,476 26.82 30.63 16.89 0.84% 24.73 STT US Equity 16 3,883 65.28 65.55 0.45 0.90% 30.75 SU CN Equity 470 11,105 37.10 38.67 5.29 0.80% 43.96 SU FP Equity 796 8,613 86.77 94.79 9.65 0.96% 44.28 SU US Equity 458 9,658 36.93 38.68 6.06 0.78% 40.96 SWEDA SS Equity 110 4,735 25.94 26.55 3.41 0.68% (4.87) SYNN VX Equity (294) (4,132) 359.69 385.28 .16.19 0.44% (1.79) T US Equity (10) (3,663) 35.20 35.29 -0.41 0.64% 13.97 TD CN Equity 896 12,877 46.60 49.84 15.16 0.46% 93.98 TEF SM Equity 339 7,580 15.96 16.67 6.40 0.70% (54.21) TEF US Equity 295 6,344 15.86 16.59 5.94 0.78% (37.44) TGT US Equity 927 (8,574) 63.60 56.73 12.18 0.89% (4.05) TJX US Equity 10 (2,968) 54.27 54.09 0.36 0.91% 11.96 TLS AU Equity 893 13,319 4.65 4.96 13.45 0.50% (23.44) TLSN SS Equity (261) (5,268) 6.96 7.30 .7.92 0.62% 45.33 TM US Equity 69 (5,774) 115.95 114.56 1.97 0.61% (40.26) TMO US Equity 8,496 10,218 64.11 117.42 105.15 0.79% liu 154.31 TOT US Equity 1,127 7,801 60.95 69.76 20.69 0.70% (34.88) TRP CN Equity • 1,151 46.27 46.27 0.00 0.54% (6.43) TRV US Equity 1,050 12,867 86.17 93.20 16.04 0.51% (88.34) TSCO LN Equity 636 (6,286) 5.54 4.98 10.18 0.99% 64.28 TWC US Equity 952 5,234 119.83 141.63 30.60 0.59% (20.38) EFTA00288443 TWX US Equity 445 9,814 67.54 70.60 5.95 0.76% (34.68) TXN US Equity 4,202 12,205 34.98 47.02 35.79 0.96% 23.90 TYC US Equity 12,014 24,080 28.90 43.32 68.20 0.73% (328.84) UBS US Equity 43 2,373 19.61 19.96 2.85 0.63% (18.23) UBSN VX Equity 38 2,230 19.66 19.99 2.23 0.75% (13.86) UCG IM Equity 3,063 5,500 5.64 8.77 43.51 1.28% 18.68 ULVR LN Equity 274 6,329 43.10 44.97 7.42 0.58% 17.79 UNA NA Equity 211 7,481 42.32 43.51 4.35 0.65% 28.69 UNH US Equity 2,422 10,249 64.61 79.88 39.48 0.60% 51.43 UNP US Equity 2,470 13,372 166.77 197.58 32.16 0.57% (112.29) UPS US Equity 4,488 14,806 79.44 103.52 50.58 0.60% (104.03) USB US Equity 3,037 14,509 34.92 42.24 48.03 0.44% 51.12 UTX US Equity 6,482 15,190 82.63 117.90 73.66 0.58% 153.99 V US Equity 346 7,029 201.52 211.45 6.93 0.71% (77.21) VALE US Equity 366 (2,664) 14.72 12.69 10.15 1.36% 40.56 VALE3 BZ Equity 432 (2,939) 14.87 12.69 10.24 1.44% 44.08 VIAB US Equity 3,988 9,272 60.86 87.03 69.72 0.62% 96.66 VIV FP Equity 26.37 - VMW US Equity 397 4,785 88.53 95.87 5.67 1.46% (36.86) VOD LN Equity 320 (3,874) 3.80 3.48 9.69 0.85% 27.40 VOD US Equity 312 (3,458) 38.13 34.68 10.26 0.88% 28.57 VOW3 GR Equity 80 3,208 259.95 266.44 4.24 0.59% 3.28 VRX CN Equity 578 2,771 109.59 132.45 14.73 1.42% (3.47) VRX US Equity 786 1,880 93.22 132.21 31.05 1.35% 0.61 VTI US Equity 749 5,134 86.89 99.58 34.68 0.42% (0.98) VWO US Equity 18 3,335 42.43 42.66 0.91 0.59% 16.02 VZ US Equity 56 5,565 48.92 49.41 1.62 0.62% (79.15) WBC AU Equity 429 11,844 30.85 31.96 5.31 0.68% (8.67) WES AU Equity 380 13,490 38.79 39.89 4.22 0.67% (102.20) WFC US Equity 3,730 12,761 39.50 51.04 56.79 0.51% 3.78 WLP US Equity 4,747 10,592 74.57 107.99 52.83 0.85% (48.64) WMT US Equity 66 9,262 76.20 76.74 1.51 0.47% (13.76) WOW AU Equity 28 4,724 34.64 34.84 0.69 0.85% (25.93) XOM US Equity 1,369 16,063 92.46 100.34 22.74 0.37% 29.67 XTA LN Equity XN/A N/A YHOO US Equity 11 2,439 34.58 34.73 0.37 1.17% 0.37 YUM US Equity 398 8,158 74.89 78.54 8.00 0.61% 74.20 ZURN VX Equity 94 8,429 293.42 296.69 2.85 0.39% (27.09) Current Portfolio - Global Macro Portfolio Conant Price PA in Vol 30P Realized Change on Day Security MTM Gain/(Loss) Exp.. Cost Avg. Price (In USD) Days Vol (in U5D) SPX Index 20,074 62,272 1,455.15 1,924.24 80.75 0.40% (31.23) NDX Index 11,896 37,348 2,828.99 3,730.07 50.84 0.63% (38.11) RTY Index 262 10,580 1,098.98 1,126.15 3.02 0.82% (26.39) EFTA00288444 SPTSX Index 1,365 41,166 13,067.53 13,500.72 10.35 0.32%C 109.30 MEXBOL Index (33) 8,931 3,263.99 3,251.95 .0.60 0.62% 13.89 IBOV Index 320 (11,198) 23,555.34 22,881.43 2.83 1.01% (71.71) MERVAL Index 899 20,801 913.21 952.69 3.30 1.31% 5759 UKK Index 4,655 44,458 10,369.23 11,454.90 24.49 0.43% (149.24) DAX Index 10,080 36,878 10,620.60 13,523.58 48.17 0.57% (12.52) CAC Index 1,807 25,792 5,737.94 6,139.88 15.24 0.46% 2.37 IBEX Index 10,878 41,799 11,657.92 14,691.87 43.32 0.60% (100.12) SMI Index 7,773 51,684 8,403.69 9,667.60 48.06 0.31% 15.12 FTSEMIB Index 7,118 25,266 23,035.16 29,524.51 25.66 1.10% (117.36) PSI2O Index 5,155 24,476 8,025.00 9,715.08 22.87 0.92% (60.17) ISEQ Index 18,404 32,079 4,240.92 6,674.03 69.76 0.82% ICEXI Index 1,037 14,393 6.90 7.40 13.53 0.53% 29.23 AEX Index 6,253 45,813 490.16 557.06 35.11 0.39% 125.09 BEL20 Index 8,360 47,540 3,643.56 4,284.28 45.82 0.38% (162.65) LUXXX Index 11,652 41,632 1,657.83 2,121.82 38.44 0.73% (454.12) KFX Index 11,592 40,166 102.16 131.65 45.77 0.63% 60.34 HEX Index 9,454 42,314 8,526.95 10,432.12 39.01 0.57% (224.97) OMX Index 2,161 23,477 191.30 208.91 16.88 0.55% (48.13) ATX Index - 4,006 3,429.69 3,429.69 0.00 0.71% (18.05) ASE Index 76 5,085 1,658.29 1,683.16 0.88 1.71% (29.34) OSEBX Index 4,900 27,594 86.64 102.03 31.15 0.57% 56.76 INDEXCF Index (1,244) (21,271) 39.70 42.02 .4.41 1.33% (27.91) TOP40 index 1,879 36,288 3,981.77 4,187.92 6.59 0.79% (142.18) SENSEX Index 5,293 43,256 373.50 419.20 14.20 0.86% 263.79 NKY Index 392 13,269 142.47 146.68 3.75 0.79% 73.84 HSI Index 654 29,992 2,940.06 3,004.21 3.64 0.60% SHCOMP Index 1,740 (34,398) 343.31 325.95 8.81 0.57% KOSPI Index 1,728 45,441 1.89 1.96 8.10 0.47% 137.79 AS51 Index 1,061 33,715 4,916.12 5,070.90 6.37 0.49% (225.71) STBCNZL Index 36,571 73,207 443.20 664.61 104.15 0.48% (312.94) EEM US Equity (18) 3,287 43.16 42.92 -0.92 0.61% 18.38 IYR US Equity 282 10,928 69.91 71.71 6.89 0.37% (14.05) MDY US Equity 5,247 14,269 184.08 251.78 69.43 0.53% 6.20 JNK US Equity (1) 10,785 41.29 41.29 -0.08 0.11% (5.22) XLF US Equity 5,923 13,610 15.59 22.38 89.07 0.49% 26.22 XLU US Equity 923 10,859 39.53 42.89 13.69 0.62% 44.12 XLK US Equity 2,906 12,860 30.75 37.70 41.49 0.54% (25.05) XLI US Equity 6,797 16,147 38.16 54.22 92.54 0.45% (25.36) XLP US Equity 816 12,093 41.94 44.77 18.11 0.37% (45.97) XLY US Equity 1,425 7,073 54.75 65.78 34.39 0.59% (15.48) XLE US Equity 923 12,309 88.86 95.52 18.52 0.40% 45.87 XLB US Equity 4,655 15,233 37.66 49.17 66.26 0.46% (44.39) XLV US Equity 13,155 24,346 38.94 59.98 99.10 0.55% 68.90 SXXP Index 7,445 47,827 405.19 468.27 43.25 0.36% (102.50) SXAP Index 10,529 28,641 522.17 714.14 47.60 0.77% 99.74 SXKP Index 4,911 37,626 364.23 411.77 25.07 0.52% (221.54) EFTA00288445 SX6P Index 7,946 38,710 358.24 431.77 43.29 0.47% (148.60) SXEP Index 4,165 51,146 457.07 494.29 14.16 0.58% 26.39 SXIP Index 12,019 28,923 221.57 313.64 91.70 0.45% (135.66) SXNP Index 5,138 29,211 483.41 568.44 37.80 0.47% (97.04) SX3P Index 1,671 31,675 681.94 717.90 13.98 0.38% 111.63 SXDP Index 26,487 61,074 608.62 872.57 99.47 0.44% (77.84) SX4P Index 4,307 28,017 926.01 1,068.36 30.95 0.50% (41.89) SX8P Index 542 10,159 368.12 387.76 7.98 0.67% 6.57 SXOP Index 11,003 44,264 387.05 483.26 45.43 0.55% (77.50) SXQP Index 1,745 45,829 806.82 837.54 9.84 0.39% (22.61) SXRP Index (43) 16,765 429.99 428.89 0.61 0.42% (95.43) SXMP Index 1,619 12,917 303.25 341.25 25.47 0.49% (149.61) SXTP Index 23,943 39,247 171.35 275.88 86.72 0.70% (258.76) SX7E Index 3,727 12,087 159.23 208.33 32.59 0.95% (60.95) SXSE Index 7,640 41,424 3,730.45 4,418.51 36.29 0.51% 34.73 SPGSCITR Index 82 (15,778) 5,009.98 4,984.02 1.40 0.37% 20.94 XAG Curncy 1,848 (15,640) 21.33 18.81 16.98 0.70% (48.01) CO1 Comdty 59 (9,568) 109.49 108.82 1.16 0.53% 0.88 CL1 Comdty 953 30,849 99.58 102.66 4.56 0.68% 58.97 NG1 Comdty 2,932 15,160 3.88 4.63 13.35 1.45% 66.69 XAU Comdty 879 (26,688) 87.87 84.98 6.88 0.48% (114.01) IBOXHY Index 3,793 53,418 220.09 235.72 147.81 0.05% (7.98) US_TSY CREDIT 352 100,443 763.64 766.31 3.22 0.11% (223.11) CA_TSY CREDIT 221 87,647 1,212.65 1,215.71 1.02 0.25% (280.26) MX_TSY CREDIT 693 87,928 219.92 221.65 2.33 0.34% V-52.29) AU TSY CREDIT 983 81,398 1,502.56 1,520.70 4.73 0.26% (189.71) JP_TSY CREDIT 146 (40,109) 815.70 812.74 1.65 0.22% 89.94 MY_TSY CREDIT 21 103,107 170.21 170.24 0.10 0.21% 18.18 SG_TSY CREDIT 324 66,005 220.84 221.92 2.30 0.21% (193.71) AT_TSY CREDIT 3,878 81,569 357.71 374.71 19.54 0.24% (166.14) BE_TSY CREDIT 5,220 79,771 476.72 507.91 26.39 0.25% (185.34) FI_TSY CREDIT 3,372 85,645 349.02 362.76 17.86 0.22% (159.22) FR_TSY CREDIT 4,349 82,246 1,681.11 1,770.01 22.54 0.23% (174.79) DE_TSY CREDIT 2,809 84,524 1,245.31 1,286.70 14.32 0.23% (157.18) IE_TSY CREDIT 32,471 78,270 336.80 476.52 203.30 0.20% (41.82) IT_TSY CREDIT 8,722 54,986 1,615.78 1,872.09 57.01 0.28% (11.57) NL_TSY CREDIT 3,584 82,865 1,328.55 1,386.02 18.51 0.23% (153.79) ES_TSY CREDIT 11,083 50,187 392.77 479.50 87.15 0.25% 75.48 DK_TSY CREDIT 2,837 67,396 727.36 757.97 14.53 0.29% (180.22) NO_TSY CREDIT (316) 50,762 346.75 344.60 -2.55 0.24% (170.70) PL_TSY CREDIT 1,758 35,151 427.73 449.12 21.86 0.23% (113.06) ZA_TSY CREDIT - 3,908 82.58 82.58 0.00 0.77% (27.25) SE_TSY CREDIT 293 (44,333) 463.04 459.98 2.26 0.29% 95.84 CH_TSY CREDIT 2,897 69,857 1,007.64 1,049.42 17.96 0.23% (72.03) GB_TSY CREDIT 1,935 89,647 1,502.38 1,534.80 9.84 0.22% (321.68) EFTA00288446