EFTA00288479.pdf

Atorus, LLC 6/9/2014 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: 6/9/2014 94.94% 41.18% 4.80% 5.85% 5,901,163 (501,638) 5,399,525 1,000,000 1,949,397 Change on Day: 0.05% MSCI World Change on Day 0.09% No of Positions (+MTM) on Day No of Positions (•AMA) on Day Current No. of Positions: Current Leverage (Gross Exposures): 215 182 439 3.28 Profit Factor: Win Ratio: T24M (4) NAV Days T24M Avg. Daily NAV (+) Change T24M Avg. Daily NAV (-) Change Target Vol-Adj. Risk Listed Equities Target Vol-Adj. Risk Global Macro Targeted Max Loss (ex-Leverage) Leverage Target At Inception: Notes on Leverage: T24M Sharpe Ratio: Sharpe Since 1/1/12: Historical Sharpe & Notes: Historically 2.25X • 3.25X, depending on measurement Interval 40% - 50% histor tally 53% 1.00% -0.91% 50.00% 50.00% 10.00% 2X No. of Profitable Positions T12M 61.25% Avg. Realized Gain/Avg. Realized 2.97 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. 1.23 1.33 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. 2,200,000.00 2,000,000.00 1,800,000.00 1,600,000.00 1,400,000.00 1,200,000.00 1,000,000.00 800,000.00 600 00000 4). t4 o to'• so% o% t, ev 4vocb\ %V' .),‘ 4 A\ 4 o 4 o 4 4 A\ 41 sts o 4." e — NAV EFTA00288479 Atorus, LLC 6/9/2014 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 22 Positions IBOV Index (8,398) TGT US Equity (8,574) CO1 Comdty (9,568) SPGSCITR Index (15,778) XAG Curncy (17,389) CA_TSY CREDIT (25,139) XAU Comdty (26,763) SHCOMP Index (36,707) SE_TSY CREDIT (44,333) JP_TSY CREDIT (45,369) ZA_TSY CREDIT (53,741) BE_TSY CREDIT 79,771 AU TSY CREDIT 81,398 AT_TSY CREDIT 81,569 FR_TSY CREDIT 82,246 NL_TSY CREDIT 82,865 DE_TSY CREDIT 84,524 FI_TSY CREDIT 85,645 MX_TSY CREDIT 87,928 GB_TSY CREDIT 89,647 US_TSY CREDIT 100,443 MY_TSY CREDIT 103,107 Day NAV Impact of MTM by Category & Exposure Listed Equity Long 0.269% Listed Equity Short -0.060% EquityCom Long 0.099% EquityCom Short -0.029% G20 Rates Long -0.169% G20 Rates Short 0.027% 112m Contribution (% of total Yr/Yr NAV Change by Category) Listed Lquititn, 45.10% EquityCom 47.16% G20 Rates 8.04% % of Total Notional Security MTM Gain % Total NAV 19.54% 44 Positions 26.00% 0.13% AZN US Equity 5,751 0.29% 0.13% AZN LN Equity 5,811 0.30% 0.15% P5120 Index 6,084 0.31% 0.25% 1N1 US Equity 6,398 0.33% 0.27% XLF US Equity 6,403 0.33% 0.39% HON US Equity 6,795 0.35% 0.42% ROG VX Equity 6,891 0.35% 0.57% UTX US Equity 6,969 0.36% 0.69% SENSEX Index 7,045 0.36% 0.71% AEX Index 7,081 0.36% 0.84% NOVN VX Equity 7,139 0.37% 1.25% XLI US Equity 7,350 0.38% 1.27% DAI GR Equity 7,362 0.38% 1.27% ACA FP Equity 7,465 0.38% 1.28% SMI Index 7,919 0.41% 1.29% SXXP Index 7,980 0.41% 1.32% FTSEMIB Index 8,100 0.42% 1.34% SX6P Index 8,268 0.42% 1.37% SXSE Index 8,485 0.44% 1.40% BEL20 Index 8,609 0.44% 1.57% MAERSKB DC Equity 8,634 0.44% 1.61% PRU LN Equity 8,634 0.44% TMO US Equity 9,006 0.46% MDT US Equity 9,136 0.47% IT_TSY CREDIT 9,665 0.50% HEX Index 9,945 0.51% DAX Index 10,327 0.53% MMM US Equity 10,638 0.55% SXAP Index 11,008 0.56% LUDO< Index 11,960 0.61% ES_TSY CREDIT 12,064 0.62% IBEX Index 12,499 0.64% SXIP Index 12,552 0.64% KFX Index 12,601 0.65% NDX Index 12,724 0.65% SXOP Index 12,935 0.66% TYC US Equity 12,937 0.66% XLV US Equity 13,143 0.67% ISEQ Index 19,479 1.00% SPX Index 21,199 1.09% EFTA00288480 SXTP Index 24,741 1.27% SXDP Index 26,955 1.38% lE_TSY CREDIT 33,484 1.72% STBCNZL Index 36,763 1.89% No. Names by Category APAC Long 34 APAC Short 14 EMEA Long 73 EMEA Short 13 AMER Long 182 AMER Short 28 EquityCom Long 65 EquityCom Short 7 G20 Rates Long 19 620 Rates Short 4 Total Long 373 Total Short 66 Current Exposure by Geography (Listed Equl les) & Macro (Equity Indices & Commodiites, G20 Gov. Credit) $2,500,000 $2,000,000 $1,500,000 $1,000,000 $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 EFTA00288481 Atorus, LLC 6/9/2014 Historical Net Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodites, G20 Gov. Credit) 2,500,000 6,000.000 5,000,000 2 ,000,00D 0,000,000 1,5O3,00D 3" °" ° —APAC — EMEA 1.000.000 500.000 I 2,000,060 —AMER — EquityCom 1,000,000 —G30 Rates NexEposuce REG e DAV „XI. % o 0 cse‘b <5 % rcb ,o. 00%,„%t• e Ve e SI' ( 3. .0 . eV • • o Ver yi vr - V (I" ° " °) (Sfi1/41" eir 4 i e Nr (2,000,003) (1.000.000) (3,000,000) Historical Gross Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodlites, G20 Gov. Credit) EFTA00288482 Atorus, LIC 6/9/2014 Current Gross Notional Risk by Category 268,552 r 649,829 100,33 r • 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 4.) cis. sst, ct, 0, 0, g c, 19 is* °N. Otis t. 4 CP cP\ ess..0 N.0 e 4.0v e e ti1e Atio• 0,N 4 • • MSG NAV Rolling 30 Day Realized Volatility - Ator 2.00% 1.80% 1.60% 1.40% 1.20% 1.00% 0.80% 0.60% 0.40% 0.20% 0.00% Series1 EFTA00288483 Atorus, LLC 6/9/2010 Percentile Distribution of Current MTM Gains in Vol Days by Position (ex-99pct & ex-lst percentiles) 8000 7000 6000 5000 4000 3000 2000 1000 003 1000 1 nitania, q> 05 Percentile No. Vol Days 0.00% -19.92 5.00% -3.36 10.00% -1.29 15.00% 0.01 20.00% 1.04 25.00% 1.96 30.00% 3.52 35.00% 4.24 40.00% 6.09 45.00% 7.75 50.00% 9.11 55.00% 10.70 60.00% 14.01 65.00% 17.78 70.00% 21.55 75.00% 27.28 80.00% 36.86 85.00% 44.55 90.00% 55.74 95.00% 81.17 100.00% 182.39 Pit Vol Days by Position MTM Gains(Losses) % of NAV "Signficant" (<7 Vol Days) 0.96% MTM Gains(Losses) % of NAV "Signficant" (>7 Vol Days) 46.31% EFTA00288484 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) 6/9/2014 000270 KS Equity 760 55.38 55.38 0.00 0.99% 005380 KS Equity (49) 3,149 224.34 220.90 -1.65 0.94% 005490 KS Equity 58 (3,177) 294.09 288.69 1.95 0.94% 005930 KS Equity 10 4,464 1,399.47 1,402.61 0.24 0.94% 012330 KS Equity 794 5,584 247.00 282.11 16.48 0.86% 1 HK Equity 1,163 12,607 16.18 17.67 9.53 0.97% 33.67 1299 HK Equity 312 7,102 4.83 5.04 6.32 0.70% 7.21 13 HK Equity 901 6,181 11.80 13.52 14.64 1.00% 33.59 16 HK Equity 13.92 27 HK Equity (47) 665 7.91 7.38 -4.00 1.78% (11.86) 2914 JP Equity 11 4,760 34.07 34.15 0.28 0.85% 3.68 3382 JP Equity 132 3,074 38.97 40.64 4.96 0.87% (23.36) 4063 JP Equity 45 4,400 59.83 60.44 1.27 0.80% 25.49 4502 JP Equity 125 4,914 44.83 45.97 3.52 0.72% 14.84 4689 JP Equity 290 4,252 4.63 4.94 3.68 1.85% 79.45 5 HK Equity (149) (4,127) 10.15 10.52 -5.88 0.61% (22.48) 5108 JP Equity 41 4,359 35.90 36.24 0.99 0.95% 35.48 5401.1P Equity (372) (5,599) 2.81 3.00 -7.30 0.91% 22.39 6301.1P Equity 73 3,171 22.41 22.92 2.54 0.90% 64.49 6752 JP Equity 11.44 6902 JP Equity 46.79 - 6954 JP Equity 647 7,571 160.05 173.71 10.44 0.82% 48.42 7201.1P Equity • 734 9.31 9.31 12.71 7203 JP Equity (98) (4,207) 56.09 57.40 -3.16 0.74% (11.50) 7267 JP Equity 64 (4,675) 35.34 34.85 1.24 1.10% 6.70 762 HK Equity 1 (2,034) 1.48 1.48 0.03 1.81% 57.29 7751 JP Equity 33 5,733 32.67 32.86 1.00 0.57% (9.07) 8031.1P Equity (79) (2,279) 14.69 15.20 -3.79 0.92% (8M) 8058 JP Equity 256 8,319 19.43 20.03 4.37 0.70% (7.92) 8106 P Equity (142) (3,668) 5.63 5.85 -3.96 0.98% 0.50 8316 JP Equity (131) (3,372) 39.96 41.51 -3.23 1.20% (6.08) 84111P Equity 5 1,948 2.00 2.01 0.43 0.55% (15.35) 8604 JP Equity (140) (3,335) 6.47 6.74 -3.34 1.26% 31.40 8801.1P Equity 262 4,655 31.26 33.02 4.14 1.36% 8802 JP Equity 6 (4,927) 24.35 24.32 0.09 1.32% (19.59) 9020 JP Equity (25) (2,772) 75.37 76.06 -1.20 0.77% (4.85) 941 HK Equity 150 (3,782) 10.19 9.79 4.36 0.91% 1.00 9432 JP Equity 819 9,492 54.98 59.73 10.23 0.84% (26.47) 9433 JP Equity 162 6,343 56.96 58.41 2.51 1.02% (43.79) 9437 JP Equity (2) 2,124 16.83 16.82 -0.12 0.68% (3.28) 9983 JP Equity (131) (2,292) 322.77 341.20 -5.53 1.03% (13.40) EFTA00288485 9984 JP Equity 70 4,544 74.35 75.50 1.22 1.27% (0.98) AAPL US Equity 1,759 9,083 77.97 93.07 24.16 0.80% 64.14 ABB US Equity 23.69 - ABBN VX Equity 4 (1,310) #WA N/A 0.41 0.78% ABBV US Equity 264 5,504 51.57 54.05 6.90 0.70% (108.62) ABEV US Equity (36) (5,506) 7.24 7.29 -0.63 1.03% (71.97) ABEV3 BZ Equity (19) (5,164) 7.31 7.34 0.36 1.00% (71.68) ABI BB Equity 608 10,188 104.01 110.21 9.22 0.65% (8.62) ABT US Equity 149 7,169 39.29 40.11 4.10 0.51% 11.20 ABX CN Equity 582 (5,037) 18.17 16.07 11.57 1.00% (29.49) ABX US Equity 562 (4,849) 18.17 16.07 11.79 0.98% (28.54) ACA FP Equity 7,465 5,408 6.83 16.27 114.39 1.21% 48.37 ACE US Equity 801 11,217 97.97 104.97 19.83 0.36% 18.42 ACN US Equity 685 8,563 77.97 84.21 13.62 0.59% 69.59 ADP US Equity 259 6,767 76.95 79.90 6.69 0.57% 37.86 AFL US Equity 137 5,843 61.61 63.05 3.54 0.66% 54.34 AGN US Equity 4,735 10,120 112.11 164.57 39.93 1.17% (56.77) Al FP Equity (318) 12,864 137.78 134.45 -3.34 0.74% 38.52 AIG US Equity 764 9,279 50.92 55.11 10.64 0.77% (26.66) AIR FP Equity 152 4,198 69.88 72.40 3.56 1.01% (49.74) ALV GR Equity 16 7,052 169.21 169.58 0.38 0.60% 18.44 ALVG IX Equity 29 5,730 168.62 169.48 0.87 0.59% 10.20 AMGN US Equity 41 7,345 116.07 116.72 0.83 0.68% (58.78) AMT US Equity 1,951 12,212 77.36 89.71 27.16 0.59% (86.20) AMZN US Equity (210) (2,898) 306.51 328.76 4.46 1.63% (0.97) ANZ AU Equity 673 12,947 #N/A N/A 7.49 0.69% APA US Equity 519 8,740 89.57 94.89 9.07 0.65% 57.29 APC US Equity 197 5,575 99.54 103.06 4.72 0.75% 51.48 AXP US Equity 3,495 11,180 72.72 95.45 46.71 0.67% 165.83 AZN LN Equity 5,811 12,676 49.80 72.63 24.25 1.89% 17.91 AZN SS Equity 5,153 12,119 50.82 72.43 21.56 1.97% AZN US Equity 5,751 12,812 50.30 72.88 24.37 1.84% 32.20 BA US Equity 657 10,667 129.95 137.96 9.35 0.66% (3.35) BAC US Equity 153 4,689 15.31 15.81 3.46 0.94% 74.79 BARC LN Equity (0) 5,219 4.11 4.11 0.00 1.26% 52.86 BAS GR Equity 1,483 8,203 98.96 116.85 30.93 0.58% 8.30 BATS LN Equity 743 8,398 54.51 59.33 11.80 0.75% (6.79) BAX US Equity 1 4,842 73.52 73.54 0.06 0.49% (22.16) BAYN GR Equity 404 10,263 137.07 142.47 6.26 0.63% (95.35) BBAS3 BZ Equity (163) (1,770) 10.26 11.21 -5.87 1.57% (57.13) BBD US Equity 56 5,475 14.62 14.76 0.82 1.23% 193.75 BBDC4 BZ Equity 73 5,427 14.64 14.83 1.09 1.23% 200.98 BBL US Equity 13 (4,248) 64.02 63.83 0.35 0.86% (23.05) BBVA SM Equity 1,924 6,299 10.28 13.42 39.20 0.78% 4.78 BCE CN Equity 276 10,241 45.03 46.24 6.56 0.41% 18.48 BCS US Equity 4 5,457 16.46 16.47 0.06 1.21% 40.91 BEN US Equity 231 4,282 53.70 56.60 5.60 0.96% (6.57) EFTA00288486 BG/ LN Equity (051) (3,788) 18.76 21.00 -10.72 1.11% (4.20) BHP AU Equity (196) 9,507 #WA N/A -2.22 0.93% BHP US Equity 17 7,278 68.00 68.16 0.27 0.90% 22.04 BOB US Equity 316 1,066 245.93 318.76 24.32 1.22% 8.39 BIL Si Equity 98 (4,833) 32.51 31.85 2.91 0.70% 0.02 BK US Equity 665 8,609 32.86 35.40 10.10 0.76% 62.75 BLK US Equity 193 4,957 302.53 314.28 6.73 0.58% 13.22 BLT IN Equity 52 (4,374) 32.33 31.94 1.49 0.80% (32.82) BMO CN Equity 728 14,492 66.99 70.35 12.94 0.39% 67.76 BMW GR Equity 1,393 5,402 99.96 125.74 34.56 0.75% (54.73) BMY US Equity (10) 185 49.36 46.72 -5.50 1.02% (1.68) BN FP Equity (10) 1,033 74.48 73.79 -1.27 0.74% 2.60 BNP FP Equity 51 (3,521) 71.94 70.90 1.63 0.89% (33.88) BNS CN Equity 1,303 13,275 59.11 64.91 22.58 0.43% 108.46 BP/ LN Equity 925 11,064 7.83 8.49 15.36 0.54% 34.71 BRK/B US Equity 877 15,201 120.96 127.94 14.37 0.40% (69.21) BSBR US Equity 194 3,680 6.71 7.06 4.51 1.17% 49.22 BUD US Equity 604 10,040 104.26 110.54 9.36 0.64% (24.59) BX US Equity 231 3,633 31.62 33.63 4.43 1.43% 34.30 C US Equity 163 4,334 47.58 49.37 5.86 0.64% 37.29 CA FP Equity 228 3,932 34.37 36.35 6.83 0.85% (11.90) CAT US Equity 2,950 14,645 90.43 108.65 28.10 0.72% 100.62 CBA AU Equity 1,573 17,559 #N/A N/A 17.70 0.51% CBS US Equity 53 4,156 60.01 60.78 1.34 0.95% 21.24 CCL US Equity 738 6,766 36.49 40.47 14.62 0.75% 26.33 CELG US Equity 363 5,138 150.96 161.62 7.49 0.94% 22.60 CFR VX Equity 392 9,275 #N/A N/A 6.11 0.69% CL US Equity 3,115 22,469 60.05 68.37 30.13 0.46% 137.54 CM CN Equity 651 12,827 84.55 88.84 10.56 0.48% 26.57 CMCSA US Equity 337 8,431 50.96 52.99 7.74 0.52% 48.86 CMCSK US Equity 5,409 12,610 36.71 52.46 88.52 0.48% 80.81 CNI US Equity 2,630 13,979 52.00 61.78 44.28 0.42% 134.09 CNQ CN Equity 1,636 10,769 36.73 42.32 17.61 0.86% 92.23 CNR CN Equity 2,580 13,907 52.12 61.79 45.66 0.41% 137.38 COF US Equity 1,412 8,023 70.22 81.99 25.41 0.66% 172.43 COP US Equity 506 9,807 76.84 80.80 9.41 0.55% (0.02) COST US Equity 323 9,550 114.02 117.87 5.60 0.60% (12.67) COV LN Equity #WA N/A COV US Equity 1,011 7,520 64.56 73.23 21.46 0.63% (44.10) CRM US Equity (23) 1,875 52.28 51.63 -0.64 1.96% (9.26) CS FP Equity 140 4,786 24.65 25.37 3.05 0.96% (32.21) CSCO US Equity 69 6,415 24.58 24.84 1.42 0.75% 1.59 CSX US Equity 1,935 9,870 25.43 30.41 29.44 0.67% 67.62 CVE CN Equity 29.78 CVS US Equity 2,714 12,539 64.62 78.61 37.84 0.57% (80.41) CVX US Equity (34) (4,572) 123.45 124.38 -1.49 0.51% (1.77) D US Equity 1,825 13,256 60.80 69.16 22.13 0.62% (198.32) EFTA00288487 DAI GR Equity 7,362 13,908 62.20 95.13 63.93 0.83% (187.20) DBK GR Equity 472 (5,592) 41.95 38.41 8.27 1.02% (60.48) DD US Equity 3,427 13,534 55.43 69.46 50.76 0.50% (28.01) DDAIF US Equity 4,207 8,377 63.20 94.95 57.13 0.88% (102.98) DE US Equity 732 10,094 86.88 93.18 14.44 0.50% 117.80 DELI. US Equity #WA N/A DG FP Equity 4,935 10,090 51.66 76.92 89.14 0.55% 68.72 DGE LN Equity 64 2,332 30.86 31.70 4.24 0.64% 8.88 DHR US Equity 569 9,351 76.08 80.71 9.47 0.64% 68.39 DIS US Equity 2,533 11,829 70.38 85.45 34.16 0.63% 148.50 DISCA US Equity (437) (6,841) 75.84 80.68 -6.08 1.05% (15.22) DNB NO Equity 750 7,379 #WA N/A 13.64 0.75% DOW US Equity 3,170 7,396 37.11 53.02 51.43 0.83% (1.43) DPW GR Equity 173 660 29.41 37.13 30.58 0.86% (4.74) DTE GR Equity 1,020 7,575 15.16 17.20 14.45 0.93% 36.44 DTV US Equity 3,635 10,622 61.97 83.18 32.46 1.05% (10.91) DUK US Equity (3) (7,783) 70.84 70.87 0.09 0.49% 71.01 DVN US Equity 1,997 12,819 64.57 74.62 21.39 0.73% (22.48) EBAY US Equity 91 (3,131) 50.61 49.14 3.16 0.92% 46.91 ECL US Equity 432 11,394 105.98 110.00 9.77 0.39% (42.76) EDF FP Equity 4,887 9,189 23.45 35.92 46.10 1.15% 13.50 EMC US Equity 565 10,986 25.35 26.66 10.63 0.48% 53.11 EMR US Equity 181 8,739 66.80 68.18 3.56 0.58% 67.08 ENB CN Equity 291 12,532 45.66 46.72 5.00 0.46% (77.53) ENEL IM Equity 2,748 8,902 4.48 5.87 32.83 0.94% 175.56 ENI IM Equity 786 11,929 24.33 25.93 9.04 0.73% 35.30 EOAN GR Equity 175 4,560 18.88 19.61 4.21 0.91% (3.31) EOG US Equity 2,962 5,841 72.84 109.78 43.81 1.16% 53.19 EPD US Equity 2,346 13,900 64.22 75.06 32.00 0.53% (55.93) ERICB SS Equity (93) 7,934 12.51 12.36 -1.51 0.78% ESRX US Equity 59 5,382 70.60 71.37 1.38 0.80% 0.44 ETN US Equity 225 5,598 72.66 75.59 6.34 0.63% 75.71 F US Equity 65 4,400 16.80 17.05 1.93 0.76% 19.85 F8 US Equity 1,114 2,630 44.06 62.71 25.18 1.68% (1.85) FCX US Equity 202 6,674 33.66 34.68 3.63 0.83% (11.44) FDX US Equity 440 5,760 133.48 143.69 13.88 0.55% 35.01 FOX US Equity 498 6,928 32.99 35.36 7.88 0.91% 61.69 FOXA US Equity 436 6,027 33.83 36.27 7.83 0.92% 41.77 FP FP Equity 1,824 14,528 62.63 70.50 17.48 0.72% (48.01) G IM Equity 87 5,340 22.35 22.72 2.15 0.76% (23.31) GE US Equity 2,982 13,140 22.32 27.38 52.60 0.43% 186.55 GILD US Equity 59 5,284 78.35 79.23 1.14 0.97% (197.93) GIS US Equity 2,182 25,052 50.85 55.28 22.21 0.39% (27.91) GLE FP Equity 60.53 - GLEN LN Equity (146) (2,955) 5.22 5.48 -6.99 0.71% (11.37) GLW US Equity 3,754 12,136 16.41 21.49 50.95 0.61% (73.82) GM US Equity 309 7,046 35.02 36.56 5.15 0.85% 39.95 EFTA00288488 GOOG US Equity 45 4,908 555.21 560.30 0.86 1.07% 50.90 GS US Equity 166 4,854 160.66 166.15 3.78 0.91% 22.57 GSK LN Equity 121 5,707 26.22 26.78 3.69 0.58% 28.41 GSZ FP Equity 1,452 11,763 25.40 28.53 15.09 0.82% 4.08 HAL US Equity 2,301 7,662 51.49 66.96 39.45 0.76% 26.00 HD US Equity 661 13,333 76.98 80.79 8.02 0.62% 3.33 HMB SS Equity (1) 7,694 42.69 42.68 -0.03 0.61% HON US Equity 6,795 11,930 61.10 95.90 97.76 0.58% 133.35 HPQ US Equity 2,404 7,851 25.81 33.72 33.72 0.91% (47.44) HSBA LN Equity 147 8,008 10.34 10.53 3.13 0.59% 37.28 IBE SM Equity 2,413 7,531 5.56 7.34 58.86 0.54% 28.93 IBM US Equity 65 (6,942) 188.29 186.52 1.50 0.63% 4.48 IMT LN Equity 2,483 13,953 37.12 43.72 26.39 0.67% (68.81) INTC US Equity 1,967 13,123 24.42 28.08 24.79 0.60% 12.10 ISP IM Equity 4,839 5,699 1.93 3.57 65.72 1.29% 162.24 ITUB US Equity (352) 5,715 15.82 14.90 -4.68 1.32% 182.51 ITUB4 BZ Equity (232) 4,601 15.75 14.99 -3.88 1.30% 163.39 ITW US Equity 4,386 14,011 67.84 89.07 67.45 0.46% 132.89 ITX SM Equity (18) (3,652) 146.45 147.18 -0.87 0.58% (24.98) JCI US Equity 149 4,214 48.47 50.18 3.49 1.01% 2.58 AB US Equity 6,398 19,626 77.72 103.06 90.66 0.36% 1.82 JPM US Equity 201 5,790 55.51 57.43 4.95 0.70% 50.76 KMB US Equity 387 10,931 107.86 111.68 9.16 0.39% 4.18 KMI US Equity 35.16 0.72% - KO US Equity (3) (444) 40.65 40.96 -2.40 0.31% 0.02 LBTYA US Equity 151 5,724 43.92 45.08 2.90 0.91% 47.99 LBTYK US Equity 251 7,489 41.91 43.31 4.51 0.74% 87.92 LIN GR Equity 565 10,686 200.99 211.62 7.52 0.70% (44.23) LLOY LN Equity 266 2,201 1.18 1.33 12.30 0.98% (7.60) LLY US Equity 51 4,953 59.03 59.63 1.81 0.57% 3.70 LMT US Equity 746 2,016 122.48 167.80 81.05 0.46% 15.52 LNKD US Equity 358 (2,461) 183.83 157.12 6.71 2.17% (9.04) LOW US Equity 95 4,313 46.77 47.80 2.25 0.97% 6.34 LVS US Equity (116) 2,484 76.04 72.65 -3.47 1.35% (58.00) LYB US Equity 1,544 2,297 59.29 99.13 125.54 0.54% (0.36) MA US Equity 146 5,041 74.90 77.07 3.07 0.94% (28.84) MAERSKB DC Equity 8,634 14,377 #N/A N/A 62.57 0.96% MC FP Equity 247 7,161 188.21 194.70 6.31 0.55% (29.55) MCD US Equity 78 9,603 100.64 101.45 1.79 0.45% (55.64) MCK US Equity 296 2,181 164.92 187.29 17.31 0.78% (18.06) MDIZ US Equity 4,475 13,763 28.74 38.09 52.47 0.62% (64.46) MDT US Equity 9,136 20,811 43.22 62.20 61.07 0.72% (135.02) MET US Equity 1,779 7,556 44.37 54.81 20.56 1.14% 6.58 MFC CN Equity 1,396 2,561 12.38 19.12 68.35 0.80% 33.58 MHS US Equity #WA N/A MMM US Equity 10,638 21,331 96.89 145.22 119.25 0.42% 199.95 MO US Equity 1,493 13,034 37.23 41.50 24.01 0.48% 45.83 EFTA00288489 MON US Equity 1,735 12,047 106.16 121.45 24.42 0.59% (26.02) MOS US Equity 49.06 MRK US Equity 1,777 12,269 50.46 57.76 19.03 0.76% (20.06) MS US Equity 125 2,622 30.60 32.06 4.22 1.13% 13.09 MSFT US Equity 1,362 8,724 35.67 41.23 21.21 0.74% (48.83) MUV2 GR Equity 654 6,116 197.70 218.83 14.64 0.73% (25.88) NAB AU Equity (99) 13,313 4N/A N/A -1.03 0.72% NCM AU Equity 4N/A N/A NEE US Equity 4,811 15,275 73.39 96.50 54.97 0.57% (274.73) NEM US Equity 548 (2,652) 28.72 22.78 17.76 1.16% 32.68 NESN VX Equity 1,018 11,809 4N/A N/A 16.96 0.51% NG/ LN Equity 2,406 13,478 12.00 14.15 24.51 0.73% (41.89) NKE US Equity 377 5,145 71.37 76.60 9.84 0.74% 12.55 NOK US Equity 4,432 4,498 3.96 7.87 81.81 1.20% (60.98) NOV US Equity 2 8,643 78.01 78.03 0.02 1.09% 112.51 NOVN VX Equity 7,139 21,257 4N/A N/A 71.66 0.47% NOVOB DC Equity 700 9,444 4N/A N/A 8.73 0.85% NSC US Equity 2,638 10,673 82.02 102.29 40.77 0.61% 103.92 NVS US Equity 5,726 17,966 67.57 89.11 86.43 0.37% 23.98 OGXP3 BZ Equity 4,026 (4,107) 4.39 0.09 34.79 2.82% (384.48) OR FP Equity 291 8,826 167.38 172.89 5.49 0.60% (31.49) ORA FP Equity 2,135 8,559 13.80 17.25 20.95 1.19% 103.17 ORCL US Equity 2,142 8,999 34.43 42.62 48.41 0.49% 22.08 OXY US Equity 417 9,397 96.04 100.30 8.31 0.53% (4.97) PBR US Equity (83) (2,059) 14.43 15.01 -2.35 1.72% (57.58) PBR/A US Equity (72) (2,072) 15.40 15.93 -1.96 1.77% (64.92) PCLN US Equity 271 5,110 1,174.29 1,236.68 4.03 1.32% (25.39) PCP US Equity 478 6,685 255.08 273.32 7.65 0.93% 49.73 PEP US Equity 675 12,677 83.59 88.04 13.01 0.41% 30.89 PETR3 BZ Equity (58) (2,348) 7.36 7.54 -1.41 1.74% (73.70) PETR4 BZ Equity (52) (2,200) 7.83 8.02 -1.32 1.79% (80.65) PFE US Equity (46) 3,857 29.65 29.30 -1.60 0.74% (27.20) PG US Equity 111 11,013 79.25 80.05 2.58 0.39% 4.59 PHIA NA Equity 32.49 - PM US Equity 165 9,885 86.84 88.29 4.44 0.38% (0.58) PNC US Equity 1,390 9,400 76.94 88.32 21.40 0.69% 133.54 POT CN Equity (99) 6,886 36.03 35.52 -2.28 0.63% 24.81 POT US Equity (176) 7,998 36.31 35.53 -3.82 0.57% 30.88 PRU LN Equity 8,634 10,521 12.76 23.24 129.26 0.63% 27.00 PSA US Equity 784 13,406 162.12 171.60 10.79 0.54% (110.80) PSX US Equity 1,804 6,569 65.88 83.97 36.87 0.74% (31.93) PX US Equity 2,943 16,860 114.07 133.97 43.89 0.40% (85.77) QCOM US Equity 2,482 12,717 66.98 80.05 44.23 0.44% (39.20) QQQ US Equity 2,914 12,682 75.41 92.74 42.44 0.54% 16.41 RAI US Equity 1,213 11,264 53.56 59.32 12.95 0.83% (4.65) RDS/A US Equity 664 11,546 75.02 79.34 9.89 0.58% 8.50 RDS/B US Equity 585 11,427 78.85 82.89 6.43 0.80% (7.65) EFTA00288490 RDSA LN Equity 798 9,744 36.73 39.74 13.51 0.61% 21.61 RDSA NA Equity 571 11,195 37.76 39.68 8.57 0.59% 15.50 RDSB LN Equity 656 10,889 39.07 41.43 8.09 0.75% 10.93 REGN US Equity 263 6,240 302.78 315.56 3.15 1.34% 112.69 RIO AU Equity (35) 699 #WA N/A -4.23 1.17% RIO IN Equity (38) 2,754 54.11 53.37 -1.51 0.91% 10.84 RIO US Equity (40) 3,158 54.03 53.36 -1.14 1.11% (0.46) ROG VX Equity 6,891 17,035 #WA N/A 74.06 0.55% RY CN Equity 485 11,337 66.05 68.87 10.30 0.42% 107.16 SAB IN Equity 1,221 11,420 49.47 54.76 14.26 0.75% 88.75 SAN FP Equity (42) (2,718) 105.52 107.14 -2.55 0.60% 14.40 SAN SM Equity 2,181 9,733 8.71 10.66 34.00 0.66% 64.27 SAN US Equity 1,766 7,980 8.73 10.66 27.05 0.82% 29.79 SAP GR Equity (21) 1,746 75.90 75.00 -1.61 0.74% (7.71) SAP US Equity (4) 403 75.82 75.02 -1.33 0.80% (0.79) SBUX US Equity 243 10,127 73.24 75.00 3.62 0.66% (35.28) SGO FP Equity 2,967 8,086 44.41 60.70 49.25 0.74% 81.98 SI US Equity #N/A N/A SIE GR Equity 952 5,345 114.81 135.27 22.71 0.78% 15.07 SLB US Equity 2,335 10,200 86.62 106.45 42.57 0.54% 109.27 SMSN LI Equity (32) 6,362 697.27 693.78 -0.55 0.91% (192.90) SO US Equity (137) 11,861 44.11 43.60 -1.98 0.58% (137.15) SPG US Equity (96) 12,778 168.97 167.72 -1.40 0.53% (140.25) SREN VX Equity #WA N/A STAN IN Equity (2) 2,044 22.49 22.47 .0.18 0.62% 3.29 STL NO Equity 1,818 11,476 #N/A N/A 18.60 0.85% STT US Equity 147 3,883 64.77 67.22 4.09 0.93% 14.01 SU CN Equity 794 11,105 36.96 39.60 9.64 0.74% 136.07 SU FP Equity 965 9,241 86.96 96.04 12.35 0.85% (15.05) SU US Equity 764 11,487 37.15 39.62 8.92 0.75% 143.25 SWEDA SS Equity 204 4,735 25.97 27.09 6.75 0.64% SYNN VX Equity (331) (4,132) #N/A N/A -19.92 0.40% 7 US Equity 46 (4,595) 35.35 35.00 1.98 0.51% (2.51) TD CN Equity 1,194 12,877 46.28 50.57 19.22 0.48% 117.26 TEF SM Equity 406 7,989 16.11 16.93 6.97 0.73% 51.50 TEF US Equity 395 6,344 15.95 16.94 7.39 0.84% 33.75 TGT US Equity 787 (8,574) 63.57 57.74 10.80 0.85% (11.26) T1X US Equity (37) (1,013) 54.42 56.40 -3.83 0.95% 1.58 TLS AU Equity 721 13,319 #WA N/A 11.14 0.49% TLSN SS Equity (307) (5,268) 7.02 7.43 -10.00 0.58% TM US Equity 1 (5,774) 115.16 115.13 0.04 0.60% 5.14 TMO US Equity 9,006 10,218 63.59 119.64 125.44 0.70% (9.68) TOT US Equity 1,194 7,801 61.19 70.56 19.69 0.78% (41.76) TRP CN Equity (19) (3,874) 46.17 46.40 -1.13 0.44% (13.42) TRV US Equity 1,194 13,459 87.04 94.76 18.44 0.48% 41.70 TSCO LN Equity 739 (6,473) 5.57 4.94 12.51 0.91% (95.35) TWC US Equity 1,041 5,234 120.22 144.14 38.35 0.52% 50.66 EFTA00288491 TWX US Equity 163 9,810 67.77 68.89 1.88 0.88% 122.45 TXN US Equity 4,502 12,205 34.93 47.81 44.88 0.82% 100.57 TYC US Equity 12,937 24,080 29.17 44.84 68.74 0.78% 418.22 UBS US Equity 65 2,373 19.76 20.30 4.20 0.65% 7.25 UBSN VX Equity 38 2,230 XWA N/A 2.47 0.68% UCG IM Equity 3,534 5,500 5.62 9.24 47.49 1.35% 30.52 ULVR LN Equity 210 6,329 42.99 44.41 5.68 0.58% 18.25 UNA NA Equity 145 8,550 42.33 43.05 2.84 0.60% (8.11) UNH US Equity 2,443 10,524 64.68 79.70 41.21 0.56% (34.90) UNP US Equity 2,860 13,934 84.53 101.87 9.41 2.18% 190.95 UPS US Equity 4,408 14,806 79.87 103.65 50.92 0.58% 6.29 USB US Equity 3,562 14,625 34.87 43.37 57.30 0.43% 224.65 UTX US Equity 6,969 15,190 82.05 119.69 74.54 0.62% 188.35 V US Equity 262 8,651 206.28 212.53 4.06 0.75% (6.68) VALE US Equity 298 (2,664) 14.92 13.25 8.44 1.33% (35.52) VALE3 BZ Equity 349 (2,939) 15.07 13.28 8.28 1.43% (51.72) VIAB US Equity 4,243 9,706 61.33 88.02 68.69 0.63% 72.51 VIV FP Equity 26.06 - VMW US Equity 412 4,785 89.16 96.84 7.75 1.11% (17.62) VOD LN Equity 328 (3,948) 3.82 3.50 9.45 0.88% (23.60) VOD US Equity 316 (3,810) 38.03 34.87 9.19 0.90% (4.87) VOW3 GR Equity 93 3,208 259.69 267.21 4.85 0.60% (10.25) VRX CN Equity 437 2,771 109.70 126.99 12.96 1.22% 0.98 VRX US Equity 680 1,880 93.20 126.90 31.30 1.16% (4.09) VTI US Equity 857 5,134 86.91 101.41 38.85 0.43% 16.11 VWO US Equity 109 5,630 42.75 43.57 2.95 0.65% 26.29 VZ US Equity (5) 4,702 49.60 49.54 0.21 0.54% 35.17 WBC AU Equity 502 11,844 XWA N/A 6.31 0.67% WES AU Equity 166 13,090 #WA N/A 1.82 0.67% WFC US Equity 4,170 12,761 39.49 52.39 60.65 0.54% 149.87 WLP US Equity 4,340 10,741 75.13 105.48 51.55 0.78% (108.81) WMT US Equity 84 9,262 76.31 77.00 1.92 0.47% (31.28) WOW AU Equity (40) 4,724 XWA N/A •1.21 0.69% XOM US Equity 1,618 16,573 92.53 101.56 24.61 0.40% 35.44 XTA LN Equity #WA N/A YHOO US Equity 101 2,439 34.57 36.00 3.59 1.15% 20.15 YUM US Equity 616 8,913 74.65 79.81 12.44 0.56% 8.71 ZURN VX Equity 105 8,429 XWA N/A 3.55 0.35% Current Portfolio - Global Macro Portfolio Current Price P/L in Vol 30P Realized Change on Day Security MTM Gain/(Loss) Exp. CO Cost Avg. Price (In USD) Days Vol (in USD) SPX index 21,199 62,272 1,455.70 1,951.27 84.14 0.40% 78.36 NDX Index 12,724 37,348 2,831.19 3,795.74 59.35 0.57% 15.48 RTY Index 713 10,580 1,101.66 1,175.88 7.86 0.86% 103.37 EFTA00288492 SPTSX Index 1,873 41,166 13,034.03 13,627.06 14.31 0.32% 184.62 MEXBOL Index 126 15,064 3,278.27 3,305.71 1.30 0.64% (31.70) IBOV Index (338) (8,398) 23,409.59 24,353.03 -3.61 1.12% (247.14) MERVAL Index 2,495 20,801 910.80 1,020.04 10.14 1.18% I 1,154.59 UKK Index 4,904 46,435 10,442.34 11,545.19 28.13 0.38% 92.00 DAX Index 10,327 37,694 10,673.47 13,597.72 55.94 O49% (83.92) CAC Index 2,269 29,424 5,788.46 6,234.78 17.50 0.44% (68.02) IBEX Index 12,499 42,773 11,737.69 15,167.55 44.18 0.66% 281.83 SMI Index 7,919 52,539 UN/A N/A 55.66 0.27% FTSEMIB Index 8,100 25,266 23,118.94 30,530.62 28.66 1.12% 141.78 P512O Index 6,084 24,476 8,041.34 10,040.20 27.32 0.91% 58.37 ISEQ Index 19,479 32,079 4,246.25 6,824.72 79.44 0.76% (88.15) ICEXI Index 1,200 14,393 UN/A N/A 15.97 0.52% AEX Index 7,081 47,270 490.91 564.44 33.97 0.44% 77.01 BEL20 Index 8,609 47,922 3,658.46 4,315.72 48.10 0.37% (129.47) LUXXX Index 11,960 41,632 #N/A N/A 40.48 0.71% KFX Index 12,601 40,659 UN/A N/A 55.35 0.56% HEX Index 9,945 43,508 8,607.83 10,575.33 42.60 0.54% (94.40) OMX Index 2,286 24,822 192.55 210.28 19.10 0.48% ATX Index 912 64,134 UN/A N/A 2.02 0.71% ASE Index 519 8,511 UN/A N/A 3.53 1.73% OSEBX Index 5,710 28,238 UN/A N/A 34.12 0.59% INDEXCF Index (488) (5,318) 39.64 43.28 -7.21 1.27% (13.71) TOP40 Index 2,206 36,288 3,996.66 4,239.62 8.41 0.72% (76.08) SENSEX Index 7,045 43,256 371.48 431.98 18.11 0.90% 149.19 NKY Index 565 21,231 143.69 147.51 3.51 0.76% 69.73 HSI Index 707 29,992 2,913.59 2,982.32 3.88 0.61% 227.46 SHCOMP Index 1,842 (36,707) 342.60 325.40 8.79 0.57% (77.12) KOSPI Index 1,788 45,441 1.88 1.96 8.55 0.46% AS51 Index 1,020 33,715 UN/A N/A 5.73 0.53% STEtCNZL Index 36,763 73,207 444.47 667.67 115.92 0.43% 92.31 EEM US Equity 69 5,720 43.20 43.72 1.84 0.66% 21.26 IYR US Equity 304 12,786 70.30 71.97 6.04 0.39% (140.35) MDY US Equity 5,718 14,269 184.03 257.77 71.85 0.56% 65.34 JNK US Equity 59 10,785 41.31 41.54 4.60 0.12% 10.45 XLF US Equity 6,403 13,610 15.57 22.90 90.44 0.52% 87.78 XLU US Equity 940 10,859 39.38 42.79 13.49 0.64% (79.43) XLK US Equity 3,136 13,057 30.89 38.31 47.60 0.50% 50.88 XLI US Equity 7,350 16,147 38.20 55.59 91.73 0.50% 118.95 XLP US Equity 883 12,093 42.09 45.16 18.37 0.40% (20.08) XLY US Equity 1,589 9,522 57.37 66.94 28.87 0.58% 3.32 XLE US Equity 1,177 13,308 89.08 96.96 21.16 0.42% 22.44 XIS US Equity 4,780 15,233 37.75 49.59 65.68 0.48% (52.33) XLV US Equity 13,143 24,346 38.87 59.85 114.87 0.47% (193.18) SXXP Index 7,980 48,422 406.61 473.62 50.86 0.32% (7.25) SXAP Index 11,008 28,869 521.95 720.98 55.60 0.69% (247.56) SXKP Index 5,697 37,626 366.14 421.57 29.56 0.51% 145.44 EFTA00288493 SX6P Index 8,268 39,028 359.86 436.10 42.93 0.49% (9.96) SXEP Index 4,677 51,146 456.85 498.63 15.48 0.59% 20.44 SXIP Index 12,552 28,923 222.31 318.78 99.61 0.44% (80.01) SXNP Index 5,487 30,226 487.27 575.73 43.01 0.42% (70.65) SX3P Index 1,481 31,675 679.66 711.44 11.26 0.42% 63.37 SXDP Index 26,955 61,074 609.16 878.01 124.94 0.35% (142.16) SX4P Index 4,450 29,075 931.79 1,074.41 36.85 0.42% (85.03) SX8P Index 584 11,683 370.52 389.05 8.95 0.56% (12.58) SXOP Index 12,935 44,807 388.56 500.73 49.74 0.58% (45.92) SXQP Index 1,471 45,829 807.20 833.11 8.92 0.36% 25.35 SXRP Index 17 16,765 431.85 432.29 0.25 0.40% 67.17 SXMP Index 1,555 15,898 312.53 343.09 20.29 0.48% 33.28 SXTP Index 24,741 39,247 172.05 280.51 91.79 0.69% (162.09) SX7E Index 4,428 12,087 159.85 218.41 39.02 0.94% 62.67 SXSE Index 8,485 42,479 3,742.86 4,490.53 42.80 0.47% (28.83) SPGSCITR Index (33) (15,778) 5,016.60 5,027.16 0.60 0.35% (137.37) XAG Curncy 1,601 (17,389) 21.00 19.07 13.30 0.69% (42.81) CO1 Comdty (43) (9,568) 109.50 109.99 M.95 0.47% (121.02) CL1 Comdty 1,555 30,849 99.40 104.41 8.64 0.58% 552.38 NG1 Comdty 3,061 15,160 3.86 4.65 14.08 1.43% (251.46) XAU Comdty (309) (26,763) 85.44 86.43 M.02 49.02% 82.38 IBOXHY Index 3,996 53,418 220.12 236.59 139.98 0.05% 58.91 US_TSY CREDIT 24 100,443 765.33 765.51 0.20 0.11% (82.61) CA_TSY CREDIT (57) (25,139) 1,213.44 1,216.18 0.84 0.27% (56.64) MX_TSY CREDIT 1,539 87,928 221.30 225.17 4.08 0.43%(846.18) AU TSY CREDIT 1,411 81,398 1,506.03 1,532.14 6.69 0.26% 110.40 JP_TSY CREDIT 309 (45,369) 817.18 811.61 3.05 0.22% 4.50 MY_TSY CREDIT 1,027 103,107 170.18 171.87 4.40 0.23% 425.85 SG_TSY CREDIT 264 66,005 221.48 222.37 1.89 0.21% (53.60) AT_TSY CREDIT 3,996 81,569 358.40 375.96 20.64 0.24% (229.25) BE_TSY CREDIT 5,547 79,771 477.76 510.98 27.08 0.26% (201.56) FI_TSY CREDIT 3,477 85,645 349.64 363.84 18.40 0.22% (310.00) FR_TSY CREDIT 4,578 82,246 1,684.51 1,778.27 23.21 0.24% (217.21) DE_TSY CREDIT 2,585 84,524 1,247.55 1,285.71 14.00 0.22% (376.42) lE_TSY CREDIT 33,484 78,270 336.92 481.06 182.39 0.23% (204.06) IT_TSY CREDIT 9,665 54,986 1,616.07 1,900.15 56.47 0.31% (11.23) NL_TSY CREDIT 3,622 82,865 1,330.92 1,389.09 19.14 0.23%. (321.32) ES_TSY CREDIT 12,064 50,187 392.28 486.58 84.53 0.28% 26.88 DK_TSY CREDIT 2,698 67,396 729.23 758.42 16.40 0.24% (216.52) NO_TSY CREDIT 85 50,762 347.94 348.52 0.58 0.29% (110.64) PL_TSY CREDIT 2,369 35,151 429.04 457.96 23.10 0.29% (174.51) ZA_TSY CREDIT (810) (53,741) 83.15 84.40 -1.80 0.84% 336.51 SE_TSY CREDIT 236 (44,333) 464.03 461.56 1.63 0.33% 233.42 CH_TSY CREDIT 2,874 69,857 1,008.64 1,050.14 19.09 0.22% (282.86) GB_TSY CREDIT 1,638 89,647 1,507.67 1,535.22 8.17 0.22% (214.15) EFTA00288494