EFTA00288495.pdf

Atorus, LLC 6/11/2014 Current Date: Total Return since 1/1/12: T12M Return: T90 Day Return: T30 Day Return: Current Long Exposure @ Cost: Current Short Exposure @ Cost: Net Exposure: Starting Capital: Current NAV: 6/11/2014 94.79% 44.25% 7.70% 4.17% 5,943,469 (537,144) 5,406,325 1,000,000 1,947,940 Change on Day: -1.36% MSCI World Change on Day -0.24% No of Positions (+MTM) on Day No of Positions (-MTM) on Day Current No. of Positions: Current Leverage (Gross Exposures): 145 293 440 133 Profit Factor: Win Ratio: T24M (+) NAV Days T24M Avg. Daily NAV (+) Change T24M Avg. Daily NAV (-) Change Target Vol-Adj. Risk Listed Equities Target Vol-Adj. Risk Global Macro Targeted Max Loss (ex-Leverage) Leverage Target At Inception: Notes on Leverage: T24M Sharpe Ratio: 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 60.86% Avg. Realized Gain / Avg. Realized Loss 3.14 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 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. 2,200,000.00 2,000,000.00 1,800,000.00 1,600,000.00 1,400,0;0.00 1,200,000.00 1,800,000.00 800,000.00 600,060 00 eeeeeeee 01, o ^ , O s , 0 1 A e • ' V 1 , S i , S Y e • t , S Y e s OVA 01A 5 5 A\ cf v 4Thr' N7 <,?' ok —NAV EFTA00288495 Atorus, LLC 6/11/2014 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 DUK US Equity (7,783) TGT US Equity (8,574) CO1 Comdty (9,568) SPGSCITR Index (15,778) XAG Curncy (17,389) XAU Comdty (26,763) SHCOMP Index (37,862) 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 CA_TSY CREDIT (82,081) 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 -0.199% Listed Equity Short 0.039% EquityCom Long -0.659% EquityCom Short -0.050% G20 Rates Long -0.049% G20 Rates Short -0.006% T12M Contribution (% of total Tr/Tr NAV Change by Category) Listed Equities 45.36% EquityCom 45.34% G20 Rates 6.62% % of Total Notional Security MTM Gain % Total NAV 20.19%1 44 Positions 26.41% 0.12% AZN US Equity 5,999 0.31% 0.13% AZN LN Equity 6,086 0.31% 0.15% XLF US Equity 6,264 0.32% 0.24% 1N1 US Equity 6,496 0.33% 0.27% HON US Equity 6,599 0.34% 0.41% UTX US Equity 6,713 0.34% 0.58% AEX Index 6,748 0.35% 0.68% SENSEX Index 6,750 0.35% 0.70% ROG VX Equity 7,120 0.37% 0.83% XLI US Equity 7,122 0.37% 1.23% ACA FP Equity 7,132 0.37% 1.26% DAI GR Equity 7,162 0.37% 1.26% NOVN VX Equity 7,512 0.39% 1.27% FTSEMIB Index 7,610 0.39% 1.27% SXXP Index 7,632 0.39% 1.28% SMI Index 7,898 0.41% 1.30% SX6P Index 7,933 0.41% 1.32% SXSE Index 8,048 0.41% 1.36% MAERSKB DC Equity 8,285 0.43% 1.38% BEL20 Index 8,429 0.43% 1.55% PRU LN Equity 8,451 0.43% 1.59% MDT US Equity 8,662 0.44% TMO US Equity 9,050 0.46% IT_TSY CREDIT 9,065 0.47% HEX Index 9,511 0.49% DAX Index 9,868 0.51% MMM US Equity 10,485 0.54% SXAP Index 10,512 0.54% LIAM Index 10,962 0.56% ES_TSY CREDIT 11,566 0.59% IBEX Index 11,854 0.61% SXOP Index 12,064 0.62% SXIP Index 12,188 0.63% KFX Index 12,576 0.65% NDX Index 12,752 0.65% TYC US Equity 12,779 0.66% XLV US Equity 13,224 0.68% ISEQ Index 18,663 0.96% SPX Index 20,884 1.07% SXTP Index 23,666 1.21% EFTA00288496 XAU Comdty 24,824 1.27% SXDP Index 27,819 1.43% lE_TSY CREDIT 32,889 1.69% STBCNZL Index 36,568 1.88% No. Names APAC Long 33 APAC Short 15 EMEA Long 73 EMEA Short 13 AMER Long 184 AMER Short 27 EquityCom Long 66 EquityCom Short 6 G20 Rates Long 19 G20 Rates Short 4 Total Long 375 Total Short 65 Current Exposure by Geography (listed Equities) & Macro (Equity Indices & Cornmodiltes, 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 EFTA00288497 Atorus, LLC 6/11/2014 Historical Net Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodites, G20 Gov. Credit) A p Ac EMEA AMER — EquityCom —G20 Rates NexEposuce RIG 2500,000 ,000,030 6 - 4000.000 - 3000030 • 34:00.030 1,000,000 ' Ci a :13" )) • (2,000,003) 2000,000 1500,000 1.000,000 IP / \ e '' 41. (9 e g .0 . .0 . 'O. _eh:01 SP jt heiS' 0 , 0 ,0 0 0. 0 ei• .V . 17. .V . c. c. ei• 41, „St. *Si, 4t• \ \ \ (64 \ 4 4 .;3\ 4 'V (1,030,000) (3,000003) Historical Gross Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodlites, G20 Gov. Credit) EFTA00288498 Atorus, LLC 6/11/2014 Current Gross Notional Risk by Category 271,228 647,150 1,62933 ■ APAC ■ EMEA ■ AMER ■ EquityCom ■ G20 Rates Performance Vs. MSCI World Index Rolling 30 Day Realized Volatility - Atorus EFTA00288499 Atorus, LLC 6/11/2014 Percentile Distribution of Current MTM Gains in Vol Days by Position (ex-99pct & ex-1st percentiles) 80.00 MOO 80.00 50.00 40.00 30.00 20.00 10.00 «CO 10.00 I, cs's ,) 9(319,-. . ritratetatitstattate % N '13 n> % N N % P/I. Vol Days by Pos:tion Percentile No. Vol Days 0.00% -11.22 5.00% -3.66 10.00% -1.36 15.00% 0.00 20.00% 0.95 25.00% 1.96 30.00% 3.00 35.00% 4.17 40.00% 5.74 45.00% 7.26 50.00% 9.18 55.00% 11.22 60.00% 13.73 65.00% 17.44 70.00% 22.70 75.00% 28.72 80.00% 36.03 85.00% 45.42 90.00% 57.56 95.00% 80.34 100.00% 176.02 MTM Gains(Losses) % of NAV "Signficant" (<7 Vol Days) 2.38% MTM Gains(Losses) % of NAV "Signficant" (>7 Vol Days) 44.86% EFTA00288500 Atorus, LLC Current Portfolio -Listed Equity Portfolio Current Price PA in Vol 309 Realized Change on Day Security MTM Gain/(Loss) Exp. Le Cost Avg. Price (in USD) Days Vol (in USD) 6/11/2014 000270 KS Equity (1) (1,225) 55.55 55.61 -0.12 0.92% 2.33 005380 KS Equity (63) 3,149 224.30 219.91 -2.06 0.97% (1.95) 005490 KS Equity 71 (3,177) 294.09 287.53 2.50 0.89% 14.16 005930 KS Equity (6) 2,679 1,399.46 1,396.27 -0.23 1.00% (8.74) 012330 KS Equity 824 5,584 247.00 283.48 17.36 0.85% 65.09 1 HK Equity 1,094 12,607 16.18 17.58 9.21 0.94% (20.93) 1299 HK Equity 314 7,867 4.85 5.04 6.15 0.65% (55.57) 13 HK Equity 935 6,181 11.80 13.58 14.43 1.05% (56.82) 16 HK Equity 13.67 27 HK Equity (14) 222 7.91 7.43 -3.39 1.92% 7.78 2914 JP Equity 158 4,760 34.07 35.20 3.92 0.85% 115.62 3382 JP Equity 139 3,074 38.97 40.73 5.33 0.85% 20.84 40631P Equity (39) 2,640 59.82 58.95 -1.81 0.81% (24.70) 45021P Equity 167 4,914 44.83 46.35 4.83 0.70% 41.28 4689 JP Equity 160 4,252 4.63 4.80 1.96 1.92% (6.79) 5 HK Equity (126) (4,127) 10.15 10.46 -4.97 0.62% 37.84 5108 JP Equity 58 4,359 35.90 36.38 1.54 0.86% 37.05 54011P Equity (308) (4,199) 2.81 3.02 -7.90 0.93% (45.52) 63011P Equity 63 4,173 22.48 22.82 1.56 0.97% 20.55 67521P Equity 11.54 6902 JP Equity 47.51 6954 JP Equity 619 7,571 160.05 173.13 9.91 0.82% 39.05 7201 JP Equity 9 2,105 9.34 9.38 0.46 0.98% 14.25 7203 JP Equity (95) (4,207) 56.09 57.36 -3.07 0.74% (30.23) 7267 JP Equity 37 (4,675) 35.34 35.06 0.74 1.05% (10.78) 762 HK Equity (41) (2,034) 1.48 1.51 -1.22 1.64% 21.78 7751 JP Equity 33 5,733 32.67 32.86 1.04 0.55% (0.11) 80311P Equity (87) (2,279) 14.69 15.26 4.11 0.93% 76.30 8058 JP Equity 324 8,319 19.43 20.19 5.80 0.67% (31.69) 81061P Equity (163) (2,751) 5.63 5.96 -6.08 0.97% (32.87) 83161P Equity (150) (3,372) 39.96 41.74 -3.72 1.20% 41.53 84111P Equity 29 3,907 2.01 2.03 1.31 0.57% (16.91) 8604 JP Equity (116) (3,335) 6.47 6.70 -2.76 1.26% 27.61 88011P Equity 236 4,655 31.26 32.84 3.57 1.42% 8802 JP Equity 1 (4,927) 24.35 24.34 0.02 1.32% 40.19 9020 JP Equity (38) (1,386) 75.37 77.43 -3.67 0.74% (9.94) 941 HK Equity 179 (3,782) 10.19 9.71 5.57 0.85% 52.65 94321P Equity 991 9,492 54.98 60.72 11.94 0.87%` 268.05 94331P Equity 155 6,343 56.96 58.35 2.35 1.04% 83.26 94371P Equity 63 4,082 16.92 17.18 2.32 0.66% 77.53 99831P Equity (96) (2,292) 322.77 336.34 -199 1.05% 12.83 EFTA00288501 9984 JP Equity 26 5,645 74.36 74.71 0.37 1.26% 43.03 AAPL US Equity 1,882 9,485 78.54 94.13 27.86 0.71% (13.15) ABB US Equity 23.40 ABBN VX Equity 9 (1,048) 23.68 23.48 1.11 0.78% 9.01 ABBV US Equity 282 5,504 51.57 54.22 7.19 0.71% 84.01 ABEV US Equity 46 (5,506) 7.24 7.18 0.78 1.07% 55.99 ABEV3 BZ Equity 51 (5,164) 7.31 7.24 0.95 1.04% 51.79 ABI BB Equity 882 10,512 104.24 112.99 12.58 0.67% 80.95 ABT US Equity 145 7,169 39.29 40.09 4.10 0.49% (50.74) ABX CN Equity 487 (5,037) 18.17 16.41 9.82 0.99% (70.53) ABX US Equity 472 (4,849) 18.17 16.41 9.94 0.98% (62.14) ACA FP Equity 7,132 5,408 6.83 15.85 105.75 1.25% (233.97) ACE US Equity 714 11,217 97.97 104.22 17.72 0.36% (77.09) ACN US Equity 551 8,563 77.97 82.99 10.49 0.61% (97.38) ADP US Equity 149 6,767 76.95 78.64 3.98 0.55% (89.22) AFL US Equity 96 5,843 61.61 62.61 2.44 0.67% (63.65) AGN US Equity 4,575 10,225 112.47 162.80 38.45 1.16% (89.50) Al FP Equity (349) 12,864 137.76 134.12 -3.70 0.73% 25.24 AIG US Equity 689 9,279 50.92 54.70 10.04 0.74% (49.97) AIR FP Equity 14 4,737 70.19 70.40 0.26 1.14% (154.51) ALV GR Equity (9) 7,052 169.21 168.99 -0.24 0.53% (31.63) ALVG IX Equity 13 5,730 168.62 169.00 0.43 0.52% (23.59) AMGN US Equity 22 8,878 116.15 116.44 0.42 0.60% (19.49) AMT US Equity 1,790 12,212 77.36 88.70 23.81 0.62% (88.85) AMZN US Equity (289) (2,898) 306.51 337.09 -8.03 1.24% (33.50) ANZ AU Equity 882 12,947 29.78 31.80 9.36 0.73% 52.02 APA US Equity 551 9,302 89.89 95.22 9.79 0.61% 44.18 APC US Equity 439 5,575 99.54 107.38 9.12 0.86%' 209.27 AXP US Equity 3,421 11,301 72.90 94.97 45.54 0.66% (22.84) AZN LN Equity 6,086 12,676 49.80 73.71 35.80 1.34% 287.42 AZN SS Equity AZN US Equity 5,368 5,999 12,119 12,812 50.82 50.30 73.33 73.85 24.46 33.53 1.81% 1.40% I 186.86 292.18 BA US Equity 349 10,667 129.95 134.19 4.89 0.67% (220.67) BAC US Equity 95 6,109 15.41 15.65 1.99 0.78% (80.64) BARC LN Equity (80) 5,219 4.11 4.05 -1.19 1.28% (43.58) BAS GR Equity 1,418 8,331 99.18 116.07 30.69 0.55% (14.50) BATS LN Equity 770 8,615 54.62 59.50 12.23 0.73% 80.68 BAX US Equity (12) 4,842 73.52 73.34 -0.51 0.48% (18.23) BAYN GR Equity 403 10,263 137.07 142.46 7.53 0.52% (89.41) BBAS3 BZ Equity (90) (590) 10.26 11.82 -9.32 1.63% (12.17) BBD US Equity 256 5,475 14.62 15.30 3.45 1.35% 149.45 BBDC4 BZ Equity 274 5,427 14.64 15.38 3.73 1.35% 149.01 BBL US Equity 40 (4,248) 64.02 63.41 1.11 0.86% (14.97) BBVA SM Equity 1,795 6,299 10.28 13.21 38.51 0.74% (87.67) BCE CN Equity 285 10,241 45.03 46.28 7.37 0.38% 7.08 Bcs US Equity (90) 5,457 16.46 16.19 -1.35 1.23% (55.60) BEN US Equity 208 4,282 53.70 56.31 5.65 0.86% (34.27) EFTA00288502 BG/ IN Equity (387) (3,788) 18.76 20.68 -11.22 0.91% 5.52 BHP AU Equity (190) 9,507 34.47 33.80 -2.14 0.94% (77.80) BHP US Equity (28) 7,278 67.99 67.73 -0.46 0.84% (7.94) BBB US Equity 284 1,066 245.93 311.40 24.47 1.09% (14.65) BIL SI Equity 116 (4,833) 32.51 31.73 3.38 0.71% (20.83) BK US Equity 642 8,609 32.86 35.31 10.66 0.70% (24.79) BLK US Equity 135 5,982 304.18 311.07 4.21 0.54% (52.32) BLT IN Equity 86 (4,374) 32.33 31.69 2.40 0.82% (11.17) BMO CN Equity 803 14,492 66.99 70.70 13.98 0.40% (31.15) BMW GR Equity 1,307 5,402 99.96 124.15 32.48 0.75% (24.58) BMY US Equity (1) (533) 46.90 47.00 0.23 0.96% (1.16) BN FP Equity (6) 827 74.48 73.94 -1.00 0.73% (2.90) BNP FP Equity 92 (2,817) 71.94 69.60 3.35 0.97% 57.77 BNS CN Equity 1,319 13,480 59.19 64.98 24.29 0.40% 26.60 BP/ LN Equity 951 11,254 7.84 8.50 17.22 0.49% 63.77 BRK/B US Equity 911 15,201 120.96 128.21 15.21 0.39% 18.53 858R US Equity 165 3,853 6.72 7.01 6.16 0.70% (55.62) BUD US Equity 817 10,701 104.76 112.76 11.23 0.68% (45.29) BX US Equity 246 4,451 31.95 33.72 4.25 1.30% 55.35 C US Equity 112 5,464 47.89 48.87 3.35 0.61% (47.48) CA FP Equity 219 3,932 34.37 36.28 6.66 0.84% (23.02) CAT US Equity 2,951 14,645 90.43 108.66 29.45 0.68% (82.27) CBA AU Equity 1,855 17,559 69.92 77.31 19.48 0.54% 25.37 CBS US Equity 142 4,782 60.27 62.07 3.08 0.97% 94.35 CCL US Equity 680 6,766 36.49 40.16 14.91 0.67% 13.58 CELG US Equity 348 5,717 151.98 161.24 7.29 0.84% (36.25) CFR VX Equity 391 9,275 98.59 102.75 6.01 0.70% 35.79 CL US Equity 3,180 22,712 60.13 68.55 33.47 0.42% (65.52) CM CN Equity 663 12,827 84.55 88.92 11.57 0.45% 37.33 CMCSA US Equity 279 9,450 51.14 52.66 5.90 0.50% (30.67) CMCSK US Equity 5,340 13,070 37.10 52.25 88.26 0.46% (40.74) CNI US Equity 2,703 14,136 52.09 62.06 43.75 0.44% 36.71 CNQ CN Equity 1,675 10,962 36.82 42.45 19.70 0.78% 26.76 CNR CN Equity 2,659 14,024 52.19 62.08 45.40 0.42% 59.08 COF US Equity 1,273 8,423 70.22 80.83 22.46 0.67% (100.82) COP US Equity 639 9,807 76.84 81.85 11.68 0.56% 58.43 COST US Equity 190 9,550 114.02 116.28 3.24 0.61% (66.80) COV LN Equity MO N/A COV US Equity 935 7,685 64.71 72.58 23.70 0.51% (43.78) CRM US Equity 32 2,191 52.34 53.10 0.83 1.75% 17.15 CS FP Equity 70 4,786 24.65 25.01 1.57 0.94% (40.35) CSCO US Equity 118 6,415 24.58 25.03 2.64 0.70% 12.84 CSX US Equity 1,918 9,972 25.47 30.37 28.91 0.67% 29.91 CVE CN Equity 29.79 CVS US Equity 2,495 12,539 64.62 77.47 32.82 0.61% (93.54) CVX US Equity (48) (3,429) 123.45 125.16 -3.10 0.45% (4.98) D US Equity 1,265 10,604 60.80 68.05 17.78 0.67% (110.28) EFTA00288503 DAI GR Equity 7,162 13,908 62.20 94.24 65.54 0.79% (157.65) DBK GR Equity 532 (5,592) 41.95 37.96 10.24 0.93% 42.64 DD US Equity 3,320 13,534 55.43 69.02 50.78 0.48% (54.37) DDAIF US Equity 4,110 8,377 63.20 94.21 60.92 0.81% (95.62) DE US Equity 534 10,094 86.88 91.47 9.68 0.55% (107.17) DELI. US Equity #WA WA DG FP Equity 4,806 10,090 51.66 76.26 92.24 0.52% (102.88) DGE LN Equity 88 2,332 30.86 32.02 5.87 0.64% 21.14 DHR US Equity 501 10,481 76.51 80.16 7.21 0.66% (18.48) DIS US Equity 2,360 11,829 70.38 84.42 32.60 0.61% (71.07) DISCA US Equity (280) (6,841) 75.84 78.94 -3.91 1.05% 97.10 DNB NO Equity 621 7,648 17.79 19.24 11.77 0.69% (67.48) DOW US Equity 3,132 7,396 37.11 52.83 63.40 0.67% (36.17) DPW GR Equity 153 660 29.41 36.21 26.77 0.86% (15.68) DTE GR Equity 949 7,575 15.16 17.05 14.58 0.86% (71.47) DTV US Equity 3,592 10,622 61.97 82.93 33.51 1.01% (10.07) DUK US Equity 94 (7,783) 70.84 69.98 2.50 0.48% 75.18 DVN US Equity 2,337 13,206 64.85 76.33 25.09 0.71% 215.49 EBAY US Equity 124 (3,131) 50.61 48.60 4.37 0.91% (11.32) ECL US Equity 364 11,898 106.13 109.38 8.42 0.36% (56.51) EDF FP Equity 4,874 9,189 23.45 35.88 54.07 0.98% 41.31 EMC US Equity 638 11,494 25.41 26.82 11.70 0.47% 93.49 EMR US Equity 75 8,739 66.80 67.37 1.52 0.57% (32.78) ENB CN Equity 286 12,532 45.66 46.70 4.95 0.46% 76.43 ENEL IM Equity 2,895 8,902 4.48 5.94 35.06 0.93% 52.06 ENI IM Equity 753 11,929 24.33 25.87 9.52 0.66% (63.13) EOAN GR Equity 133 4,560 18.88 19.43 3.35 0.87% (35.35) EOG US Equity 2,981 5,841 72.84 110.01 52.36 0.97% 101.57 EPD US Equity 2,245 14,084 64.34 74.60 38.24 0.42% (80.05) ERICB SS Equity (91) 7,934 12.51 12.37 -1.93 0.60% (42.77) ESRX US Equity 68 5,382 70.60 71.49 1.70 0.75% 6.23 ETN US Equity 200 6,274 72.92 75.24 5.54 0.57% 12.78 F US Equity 31 5,860 16.85 16.94 0.82 0.64% (34.23) F8 US Equity 1,269 2,630 44.06 65.32 33.32 1.45% 20.64 FCX US Equity 77 6,674 33.66 34.04 1.39 0.82% (57.74) FDX US Equity 393 5,760 133.48 142.58 12.82 0.53% (43.13) FOX US Equity 421 7,717 33.18 35.00 6.20 0.88% (10.27) FOXA US Equity 397 6,755 34.05 36.05 6.67 0.88% 6.25 FP FP Equity 1,732 14,528 62.63 70.10 18.43 0.65% (48.34) G IM Equity 68 5,340 22.35 22.64 1.84 0.70% (15.41) GE US Equity 2,854 13,140 22.32 27.16 46.55 0.47% (112.02) GILD US Equity 169 5,284 78.35 80.86 3.01 1.06% 96.26 GIS US Equity 1,943 25,323 50.89 54.79 21.22 0.36% (144.38) GLE FP Equity 58.72 - GLEN LN Equity (126) (2,955) 5.22 5.45 -6.05 0.71% (11.94) GLW US Equity 3,770 12,136 16.41 21.51 55.88 0.56% 26.59 GM US Equity 215 8,503 35.24 36.13 3.08 0.82% (84.96) EFTA00288504 GOOG US Equity 17 6,023 555.91 557.46 0.30 0.93% (34.00) GS US Equity 138 6,289 161.81 165.37 2.78 0.79% (37.63) GSK LN Equity 190 5,707 26.22 27.09 5.66 0.59% 69.87 GSZ FP Equity 1,305 11,763 25.40 28.22 14.06 0.79% (144.81) HAL US Equity 2,269 7,828 51.75 66.74 42.10 0.69% (55.29) HD US Equity 534 13,333 76.98 80.06 6.80 0.59% (100.53) HMB SS Equity 238 7,694 42.69 44.01 4.42 0.70% 134.58 HON US Equity 6,599 11,930 61.10 94.90 94.10 0.59% (66.09) HPQ US Equity 2,289 7,970 25.90 33.34 36.00 0.80% (86.93) HSBA LN Equity 78 8,008 10.34 10.44 1.69 0.58% (30.26) IBE SM Equity 2,383 7,531 5.56 7.32 61.80 0.51% (33.34) IBM US Equity 204 (6,942) 188.29 182.77 5.07 0.58% 66.21 IMT LN Equity 2,611 13,953 37.12 44.06 29.22 0.64% 86.61 INTC US Equity 1,891 13,405 24.49 27.94 25.91 0.54% (138.22) ISP IM Equity 4,583 5,699 1.93 3.48 61.11 1.32% (169.35) ITUB US Equity (202) 5,715 15.86 15.32 -2.42 1.46% 106.47 ITUB4 BZ Equity (101) 4,601 15.78 15.44 -1.50 1.47% 97.07 ITW US Equity 4,304 14,011 67.84 88.67 69.39 0.44% (41.56) ITX SM Equity (93) (2,739) 146.45 151.44 -5.05 0.67% (45.54) JCI US Equity 107 4,214 48.47 49.70 2.88 0.88% (19.08) JNJ US Equity 6,496 19,926 78.01 103.45 97.76 0.33% (49.99) JPM US Equity 189 7,538 55.96 57.36 3.75 0.67% (38.92) KMB US Equity 326 11,316 107.98 111.09 8.57 0.34% (54.63) KMI US Equity (3) 1,767 35.00 34.94 -0.30 0.57% (6.72) KO US Equity - 979 40.90 40.90 0.00 0.28% (3.10) LBTYA US Equity 71 5,724 43.92 44.47 1.33 0.93% (19.62) LBTYK US Equity 210 7,489 41.91 43.09 3.87 0.73% 5.10 LIN GR Equity 539 10,686 200.99 211.13 7.95 0.63% 31.44 LLOY LN Equity 260 2,776 1.21 1.32 9.68 0.97% 19.87 LLY US Equity 48 4,953 59.03 59.60 1.81 0.53% 10.17 LMT US Equity 694 2,016 122.48 164.65 67.86 0.51% (38.97) LNKD US Equity 275 (2,461) 183.83 163.26 6.08 1.84% (27.01) LOW US Equity 23 4,313 46.77 47.03 0.55 0.99% (46.30) LVS US Equity (54) 2,483 75.61 74.01 -1.69 1.28% 69.34 LYB US Equity 1,550 2,297 59.29 99.29 128.15 0.53% (11.33) MA US Equity 140 6,084 75.27 76.99 2.87 0.80% (13.06) MAERSKB DC Equity 8,285 14,377 1,651.64 2,603.42 61.22 0.94% (230.95) MC FP Equity 304 7,348 188.38 196.16 7.72 0.54% 42.29 MCD US Equity (4) 9,603 100.64 100.59 -0.10 0.44% (40.87) MCK US Equity 286 2,181 164.92 186.54 16.26 0.81% 17.45 MDIZ US Equity 4,241 13,763 28.74 37.60 50.94 0.60% (60.89) MDT US Equity 8,662 20,811 43.22 61.21 57.47 0.72% (232.54) MET US Equity 1,793 7,556 44.37 54.90 22.75 1.04% (12.91) MFC CN Equity 1,371 2,561 12.38 19.00 75.12 0.71% (0.10) MHS US Equity #N/A N/A MMM US Equity 10,485 21,331 96.89 144.52 114.66 0.43% (81.82) MO US Equity 1,838 13,316 37.33 42.48 32.50 0.42% 118.14 EFTA00288505 MON US Equity 1,677 12,305 106.44 120.95 24.48 0.56% (40.92) MOS US Equity 48.90 - MRK US Equity 2,027 12,269 50.46 58.79 23.10 0.72% 132.95 MS US Equity 91 3,306 30.86 31.70 2.70 1.01% (33.46) MSFT US Equity 1,274 8,724 35.67 40.87 21.55 0.68% (44.39) MUV2 GR Equity 643 6,116 197.70 218.48 16.33 0.64% (14.55) NAB AU Equity 22 13,313 31.52 31.57 0.23 0.73% (14.68) NCM AU Equity 9.18 NEE US Equity 4,497 15,275 73.39 94.99 47.23 0.62% (195.10) NEM US Equity 522 (2,777) 28.38 23.05 19.73 0.95% (46.60) NESN VX Equity 1,088 11,809 70.94 77.48 17.64 0.52% 72.68 NG/ IN Equity 2,248 13,478 12.00 14.00 23.41 0.71% 71.29 NICE US Equity 273 5,145 71.37 75.16 7.31 0.73% (100.28) NOK US Equity 4,631 4,498 3.96 8.04 97.13 1.06% 43.79 NOV US Equity (191) 8,643 77.97 76.28 -2.27 0.98% (226.30) NOVN VX Equity 7,512 21,467 66.64 89.96 81.98 0.43% 36.41 NOVOB DC Equity 972 9,444 40.35 44.50 12.54 0.82% 138.83 NSC US Equity 2,572 10,732 82.11 101.78 39.69 0.60% 7.30 NVS US Equity 5,867 18,119 67.71 89.64 88.46 0.37% (163.68) OGXP3 BZ Equity 4,030 (4,107) 4.39 0.08 32.94 2.98% 305.63 OR FP Equity 384 8,826 167.38 174.66 8.08 0.54% 19.55 ORA FP Equity 1,749 8,559 13.80 16.62 17.58 1.16% (261.91) ORCL US Equity 2,138 8,999 34.43 42.61 54.25 0.44% (22.43) OX? US Equity 379 9,704 96.15 99.91 7.75 0.50% (3.00) PBR US Equity (82) (1,029) 14.43 15.59 -4.88 1.64% (26.12) PBR/A US Equity (89) (1,036) 15.40 16.73 -4.95 1.74% (29.49) PCLN US Equity 277 5,110 1,174.29 1,237.91 4.95 1.10% 54.54 PCP US Equity 333 8,068 257.64 268.27 4.83 0.85% (153.97) PEP US Equity 655 13,263 83.78 87.92 13.05 0.38% (75.93) PETR3 BZ Equity (76) (1,174) 7.36 7.83 -3.84 1.69% (29.45) PETR4 BZ Equity (78) (1,100) 7.83 8.39 -3.98 1.78% (29.36) PFE US Equity (24) 4,811 29.61 29.46 -0.82 0.62% 5.95 PG US Equity 108 11,013 79.25 80.03 2.92 0.34% (18.71) PHIA NA Equity 32.36 - PM US Equity 184 9,885 86.84 88.46 5.98 0.31% 20.35 PNC US Equity 1,357 9,400 76.94 88.05 21.51 0.67% (27.18) POT CN Equity (4) 6,886 36.04 36.02 -0.09 0.64% (19.26) POT US Equity (69) 7,998 36.32 36.01 -1.49 0.58% (18.34) PRU LN Equity 8,451 10,521 12.76 23.01 128.97 0.62% 41.39 PSA US Equity 631 13,406 162.12 169.75 8.45 0.56% (142.91) PSX US Equity 1,687 6,569 65.88 82.80 34.19 0.75% (12.42) PX US Equity 2,751 16,860 114.07 132.68 41.39 0.39% (120.45) QCOM US Equity 2,302 12,769 67.02 79.10 40.98 0.44% (52.91) QQQ US Equity 2,925 12,682 75.41 92.81 49.21 0.47% 0.05 RAI US Equity 1,288 11,838 53.82 59.68 15.48 0.70% 67.85 RDS/A US Equity 601 11,546 75.02 78.92 9.35 0.56% (24.67) RDS/B US Equity 562 11,427 78.85 82.72 6.55 0.75% (13.67) EFTA00288506 RDSA LN Equity 755 9,744 36.73 39.58 12.71 0.61% 16.05 RDSA NA Equity 526 11,195 37.76 39.53 8.12 0.58% (0.65) RDSB LN Equity 650 10,889 39.07 41.41 8.21 0.73% 36.17 REGN US Equity 154 6,240 302.78 310.24 2.23 1.11% 3.31 RIO AU Equity (35) 2,446 56.52 55.72 .1.27 1.12% (9.85) RIO LB Equity (60) 2,754 54.10 52.95 .2.43 0.89% 6.79 RIO US Equity (56) 3,158 54.03 53.08 .1.71 1.04% 17.18 ROG VX Equity 7,120 17,035 212.78 301.72 77.12 0.54% 2.33 RY CN Equity 491 11,734 66.14 68.91 10.19 0.41% (17.18) SAB LN Equity 1,721 11,420 49.47 56.93 19.43 0.78% 89.90 SAN FP Equity (42) (2,174) 105.52 107.57 .3.65 0.53% 4.11 SAN SM Equity 2,110 9,840 8.73 10.60 35.34 0.61% (60.47) SAN US Equity 1,671 7,980 8.73 10.56 27.11 0.77% (63.37) SAP GR Equity (7) 582 75.90 74.95 -1.81 0.70% (1.60) SAP US Equity (2) 134 75.81 74.90 -1.70 0.72% (0.10) SBUX US Equity 176 10,127 73.24 74.51 2.77 0.63% (23.59) SGO FP Equity 2,484 8,130 44.46 58.05 35.10 0.87% (466.72) SI US Equity RN/A N/A SIE GR Equity 886 5,345 114.81 133.85 23.65 0.70% (57.88) SLB US Equity 2,352 10,200 86.62 106.59 44.41 0.52% (14.94) SMSN LI Equity 16 5,089 697.29 699.50 0.30 1.04% (41.61) SO US Equity (232) 11,861 44.10 43.25 -3.36 0.58% (100.84) SPG US Equity (330) 12,778 168.87 164.62 4.30 0.60% (89.51) SREN VX Equity 88.62 - STAN LN Equity (6) 604 22.52 22.30 .1.64 0.59% 1.11 STL NO Equity 1,583 11,476 26.77 30.47 15.44 0.89% (41.15) STT US Equity SU CN Equity 103 1,053 5,049 11,544 65.21 37.08 66.54 40.46 2.57 14.09 0.79% 0.65% (26.91) I 172.67 SU FP Equity 839 9,870 87.44 94.87 10.19 0.83% (34.72) SU US Equity 1,028 12,554 37.38 40.45 12.62 0.65% 174.65 SWEDA SS Equity 144 4,735 25.97 26.76 4.38 0.70% (39.50) SYNN VX Equity (198) (4,132) 359.52 376.72 .10.17 0.47% 50.68 T US Equity 66 (5,285) 35.30 34.86 2.95 0.42% 14.19 TD CN Equity 1,132 13,472 46.45 50.35 17.84 0.47% (33.74) TEF SM Equity 361 8,397 16.14 16.84 6.33 0.68% (37.29) TEF US Equity 318 6,344 15.95 16.75 6.21 0.81% (52.38) TGT US Equity 890 (8,574) 63.57 56.98 12.52 0.83% (10.63) T1X US Equity (0) 739 55.53 55.53 0.00 0.99% (6.15) TLS AU Equity 811 13,319 4.66 4.94 12.28 0.50% 36.98 TLSN SS Equity (317) (5,268) 7.02 7.44 .11.06 0.54% 13.53 TM US Equity 54 (5,774) 115.16 114.07 1.55 0.61% (12.45) TMO US Equity 9,050 10,218 63.59 119.91 136.23 0.65% 121.51 TOT US Equity 1,135 7,801 61.19 70.09 20.37 0.71% (25.63) TRP CN Equity (17) (3,874) 46.17 46.37 .1.11 0.39% (14.65) TRV US Equity 1,208 13,976 87.31 94.85 21.56 0.40% (21.55) TSCO LN Equity 705 (6,473) 5.57 4.96 11.72 0.93% (46.27) TWC US Equity 982 5,234 120.22 142.77 34.89 0.54% (39.64) EFTA00288507 TWX US Equity 167 9,814 67.77 68.92 1.94 0.88% (16.25) TXN US Equity 4,599 12,205 34.93 48.09 58.36 0.65% 70.85 TYC US Equity 12,779 24,080 29.17 44.65 75.26 0.71% 44.47 UBS US Equity 26 2,373 19.76 19.98 1.76 0.63% (43.69) UBSN VX Equity 28 2,230 19.78 20.03 1.77 0.71% (28.65) UCG IM Equity 3,498 5,500 5.62 9.20 49.43 1.29% (56.18) ULVR LN Equity 313 6,329 42.99 45.11 8.52 0.58% 56.97 UNA NA Equity 250 8,550 42.33 43.57 5.10 0.57% 53.67 UNH US Equity 2,500 10,611 64.78 80.05 44.95 0.52% 47.01 UNP US Equity 2,872 14,119 84.72 101.95 39.49 0.52% (10.93) UPS US Equity 4,224 14,806 79.87 102.66 52.20 0.55% (44.76) USB US Equity 3,410 14,625 34.87 43.00 55.77 0.42% (152.00) UTX US Equity 6,713 15,190 82.05 118.31 71.10 0.62% (140.33) V US Equity 272 9,462 206.86 212.81 4.66 0.62% (51.54) VALE US Equity 297 (2,664) 14.92 13.25 9.16 1.22% (19.41) VALE3 BZ Equity 348 (2,939) 15.07 13.28 8.66 1.37% (23.02) VIAB US Equity 4,029 9,746 61.33 86.68 63.27 0.65% (81.28) VIV FP Equity 26.04 - VMW US Equity 385 4,785 89.16 96.34 8.68 0.93% (0.26) VOD LN Equity 459 (3,948) 3.82 3.37 12.64 0.92% 146.12 VOD US Equity 466 (3,810) 38.03 33.37 12.97 0.94% 186.66 VOW3 GR Equity 57 3,208 259.69 264.29 3.15 0.56% (8.03) VRX CN Equity 368 2,771 109.70 124.27 10.47 1.27% (26.56) VRX US Equity 625 1,880 93.20 124.20 27.47 1.21% (21.98) VTI US Equity 830 5,134 86.91 100.96 41.39 0.39% (14.57) VWO US Equity 118 5,630 42.75 43.65 3.56 0.59% (8.86) VZ US Equity (16) 3,794 49.60 49.39 -0.86 0.49% (3.16) WBC AU Equity 672 11,844 30.87 32.62 8.26 0.69% 40.38 WES AU Equity 76 13,490 39.08 39.30 0.88 0.64% (62.77) WFC US Equity 4,124 12,859 39.56 52.25 60.79 0.53% (66.63) WLP US Equity 4,571 10,741 75.13 107.10 52.96 0.80% 266.34 WMT US Equity (10) 9,262 76.31 76.23 -0.24 0.45% (55.39) WOW AU Equity (62) 4,724 34.82 34.38 -1.92 0.68% (20.77) XOM US Equity 1,673 16,573 92.53 101.87 26.96 0.37% 106.02 XTA LN Equity PN/A N/A YHOO US Equity 142 2,805 34.82 36.59 4.87 1.04% 27.59 YUM US Equity 558 9,244 74.81 79.32 11.67 0.52% 0.95 ZURN VX Equity 92 8,429 294.36 297.57 3.03 0.36% (23.01) Current Portfolio - Global Macro Portfolio Current Price P/I. in Vol 30P Realized Change on Day Security MTM Gain/(Loss) Exp. @ Cost Avg. Price (In USD) Days Vol (in USD) SPX Index 20,884 62,272 1,455.70 1,943.89 91.45 0.37% (294.12) NDX Index 12,752 37,348 2,831.19 3,797.85 69.69 0.49% (39.68) RTY Index 617 13,754 1,116.65 1,166.71 5.45 0.82% (73.59) EFTA00288508 SPTSX Index 2,116 41,958 13,046.08 13,703.99 16.40 0.31% 162.34 MEXBOL Index 95 15,064 3,278.27 3,299.01 1.10 0.57% (6.10) IBOV Index (157) (2,799) 23,409.59 24,724.03 -4.76 1.18% (21.23) MERVAL Index 1,887 22,139 915.40 993.44 6.99 1.22% (233.01) UKX Index 4,661 47,132 10,456.62 11,490.67 27.14 0.36% (119.85) DAX Index 9,868 37,847 10,682.74 13,468.06 61.87 0.42% (410.76) CAC Index 1,918 29,424 5,788.46 6,165.80 15.25 0.43% (295.02) IBEX Index 11,854 42,944 11,748.18 14,990.99 43.98 0.63% (426.33) SMI Index 7,898 52,752 8,424.18 9,685.48 53.54 0.28% (282.51) FTSEMIB Index 7,610 25,266 23,118.94 30,082.10 28.65 1.05% (431.87) PSI20 Index 5,677 24,476 8,041.34 9,906.36 25.58 0.91% (535.52) ISEQ Index 18,663 32,079 4,246.25 6,716.69 77.23 0.75% (573.81) ICEXI Index 640 11,515 6.89 7.27 9.42 0.59% (98.65) AEX Index 6,748 47,527 491.25 561.00 36.15 0.39% (223.95) BEL20 Index 8,429 47,922 3,658.46 4,301.97 48.09 0.37% (181.22) LUXXX Index 10,962 41,632 1,672.08 2,112.34 36.88 0.71% (463.10) KFX Index 12,576 40,987 102.53 133.99 60.14 0.51% (371.35) HEX Index 9,511 43,508 8,607.83 10,489.51 42.56 0.51% (293.67) OMX Index 2,141 25,360 192.88 209.16 19.03 0.44% (102.12) ATX Index 100 64,134 3,453.03 3,458.41 0.22 0.69% 813.69) ME Index 449 11,081 1,700.54 1,769.51 2.39 1.70% (144.73) OSEBX Index 5,327 28,238 86.80 103.17 31.28 0.60% (227.64) INDEXCF Index - 8,988 43.67 43.67 0.00 1.09% 54.70 TOP40 index 2,323 36,288 3,996.66 4,252.51 8.82 0.73% (144.36) SENSEX Index 6,750 43,256 371.48 429.45 17.05 0.92% (206.64) NKY Index 626 23,222 143.92 147.80 3.70 0.73% 217.49 HSI Index 892 31,902 2,918.64 3,000.28 4.82 0.58% (82.64) SHCOMP Index 1,334 (37,862) 342.04 330.00 6.32 0.56% (29.76) KOSPI Index 2,337 45,441 1.88 1.98 11.21 0.46% 27.53 AS51 Index 1,198 33,715 4,948.24 5,124.03 6.84 0.52% 15.30 STBCNZL Index 36,568 73,207 #N/A N/A 123.36 0.40% EEM US Equity 79 5,720 43.20 43.80 2.30 0.60% (19.79) IYR US Equity 184 12,786 70.30 71.31 3.35 0.43% (52.53) MDY US Equity 5,596 14,269 184.03 256.20 74.49 0.53% (64.92) JNK US Equity 57 10,785 41.31 41.53 4.31 0.12% (10.43) XLF US Equity 6,264 13,610 15.57 22.74 96.11 0.48% (130.23) XLU US Equity 763 10,859 39.38 42.15 10.89 0.65% (147.02) XLK US Equity 3,107 13,164 30.94 38.24 55.20 0.43% (38.21) XLI US Equity 7,122 16,147 38.20 55.05 87.85 0.50% (172.02) XLP US Equity 848 12,469 42.17 45.04 19.18 0.35% (35.39) XLY US Equity 1,535 9,522 57.37 66.61 31.28 0.52% (33.10) XLE US Equity 1,209 13,308 89.08 97.17 22.67 0.40% 55.49 XLB US Equity 4,695 15,233 37.75 49.38 68.71 0.45% (112.36) XLV US Equity 13,224 24,346 38.87 59.98 124.02 0.44% (43.80) SXXP Index 7,632 48,422 406.61 470.70 53.27 0.30% (356.91) SXAP Index 10,512 28,869 521.95 712.01 50.90 0.72% (215.22) SXKP Index 4,749 37,626 366.14 412.35 25.55 0.49% (790.00) EFTA00288509 SX6P Index 7,933 39,345 360.36 433.02 43.46 0.46% I (357.58) SXEP Index 4,131 51,146 456.85 493.75 15.66 0.52% (349.50) SXIP Index 12,188 28,923 222.31 315.98 103.18 0.41% (165.41) SXNP Index 5,008 30,621 488.20 568.04 38.25 0.43% (423.94) SX3P Index 1,814 31,675 679.66 718.59 14.15 0.40% (31.65) SXDP Index 27,819 61,074 609.16 886.62 146.21 0.31% (88.66) SX4P Index 4,154 29,367 932.97 1,064.94 37.86 0.37% (211.88) SX8P Index 520 14,730 374.10 387.32 6.97 0.51% (92.31) SXOP Index 12,064 44,807 388.56 493.17 48.47 0.56% S (662.16) SXQP Index 1,527 45,829 807.20 834.10 9.42 0.35% (34.19) SXRP Index 58 16,765 431.85 433.36 0.92 0.38% (12.94) SXMP Index 1,472 17,388 314.93 341.59 19.02 0.45% (79.41) SXTP Index 23,666 39,247 172.05 275.80 88.04 0.68% SX7E Index 4,083 12,087 159.85 213.84 36.46 0.93% (287.41) SXSE Index 8,048 42,830 3,747.86 4,452.11 43.04 0.44% (416.66) SPGSCITR Index 11. (15,778) 5,016.60 5,013.13 0.20 0.34% (10.18) XAG Curncy 1,491 (17,389) 21.00 19.20 13.57 0.63% (9.05) CO1 Comdty (39) (9,568) 109.50 109.95 -0.93 0.44% (37.41) CL1 Comdty 1,552 31,975 99.57 104.40 8.41 0.58% 16.06 NG1 Comdty 2,524 15,160 3.86 4.51 11.83 1.41% (85.88) XAU Comdty 24,824 (26,763) 1,238.06 89.69 1.78 52.14% k_ (883.391 IBOXHY Index 4,046 53,418 220.12 236.79 136.15 0.06% 3.88 US_TSY CREDIT (59) 100,443 765.33 764.88 A.53 0.11% 19.69 CA_TSY CREDIT (270) (82,081) 1,214.65 1,218.65 -1.22 0.27% (301.19) MX_TSY CREDIT 1,249 87,928 221.30 224.44 3.03 0.47% 207.09 AU TSY CREDIT 1,566 81,398 1,506.03 1,535.00 7.23 0.27% 4.32 JP_TSY CREDIT 47 (45,369) 817.18 816.33 0.49 0.21% (184.34) MY_TSY CREDIT 651 103,107 170.18 171.25 2.77 0.23% (175.41) SG_TSY CREDIT 127 66,005 221.48 221.91 0.92 0.21% (145.70) AT_TSY CREDIT 3,422 81,569 358.40 373.44 17.63 0.24% (97.75) BE_TSY CREDIT 4,873 79,771 477.76 506.94 23.97 0.25% (111.72) FI_TSY CREDIT 2,887 85,645 349.64 361.43 14.75 0.23% (48.96) FR_TSY CREDIT 3,926 82,246 1,684.51 1,764.92 19.81 0.24% (90.23) DE_TSY CREDIT 2,132 84,524 1,247.55 1,279.02 11.20 0.23% (18.97) IE_TSY CREDIT 32,889 78,270 336.92 478.50 176.02 0.24% (199.42) IT_TSY CREDIT 9,065 54,986 1,616.07 1,882.50 52.27 0.32% (119.54) NL_TSY CREDIT 3,028 82,865 1,330.92 1,379.56 15.47 0.24% (65.32) ES_TSY CREDIT 11,566 50,187 392.28 482.69 80.26 0.29% (127.67) DK_TSY CREDIT 2,272 67,396 729.23 753.81 13.53 0.25% 12.02 NO_TSY CREDIT (214) 50,762 347.93 346.47 -1.53 0.28% (155.63) PL_TSY CREDIT 1,958 35,151 429.04 452.94 17.35 0.32% (158.26) ZA_TSY CREDIT 618 (53,741) 83.15 82.19 1.28 0.90% 472.06 SE_TSY CREDIT 323 (44,333) 464.03 460.65 2.37 0.31% (112.74) CH_TSY CREDIT 1,550 41,914 1,008.64 1,045.93 17.37 0.21% 1.25 GB_TSY CREDIT 1,587 89,647 1,507.67 1,534.36 7.62 0.23% li 298.27 EFTA00288510