EFTA00288527.pdf

Atorus, LLC 6/16/2014 Current Date: 6/16/2014 Change on Day: 0.07% Total Return since 1/1/12: 91.20% MSCI World Change on T12M Return: 38.24% Day .0.01% T9O Day Return: 3.46% No of Positions T3O Day Return: 4.17% (+MTM) on Day 214 Current Long Exposure @ Cost: 6,003,409 No of Positions (•ATNI) Current Short Exposure @ Cost: (454,744) on Day 215 Net Exposure: 5,548,665 Current No. of Starting Capital: 1,000,000 Positions: 435 Current NAV: 1,911,965 Current Leverage (Gross Exposures): 3.38 MIS Profit Factor: Win Ratio: T24M (+) NAV Days T24M Avg. Daily NAV (+) Change T24M Avg. Daily NAV (.) Change Target Vo!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 52% 0.99% .0.90% 50.00% 50.00% 10.00% 2X No. of Profitable Positions T12M 59.92% Avg. Realized Gain / Avg. Realized Loss 3.02 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 1.29 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 1,400,000.00 1,400,000.00 1,200,000.00 1000,000.00 800,000.00 600 00000 4), •,:), 1, I , <b, '5 5 tx bt O O O '14 O O el• O O% O% O% O% fle 91. O% O% O% O% .• AIL c• \A, 41. ...v A. 4,4 5 5 A\ 5\ 1)\-v 1)\-v Ir 5\ A\ cP 1 5\ 5\ —NAV EFTA00288527 Atorus, LLC 6/16/2014 Largest Exposures Current Positions 97.5th Percentile 2.5th Percentile (@ cost ex- MTM) Largest MTM Gains Current Posi ions (90th Percentile MTM Gains % NAV) Security Notional % of Total Notional 24 Positions • 20.47% TSCO LN Equity (6,852) 0.11% IBM US Equity (6,942) 0.11% T US Equity (7,349) 0.11% DUK US Equity (7,783) 0.12% TGT US Equity (8,574) 0.13% XAG Curncy (17,834) 0.28% CA_TSY CREDIT (20,523) 0.32% XAU Comdty (26,763) 0.41% SHCOMP Index (39,032) 0.60% SE_TSY CREDIT (44,333) 0.69% JP TSY CREDIT (45,369) 0.70% ZA_TSY CREDIT (53,153) 0.82% lE_TSY CREDIT 78,270 1.21% BE_TSY CREDIT 79,771 1.24% AU TSY CREDIT 81,398 1.26% AT_TSY CREDIT 81,569 1.26% FR_TSY CREDIT 82,246 1.27% NL_TSY CREDIT 82,865 1.28% DE_TSY CREDIT 84,524 1.31% FI_TSY CREDIT 85,645 1.33% MX_TSY CREDIT 87,928 1.36% GB_TSY CREDIT 89,647 1.39% US_TSY CREDIT 100,443 1.56% MY_TSY CREDIT 103,107 1.60% Day NAV Impact of MTM by Category & Exposure Listed Equity Long 0.278% Listed Equity Short -0.012% EquityCom Long -0.222% EquityCom Short -0.001% G20 Rates Long 0.212% G20 Rates Short -0.025% 712M Contribution l% of total Yr/Yr NAV Change by Category) Listed Equities 46.94% EquityCom 45.56% G20 Rates 7.83% Security MTM Gain % Total NAV 45 Positions 25.75% MDY US Equity 5,550 0.29% AZN SS Equky 5,567 0.29% AZN US Equity 6,026 0.32% NVS US Equity 6,035 0.32% XLF US Equity 6,054 0.32% AZN LN Equity 6,177 0.32% JNJ US Equity 6,240 0.33% HON US Equity 6,386 0.33% UTX US Equity 6,438 0.34% AEX Index 6,633 0.35% ROG VX Equity 6,696 0.35% XLI US Equity 6,864 0.36% ACA FP Equity 6,945 0.36% DAI GR Equity 7,045 0.37% FTSEMIB Index 7,325 0.38% SXXP Index 7,414 0.39% NOVN VX Equity 7,567 0.40% SMI Index 7,702 0.40% SXSE Index 7,746 0.41% BEL20 Index 7,925 0.41% MAERSKB DC Equity 7,962 0.42% SX6P Index 8,239 0.43% PRU LN Equity 8,360 0.44% MDT US Equity 8,511 0.45% TMO US Equity 8,841 0.46% IT_TSY CREDIT 9,280 0.49% HEX Index 9,403 0.49% DAX Index 9,671 0.51% SXAP Index 10,189 0.53% MMM US Equity 10,192 0.53% LW= Index 10,457 0.55% SXOP Index 11,531 0.60% ES_TSY CREDIT 11,617 0.61% IBEX Index 11,661 0.61% SXIP Index 11,663 0.61% NDX Index 12,516 0.65% KFX Index 13,019 0.68% XLV US Equity 13,080 0.68% TYC US Equity 13,320 0.70% ISEQ Index 17,756 0.93% EFTA00288528 SPX Index 20,622 1.08% SXTP Index 22,155 1.16% SXDP Index 28,166 1.47% IE_TSY CREDIT 33,444 1.75% STBCNZL Index 36,318 1.90% No. Names APAC Long 33 APAC Short 13 EMEA Long 73 EMEA Short 13 AMER Long 185 AMER Short 23 EquityCom Long 67 EquityCom Short 5 G20 Rates Long 19 G20 Rates Short 4 Total Long 377 Total Short 58 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 EFTA00288529 Atorus, LLC 6/16/2014 Historical Net Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodlites, G20 Gov. Credit) 64:00.000 • 5,000.000 - 4,000.000 3,000.000 2,000.030 0 1''00°'00°) ot, (2,000,000) ApAc EMEA —AMER — EquityCom —G20 Rates NexEposute RHS 2500,000 2,000,000 1.503,000 1.000,000 f j1,000.000 500,000 V i d lt tlt (; $1. 'S G 41' 4'f % ‘,9 e l. ee0oeeeee 4CIf 4? 4C`' 4?' 4:1' N9' 4:1' 4:1' 4-it' (s )4 4 4 N4 4 ,,\ 4 4 4 ..,4 4 ,,,‘ se (1,000,003) (3,000,003) Historical Gross Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodlites, G20 Gov. Credit) EFTA00288530 Atorus, LIC 6/16/2014 Current Gross Notional Risk by Category 266,723 A p o :3,453 1,558,80l • APAC • EMEA • AMER • EquityCom • G20 Rates Performance Vs. MSCI World Index Rolling 30 Day Realized Volatility - A EFTA00288531 Atorus, LLC 6/16/2014 Percentile Distribution of Current MTM Gains in Vol Days by Position (ex49pct & ex-lst percentiles) 80.00 MOO 80.00 50.00 40.00 30.80 2000 1000 «CO 10.00 d i) n 1 , 449 fi n-me--ne-rt-n-We , 0 0 0 4) Percentile No. Vol Days 0.00% -16.11 5.00% -3.43 10.00% -1.65 15.00% -0.38 20.00% 0.21 25.00% 1.37 30.00% 2.49 35.00% 3.56 40.00% 5.35 45.00% 6.90 50.00% 9.25 55.00% 11.69 60.00% 15.16 65.00% 18.82 70.00% 22.80 75.00% 29.05 80.00% 36.44 85.00% 44.88 90.00% 58.43 95.00% 79.21 100.00% 168.14 P/L V I 0' n by Po>ition MTM Gains(Losses) % of NAV "Signficant" (<7 Vol Days) 0.71% MTM Gains(Losses) % of NAV "Signficant" (>7 Vol Days) 45.54% EFTA00288532 Atorus, LLC -Listed Equity Portfolio 6/16/2014 Current Price P/L in Vol 30P Realized Change on Day Security MTM Gain/(Loss) Exp. @ Cost Avg. Price (in USD) Days Vol (in USD) 000270 KS Equity 36 (3,080) 55.44 54.78 1.35 0.88% 20.92 005380 KS Equity (64) 3,149 224.30 219.81 -2.25 0.91% 6.89 005490 KS Equity 148 (3,177) 294.09 280.38 5.30 0.88% 24.85 005930 KS Equity 702 1,343.27 1,343.27 0.00 1.05% (2.73) 012330 KS Equity 438 3,350 247.00 279.30 16.27 0.80% 4.32 1 HK Equity 959 12,607 16.18 17.41 7.97 0.96% (87.02) 1299 HK Equity 339 7,867 4.85 5.06 7.92 0.54% (8.26) 13 HK Equity 945 6,181 11.80 13.60 15.04 1.02% (9.26) 16 HK Equity 13.77 27 HK Equity (7) 348 7.52 7.38 -1.08 1.74% (6.53) 2914 JP Equity 194 6,921 34.56 35.53 3.56 0.79% (43.97) 3382 JP Equity 113 3,074 38.97 40.40 4.62 0.80% 14.79 4063 JP Equity - 979 59.17 59.17 0.00 0.68% 7.55 4502 JP Equity 160 7,126 45.24 46.26 3.75 0.60% 23.20 4689 JP Equity 92 4,252 4.63 4.73 1.31 1.65% 35.94 5 HK Equity (130) (4,127) 10.15 10.47 -5.31 0.59% 11.99 5108 JP Equity (0) 4,359 35.90 35.90 -0.01 0.88% (20.52) 5401 JP Equity 3.10 6301 JP Equity 2 4,173 22.48 22.49 0.04 0.90% 28.14 6752 JP Equity 11.62 6902 JP Equity 47.12 - 6954 JP Equity 467 7,571 160.05 169.92 7.43 0.83% 75.60 7201 JP Equity 13 3,598 9.37 9.40 0.40 0.87% (7.51) 7203 JP Equity (89) (4,207) 56.09 57.28 -3.26 0.65% (19.18) 7267 JP Equity 102 (4,675) 35.34 34.56 2.60 0.84% (2.25) 762 HK Equity (41) (1,017) 1.48 1.54 -3.09 1.29% 20.47 7751 JP Equity 99 5,733 32.67 33.23 3.53 0.49% (9.66) 8031 JP Equity (103) (1,710) 14.69 15.58 -6.46 0.93% 140.20 8058 JP Equity 448 8,319 19.43 20.48 8.47 0.64% 8306 JP Equity 6.05 (22.68) 8316 JP Equity (186) (3,372) 39.96 42.16 -5.16 1.07% 14.90 8411 JP Equity 88 6,112 2.02 2.05 2.77 0.52% (10.88) 8604 JP Equity (127) (1,668) 6.47 6.97 -6.64 1.15% 35.65 8801 JP Equity 130 4,655 31.26 32.13 2.00 1.40% 8802 JP Equity 18 (4,927) 24.35 24.26 0.29 1.22% (29.53) 9020 JP Equity (7) (2,905) 75.65 75.84 -0.34 0.73% (1.57) 941 HK Equity 171 (3,782) 10.19 9.73 6.69 0.68% 11.22 9432 JP Equity 1,081 9,492 54.98 61.25 15.47 0.74% (43.46) 9433 JP Equity 252 6,343 56.96 59.22 3.95 1.01% (8.81) 9437 JP Equity 50 5,062 16.97 17.14 1.78 0.55% 25.03 9983 JP Equity (26) (2,292) 322.77 326.48 -1.05 1.10% (12.02) EFTA00288533 9984 JP Equity 103 5,645 74.36 75.72 1.59 1.15% 28.25 AAPL US Equity 1,636 9,685 78.79 92.10 21.37 0.79% 66.27 ABB US Equity 23.24 - ABBN VX Equity 26 (3,632) 23.44 23.28 1.21 0.58% (10.23) ABBV US Equity 246 5,504 51.57 53.88 6.49 0.69% (14.49) ABEV US Equity 156 (5,506) 7.24 7.04 3.28 0.86% 50.21 ABEV3 BZ Equity 181 (5,164) 7.31 7.05 3.82 0.92% 65.63 ABI BB Equity 695 10,512 104.24 111.13 11.29 0.59% 1.12 ABT US Equity 126 7,169 39.29 39.98 3.45 0.51% 40.25 ABX CN Equity 330 (5,037) 18.17 16.98 6.47 1.01% (67.99) ABX US Equity 319 (4,849) 18.17 16.98 6.64 0.99% (57.84) ACA FP Equity 6,945 5,408 6.83 15.61 103.52 1.24% (67.05) ACE US Equity 648 11,217 97.97 103.63 16.58 0.35% (29.41) ACN US Equity 525 8,563 77.97 82.74 10.20 0.60% (2.96) ADP US Equity 154 6,767 76.95 78.71 4.16 0.55% (4.29) AFL US Equity 44 5,843 61.61 62.07 1.16 0.65% 2.77 AGN US Equity 4,298 10,225 112.47 159.75 37.47 1.12% (220.29) Al FP Equity (377) 10,292 137.68 132.81 .4.96 0.74% (11.26) AIG US Equity 717 9,279 50.92 54.85 10.53 0.73% 38.52 AIR FP Equity (85) 4,737 70.17 68.94 -1.59 1.12% (26.00) ALV GR Equity (86) 7,052 169.18 167.14 -2.37 0.51% 15.56 ALVG IX Equity (48) 5,730 168.61 167.22 -1.61 0.52% 21.01 AMGN US Equity (1) 8,878 116.15 116.14 -0.01 0.58% 25.14 AMT US Equity 1,658 12,312 77.43 87.86 27.10 0.50% (57.86) AMZN US Equity (184) (2,898) 306.51 325.99 -5.16 1.23% 3.30 ANZ AU Equity 920 12,947 29.78 31.89 9.77 0.73% 98.39 APA US Equity 851 10,988 90.94 97.98 12.11 0.64% 96.35 APC US Equity 514 5,575 99.54 108.72 11.11 0.83% 33.34 AXP US Equity 3,321 11,543 73.26 94.33 44.04 0.65% (62.77) AZN LN Equity 6,177 12,676 49.80 74.07 38.37 1.27% (79.86) AZN SS Equity 5,567 12,119 50.82 74.16 34.91 1.32% (74.94) AZN US Equity 6,026 12,812 50.30 73.96 36.87 1.28% (53.77) BA US Equity 211 10,667 129.95 132.51 2.93 0.67% 23.95 BAC US Equity (72) 6,820 15.42 15.26 -1.27 0.83% (82.31) BARC LN Equity (90) 5,219 4.11 4.04 -1.45 1.19% (5.08) BAS GR Equity 1,389 8,432 99.36 115.73 38.52 0.43% 16.06 BATS LN Equity 824 8,615 54.62 59.84 14.82 0.65% 12.41 BAX US Equity 4 4,842 73.52 73.58 0.22 0.40% 28.97 BAYN GR Equity 210 10,263 137.07 139.88 3.77 0.54% 4.59 BBAS3 BZ Equity • 475 11.91 11.91 0.00 1.54% 6.69 BBD US Equity 237 5,475 14.62 15.25 3.70 1.17% (29.66) BBDC4 BZ Equity 246 5,427 14.64 15.30 3.72 1.22% (39.21) BBL US Equity 41 (4,248) 64.02 63.40 1.15 0.84% (53.74) BBVA SM Equity 1,695 6,299 10.28 13.04 36.43 0.74% (42.07) BCE CN Equity 168 10,241 45.03 45.77 3.94 0.42% 53.88 BCS US Equity (113) 5,457 16.46 16.12 -1.78 1.17% (24.81) BEN US Equity 139 4,282 53.70 55.45 3.95 0.83% (16.70) EFTA00288534 BG/ LN Equity (265) (1,894) 18.76 21.39 -16.11 0.87% 11.52 BHP AU Equity (304) 9,507 34.45 33.38 -3.42 0.94% 59.01 BHP US Equity (83) 7,278 67.99 67.22 -1.38 0.83% 55.56 BBB US Equity 271 1,066 245.93 308.56 25.08 1.02% (3.13) BIL SJ Equity 142 (4,833) //N/A N/A 4.05 0.73% BK US Equity 543 8,609 32.86 34.93 9.14 0.69% (111.38) BLK US Equity 83 5,982 304.18 308.40 2.51 0.55% (16.85) BLT IN Equity 77 (4,374) 32.33 31.76 2.14 0.82% (60.77) BMO CN Equity 826 14,492 66.99 70.81 14.58 0.39% 14.57 BMW GR Equity 1,254 5,402 99.96 123.16 31.89 0.73% 28.32 BMY US Equity (9) (2,384) 47.02 47.20 M.46 0.85% (7.49) BN FP Equity (7) 207 74.39 71.83 4.80 0.74% (1.23) BNP FP Equity 64 (3,462) 71.49 70.17 2.16 0.85% (47.15) BNS CN Equity 1,442 14,098 59.43 65.50 25.06 0.41% 121.39 BP/ LN Equity 1,112 11,824 7.88 8.62 20.59 0.46% (44.44) BRK/B US Equity 648 15,201 120.96 126.11 10.03 0.42% (61.02) BSBR US Equity 163 4,372 6.76 7.01 5.23 0.71% (33.58) BUD US Equity 687 10,949 104.92 111.50 10.79 0.58% 33.52 BX US Equity 135 4,860 32.08 32.97 2.17 1.28% (43.18) C US Equity (54) 6,030 47.93 47.51 -1.32 0.67% (24.40) CA FP Equity 62 2,359 34.37 35.27 3.47 0.76% (14.81) CAT US Equity 2,587 14,645 90.43 106.41 24.27 0.73% (46.00) CBA AU Equity 1,694 17,559 69.92 76.67 17.12 0.56% 21.19 CBS US Equity 8 5,408 60.37 60.45 0.14 1.01% (1.39) CCL US Equity 372 6,766 36.49 38.49 7.27 0.76% (78.45) CELG US Equity 333 6,006 152.36 160.80 6.92 0.80% 32.33 CFR VX Equity 373 9,275 98.59 102.55 6.02 0.67% 0.29 CL US Equity 2,924 22,712 60.22 67.97 30.34 0.42% 49.54 CM CN Equity 804 12,827 84.55 89.85 14.74 0.43% 61.46 CMCSA US Equity 207 10,468 51.28 52.29 4.00 0.49% (45.31) CMCSK US Equity 5,231 13,530 37.47 51.95 84.58 0.46% (52.61) CNI US Equity 3,060 14,136 52.09 63.37 43.06 0.50% 206.20 CNQ CN Equity 2,174 11,154 36.93 44.12 23.16 0.84% 45.65 CNR CN Equity 3,003 14,160 52.27 63.36 44.91 0.47% 214.49 COF US Equity 1,299 8,423 70.22 81.05 24.44 0.63% 79.72 COP US Equity 858 10,862 77.39 83.51 15.12 0.52% 125.55 COST US Equity 100 9,550 114.02 115.22 1.65 0.64% 5.15 COV LN Equity BN/A N/A COV US Equity 2,850 7,850 64.85 88.40 29.68 1.22%t 2,423.92 CRM US Equity 63 2,191 52.34 53.85 1.77 1.63% (2.25) CS FP Equity (67) 4,786 24.65 24.30 -1.67 0.84% (15.88) CSCO US Equity (5) 6,415 24.58 24.56 -0.10 0.74% (34.97) CSX US Equity 1,869 9,972 25.47 30.24 26.36 0.71% (42.49) CVE CN Equity 31.73 - CVS US Equity 2,221 12,539 64.62 76.07 28.74 0.62% 65.31 CVX US Equity 128.25 - D US Equity 1,042 7,953 60.80 68.76 20.21 0.65% 50.99 EFTA00288535 DAI GR Equity 7,045 13,908 62.20 93.72 65.50 0.77% 204.00 DBK GR Equity 627 (6,577) 41.28 37.34 10.81 0.88% 37.62 DD US Equity 3,076 13,534 55.43 68.02 45.37 0.50% (58.57) DDAIF US Equity 4,071 8,377 63.20 93.92 61.71 0.79% 89.26 DE US Equity 393 10,094 86.88 90.27 6.89 0.57% (36.02) DELI. US Equity KWA WA DG FP Equity 4,702 10,090 51.66 75.73 90.59 0.51% (55.40) DGE LN Equity 87 2,632 31.00 32.03 4.97 0.66% (23.85) DHR US Equity 487 11,611 76.85 80.07 6.56 0.64% (22.43) DIS US Equity 2,129 11,829 70.38 83.04 28.89 0.62% 80.82 DISCA US Equity (106) (6,841) 75.84 77.01 -1.43 1.08% 82.85 DNB NO Equity 576 8,187 17.88 19.14 11.66 0.60% 0.60 DOW US Equity 3,014 7,396 37.11 52.23 68.37 0.60% (33.73) DPW GR Equity 139 660 29.41 35.61 26.16 0.81% (2.02) DTE GR Equity 957 8,006 15.25 17.07 17.60 0.68% (34.57) DTV US Equity 3,621 10,704 62.09 83.10 46.06 0.73% 14.77 DUK US Equity (56) (7,783) 70.84 71.35 -1.50 0.48% (73.59) DVN US Equity 2,687 13,400 65.00 78.04 27.87 0.72% 72.12 EBAY US Equity 99 (4,042) 50.22 48.99 3.17 0.77% 2.94 ECL US Equity 161 11,898 106.13 107.57 3.30 0.41% (44.17) EDF FP Equity 4,957 9,189 23.45 36.09 53.94 1.00% (79.54) EMC US Equity 571 12,257 25.48 26.67 10.51 0.44% 37.87 EMR US Equity (50) 8,739 66.79 66.41 -0.95 0.60% (22.59) ENS CN Equity 478 12,532 45.66 47.40 8.17 0.47% 101.85 ENEL IM Equity 2,814 8,902 4.48 5.90 33.83 0.93% 80.98 ENI IM Equity 1,102 11,929 24.33 26.58 12.97 0.71% 108.67 EOAN GR Equity 175 4,560 18.88 19.61 5.02 0.76% 32.63 EOG US Equity 3,281 5,841 72.84 113.75 56.23 1.00% 82.12 EPD US Equity 2,302 14,348 64.50 74.85 34.17 0.47% 198.79 ERICB SS Equity (211) 7,934 12.50 12.18 -4.37 0.61% (63.59) ESRX US Equity 16 7,828 70.79 70.93 0.38 0.52% (36.61) ETN US Equity 246 6,951 73.14 75.73 6.16 0.57% 48.88 F US Equity (95) 6,833 16.82 16.59 -2.08 0.67% 3.54 F8 US Equity 1,204 2,630 44.06 64.22 37.05 1.24% (12.13) FCX US Equity 63 6,674 33.66 33.97 1.13 0.84% 11.54 FDX US Equity 273 5,760 133.48 139.82 8.55 0.55% (8.96) FOX US Equity 286 8,112 33.25 34.42 3.92 0.90% 28.94 FOXA US Equity 314 7,483 34.19 35.62 4.65 0.90% 51.80 FP FP Equity 2,036 14,528 62.63 71.41 21.17 0.66% (30.52) G IM Equity (48) 5,340 22.35 22.15 -1.23 0.72% (25.60) GE US Equity 2,662 13,140 22.32 26.84 42.37 0.48% (85.67) GILD US Equity 171 5,554 78.47 80.89 3.57 0.86% 22.34 GIS US Equity 1,660 25,323 50.89 54.23 17.13 0.38% (26.50) GLE FP Equity 56.51 - GLEN LN Equity (146) (2,955) 5.22 5.48 -6.48 0.76% (50.56) GLW US Equity 3,509 12,136 16.41 21.16 52.19 0.55% (9.02) GM US Equity 180 8,503 35.24 35.98 2.67 0.79% 87.71 EFTA00288536 GOOG US Equity (140) 6,581 555.36 543.82 -2.16 0.98% (68.26) GS US Equity 148 8,442 162.84 165.69 2.34 0.75% (21.66) GSK LN Equity 204 5,707 26.22 27.16 6.34 0.56% (9.02) GSZ FP Equity 1,187 11,993 25.44 27.96 14.67 0.67% 94.00 HAL US Equity 2,380 8,037 52.06 67.47 43.81 0.68% 73.58 HD US Equity 322 13,333 76.98 78.84 3.56 0.68% 142.71 HMB SS Equity 165 7,694 42.69 43.61 3.37 0.64% (18.30) HON US Equity 6,386 11,930 61.10 93.80 89.34 0.60% (5.09) HPQ US Equity 2,750 8,089 25.99 34.83 38.39 0.89% 21.30 HSBA LN Equity 60 8,008 10.34 10.41 1.35 0.55% (29.26) IBE SM Equity 2,456 7,531 5.56 7.37 68.46 0.48% (38.45) IBM US Equity 229 (6,942) 188.29 182.08 6.22 0.53% 11.16 IMT LN Equity 2,796 14,060 37.16 44.56 33.37 0.60% 23.94 INTC US Equity 3,007 13,546 24.52 29.97 29.21 0.76% 71.57 ISP IM Equity 4,185 5,699 1.93 3.35 52.38 1.40% (20.92) ITUB US Equity (262) 5,715 15.84 15.15 -3.28 1.40% (48.73) ITUB4 BZ Equity (163) 4,601 15.77 15.23 -2.57 1.38% (43.17) ITW US Equity 4,061 14,011 67.84 87.50 59.91 0.48% (161.89) ITX SM Equity (55) (3,725) 147.42 149.58 -2.35 0.62% 19.28 JCI US Equity 116 4,214 48.47 49.80 3.35 0.82% 20.51 JNJ US Equity 6,240 20,338 78.39 102.45 102.31 0.30% (0.39) JPM US Equity 92 10,159 56.23 56.74 1.30 0.70% (84.52) KMB US Equity 304 11,316 107.98 110.88 7.90 0.34% 23.65 KMI US Equity 37 4,704 35.04 35.31 1.39 0.56% 40.76 KO US Equity (2) (2,350) 40.59 40.63 A.31 0.30% (15.80) LBTYA US Equity (145) 5,724 43.90 42.81 -2.82 0.90% (37.45) LBTYK US Equity (70) 7,489 41.91 41.52 -1.31 0.72% (62.91) LIN GR Equity 534 10,686 200.99 211.04 8.36 0.60% 52.06 LLOY LN Equity 208 3,350 1.23 1.30 7.12 0.87% (39.66) LLY US Equity (24) 4,953 59.03 58.74 -0.94 0.52% (18.77) LMT US Equity 699 2,016 122.48 164.97 65.90 0.53% 18.38 LNKD US Equity 217 (2,461) 183.83 167.62 5.53 1.60% 5.25 LOW US Equity (121) 4,313 46.74 45.46 -2.85 0.98% 2.55 LVS US Equity (51) 1,192 76.07 72.94 -3.46 1.24% (9.35) LYB US Equity 1,532 2,297 59.29 98.83 125.68 0.53% (12.37) MA US Equity (7) 6,084 75.27 75.18 -0.18 0.65% (46.31) MAERSKB DC Equity 7,962 14,377 1,651.64 2,566.26 57.75 0.96% (150.43) MC FP Equity 285 7,348 188.38 195.69 7.89 0.49% 18.20 MCD US Equity 24 9,603 100.64 100.89 0.58 0.43% 55.58 MCK US Equity 232 2,181 164.92 182.46 12.50 0.85% (4.85) MDIZ US Equity 4,086 13,763 28.74 37.28 46.11 0.64% (67.02) MDT US Equity 8,511 20,811 43.22 60.90 58.88 0.69% 68.09 MET US Equity 1,704 7,556 44.37 54.37 22.55 1.00% (4.41) MFC CN Equity 1,359 2,561 12.38 18.94 81.05 0.65% 5.66 MHS US Equity #WA WA MMM US Equity 10,192 21,331 96.89 143.19 124.20 0.38% (16.90) MO US Equity 1,585 13,316 37.33 41.77 23.01 0.52% 119.09 EFTA00288537 MON US Equity 1,476 12,435 106.57 119.23 21.85 0.54% (60.84) MOS US Equity 49.32 - MRK US Equity 1,843 12,645 50.66 58.04 22.43 0.65% (68.07) MS US Equity 84 3,990 30.99 31.64 2.28 0.92% 1.09 MSFT US Equity 1,413 8,724 35.67 41.44 22.65 0.71% 47.68 MUV2 GR Equity 589 6,116 197.70 216.74 21.38 0.45% 8.03 NAB AU Equity (167) 13,313 31.52 31.13 -1.83 0.68% 0.38 NCM AU Equity 9.56 - NEE US Equity 5,010 15,275 73.39 97.45 58.99 0.56% 163.98 NEM US Equity 506 (2,777) 28.38 23.21 19.93 0.91% 10.87 NESN VX Equity 1,043 11,809 70.94 77.21 17.23 0.51% 44.15 NG/ IN Equity 2,529 13,478 12.00 14.25 25.40 0.74% 38.27 NICE US Equity 241 5,145 71.37 74.71 6.23 0.75% 29.77 NOK US Equity 4,549 4,498 3.96 7.97 100.02 1.01% (56.50) NOV US Equity (20) 8,643 78.01 77.83 -0.24 0.97% 71.89 NOVN VX Equity 7,567 21,737 66.85 90.13 83.35 0.42% 327.80 NOVOB DC Equity 1,221 9,444 40.35 45.56 14.13 0.91% 140.42 NSC US Equity 2,544 10,732 82.11 101.57 35.82 0.66% 71.67 NVS US Equity 6,035 18,195 67.78 90.26 89.00 0.37% 267.85 OGXP3 BZ Equity 4,025 (4,107) 4.39 0.09 30.82 3.18% (289.06) OR FP Equity 272 9,967 168.06 172.65 5.74 0.48% (47.64) ORA FP Equity 1,709 8,559 13.80 16.56 20.06 1.00% (105.62) ORCL US Equity 2,008 8,999 34.43 42.11 51.67 0.43% 24.18 OXY US Equity 746 10,623 96.66 103.45 13.29 0.53% 94.47 PBR US Equity 0 517 15.84 15.84 0.00 1.42% 2.35 PBR/A US Equity - 481 16.91 16.91 0.00 1.53% 0.58 PCLN US Equity 104 5,110 1,174.29 1,198.19 1.78 1.14% (12.92) PCP US Equity 239 8,068 257.64 265.26 3.43 0.86% (27.43) PEP US Equity 586 13,263 83.78 87.49 11.48 0.39% 64.43 PETR3 BZ Equity 7.93 - PETR4 BZ Equity 8.46 PFE US Equity (12) 4,811 29.61 29.53 -0.45 0.54% 8.17 PG US Equity 56 11,013 79.25 79.65 1.56 0.33% (1.85) PHIA NA Equity 31.10 - PM US Equity 243 9,885 86.84 88.97 7.87 0.31% 76.12 PNC US Equity 1,307 9,400 76.94 87.64 21.32 0.65% (14.40) POT CN Equity 125 6,886 36.04 36.70 2.76 0.66% 133.16 POT US Equity 95 7,998 36.33 36.76 1.97 0.61% 167.27 PRU LN Equity 8,360 10,521 12.76 22.90 134.11 0.59% 11.63 PSA US Equity 604 13,406 162.12 169.42 9.60 0.47% 4.33 PSX US Equity 1,740 6,569 65.88 83.33 36.28 0.73% (1.77) PX US Equity 2,450 17,041 114.23 130.65 35.38 0.41% (123.59) QCOM US Equity 2,236 12,820 67.06 78.76 39.30 0.44% (88.99) QQQ US Equity 2,845 12,682 75.41 92.33 48.83 0.46% 11.70 RAI US Equity 1,422 12,125 53.94 60.26 15.72 0.75% 132.54 RDS/A US Equity 896 11,546 75.02 80.84 15.57 0.50% 45.96 RDS/B US Equity 868 11,427 78.85 84.83 11.20 0.68% 55.01 EFTA00288538 RDSA LN Equity 987 10,430 36.96 40.45 18.94 0.50% 26.45 RDSA NA Equity 810 11,195 37.76 40.49 14.61 0.50% 44.49 RDSB LN Equity 914 10,889 39.07 42.36 13.30 0.63% 29.87 REGN US Equity 124 6,240 302.78 308.81 1.79 1.11% 30.00 RIO AU Equity (59) 1,467 56.44 54.26 .3.47 1.16% 7.17 RIO LN Equity (52) 1,101 54.00 51.58 .5.08 0.92% 4.95 RIO US Equity (58) 1,263 53.93 51.54 -4.22 1.10% 3.49 ROG VX Equity 6,696 17,035 212.78 296.42 70.79 0.56% 73.96 RY CN Equity 588 12,925 66.40 69.42 10.51 0.43% 35.26 SAS LN Equity 1,974 12,190 49.91 57.99 20.60 0.79% 143.38 SAN FP Equity (39) (4,572) 106.54 107.46 -1.86 0.46% (7.99) SAN SM Equity 2,038 9,840 8.73 10.53 36.51 0.57% (43.59) SAN US Equity 1,607 7,980 8.73 10.49 25.77 0.78% (82.18) SAP GR Equity 43 3,526 76.01 76.93 1.84 0.66% 54.51 SAP US Equity 35 2,942 76.01 76.92 1.65 0.72% 37.84 SBUX US Equity 235 10,127 73.24 74.94 3.51 0.66% 68.32 SGO FP Equity 2,277 8,173 44.52 56.92 31.37 0.89% (46.06) SI US Equity RWA N/A SIE GR Equity 907 5,345 114.81 134.30 26.78 0.63% 36.13 SLB US Equity 2,410 10,531 87.14 107.09 45.40 0.50% (47.42) SMSN LI Equity (41) 1,272 696.57 674.91 .3.04 1.05% 5.78 SO US Equity (58) 11,861 44.11 43.90 -0.99 0.50% 94.24 SPG US Equity (405) 12,778 168.81 163.63 .5.20 0.61% 4.67 SREN VX Equity 88.64 - STAN LN Equity • 979 22.18 22.18 0.00 0.52% 0.28 STL NO Equity 2,139 11,476 26.77 31.76 22.23 0.84% 109.10 SIT US Equity 67 5,049 65.21 66.07 1.73 0.76% (25.44) SU CN Equity 1,938 12,860 37.57 43.23 18.90 0.80% 254.59 SU FP Equity 631 10,184 87.64 93.07 7.01 0.88% (23.17) SU US Equity 1,981 13,925 37.83 43.21 17.96 0.79% 258.23 SWEDA SS Equity 204 4,735 25.97 27.09 6.40 0.67% 104.59 SYNN VX Equity (158) (5,220) 362.13 373.08 -6.43 0.47% (14.44) T US Equity 42 (7,349) 35.18 34.98 1.30 0.44% 9.69 TD CN Equity 1,058 14,366 46.66 50.10 16.62 0.44% 19.54 TEF SM Equity 413 8,397 16.14 16.94 7.50 0.66% (13.50) TEF US Equity 375 6,728 16.00 16.89 8.05 0.69% (7.73) TGT US Equity 813 (8,574) 63.57 57.54 11.52 0.82% (59.66) TJX US Equity 12 (1,749) 55.06 54.69 0.65 1.02% 1.64 TLS AU Equity 712 13,319 4.66 4.91 10.60 0.50% 33.82 TLSN SS Equity (297) (5,268) 7.02 7.42 .11.42 0.49% (1.74) TM US Equity 41 (5,774) 115.16 114.33 1.26 0.57% (10.49) TMO US Equity 8,841 10,218 63.59 118.61 133.99 0.65% (110.54) TOT US Equity 1,308 7,801 61.19 71.45 22.30 0.75% (23.68) TRP CN Equity (64) (2,906) 46.17 47.19 -5.24 0.42% (28.01) TRV US Equity 1,308 14,642 87.64 95.47 22.84 0.39% 31.84 TSCO LN Equity 761 (6,852) 5.53 4.92 13.33 0.83% 73.44 TWC US Equity 939 5,234 120.22 141.79 33.83 0.53% (22.59) EFTA00288539 TWX US Equity 67 9,814 67.77 68.23 0.85 0.80% 23.41 TXN US Equity 4,581 12,205 34.93 48.04 61.86 0.61% (67.03) TYC US Equity 13,320 24,080 29.17 45.30 75.59 0.73% 517.19 UBS US Equity (24) 949 19.75 19.27 -3.62 0.69% (8.10) UBSN VX Equity (21) 892 19.77 19.31 -3.15 0.75% (6.41) UCG IM Equity 3,361 5,500 5.62 9.06 48.75 1.25% (19.03) ULVR LN Equity 318 7,640 43.35 45.16 7.44 0.56% (22.06) UNA NA Equity 263 8,550 42.33 43.63 5.73 0.54% (12.18) UNH US Equity 2,216 10,611 64.78 78.31 36.74 0.57% (108.31) UNP US Equity 2,537 14,119 84.72 99.94 33.84 0.53% (153.99) UPS US Equity 3,929 14,806 79.87 101.06 46.76 0.57% (21.09) USB US Equity 3,316 14,625 34.87 42.78 56.22 0.40% (115.01) UTX US Equity 6,438 15,190 82.05 116.82 70.43 0.60% 7.11 V US Equity 156 9,462 206.86 210.27 2.85 0.58% (42.06) VALE US Equity 392 (2,664) 14.92 12.72 12.33 1.19% 13.37 VALE3 BZ Equity 455 (2,939) 15.07 12.73 11.71 1.32% 24.77 VIAB US Equity 3,990 9,746 61.33 86.43 66.92 0.61% 90.69 VIV FP Equity 25.99 - VMW US Equity 301 4,785 89.16 94.78 7.28 0.87% (1.43) VOD LN Equity 531 (3,948) 3.82 3.30 16.03 0.84% 3.12 VOD US Equity 508 (3,810) 38.03 32.96 15.36 0.87% (9.45) VOW3 GR Equity 56 3,208 259.69 264.22 3.15 0.55% (5.20) VRX CN Equity 80 1,108 109.70 117.64 5.40 1.34% (20.19) VRX US Equity 197 752 93.20 117.65 20.34 1.29% (16.99) VTI US Equity 806 5,134 86.91 100.55 39.51 0.40% 6.40 VWO US Equity 78 5,630 42.75 43.34 2.49 0.56% (23.57) VZ US Equity (6) 948 49.60 49.26 -1.31 0.52% 2.35 WBC AU Equity 503 11,844 30.87 32.18 6.34 0.67% 10.75 WES AU Equity (3) 13,490 39.08 39.07 A.04 0.59% (11.86) WFC US Equity 3,799 12,958 39.63 51.25 51.75 0.57% (204.14) WLP US Equity 4,469 11,242 76.13 106.40 61.98 0.64% (62.08) WMT US Equity (124) 9,262 76.30 75.29 -2.80 0.48% 0.05 WOW AU Equity (113) 4,724 34.81 34.00 -4.09 0.59% (18.79) XOM US Equity 1,859 16,573 92.53 102.91 29.23 0.38% 106.88 XTA LN Equity ftN/A N/A YHOO US Equity (15) 3,537 35.20 35.06 -0.38 1.09% (176.85) YUM US Equity 514 9,527 74.92 78.97 11.25 0.48% 1.73 ZURN VX Equity 13 8,429 294.36 294.83 0.42 0.38% 21.44 Current Portfolio - Global Macro Portfolio Current Price P/L in Vol 30P Realized Change on Day Security MTM Gain/(Loss) Exp. # Cost Avg. Price (In USD) Days Vol (In USD) SPX Index 20,622 62,272 1,455.70 1,937.78 85.21 0.39% 69.36 NDX Index 12,516 37,348 2,831.19 3,779.93 65.85 0.51% 57.70 RTY Index 618 13,754 1,116.65 1,166.82 5.37 0.84% 51.11 EFTA00288540 SPTSX Index 2,631 44,336 13,084.54 13,860.87 19.11 0.31% 182.29 MEXBOL Index (43) 15,064 3,278.24 3,269.02 -0.51 0.55% 5.70 IBOV Index 9,176 24,461.36 24,461.36 0.00 1.07% (48.08) MERVAL Index (633) 22,139 914.65 889.22 -1.93 1.48% r2,189.119) UKX Index 4,582 47,917 10,472.06 11,473.43 31.28 0.31% (105.74) DAX Index 9,671 37,847 10,682.74 13,412.56 65.19 0.39% (1.92) CAC Index 1,686 29,424 5,788.46 6,120.14 13.56 0.42% (138.53) IBEX Index 11,661 42,944 11,748.18 14,938.13 42.47 0.64% (362.46) SMI Index 7,702 52,752 8,424.18 9,654.10 52.77 0.28% 264.25 FTSEMIB Index 7,325 25,266 23,118.94 29,821.78 27.76 1.04% (185.80) PSI20 Index 5,241 24,476 8,041.34 9,763.07 23.83 0.90% (94.76) ISEQ Index 17,756 32,079 4,246.25 6,596.53 71.44 0.77% (224.07) ICEXI Index 511 14,393 7.06 7.31 6.45 0.55% (61.99) AEX Index 6,633 48,106 491.98 559.82 38.78 0.36% (42.43) BEL20 Index 7,925 47,922 3,658.46 4,263.46 44.64 0.37% (16.91) LUXXX Index 10,457 41,632 1,672.08 2,092.05 33.57 0.75% 88.14 KFX Index 13,019 40,987 102.53 135.10 59.11 0.54% 281.71 HEX Index 9,403 44,046 8,626.70 10,468.33 45.30 0.47% (44.63) OMX Index 2,058 25,898 193.19 208.54 19.34 0.41% (61.15) ATX Index 347 64,153 3,453.03 3,471.72 0.83 0.65% 237.02 ASE Index 39 12,366 1,707.57 1,712.95 0.19 1.67% (46.29) OSEBX Index 5,471 28,399 86.88 103.61 36.80 0.52% (63.85) INDEXCF Index (198) 24,438 43.46 43.11 -0.74 1.10% TOP40 Index 2,662 36,288 J/N/A N/A 10.15 0.72% SENSEX Index 5,508 43,256 371.48 418.78 12.73 1.00% (410.00) NKY Index 436 23,222 143.92 146.62 2.66 0.70% (218.78) HSI Index 965 37,632 2,930.94 3,006.11 5.07 0.51% (28.63) SHCOMP Index 769 (39,032) 341.67 334.94 3.81 0.52% (160.85) KOSPI Index 1,678 45,441 1.88 1.95 8.40 0.44% 39.13 ASST Index 957 33,715 4,948.24 5,088.66 5.41 0.52% 72.47 STBCNZL Index 36,318 73,207 #N/A N/A 117.52 0.42% EEM US Equity 28 5,720 43.20 43.41 0.80 0.61% (26.36) IYR US Equity 113 12,786 70.30 70.92 2.10 0.42% (65.15) MOY US Equity 5,550 14,269 184.03 255.61 74.65 0.52% 4.65 JNK US Equity 72 10,785 41.31 41.59 6.16 0.11% (2.61) XLF US Equity 6,054 13,610 15.57 22.50 88.10 0.50% (95.67) XLU US Equity 953 10,859 39.38 42.84 14.35 0.61% 80.51 XLK US Equity 3,060 13,272 30.99 38.13 50.93 0.45% XLI US Equity 6,864 16,147 38.20 54.44 80.69 0.53% (25.33) XLP US Equity 800 12,469 42.17 44.88 16.98 0.38% 50.46 XLY US Equity 1,423 9,522 57.37 65.94 28.13 0.53% 24.95 XLE US Equity 1,484 13,308 89.08 99.01 24.98 0.45% 88.67 XLB US Equity 4,558 15,233 37.75 49.04 68.49 0.44% (44.29) XLV US Equity 13,080 24,346 38.87 59.75 126.35 0.43% 75.32 SXXP Index 7,414 48,422 406.61 468.87 51.81 0.30% (89.15) SXAP Index 10,189 28,869 521.95 706.17 50.49 0.70% (24.68) SXKP Index 4,484 37,626 366.14 409.77 24.13 0.49% (329.68) EFTA00288541 SX6P Index 8,239 39,503 360.60 435.81 44.32 0.47% 45.35 SXEP Index 5,326 51,146 456.85 504.42 18.01 0.58% (51.25) SXIP Index 11,663 28,923 222.31 311.95 96.67 0.42% (136.40) SXNP Index 4,650 30,621 488.20 562.34 34.47 a44% (156.78) SX3P Index 1,753 31,675 679.66 717.28 13.76 0.40% (14.91) SXDP Index 28,166 61,074 609.16 890.08 143.20 0.32% 462.35 SX4P Index 3,828 29,868 934.82 1,054.62 34.65 0.37% (18.58) SX8P Index 542 17,778 376.46 387.94 6.04 0.51% 25.85 SXOP Index 11,531 45,049 388.98 488.55 42.31 0.61% (310.49) SXQP Index 1,450 45,829 807.20 832.75 9.25 0.34% (50.74) SXRP Index (132) 10,059 431.78 426.18 -3.39 0.39% (55.00) SXMP Index 1,418 17,388 314.93 340.61 18.03 0.45% (42.98) SXTP Index 22,155 39,247 172.05 269.17 78.57 0.72% (147.27) SX7E Index 3,900 12,087 159.85 211.42 34.38 0.94% (112.87) SXSE Index 7,746 43,006 3,750.28 4,425.75 41.99 0.43% (185.82) SPGSCITR Index (87) (3,945) 5,016.60 5,126.67 4.26 0.35% (5.03) XAG Curncy 1,096 (17,834) 20.96 19.67 10.39 0.59% 22.98 CO1 Comdty (75) (2,392) 109.50 112.94 4.29 0.50% 9.60 CL1 Comdty 2,359 35,353 100.21 106.90 11.41 0.58% (3.53) NG1 Comdty 3,304 15,160 3.86 4.71 14.30 1.52% (124.68) XAU Comdty (734) (26,763) 89.44 91.89 0.06 48.99% 115.62 IBOXHY Index 4,109 53,418 220.12 237.05 138.35 0.06% 13.59 US_TSY CREDIT 93 100,443 765.33 766.04 0.82 0.11% 18.38 CA_TSY CREDIT (169) (20,523) 1,214.65 1,224.65 -2.84 0.29% (57.17) MX_TSY CREDIT 1,086 87,928 221.30 224.03 2.68 0.46% (11.92) AU TSY CREDIT 2,091 81,398 1,506.03 1,544.71 9.06 0.28% 225.45 JP_TSY CREDIT (23) (45,369) 817.18 817.60 M.22 0.23% (119.00) MY_TSY CREDIT 451 103,107 170.18 170.92 1.88 0.23% (96.85) SG_TSY CREDIT 285 66,005 221.48 222.44 2.30 0.19% 62.64 AT_TSY CREDIT 3,823 81,569 358.40 375.20 18.81 0.25% 388.67 BE_TSY CREDIT 5,245 79,771 477.76 509.17 25.01 0.26% 412.74 FI_TSY CREDIT 3,369 85,645 349.64 363.40 16.40 0.24% 403.54 FR_TSY CREDIT 4,318 82,246 1,684.51 1,772.94 20.77 0.25% 398.28 DE_TSY CREDIT 2,574 84,524 1,247.55 1,285.55 12.79 0.24% 387.22 lE_TSY CREDIT 33,444 78,270 336.92 480.89 168.14 0.25% 429.09 IT_TSY CREDIT 9,280 54,986 1,616.07 1,888.83 52.62 0.32% 223.98 NL_TSY CREDIT 3,477 82,865 1,330.92 1,386.77 17.03 0.25% 387.76 ES_TSY CREDIT 11,617 50,187 392.28 483.09 78.50 0.29% 196.36 DK_TSY CREDIT 2,645 67,396 729.23 757.85 15.21 0.26% 337.11 NO_TSY CREDIT (16) 50,762 347.94 347.83 M.11 0.28% 150.72 PL_TSY CREDIT 1,870 35,151 429.04 451.87 15.34 0.35% (160.70) ZA_TSY CREDIT 260 (53,153) 83.15 82.74 0.51 0.95% (109.97) SE_TSY CREDIT (211) (44,333) 464.03 466.24 4.50 0.32% (197.72) CH_TSY CREDIT 1,346 33,532 1,008.64 1,049.14 17.55 0.23% 137.84 GELTSY CREDIT 2,509 89,647 1,507.67 1,549.87 11.02 0.25% 167.39 EFTA00288542