EFTA00288559.pdf

Atorus, LLC 7/1/2014 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: 7/1/2014 109.23% 59.99% 12.67% 10.43% 6,493,075 (472,768) 6,020,307 1,000,000 2,092,311 Change on Day: 1.22% MSCI World Change on Day 0.65% No of Positions (+MTM) on Day No of Positions (4A7M) on Day Current No. of Positions: Current Leverage (Gross Exposures): 289 120 435 3.33 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% 0.99% .0.89% 50.00% 50.00% 10.00% 2X No. of Profitable Positions T12M 65.11% Avg. Realized Gain / Avg. Realized Loss 3.81 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. 1.35 1.43 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)300,000.00 1,600,000.00 1,400,000.00 1,200,000.00 1,000,000.00 800,000.00 600 00000 'V Oti"V 'V "V 'V I) eb GGGG 444 sti oes eeeeo o o o o o o Alt A% et. 1. 1, It sP 4' 4 sr sr 0, 4 sr 4' s 4 s‘ —NAV EFTA00288559 Atorus, LLC 7/1/2014 Largest Exposures Current Positions 97.5th Percentile 2.5th Percentile (@ cost ex- MTM) Largest MTM Gains Current Posi ions (90th Percentile MTM Gains % NAV) Security Notional 24 Positions DBK GR Equity (7,451) T US Equity (8,039) TGT US Equity (8,750) IBM US Equity (9,102) P512O Index (11,371) XAG Curncy (17,834) XAU Comdty (26,763) IBOV Index (30,393) ISEQ Index (38,102) SHCOMP Index (39,032) SE_TSY CREDIT (49,074) ZA_TSY CREDIT (53,153) 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 SPGSCITR Index 86,524 MX_TSY CREDIT 87,928 GB_TSY CREDIT 91,756 SG_TSY CREDIT 91,833 US_TSY CREDIT 100,443 MY_TSY CREDIT 103,107 CA_TSY CREDIT 255,948 Day NAV Impact of MTM by Category & Exposure Listed Equity Long 0.768% Listed Equity Short -0.071% EquityCom Long 0.693% EquityCom Short -0.026% G20 Rates Long -0.036% G20 Rates Short 0.014% T12eA Contribution (% of total Yr/Yr NAV Change by Category) Listed Equities 43.91% EquityCom 46.27% G20 Rates 10.78% % of Total Notional Security MTM Gain % Total NAV 22.01%1 45 Positions 23.95% 0.11% MDY US Equity 6,092 0.29% 0.12% SENSEX Index 6,202 0.30% 0.13% SXEP Index 6,216 0.30% 0.13% AZN US Equity 6,277 0.30% 0.16% UTX US Equity 6,293 0.30% 0.26% NVS US Equity 6,338 0.30% 0.38% XLF US Equity 6,386 0.31% 0.44% AZN LN Equity 6,427 0.31% 0.55% HON US Equity 6,510 0.31% 0.56% BE_TSY CREDIT 6,701 0.32% 0.70% XLI US Equity 6,843 0.33% 0.76% ROG VX Equity 6,850 0.33% 1.17% FTSEMIB Index 6,998 0.33% 1.18% 1N1 US Equity 7,081 0.34% 1.19% DAI GR Equity 7,184 0.34% 1.21% MAERSKB DC Equity 7,402 0.35% 1.23% AEX Index 7,518 0.36% 1.24% SXXP Index 7,809 0.37% 1.26% NOVN VX Equity 7,979 0.38% 1.32% SMI Index 8,073 0.39% 1.32% SXSE Index 8,156 0.39% 1.44% BEL20 Index 8,602 0.41% 1.48% PRU LN Equity 8,645 0.41% 3.67% TMO US Equity 8,866 0.42% SX6P Index 8,998 0.43% HEX Index 9,280 0.44% MDT US Equity 9,905 0.47% IT_TSY CREDIT 10,078 0.48% DAX Index 10,184 0.49% MMM US Equity 10,465 0.50% SXAP Index 10,524 0.50% SXOP Index 10,923 0.52% LUXXX Index 12,002 0.57% IBEX Index 12,145 0.58% SXIP Index 12,155 0.58% ES_TSY CREDIT 12,212 0.58% KFX Index 13,580 0.65% TYC US Equity 13,802 0.66% NDX Index 14,028 0.67% XLV US Equity 14,239 0.68% EFTA00288560 SPX Index 22,143 1.06% SXTP Index 23,043 1.10% SXDP Index 29,597 1.41% IE_TSY CREDIT 34,685 1.66% STBCNZL Index 35,643 1.70% No. Names by Category APAC Long 36 APAC Short 11 EMEA Long 67 EMEA Short 16 AMER Long 187 AMER Short 23 EquityCom Long 65 EquityCom Short 7 G20 Rates Long 21 G20 Rates Short 2 Total Long 376 Total Short 59 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 EFTA00288561 Atorus, LLC 7/1/2014 Historical Net Exposure by Geography (Listed Equities) & Maao (Equity Indices & Commodlites, G20 Gov. Credit) - APAC — EMEA — AMER — EquityCom -G20 Rates NexEposule RIG 2,500,000 2,000,000 7,000,000 6,000,000 5,000,000 0,000,000 - 3,000.000 - 2000000 1,000.000 0 -I (1X00,000) el 1,503,000 40 1/2 1 ret 1,000,000 500,000 el (5O0.0CO) ...... N IN I-I g o eJ rl o IN rr el el o IN el al fa in el o N el el r -I o o o IN el el - 49 ....% frI n Tl fl t el gi ".'.. el 2 ..' t el (9 "'... r -I e9; rR ..., ..... N ....„ Ifl N O ..... .., ...... ..... Ill N 4.4 01 .,..!. rl .-e . •-• ,..!. 0 1 . II1 „... b• (2,000,003) (3,000,000) (1,000,000) Historical Gross Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodlites, G20 Gov. Credit) EFTA00288562 Atorus, LIC 7/1/2014 Current Gross Notional Risk by Category 313,131 653,164 1,819,7 !ill ■ APAC ■ EMEA ■ AMER ■ EquityCom ■ G20 Rates Performance Vs. MSCI World Index 2.35 2.15 1.95 1.75 1.55 1.35 1.15 0.95 0.75 'V % 11. % % O•~'1i n, 4, 0, • lb tk la os 4)'• o's• oN. or> .(‘Q' Ace 9" c' At AQ' Q' 4 10 \ AC\ 0 MSC1 ATO:u, Rolling 30 Day Realized Volatility -At EFTA00288563 Atorus, LLC 7/1/2010 Percentile Distribution of Current MTM Gains in Vol Days by Position (ex-99pct & ex-1st percentiles) 8000 7000 MO 5000 4000 3000 2000 1000 &CO 1000 Alb C3) 4 ardr—anntnesnatt, 'a 'a h P h h 0 P P/I. Vol Days by Poblion Percentile No. Vol Days 0.00% -12.71 5.00% -3.10 10.00% -1.20 15.00% -0.21 20.00% 0.95 25.00% 1.87 30.00% 3.21 35.00% 4.36 40.00% 5.59 45.00% 7.71 50.00% 10.75 55.00% 13.51 60.00% 16.31 65.00% 19.58 70.00% 24.27 75.00% 29.44 80.00% 36.94 85.00% 46.98 90.00% 57.13 95.00% 81.44 100.00% 170.79 MTM Gains(Losses) % of NAV "Signficant" (<7 Vol Days) 0.77% MTM Gains(Losses) % of NAV "Signficant" (>7 Vol Days) 42.87% EFTA00288564 Atorus, LLC Current Portfolio -Listed Equity 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) 7/1/2014 000270 KS Equity (15) (4,883) 54.82 54.99 -0.31 0.96% 63.17 005380 KS Equity 9 2,519 224.39 225.19 0.39 0.92% (7.19) 005490 KS Equity (130) (5,041) 289.59 297.06 -2.95 0.87% 49.63 005930 KS Equity 58 (3,331) 1,315.71 1,292.86 1.63 1.07% 27.57 012330 KS Equity 274.13 0.82% 1 HK Equity 1,258 12,607 Ma N/A 12.73 0.78% 1299 HK Equity 302 7,867 PN/A N/A 8.54 0.45% 13 HK Equity 1,001 6,181 Ma N/A 21.65 0.75% 16 HK Equity PN/A N/A 27 HK Equity (291) (4,202) Ma N/A •4.61 1.51% 2914 JP Equity 442 9,982 34.91 36.46 5.57 0.80% 74.08 3382 JP Equity 313 3,411 39.26 42.86 10.83 0.85% 81.81 4063 JP Equity 26 3,053 61.10 61.62 1.18 0.71% 51.40 4502 JP Equity 184 8,600 45.47 46.44 3.76 0.57% 31.36 4689 JP Equity 98 4,252 4.63 4.74 1.60 1.44% 129.21 5 HK Equity 5 (4,127) /WA N/A 0.22 0.53% 5108 JP Equity (69) 5,014 35.92 35.43 -1.56 0.88% 82.17 5401.1P Equity 49 5,798 3.18 3.20 0.89 0.94% 14.08 6301.1P Equity 147 4,173 22.48 23.27 4.07 0.86% 12.90 6752 JP Equity 12.25 6902 JP Equity 47.69 - 6954 JP Equity 729 7,571 160.05 175.46 11.89 0.81% 143.92 7201.1P Equity 55 5,276 9.44 9.54 1.18 0.88% 64.64 7203 JP Equity 105 5,369 59.49 60.65 2.68 0.73% 81.78 7267 JP Equity SO (4,675) 35.34 34.96 1.39 0.77% (6.71) 762 HK Equity (33) (4,080) PN/A N/A -0.82 0.99% 7751 JP Equity (86) 9,172 33.00 32.69 •2.46 0.38% 26.52 80311P Equity 24 5,117 16.05 16.13 0.58 0.82% 105.93 8058 JP Equity 785 10,860 19.74 21.17 15.49 0.47% 80.90 8106 JP Equity 37 4,405 6.13 6.18 0.93 0.91% (41.35) 8316 JP Equity (198) (3,372) 39.96 42.31 -5.89 1.00% 97.62 84111P Equity 72 7,581 2.03 2.05 1.66 0.57% 5.94 8604 JP Equity (74) 4,928 7.25 7.14 -1.37 1.10% 55.25 8801.1P Equity 368 4,655 31.26 33.73 5.39 1.47% 8802 JP Equity (15) (1,815) 24.79 25.00 A.65 1.28% (26.41) 9020 JP Equity 62 5,604 78.26 79.12 1.52 0.72% 74.13 941 HK Equity 201 (4,634) PN/A N/A 8.16 0.53% 9432 JP Equity 1,290 10,150 55.39 62.43 16.56 0.77% 63.07 9433 JP Equity 543 7,585 57.61 61.73 7.58 0.94% 124.07 9437 JP Equity 47 4,896 17.09 17.25 1.88 0.51% 56.01 9983 JP Equity (50) (2,292) 322.77 329.78 •1.96 1.11% (2.91) EFTA00288565 9984 JP Equity 19 5,645 74.36 74.61 0.29 1.15% 4.18 AAPL US Equity 1,836 9,685 78.79 93.73 26.04 0.73% 97.61 ABB US Equity 23.02 - ABBN VX Equity 72 (6,206) 23.25 22.98 2.37 0.49% 10.96 ABBV US Equity 597 6,279 51.86 56.79 14.97 0.63% 31.53 ABEV US Equity 75 (5,506) 7.24 7.15 1.55 0.88% (101.79) ABEV3 BZ Equity 73 (5,164) 7.31 7.21 1.45 0.98% (95.46) ABI BB Equity 1,082 11,731 105.26 114.96 15.93 0.58% 6.60 ABT US Equity 348 7,630 39.40 41.20 8.51 0.54% 54.30 ABX CN Equity (5) (5,037) RN/A N/A 0.09 1.08% ABX US Equity (12) (4,849) 18.17 18.22 -0.23 1.08% (16.81) ACA FP Equity (4) (1,574) 14.34 14.38 -0.24 1.10% (21.90) ACE US Equity 785 11,741 98.27 104.84 19.14 0.35% 140.67 ACN US Equity 371 8,563 77.97 81.34 7.82 0.55% 24.92 ADP US Equity 293 7,637 77.26 80.22 7.06 0.54% 94.56 AFL US Equity 105 5,843 61.61 62.71 2.94 0.61% 34.94 AGN US Equity 5,187 10,621 113.90 169.52 41.54 1.18% (60.02) Al FP Equity (76) 6,175 137.84 136.17 -1.63 0.75% 60.31 AIG US Equity 841 12,241 51.90 55.46 11.61 0.59% 195.42 AIR FP Equity 28 (1,466) 67.12 65.82 1.74 1.11% 27.11 ALV GR Equity (30) 5,509 168.39 167.48 •1.42 0.39% 21.86 ALVG IX Equity (18) 4,954 167.99 167.39 -0.88 0.40% 10.87 AMGN US Equity 292 8,878 116.15 119.98 5.13 0.64% 107.50 AMT US Equity 1,961 13,044 77.99 89.71 33.17 0.45% 4.99 AMZN US Equity (228) (2,898) 306.51 330.63 -6.86 1.15% (52.32) ANZ AU Equity 709 12,947 29.78 31.41 7.73 0.71% (45.55) APA US Equity 1,198 12,393 91.83 100.71 14.09 0.69% (6.18) APC US Equity 540 6,564 100.97 109.27 10.54 0.78% (19.97) AXP US Equity 3,517 12,239 74.22 95.55 50.07 0.57% 111.95 AZN LN Equity 6,427 12,731 49.87 75.05 40.93 1.23% 208.70 AZN SS Equity 5,746 12,119 50.82 74.91 39.26 1.21% 147.78 AZN US Equity 6,277 12,866 50.37 74.94 39.56 1.23% 202.53 BA US Equity (158) 10,667 129.92 128.02 -2.35 0.63% 75.00 BAC US Equity 64 8,241 15.44 15.56 0.96 0.80% 102.52 BARC LN Equity (104) 1,044 4.07 3.70 -11.52 0.87% 10.92 BAS GR Equity 1,461 8,672 99.78 116.60 38.17 0.44% (4.04) BATS LN Equity 865 9,102 54.92 60.14 14.36 0.66% 105.54 BAX US Equity 0 4,842 73.52 73.52 0.01 0.40% 82.68 BAYN GR Equity 498 11,012 137.35 143.56 9.32 0.49% 182.18 BBAS3 BZ Equity (24) 1,386 11.53 11.33 -1.09 1.58% 13.40 BBD US Equity (3) 5,475 14.62 14.61 -0.04 1.20% 8.70 BBDC4 BZ Equity (1) 5,427 14.64 14.64 -0.02 1.26% 18.23 BBL US Equity (100) (3,075) 64.23 66.31 -3.31 0.98% (63.84) BBVA SM Equity 1,619 6,375 10.30 12.92 33.76 0.75% 117.20 BCE CN Equity 87 10,241 #N/A N/A 2.19 0.39% Bcs US Equity (106) 1,091 16.31 14.86 -11.92 0.82% 17.46 BEN US Equity 305 5,658 54.63 57.57 7.21 0.75% (24.60) EFTA00288566 BG/ LN Equity (14) (2,195) 21.26 21.40 -0.72 0.88% (25.64) BHP AU Equity (53) 9,507 34.49 34.30 -0.58 0.96% 74.94 BHP US Equity 131 7,278 68.00 69.22 1.87 0.96% 112.25 BBB US Equity 335 1,066 245.93 323.19 30.69 1.02% 30.54 BIL Si Equity (SO) (3,522) 32.52 32.99 -1.60 0.89% (71.66) BK US Equity 1,445 10,651 33.50 38.04 20.24 0.67% 219.11 BLK US Equity 372 5,982 304.18 323.11 10.75 0.58% 70.58 BLT IN Equity (86) (3,303) 32.31 33.15 -2.76 0.94% (77.17) BMO CN Equity 1,460 15,609 #N/A N/A 22.72 0.41% BMW GR Equity 1,465 5,972 102.01 127.04 33.25 0.74% 7.56 BMY US Equity (87) 4,840 49.01 48.14 -2.25 0.80% (47.65) BN FP Equity 75.49 0.69% BNP FP Equity 60 (3,462) 71.49 70.25 1.99 0.87% (130.39) BNS CN Equity 1,753 15,076 KN/A N/A 29.91 0.39% BP/ LN Equity 1,469 12,299 7.91 8.85 23.27 0.51% 59.53 BRK/B US Equity 793 15,648 121.13 127.26 15.20 0.33% 82.97 BSBR US Equity 153 5,698 6.81 6.99 3.48 0.77% 77.56 BUD US Equity 1,031 11,940 105.71 114.84 14.32 0.60% (8.14) BX US Equity 254 5,167 32.17 33.75 4.35 1.13% 58.72 C US Equity (41) 6,030 47.93 47.61 -1.15 0.59% 62.28 CA FP Equity 37.00 - CAT US Equity 3,051 15,121 90.92 109.26 27.29 0.74% 104.63 CBA AU Equity 1,617 17,559 69.92 76.36 16.63 0.55% (15.28) CBS US Equity 265 7,287 60.74 62.95 3.67 0.99% 116.72 CCL US Equity 208 6,766 36.49 37.61 4.08 0.76% (4.65) CELG US Equity - 337 88.01 88.01 0.00 0.96% 7.59 CFR VX Equity 581 9,952 99.00 104.77 9.19 0.63% (34.05) CI. US Equity 3,046 22,712 60.34 68.43 27.38 0.49% 50.61 CM CN Equity 999 13,057 #WA N/A 17.57 0.44% CMCSA US Equity 579 10,468 51.28 54.12 11.56 0.48% 83.36 CMCSK US Equity 5,970 14,910 38.47 53.88 87.94 0.46% 201.44 CNI US Equity 3,592 14,136 52.09 65.33 52.67 0.48% 72.42 CNQ CN Equity 2,743 12,022 KN/A N/A 25.82 0.88% CNR CN Equity 3,483 14,238 KN/A N/A 54.12 0.45% COF US Equity 1,559 9,398 71.32 83.15 25.07 0.66% 58.61 COP US Equity 1,252 12,885 78.45 86.08 19.07 0.51% 63.29 COST US Equity 112 9,550 114.02 115.35 2.28 0.51% (7.16) COV LN Equity KN/A N/A COV US Equity 3,142 7,850 64.85 90.81 29.84 1.34% 52.36 CRM US Equity 315 3,835 54.50 58.98 5.05 1.63% 56.41 CS FP Equity (46) 2,887 24.44 24.05 -1.89 0.85% 23.51 CSCO US Equity 128 8,274 24.64 25.02 2.25 0.69% 62.94 CSX US Equity 2,149 9,972 25.47 30.96 29.05 0.74% 27.35 CVE CN Equity KWA N/A CVS US Equity 2,208 12,539 64.62 76.00 31.59 0.56% 76.24 CVX US Equity (5) 5,595 130.93 130.81 -0.19 0.50% 18.66 D US Equity 1,374 7,953 60.80 71.30 24.25 0.71% (6.12) EFTA00288567 DAI GR Equity 7,184 13,908 62.20 94.33 67.30 0.77% 194.42 DBK GR Equity 984 (7,451) 40.67 35.30 14.18 0.93% (26.56) DD US Equity 970 5,413 55.43 65.36 36.77 0.49% 16.95 DDAIF US Equity 4,134 8,377 63.20 94.39 63.38 0.78% 135.74 DE US Equity 381 10,094 86.88 90.16 6.87 0.55% (82.51) DELI. US Equity #WA WA DG FP Equity 4,443 10,090 51.66 74.40 81.82 0.54% (88.99) DGE LN Equity 136 2,632 31.00 32.60 7.45 0.69% 54.48 DHR US Equity 395 11,611 76.85 79.46 5.76 0.59% 103.66 DIS US Equity 2,713 12,054 70.61 86.51 37.60 0.60% 129.75 DISCA US Equity 79 (6,841) 75.84 74.96 1.22 0.95% (47.95) DNB NO Equity 190 8,725 17.95 18.34 3.60 0.60% 53.09 DOW US Equity 2,875 7,396 37.11 51.54 66.72 0.58% 23.05 DPW GR Equity 70 2,529 35.22 36.19 3.61 0.77% 0.45 DTE GR Equity 1,286 9,840 15.60 17.64 19.64 0.67% 48.34 DTV US Equity 3,977 11,097 62.68 85.15 60.53 0.59% 28.34 DUK US Equity (80) (1,946) 70.84 73.76 -7.06 0.58% 7.91 DVN US Equity 2,969 14,370 65.78 79.37 31.69 0.65% (45.08) EBAY US Equity (22) (2,167) 49.95 50.45 -1.48 0.69% (17.96) ECI. US Equity 609 11,898 106.13 111.56 12.29 0.42% 81.05 EDF FP Equity 31.66 1.22% - EMC US Equity 557 12,257 25.48 26.64 9.43 0.48% 139.61 EMR US Equity (30) 8,739 66.79 66.57 -0.53 0.64% 23.02 ENB CN Equity 489 12,532 #WA WA 7.16 0.55% ENEL IM Equity 2,791 8,902 4.48 5.89 34.92 0.90% 131.53 ENI IM Equity 1,527 12,523 24.46 27.44 15.71 0.78% 86.34 EOAN GR Equity 476 6,245 19.28 20.75 9.64 0.79% 30.72 EOG US Equity 3,529 5,841 72.84 116.85 65.67 0.92% 7.91 EPD US Equity 3,153 14,612 64.66 78.61 47.76 0.45% 94.99 ERICB SS Equity (45) 1,269 12.49 12.06 -6.44 0.55% (1.32) ESRX US Equity (187) 8,644 70.68 69.18 -3.54 0.61% (4.06) ETN US Equity 424 7,458 73.42 77.60 9.24 0.61% 50.58 F US Equity 155 8,293 16.88 17.19 3.26 0.57% (47.94) F8 US Equity 1,434 2,630 44.06 68.08 50.06 1.09% 29.46 FCX US Equity 682 7,159 33.84 37.07 11.87 0.80% 184.54 FDX US Equity 821 6,601 135.53 152.38 18.94 0.66% 57.00 FOX US Equity 251 8,112 33.25 34.28 4.21 0.74% 1.88 FOXA US Equity 235 7,483 34.19 35.27 4.37 0.72% 11.75 FP FP Equity 2,365 15,659 63.30 72.87 23.42 0.64% 183.78 G IM Equity (33) 3,204 22.23 22.01 -1.38 0.74% 17.56 GE US Equity 2,411 13,140 22.32 26.41 43.30 0.42% 52.05 GILD US Equity 452 5,756 78.68 84.85 9.34 0.84% 103.28 GIS US Equity 993 25,323 50.89 52.89 10.83 0.36% 168.52 GLE FP Equity 53.91 GLEN LN Equity (162) (1,773) 5.22 5.70 -12.71 0.72% (37.44) GLW US Equity 4,192 12,136 16.41 22.08 60.54 0.57% 90.93 GM US Equity 479 8,503 35.24 37.22 7.20 0.78% 203.00 EFTA00288568 GOOG US Equity 300 6,999 557.07 580.95 4.82 0.89% 56.11 GS US Equity 215 8,442 162.84 166.98 3.72 0.68% (11.87) GSK LN Equity 171 5,707 26.22 27.00 5.31 0.56% 56.95 GSZ FP Equity 993 12,912 25.62 27.59 11.07 0.69% 19.13 HAL US Equity 2,941 8,401 52.62 71.04 47.55 0.74% 25.04 HD US Equity 819 13,333 76.98 81.70 9.77 0.63% 126.44 HMB SS Equity 135 7,694 42.69 43.44 2.83 0.62% (46.33) HON US Equity 6,510 11,930 61.10 94.44 92.73 0.59% 300.58 HPQ US Equity 2,566 8,268 26.13 34.24 35.45 0.88% 148.18 HSBA LN Equity (62) 8,008 10.34 10.26 -1.53 0.51% 81.08 IBE SM Equity 2,835 7,531 5.56 7.65 74.83 0.50% 2.71 IBM US Equity 48 (9,102) 186.82 185.84 1.01 0.52% (232.22) IMT LN Equity 2,912 14,380 37.31 44.87 34.45 0.59% (15.59) INTC US Equity 3,570 13,687 24.57 30.98 35.43 0.74% 59.15 ISP IM Equity 3,590 5,699 1.93 3.15 46.95 1.34% 154.94 ITUB US Equity (495) 5,715 15.76 14.50 -6.04 1.44% 40.04 ITUB4 BZ Equity (358) 4,601 15.69 14.56 -5.40 1.44% 34.58 ITW US Equity 4,047 14,011 67.84 87.43 57.10 0.51% (77.86) ITX SM Equity 21 5,364 153.23 153.83 0.56 0.70% 3.78 JCI US Equity 238 6,567 49.09 50.87 4.93 0.74% 128.54 JNJ US Equity 7,081 20,338 78.39 105.69 93.85 0.37% 229.90 JPM US Equity 260 10,159 56.23 57.67 4.47 0.57% 16.65 KMB US Equity 352 11,894 108.16 111.36 8.69 0.34% (4.27) KMI US Equity 158 8,374 35.37 36.04 2.82 0.67% (40.52) KO US Equity 45 4,065 41.85 42.31 (2.81) LBTYA US Equity 85 5,724 43.92 44.58 1.94 0.76% 58.89 LBTYK US Equity 139 7,489 41.91 42.69 2.99 0.62% 77.49 LIN GR Equity 668 11,076 201.42 213.57 10.74 0.56% 45.45 LLOY LN Equity 178 3,350 1.23 1.29 6.47 0.82% 55.71 LLY US Equity 275 6,595 59.87 62.36 6.83 0.61% (7.93) LMT US Equity 621 2,016 122.48 160.18 55.55 0.55% (18.20) LNKD US Equity 140 (2,748) 181.90 172.62 3.70 1.38% (37.43) LOW US Equity 134 4,960 46.96 48.23 3.16 0.86% 41.32 LVS US Equity 120 3,103 74.87 77.76 3.51 1.10% 58.04 LYB US Equity 1,521 2,297 59.29 98.55 132.73 0.50% 35.48 MA US Equity 12 6,084 75.27 75.42 0.34 0.60% 153.69 MAERSKB DC Equity 7,402 14,377 1,651.64 2,501.93 44.36 1.16% 167.34 MC FP Equity 170 7,348 188.38 192.73 4.87 0.47% (26.65) MCD US Equity 34 9,603 100.64 100.99 0.81 0.43% 20.24 MCK US Equity 318 2,181 164.92 188.95 16.52 0.88% 29.64 MDIZ US Equity 4,394 13,763 28.74 37.92 80.88 0.39% 149.91 MDT US Equity 9,905 20,811 43.22 63.80 55.35 0.86% (59.01) MET US Equity 2,024 7,556 44.37 56.25 29.46 0.91% 126.28 MFC CN Equity 1,572 4,187 #WA WA 53.84 0.70% MHS US Equity #WA WA MMM US Equity 10,465 21,331 96.89 144.43 137.57 0.36% 228.94 MO US Equity 1,612 13,316 37.33 41.85 19.66 0.62% (67.26) EFTA00288569 MON US Equity 2,107 12,758 106.90 124.55 33.33 0.50% (5.83) MOS US Equity 49.41 - MRK US Equity 1,895 13,724 51.19 58.26 27.11 0.51% 94.86 MS US Equity 174 3,990 30.99 32.34 5.33 0.82% 25.62 MSFT US Equity 1,535 9,097 35.88 41.94 25.86 0.65% 14.42 MUV2 GR Equity 762 6,116 197.70 222.34 29.37 0.42% 45.10 NAB AU Equity (213) 10,650 31.51 30.89 -2.98 0.67% (33.11) NCM AU Equity 10.26 NEE US Equity 5,876 15,275 73.39 101.62 63.53 0.61% (79.54) NEM US Equity 154 (1,333) 28.38 25.11 11.76 0.98% 9.51 NESN VX Equity 1,186 11,809 70.94 78.07 21.28 0.47% 97.29 NG/ LN Equity 2,934 13,478 12.00 14.61 29.27 0.74% 268.21 NKE US Equity 492 5,145 71.37 78.19 13.65 0.70% 52.67 NOK US Equity 4,164 4,498 3.96 7.63 75.64 1.22% 59.30 NOV US Equity 473 8,643 78.01 82.28 5.48 1.00% (8.32) NOVN VX Equity 7,979 21,827 66.92 91.39 100.60 0.36% 229.10 NOVOB DC Equity 1,289 11,124 41.11 45.87 13.48 0.86% (5.25) NSC US Equity 2,733 10,790 82.20 103.02 38.39 0.66% (62.20) NVS US Equity 6,338 18,195 67.78 91.39 87.14 0.40% 246.38 OGXP3 BZ Equity 4,026 (4,107) 4.39 0.09 32.50 3.02% OR FP Equity 189 11,677 168.96 171.70 3.30 0.49% (46.23) ORA FP Equity 1,429 8,559 13.80 16.11 16.41 1.02% 190.13 ORCL US Equity 1,653 9,129 34.50 40.75 29.79 0.61% 30.75 OXY US Equity 713 10,929 96.82 103.13 12.18 0.54% 51.79 PBR US Equity (184) 2,578 15.59 14.54 -5.55 1.29% (6.56) PBR/A US Equity (157) 2,307 16.60 15.54 -4.86 1.40% (10.34) PCLN US Equity 280 5,110 1,174.29 1,238.68 5.50 1.00% 136.06 PCP US Equity (77) 8,068 257.61 255.18 -1.17 0.82% 85.87 PEP US Equity 838 13,556 83.90 89.08 14.05 0.44% (32.56) PETR3 BZ Equity 35 (2,385) 7.42 7.31 0.99 1.49% (1.26) PETR4 BZ Equity 32 (2,235) 7.90 7.79 0.90 1.58% 7.60 PFE US Equity 69 4,811 29.61 30.03 4.12 0.35% 53.42 PG US Equity (8) 11,013 79.25 79.19 -0.24 0.31% 56.58 PHIA NA Equity 31.85 PM US Equity (383) 11,156 87.19 84.29 -9.02 0.38% (33.20) PNC US Equity 1,544 10,569 78.10 89.52 23.68 0.62% 59.00 POT CN Equity 381 9,480 #N/A N/A 5.45 0.74% POT US Equity 342 10,582 36.75 37.93 4.73 0.68% (20.87) PRU LN Equity 8,645 10,521 12.76 23.25 150.10 0.55% 284.11 PSA US Equity 812 13,406 162.12 171.94 13.80 0.44% 67.64 PSX US Equity 1,449 6,695 66.16 80.48 29.26 0.74% (8.96) PX US Equity 2,774 17,041 114.23 132.82 37.19 0.44% 5.66 QCOM US Equity 2,397 12,871 67.10 79.60 42.77 0.44% 78.97 QQQ US Equity 3,334 16,268 78.73 94.87 50.45 0.41% 196.15 RAI US Equity 1,423 12,125 53.94 60.27 13.70 0.86% (45.01) RDS/A US Equity 1,222 12,883 75.73 82.91 17.18 0.55% 90.64 RDS/B US Equity 1,270 11,427 78.85 87.61 15.52 0.72% 258.94 EFTA00288570 RDSA LN Equity 1,326 11,888 37.39 41.57 20.93 0.53% 67.23 RDSA NA Equity 1,111 12,492 38.08 41.47 17.18 0.52% 40.17 RDSB LN Equity 1,308 10,889 39.07 43.77 17.56 0.68% 72.92 REGN US Equity (39) (420) 273.60 299.31 -8.05 1.17% (23.30) RIO AU Equity 121 4,367 55.80 57.35 2.40 1.16% 94.82 RIO LN Equity 96 2,754 53.03 54.88 3.53 0.99% 89.42 RIO US Equity 100 2,819 53.14 55.03 3.15 1.13% 56.84 ROG VX Equity 6,850 17,035 212.78 298.35 75.20 0.53% 10.49 RY CN Equity 1,006 13,223 //WA N/A 18.27 0.42% SAB LN Equity 2,102 12,446 50.06 58.51 22.28 0.76% 134.38 SAN FP Equity (19) 5,211 106.71 106.31 0.88 0.42% (13.18) SAN SM Equity 2,069 9,840 8.73 10.56 36.39 0.58% 149.11 SAN US Equity 1,664 7,980 8.73 10.55 25.40 0.82% 146.02 SAP GR Equity 54 4,907 76.40 77.23 1.73 0.64% (7.43) SAP US Equity 43 4,670 76.56 77.27 1.34 0.69% 2.76 SBUX US Equity 679 13,447 74.25 78.00 7.17 0.70% 99.17 SGO FP Equity 872 3,287 44.57 56.40 29.91 0.89% 3.99 SI US Equity #N/A N/A SIE GR Equity 762 6,344 117.57 131.70 20.61 0.58% (34.02) SLB US Equity 3,746 10,642 87.32 118.07 62.96 0.56% 52.56 SMSN LI Equity 29 (3,613) 653.36 648.18 0.69 1.15% (10.24) SO US Equity 282 11,861 44.11 45.16 4.19 0.57% (48.50) SPG US Equity (165) 12,778 168.95 166.81 .2.12 0.61% 48.49 SREN VX Equity 89.85 STAN LN Equity 329 (6,930) 21.44 20.42 9.09 0.52% (3.38) STL NO Equity 1,764 11,818 26.89 30.91 18.88 0.79% 31.54 STT US Equity 208 6,796 65.78 67.80 4.22 0.73% 65.51 SU CN Equity 1,732 14,615 #N/A N/A 14.61 0.81% SU FP Equity 714 10,184 87.64 93.79 7.39 0.95% (63.07) SU US Equity 1,776 14,725 38.07 42.66 15.11 0.80% 19.48 SWEDA SS Equity 97 5,446 26.08 26.54 2.73 0.65% 16.21 SYNN VX Equity (99) (6,953) 364.98 370.19 -3.56 0.40% 14.12 T US Equity (56) (8,039) 35.16 35.41 4.68 0.41% 1.87 TD CN Equity 1,523 14,589 #1.1/A N/A 23.14 0.45% TEF SM Equity 616 9,929 16.31 17.33 12.24 0.51% 113.94 TEF US Equity 538 8,452 16.22 17.26 8.23 0.77% 62.11 TGT US Equity 719 (8,750) 63.45 58.24 12.03 0.68% (17.04) TJX US Equity 79 (2,907) 54.91 53.42 2.90 0.94% (18.36) TLS AU Equity 827 13,319 4.66 4.95 12.32 0.50% 66.35 TLSN SS Equity (238) (5,268) 7.02 7.34 -10.11 0.45% (14.71) TM US Equity 142 5,625 118.97 121.99 4.08 0.62% 114.30 TMO US Equity 8,866 10,218 63.59 118.76 137.42 0.63% 102.38 TOT US Equity 1,485 8,160 61.65 72.87 23.63 0.77% 96.52 TRP CN Equity 21 3,268 #N/A N/A 1.49 0.44% TRV US Equity 1,288 15,820 88.15 95.32 24.57 0.33% 239.18 TSCO LN Equity 855 (6,992) 5.52 4.84 15.17 0.81% 35.65 TWC US Equity 1,235 5,234 120.22 148.59 45.47 0.52% 56.21 EFTA00288571 TWX US Equity 406 9,814 67.77 70.57 5.02 0.82% 80.13 TXN US Equity 4,729 12,205 34.93 48.46 68.65 0.56% 226.52 TYC US Equity 13,802 24,080 29.17 45.88 77.58 0.74% 344.32 UBS US Equity 18.56 - UBSN VX Equity 101 (5,827) 18.90 18.58 2.39 0.72% (67.00) UCG IM Equity 2,819 5,500 5.62 8.51 41.98 1.22% 157.36 ULVR LN Equity 381 7,646 43.35 45.51 9.29 0.54% 29.38 UNA NA Equity 285 8,550 42.33 43.74 6.37 0.52% (0.34) UNH US Equity 2,827 10,775 64.97 82.02 42.96 0.61% 16.59 UNP US Equity 2,583 14,417 84.99 100.22 32.22 0.56% 16.28 UPS US Equity 4,280 14,806 79.87 102.96 54.13 0.53% 60.27 USB US Equity 3,603 14,625 34.87 43.46 56.06 0.44% 56.80 UTX US Equity 6,293 15,190 82.05 116.04 68.28 0.61% 74.03 V US Equity 442 9,462 204.92 214.51 8.94 0.52% 175.15 VALE US Equity 231 (3,004) 14.63 13.51 6.19 1.24% (80.23) VALE3 BZ Equity 307 (2,939) 15.07 13.49 7.52 1.39% (80.28) VIAB US Equity 4,050 9,746 61.33 86.81 69.29 0.60% 4.93 VIV FP Equity 24.63 - VMW US Equity 484 4,785 89.16 98.18 12.31 0.82% 70.37 VOD LN Equity 459 (4,209) 3.78 3.37 12.30 0.89% (22.14) VOD US Equity 450 (3,960) 37.80 33.50 11.84 0.96% (21.32) VOW3 GR Equity 38 3,208 259.69 262.73 2.10 0.56% 9.38 VRX CN Equity (8) 1,807 RWA N/A -0.30 1.45% VRX US Equity (22) 2,559 126.98 125.89 -0.63 1.37% (24.21) VTI US Equity 920 5,134 86.91 102.49 44.67 0.40% 43.15 VWO US Equity 98 5,630 42.75 43.50 3.21 0.54% 43.64 VZ US Equity (7) (3,946) 49.19 49.28 -0.36 0.46% (25.28) WBC AU Equity 401 11,844 30.87 31.91 5.40 0.63% (37.72) WES AU Equity 165 13,490 39.08 39.56 2.26 0.54% (0.79) WFC US Equity 4,300 13,056 39.71 52.79 54.12 0.61% 85.74 WLP US Equity 4,793 12,234 77.97 108.53 63.99 0.61% 79.81 WMT US Equity (146) 9,262 76.29 75.11 -3.50 0.45% (16.10) WOW AU Equity (194) 4,724 34.77 33.40 -7.75 0.53% 7.29 XOM US Equity 1,566 16,573 92.53 101.27 21.61 0.44% 90.73 XTA LN Equity PN/A N/A YHOO US Equity 28 2,171 34.99 35.44 1.35 0.95% 24.44 YUM US Equity 866 10,235 75.29 81.66 17.83 0.47% 66.89 ZURN VX Equity 226 8,429 294.36 302.25 6.87 0.39% 50.12 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 22,143 62,272 1,455.70 1,973.32 95.55 0.37% 563.70 NDX Index 14,028 37,592 2,836.05 3,894.33 81.23 0.46% 601.42 RTY Index 1,183 18,515 1,133.51 1,205.95 7.98 0.80% 214.36 EFTA00288572 SPTSX Index 3,816 46,911 #N/A N/A 24.41 0.33% MEXBOL Index 111 15,064 3287.82 3,312.10 1.35 0.55% IBOV Index 51 (30,393) 24,178.82 24,138.14 0.15 1.15% MERVAL Index 1,826 22,139 915.40 990.90 4.77 1.73% UKK Index 5,532 49,421 10,501.74 11,677.21 35.68 0.31% DAX Index 10,184 37,847 10,682.74 13,557.39 70.39 0.38% CAC Index 1,623 29,424 5,788.46 6,107.72 13.99 0.39% IBEX Index 12,145 42,944 11,748.18 15,070.78 47.99 0.59% SMI Index 8,073 53,322 8,435.15 9,712.25 53.46 0.28% FTSEMIB Index 6,998 25,266 23,118.94 29,522.49 29.07 0.95% PSI20 Index (166) (11,371) 9,312.21 9,448.41 -1.79 0.82% ISEQ Index (416) (38,102) 6,435.28 6,505.61 -1.31 0.83% ICEXI Index 84 10,478 7.27 7.33 1.51 0.54% AEX Index 7,518 48,492 492.48 568.83 44.87 0.35% BEL20 Index 8,602 47,922 3,658.46 4,315.16 50.94 0.35% LUXXX Index 12,002 41,632 1,672.08 2,154.11 38.72 0.74% KFX Index 13,580 40,987 102.53 136.50 60.21 0.55% HEX Index 9,280 44,404 8,639.05 10,444.49 43.26 0.48% OMX Index 741 10,682 193.60 207.03 17.90 0.39% ATX Index (482) 64,153 3,452.84 3,427.09 -1.21 0.62% ME Index (182) 12,366 1,707.20 1,682.42 -0.87 1.69% OSEBX Index 4,606 29,043 87.18 101.00 29.93 0.53% INDEXCF Index (97) 40,984 43.30 43.20 -0.21 1.10% TOP40 Index 3,290 39,989 4,025.86 4,357.05 11.92 0.69% SENSEX Index 6,202 43,256 371.48 424.74 15.46 0.93% NKY Index 1,135 23,222 143.92 150.95 7.08 0.69% HSI Index 786 39,542 #N/A N/A 4.76 0.42% SHCOMP Index 1,252 (39,032) 341.67 330.71 5.78 0.56% KOSPI Index 2,275 45,441 1.88 1.98 10.28 0.49% AS51 Index 1,097 33,715 4,948.24 5,109.26 5.97 0.54% STBCNZL Index 35,643 73,207 #N/A N/A 124.09 0.39% EEM US Equity (3) (493) 43.35 43.64 -1.09 0.61% IYR US Equity 304 12,786 70.30 71.97 5.68 0.42% MDY US Equity 6,092 14,269 184.03 262.60 84.13 0.51% JNK US Equity 58 12,756 41.38 41.57 4.21 0.11% XLF US Equity 6,386 13,610 15.57 22.88 104.81 0.45% XLU US Equity 1,226 11,089 39.46 43.82 17.50 0.63% XLK US Equity 3,322 13,272 30.99 38.74 56.76 0.44% XLI US Equity 6,843 16,147 38.20 54.39 84.19 0.50% XLP US Equity 753 12,469 42.17 44.72 14.95 0.40% XLY US Equity 1,680 10,746 58.33 67.45 29.17 0.54% XLE US Equity 1,653 13,907 89.52 100.16 28.43 0.42% XLB US Equity 4,849 15,233 37.75 49.76 76.34 0.42% XLV US Equity 14,239 24,346 38.87 61.60 145.53 0.40% SXXP Index 7,809 48,422 406.61 472.19 56.99 0.28% SXAP Index 10,524 28,869 521.95 712.23 55.21 0.66% SXKP Index 5,028 37,626 366.14 415.07 26.25 0.51% 86.40 (94.48) 526.77 684.801 342.24 271.01 429.20 L 439.37 427.47 (163.88) (418.14) (47.49) p 320.00 448.99 958.69 187.09 359.91 66.94 63.72 146.79 83.29 (235.08) 315.96 174.81 205.41 (68.35) (54.23) 166.39 (4.65) 32.82 159.41 (49.13) 123.11 (122.43) 168.74 140.34 29.63 132.20 9.33 48.55 I 488.42 502.54 527.00 440.94 EFTA00288573 SX6P Index 8,998 39,503 360.60 442.74 48.32 0.47% 352.52 SXEP Index 6,216 51,942 457.65 512.41 21.53 0.56% 368.60 SXIP Index 12,155 28,923 222.31 315.73 100.04 0.42% 436.85 SXNP Index 925 8,449 506.33 561.74 24.66 0.44% 15.10 SX3P Index 2,333 31,675 679.66 729.73 18.25 0.40% 310.27 SXDP Index 29,597 61,074 609.16 904.36 139.46 0.35% 457.75 SX4P Index 4,462 30,369 936.68 1,074.32 43.28 0.34% 376.30 SX8P Index 591 17,778 376.46 388.97 7.03 0.47% 197.39 SXOP Index 10,923 45,532 389.83 483.35 39.38 0.61% 356.55 SXQP Index 1,873 47,963 808.69 840.27 12.06 0.32% 239.44 SXRP Index 60 16,765 430.39 431.94 0.97 0.37% 36.50 SXMP Index 1,453 17,388 314.93 341.25 18.26 0.46% 90.24 SXTP Index 23,043 39,247 172.05 273.07 82.20 0.71% 299.54 SX7E Index 692 3,475 171.45 205.57 23.71 0.84% 103.53 SXSE Index 8,156 43,006 3,750.28 4,461.50 45.27 0.42% 486.67 SPGSCITR Index (821) 86,524 5,146.96 5,098.59 -2.67 0.36% (115.32) XAG Curncy (68) (17,834) 20.96 21.04 A.53 0.72% (2.53) CO1 Comdty (677) 35,907 114.41 112.29 -3.72 0.51% (21.95) CL1 Comdty 1,798 36,479 100.39 105.34 8.43 0.58% (10.90) NG1 Comdty 2,316 15,160 3.86 4.46 10.87 1.40% (23.50) XAU Comdty (1,911) (26,763) 93.29 99.95 A.15 49.06% 224.23 IBOXHY Index 4,268 53,418 220.12 237.71 139.38 0.06% (8.44) US_TSY CREDIT 317 100,443 765.33 767.75 2.69 0.12% (209.55) CA_TSY CREDIT 2,872 255,948 1,236.58 1,250.45 4.14 0.27% (142.74) MX_TSY CREDIT 1,786 87,928 221.30 225.79 4.47 0.45% (134.89) AU TSY CREDIT 3,643 81,398 1,506.03 1,573.42 14.85 0.30% 211.85 JP_TSY CREDIT (0) 44,924 823.23 823.23 0.00 0.22% (78.44) MY_TSY CREDIT 1,300 103,107 170.18 172.32 4.83 0.26% 200.33 SG_TSY CREDIT 858 91,833 222.12 224.20 4.87 0.19% 169.82 AT_TSY CREDIT 5,175 81,569 358.40 381.14 23.15 0.27% (81.86) BE_TSY CREDIT 6,701 79,771 477.76 517.89 28.55 0.29% (88.40) FI_TSY CREDIT 4,704 85,645 349.64 368.85 20.83 0.26% (41.62) FR_TSY CREDIT 5,662 82,246 1,684.51 1,800.48 24.44 0.28% (91.21) DE_TSY CREDIT 3,840 84,524 1,247.55 1,304.24 17.58 0.26% (67.02) IE_TSY CREDIT 34,685 78,270 336.92 486.23 170.79 0.26% (67.33) IT_TSY CREDIT 10,078 54,986 1,616.07 1,912.27 57.15 0.32% 19.06 NL_TSY CREDIT 4,810 82,865 1,330.92 1,408.17 21.48 0.27% (59.73) ES_TSY CREDIT 12,212 50,187 392.28 487.74 83.90 0.29% 35.84 DK_TSY CREDIT 3,733 67,396 729.55 769.96 19.53 0.28% (44.13) NO_TSY CREDIT (998) 50,762 347.80 341.10 .6.84 0.29% (243.90) PL_TSY CREDIT 2,182 35,151 429.04 455.67 16.57 0.37% (84.20) ZA_TSY CREDIT (527) (53,153) 83.15 83.97 .1.01 0.98% 218.44 SE_TSY CREDIT 19 (49,074) 463.54 463.36 0.12 0.32% 68.77 CH_TSY CREDIT 1,457 26,825 1,008.64 1,063.43 22.84 0.24% 0.53 GELTSY CREDIT 3,682 91,756 1,509.04 1,569.60 16.88 0.24% 56.58 EFTA00288574