EFTA00288575.pdf

Atorus, LLC 7/10/2014 Current Date: Total Return since 1/1/12: T12M Return: T9O Day Return: T3O Day Return: Current Long Exposure @ Cost: Current Short Exposure @ Cost: Net Exposure: Starting Capital: Current NAV: 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: 7/10/2014 101.96% 46.30% 15.82% 3.93% 6,544,026 (565,615) 5,978,411 1,000,000 2,019,604 Change on Day: -1.08% MSCI World Change on Day -0.66% No of Positions (+MTM) on Day No of Positions (-MTM) on Day Current No. of Positions: Current Leverage (Gross Exposures): 100 313 423 3.52 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 63.85% Avg. Realized Gain / Avg. Realized Loss 3.34 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. 1.27 1.36 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. 2,200,080.00 2,000,000.00 1,800,000.00 1,E00,000.00 1,400,000.00 1,200,000.00 1,000,000.00 800,000.00 600 00000 ..4401Y 446111/44.1%grAt et9. et9 cis, cis, o% ors 4' 4' 4 4 t4 f%> 9.• '1' '1, 9 e 9. is 4 4 A‘ 0, 4 A‘ 414 0, 1 \ryO1‘~\19> — NAV EFTA00288575 Atorus, LLC 7/10/2014 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 T US Equity (8,039) IBM US Equity (9,102) TGT US Equity (9,106) XAG Curncy (10,701) XAU Comdty (31,099) SHCOMP Index (39,032) CO1 Comdty (45,919) ZA_TSY CREDIT (53,153) SE_TSY CREDIT (55,965) ISEQ Index (59,665) P512O Index (64,165) NL_TSY CREDIT 82,865 DE_TSY CREDIT 84,524 FI_TSY CREDIT 85,645 MX_TSY CREDIT 87,928 GB_TSY CREDIT 100,192 US_TSY CREDIT 100,443 SG_TSY CREDIT 100,443 MX_TSY CREDIT 109,755 SPGSCITR Index 112,796 1P_TSY CREDIT 145,654 CA_TSY CREDIT 309,688 Day NAV Impact of MTM by Category & Exposure Listed Equity Long -0.832% Listed Equity Short 0.024% EquityCom Long -0.887% EquityCom Short 0.197% G20 Rates Long -0.119% G20 Rates Short 0.006% T12M Contribution (% of total Yr/Yr NAV Change by Category) Listed Eqwbe% 40.11% EquityCom 47.79% G20 Rates 13.68% % of Total Notional Security MTM Gain % Total NAV 23.99%1 43 Positions 21.45% 0.11% AZN SS Equity 5,580 0.28% 0.13% MDY US Equity 5,654 0.28% 0.13% BEL20 Index 5,793 0.29% 0.15% NVS US Equity 5,828 0.29% 0.44% SENSEX Index 5,830 0.29% 0.55% SXXP Index 6,040 0.30% 0.65% CMCSK US Equity 6,054 0.30% 0.75% SXSE Index 6,110 0.30% 0.79% AZN US Equity 6,145 0.30% 0.84% XLF US Equity 6,185 0.31% 0.90% AZN IN Equity 6,259 0.31% 1.17% HON US Equity 6,464 0.32% 1.19% DAI GR Equity 6,499 0.32% 1.20% ROG VX Equity 6,522 0.32% 1.24% XLI US Equity 6,577 0.33% 1.41% BE_TSY CREDIT 6,596 0.33% 1.41% SMI Index 6,669 0.33% 1.41% PSI20 Index 6,752 0.33% 1.54% MAERSKB DC Equity 6,910 0.34% 1.59% 1N1 US Equity 7,071 0.35% 2.05% SX6P Index 7,146 0.35% 4.36% SXAP Index 7,239 0.36% NOVN VX Equity 7,274 0.36% HEX Index 7,929 0.39% SXTP Index 8,177 0.40% TMO US Equity 8,615 0.43% PRU LN Equity 8,640 0.43% DAX Index 8,683 0.43% IT_TSY CREDIT 9,305 0.46% IBEX Index 9,410 0.47% MDT US Equity 9,658 0.48% MMM US Equity 10,319 0.51% LUXXX Index 10,335 0.51% ES_TSY CREDIT 11,374 0.56% SXIP Index 11,515 0.57% KFX Index 11,956 0.59% TYC US Equity 12,942 0.64% NDX Index 13,834 0.68% XLV US Equity 14,170 0.70% SPX Index 21,773 1.08% EFTA00288576 SXDP Index 27,999 1.39% IE_TSY CREDIT 34,187 1.69% STBCNZL Index 35,275 1.75% No. Names by Category APAC Long 35 APAC Short 11 (MEA Long 65 (MEA Short 13 AMER Long 183 AMER Short 22 EquityCom Long 65 EquityCom Short 6 G20 Rates Long 21 G20 Rates Short 2 Total Long 369 Total Short 54 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 EFTA00288577 Atorus, LLC 7/10/2014 Historical Net Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodites, G20 Gov. Credit) —APAC — amp — AMER — EqurtyCom —G20 Rates • •NexEposule RIG 2,500,000 7,000.000 6,000,000 3,030,000 4,000,000 3,000,000 2,000,000 1,000.000 (1,000.000) (2.000.000)o) (3,000,003) 2,000,000 1.500.000 1.000.000 500,000 (503.000) (1,030,000) IN -I 0 IN ...... re ri 0 IN ...... N el 00000 N IN el IN ...... in ri IN ...... m el IS ,... in r -I N 00000 IN .""'• m . .. IN "''', Tr IS "'", • nr CA > a IN 111 IA j N 01 rlin .y fri In N 01 ri in •-• m on Historical Gross Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodlites, G20 Gov. Credit) EFTA00288578 Atorus, LIC 7/10/2014 Current Gross Notional Risk by Category 327,794 647,605 2004,81S - -- 1,922,222 2,207, • 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 O1. O1ry e e e 0 0 e e e 0 e e e e 4,) , 1' se 46Y 4 1' e e coy e e e e Al Rolling 30 Day Realized Volatility - Atorus EFTA00288579 Atorus, LLC 7/10/2014 Percentile Distribution of Current MTM Gains in Vol Days by Position (ex-99pct & ex-lst percentiles) 80.00 MOO 80.00 50.00 40.00 30.00 20.00 10.00 «CO 1040 ,,,+b # 0 49 l t. atsztatitztrafte , % % 4, % /1 of P/I. Vol Days by Pobtion Percentile No. Vol Da 0.00% -12.45 5.00% -3.92 10.00% -2.29 15.00% -0.72 20.00% 0.06 25.00% 1.48 30.00% 2.26 35.00% 3.45 40.00% 4.94 45.00% 6.40 50.00% 8.58 55.00% 12.09 60.00% 14.61 65.00% 16.89 70.00% 22.45 75.00% 27.62 80.00% 33.34 85.00% 42.81 90.00% 56.24 95.00% 77.92 100.00% 168.35 MTM Gains(Losses) % of NAV "Signficant" (<7 Vol Days) 1.10% MTM Gains(Losses) % of NAV "Signficant" (>7 Vol Days) 38.73% EFTA00288580 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) 7/10/2014 000270 KS Equity 134 (5,336) 54.75 53.38 2.62 0.96% (11.46) 005380 KS Equity (9) 2,519 224.39 223.58 0.39 0.92% 30.17 005490 KS Equity (98) (5,041) 289.59 295.24 -2.23 0.87% 10.29 005930 KS Equity 72 (4,601) 1,307.65 1,287.12 1.47 1.07% (16.03) 012330 KS Equity 273.35 0.82% 1 HK Equity 1,590 13,773 16.34 18.23 14.72 0.78% 183.47 1299 HK Equity 306 8,729 4.88 5.05 7.81 OAS% (10.01) 13 HK Equity 927 6,579 11.90 13.58 18.83 0.75% (11.70) 16 HK Equity 13.71 27 HK Equity (324) (4,202) 7.46 8.03 -5.11 1.51% 4.29 2914 JP Equity 490 11,062 35.05 36.60 5.57 0.80% 88.83 3382 JP Equity 353 3,719 39.56 43.31 11.20 0.85% (16.54) 40631P Equity (23) 1,424 60.97 59.99 -2.30 0.71% (3.42) 45021P Equity 92 8,600 45.47 45.96 1.88 0.57% 13.35 4689 JP Equity (106) 4,252 4.63 4.51 -1.73 1.44% (40.57) 5 HK Equity (16) (4,127) 10.15 10.19 -0.74 0.53% 7.65 5108 JP Equity 152 7,634 36.08 36.80 2.27 0.88% 82.02 54011P Equity 3.06 0.94% 63011P Equity 63 4,173 22.56 22.91 1.76 0.86% (21.31) 67521P Equity 12.12 69021P Equity 46.35 6954 JP Equity 670 7,571 160.05 174.21 10.93 0.81% SO.S0 7201 JP Equity 104 6,395 9.48 9.64 1.85 0.88% 23.76 7203 JP Equity (74) 9,546 59.99 59.53 -1.06 0.73% (2.75) 7267 JP Equity (4) (4,675) 35.34 35.37 -0.11 037% (4.64) 762 HK Equity (29) (819) 1.53 1.59 -3.57 0.99% 5.65 7751 JP Equity (202) 9,172 32.99 32.28 -5.75 0.38% (72.33) 80311P Equity 48 9,105 16.13 16.22 0.65 0.82% (19.46) 80581P Equity 654 11,230 19.78 20.93 12.49 0A7% 7.58 81061P Equity (42) 1,762 6.13 5.98 -2.61 0.91% 47.35 83161P Equity (101) (3,372) 39.96 41.16 -3.01 1.00% (89.12) 84111P Equity (131) 8,561 2.02 1.99 -2.68 0.57% (2.91) 8604 JP Equity (154) 1,971 7.21 6.69 -7.09 1.10% (132.13) 88011P Equity 346 5,254 31.48 33.56 4.50 1.47% 8802 JP Equity 12 (3,033) 24.86 24.76 0.30 1.28% (39.98) 9020 JP Equity 158 8,122 78.83 80.37 2.68 032% 45.90 941 HK Equity 119 (4,634) 10.09 9.83 4.83 0.53% (22.11) 94321P Equity 1,586 10,589 55.68 64.02 19.50 037% (9.24) 94331P Equity 481. 9,967 58.51 61.34 5.12 0.94% 27.14 94371P Equity 84 4,896 17.09 17.38 3.38 0.51% (2.81) 99831P Equity (58) (2,292) 322.77 330.98 -2.29 1.11% (42.05) EFTA00288581 9984 JP Equity (4) 5,645 74.36 74.32 -0.05 1.15% 38.10 AAPL US Equity 1,950 9,987 79.20 94.67 26.82 0.73% (102.33) ABB US Equity 22.74 - ABBN VX Equity 164 (7,476) 23.20 22.69 4.50 0.49% 65.43 ABBV US Equity 396 6,570 52.10 55.24 9.49 0.63% 22.63 ABEV US Equity 144 (5,506) 7.24 7.06 2.95 0.88% 44.40 ABEV3 BZ Equity 147 (5,164) 7.31 7.10 2.90 0.98% ABI BB Equity 912 12,645 105.88 113.51 12.45 0.58% (144.52) ABT US Equity 322 9,473 39.80 41.15 6.33 0.54% (7.02) ABX CN Equity (231) (5,037) 18.17 19.00 -4.23 1.08% (40.32) ABX US Equity (223) (4,849) 18.17 19.01 -4.27 1.08% (41.12) ACA FP Equity 222 (4,005) 14.33 13.54 5.03 1.10% 102.81 ACE US Equity 686 11,741 98.27 104.01 16.73 0.35% (64.37) ACN US Equity 214 8,563 77.97 79.91 4.51 0.55% (101.63) ADP US Equity 280 8,942 77.68 80.12 5.78 0.54% (37.11) AFL US Equity 80 5,843 61.61 62.45 2.24 0.61% (44.49) AGN US Equity 4,697 10,621 113.90 164.26 37.61 1.18% (71.05) Al FP Equity (152) 6,175 137.78 134.48 -3.26 0.75% (85.40) AIG US Equity 551 12,241 51.90 54.23 7.60 0.59% (177.66) AIR FP Equity 103 (3,670) 65.87 64.03 2.52 1.11% 1.98 ALV GR Equity 190 8,815 170.32 173.98 5.57 0.39% (28.52) ALVG IX Equity 197 8,815 170.06 173.86 5.55 0.40% (27.29) AMGN US Equity 161 11,177 117.07 118.76 2.25 0.64% (70.20) AMT US Equity 2,214 13,269 78.17 91.21 36.81 0.45% 104.59 AMZN US Equity (191) (2,898) 306.51 326.72 -5.75 1.15% 10.99 ANZ AU Equity 578 12,947 29.78 31.11 6.30 0.71% (40.62) APA US Equity 964 12,393 91.83 98.98 11.34 0.69% (32.21) APC US Equity 329 6,564 100.97 106.04 6.43 0.78% (74.84) AXP US Equity 3,291 12,375 74.39 94.18 46.33 0.57% (115.09) AZN LN Equity 6,259 12,950 50.16 74.41 39.18 1.23% (70.35) AZN SS Equity 5,580 12,372 51.16 74.23 37.34 1.21% (128.97) AZN US Equity 6,145 13,079 50.64 74.44 38.10 1.23% (75.35) BA US Equity (267) 10,667 129.87 126.70 -3.96 0.63% 7.50 BAC US Equity (17) 8,241 15.44 15.41 -0.26 0.80% (97.49) BARC LN Equity 3.53 0.87% - BAS GR Equity 1,243 8,902 100.15 114.14 31.63 0.44% (194.16) BATS LN Equity 901 9,427 55.12 60.39 14.45 0.66% (61.44) BAX US Equity 190 5,568 73.88 76.40 8.57 0.40% 54.01 BAYN GR Equity 26 11,012 137.35 137.68 0.49 0.49% (198.83) BBAS3 BZ Equity 11.76 1.58% BBD US Equity 20 5,475 14.62 14.67 0.30 1.20% (10.36) BBDC4 BZ Equity 48 5,427 14.64 14.77 0.71 1.26% BBL US Equity 66.82 0.98% BBVA SM Equity 1,250 6,375 10.30 12.32 26.06 0.75% (216.28) BCE CN Equity 61 10,241 45.03 45.30 1.54 0.39% 18.96 Bcs US Equity 14.19 0.82% - BEN US Equity 211 6,278 54.92 56.76 4.49 0.75% (95.71) EFTA00288582 BG/ IN Equity 38 (2,398) 20.95 20.62 1.81 0.88% 6.60 BHP AU Equity 171 9,507 34.49 35.11 1.88 0.96% 29.70 BHP US Equity 195 7,278 68.00 69.82 2.78 0.96% (64.64) MIR US Equity 315 1,066 245.93 318.69 28.90 1.02% 1.24 BIL SI Equity 33.55 0.89% - BK US Equity 1,288 11,358 33.73 37.56 16.92 0.67% (27.15) BLK US Equity 207 7,136 306.91 315.83 5.02 0.58% (106.36) BLT IN Equity 33.53 0.94% - BMO CN Equity 1,703 16,447 67.69 74.70 25.15 0.41% (61.36) BMW GR Equity 1,292 6,162 102.66 124.20 28.43 0.74% (113.36) BMY US Equity (68) 4,840 49.02 48.34 -1.76 0.80% 52.93 BN FP Equity 73.78 0.69% - BNP FP Equity 346 (3,462) 71.49 64.35 11.45 0.87% 73.34 BNS CN Equity 1,948 15,539 60.01 67.54 32.25 0.39% (62.67) BP/ LN Equity 1,121 12,727 7.94 8.63 17.17 0.51% (66.24) BRK/B US Equity 928 15,648 121.13 128.31 17.80 0.33% (40.77) BSBR US Equity (99) 5,698 6.81 6.69 -2.26 0.77% (137.41) BUD US Equity 889 11,940 105.71 113.59 12.35 0.60% (128.63) BX US Equity (68) 6,395 32.40 32.06 -0.94 1.13% (138.04) C US Equity (136) 6,030 47.91 46.85 -3.85 0.59% (64.63) CA FP Equity 36.53 - CAT US Equity 3,006 15,716 91.52 109.02 25.88 0.74% (157.46) CBA AU Equity 1,476 17,832 70.01 75.81 14.95 0.55% (33.94) CBS US Equity 124 7,287 60.74 61.77 1.71 0.99% (187.14) CCL US Equity (1) 2,706 36.49 36.48 -0.04 0.76% (29.68) CELG US Equity 5 (534) 88.66 87.75 1.07 0.96% (7.27) CFR VX Equity 143 10,967 99.46 100.75 2.05 0.63% (18.22) CL US Equity 3,459 22,712 60.29 69.47 31.08 0.49% (58.86) CM CN Equity 1,090 13,057 84.64 91.70 19.17 0.44% (41.74) CMCSA US Equity 648 11,232 51.48 54.45 12.06 0.48% 15.01 CMCSK US Equity 6,054 15,601 38.97 54.09 85.24 0.46% 110.81 CNI US Equity 3,646 14,371 52.27 65.53 52.58 0.48% (100.37) CNQ CN Equity 2,577 12,854 37.85 45.44 22.68 0.88% (107.42) CNR CN Equity 3,592 14,238 52.32 65.52 55.81 0.45% (122.19) COF US Equity 1,632 9,398 71.32 83.71 26.25 0.66% (72.67) COP US Equity 1,071 12,885 78.45 84.97 16.31 0.51% (154.77) COST US Equity 354 10,169 114.26 118.24 6.78 0.51% 50.75 COV LN Equity #N/A N/A COV US Equity 3,131 7,850 64.85 90.72 29.74 1.34% (13.06) CRM US Equity (11) 3,835 54.50 54.35 -0.17 1.63% (14.43) CS FP Equity (108) 3,893 24.36 23.70 -3.26 0.85% (45.73) CSCO US Equity 283 11,373 24.79 25.41 3.61 0.69% 11.94 CSX US Equity 2,128 10,356 25.64 30.90 27.68 0.74% (66.14) CVE CN Equity 31.63 - CVS US Equity 2,330 12,539 64.62 76.63 33.33 0.56% 3.20 CVX US Equity (28) 5,595 130.93 130.28 -1.00 0.50% (29.72) D US Equity 1,175 7,953 60.80 69.78 20.75 0.71% 102.66 EFTA00288583 DAI GR Equity 6,499 13,908 62.20 91.27 60.89 0.77% (341.53) DBK GR Equity 1,116 (7,909) 40.31 34.62 15.15 0.93% 176.60 DD US Equity 64.85 0.49% DDAIF US Equity 3,734 8,377 63.20 91.38 57.24 0.78% (190.19) DE US Equity 172 10,094 86.88 88.36 3.09 0.55% (74.56) DELI. US Equity #WA WA DG FP Equity 716 2,018 51.66 69.99 65.96 0.54% (27.47) DGE LN Equity 52 3,082 31.23 31.76 2.46 0.69% (11.85) DHR US Equity 181 11,611 76.85 78.05 2.64 0.59% (25.16) DIS US Equity 2,796 12,410 70.99 86.99 37.64 0.60% 36.94 DISCA US Equity (225) (6,841) 75.84 78.33 -3.48 0.95% (38.28) DNB NO Equity (44) 8,725 17.95 17.86 -0.83 0.60% (389.85) DOW US Equity 2,797 7,396 37.11 51.15 64.91 0.58% (17.63) DPW GR Equity (6) 2,265 35.31 35.22 0.35 0.77% (33.26) DTE GR Equity 529 10,164 15.65 16.46 7.82 0.67% (44.89) DTV US Equity 4,116 11,097 62.68 85.93 62.64 0.59% (5.01) DUK US Equity (78) (4,513) 71.20 72.43 -2.97 0.58% (22.05) DVN US Equity 2,677 14,757 66.06 78.05 27.82 0.65% (206.19) EBAY US Equity (4) (3,128) 50.12 50.18 -0.17 0.69% 23.97 ECL US Equity 426 11,898 106.13 109.93 8.60 0.42% (16.17) EDF FP Equity 30.68 1.22% - EMC US Equity 562 12,257 25.48 26.65 9.50 0.48% 11.22 EMR US Equity 56 8,739 66.80 67.22 0.99 0.64% (62.83) ENB CN Equity 509 12,532 45.66 47.51 7.44 0.55% (25.50) ENEL IM Equity 2,381 8,902 4.48 5.68 29.79 0.90% (7.54) ENI IM Equity 961 13,637 24.69 26.43 9.08 0.78% (283.31) EOAN GR Equity 107 7,125 19.44 19.74 1.91 0.79% (110.64) EOG US Equity 3,379 5,841 72.84 114.98 62.88 0.92% (79.57) EPD US Equity 2,841 14,612 64.66 77.23 43.03 0.45% (6.82) ERICB SS Equity 11.57 0.55% - ESRX US Equity (213) 5,436 70.46 67.81 -6.39 0.61% 16.27 ETN US Equity 391 8,219 73.83 77.35 7.74 0.61% (56.73) F US Equity 209 8,293 16.88 17.30 4.40 0.57% (35.24) F8 US Equity 1,211 2,630 44.06 64.34 42.27 1.09% 7.16 FCX US Equity 1,091 8,069 34.30 38.94 16.85 0.80% (15.73) FDX US Equity 712 6,811 136.00 150.21 15.92 0.66% (55.47) FOX US Equity 332 8,704 33.35 34.62 5.18 0.74% (13.45) FOXA US Equity 332 7,483 34.19 35.71 6.17 0.72% (5.75) FP FP Equity 1,420 15,659 63.30 69.04 14.06 0.64% (259.14) G IM Equity (66) 1,068 22.11 20.82 -8.33 0.74% (18.16) GE US Equity 2,290 13,140 22.32 26.21 41.15 0.42% (67.30) GILD US Equity 727 6,565 79.65 88.47 13.19 0.84% 7.75 GIS US Equity 1,030 25,323 50.89 52.96 11.23 0.36% (129.83) GLE FP Equity 49.72 GLEN LN Equity 5.89 0.72% GLW US Equity 3,898 12,136 16.41 21.68 56.29 0.57% (274.43) GM US Equity 601 11,236 35.80 37.72 6.83 0.78% (69.55) EFTA00288584 GOOG US Equity 145 8,672 561.32 570.68 1.87 0.89% (55.92) GS US Equity (18) 8,980 163.21 162.88 M.29 0.68% (88.85) GSK LN Equity 125 5,707 26.22 26.79 3.89 0.56% 34.49 GSZ FP Equity 513 12,912 25.62 26.63 5.71 0.69% (212.80) HAL US Equity 2,669 8,541 52.84 69.35 42.45 0.74% (162.49) HD US Equity 235 17,619 78.01 79.05 2.12 0.63% (351.30) HMB SS Equity (226) 10,012 42.50 41.57 .3.65 0.62% (68.43) HON US Equity 6,464 11,930 61.10 94.20 92.07 0.59% (23.11) HPQ US Equity 2,407 8,313 26.16 33.73 33.08 0.88% 15.31 HSBA LN Equity (195) 8,008 10.33 10.09 4.78 0.51% (87.41) IBE SM Equity 2,286 7,531 5.56 7.25 60.34 0.50% (83.78) IBM US Equity (18) (9,102) 186.82 187.19 -0.39 0.52% 52.75 IMT LN Equity 3,200 14,380 37.31 45.61 37.85 0.59% 49.43 INTC US Equity 3,614 13,899 24.65 31.05 35.31 0.74% 119.53 ISP IM Equity 587 1,140 1.93 2.92 38.40 1.34% (33.14) ITUB US Equity (420) 5,715 15.79 14.71 •5.12 1.44% 31.72 ITUB4 BZ Equity (292) 4,601 15.73 14.79 -4.39 1.44% ITW US Equity 3,727 14,011 67.84 85.88 52.59 0.51% (203.96) ITX SM Equity (30) 2,146 153.20 151.12 .1.96 0.70% (23.99) JCI US Equity 163 7,794 49.37 50.40 2.84 0.74% (53.34) AU US Equity 7,071 20,338 78.39 105.65 93.72 0.37% (94.55) JPM US Equity (138) 10,159 56.22 55.47 .2.37 0.57% (85.78) KMB US Equity 506 11,894 108.16 112.76 12.48 0.34% (17.49) KMI US Equity • 1,157 35.62 35.62 0.00 0.67% 0.78 KO US Equity 27 4,065 41.85 42.13 18.63 LBTYA US Equity (51) 5,724 43.92 43.54 .1.16 0.76% (65.55) LBTYK US Equity 28 7,489 41.91 42.07 0.59 0.62% (58.33) LIN GR Equity 208 12,928 202.91 206.18 2.87 0.56% (150.46) LLOY LN Equity 30 2,680 1.23 1.24 1.36 0.82% (12.82) LLY US Equity 287 7,377 60.16 62.50 6.38 0.61% (8.21) LMT US Equity 117 403 122.48 158.15 52.55 0.55% 0.97 LNKD US Equity 391 (2,884) 180.59 156.11 9.84 1.38% 31.64 LOW US Equity (36) 7,548 47.35 47.13 -0.55 0.86% (118.83) LVS US Equity (5) 3,103 74.87 74.75 -0.14 1.10% (22.02) LYB US Equity 1,522 2,297 59.29 98.57 132.82 0.50% (5.34) MA US Equity 13 6,084 75.27 75.42 0.35 0.60% (67.44) MAERSKB DC Equity 6,910 14,377 1,651.64 2,445.41 41.41 1.16% (59.35) MC FP Equity 59 7,348 188.38 189.89 1.70 0.47% 16.25 MCD US Equity (1) 9,603 100.64 100.63 -0.03 0.43% (33.84) MCK US Equity 317 2,181 164.92 188.86 16.45 0.88% (2.57) MDIZ US Equity 4,404 13,763 28.74 37.94 81.07 0.39% (112.17) MDT US Equity 9,658 20,811 43.22 63.28 53.97 0.86% (199.27) MET US Equity 1,874 7,556 44.37 55.37 27.28 0.91% (163.36) MFC CN Equity 1,624 4,903 15.08 20.08 47.52 0.70% (77.97) MHS US Equity #WA WA MMM US Equity 10,319 21,331 96.89 143.77 135.65 0.36% (160.16) MO US Equity 1,962 13,316 37.33 42.83 23.94 0.62% (13.97) EFTA00288585 MON US Equity 1,871 12,758 106.90 122.57 29.59 0.50% (142.10) MOS US Equity 47.32 - MRK US Equity 1,933 13,912 51.28 58.40 27.29 0.51% (16.29) MS US Equity 47 4,759 31.23 31.54 1.21 0.82% (52.78) MSFT US Equity 1,473 9,097 35.88 41.69 24.80 0.65% (0.63) MUV2 GR Equity 624 6,116 197.70 217.86 24.02 0.42% (55.13) NAB AU Equity (64) 10,650 31.52 31.33 -0.89 0.67% 18.18 NCM AU Equity 10.49 - NEE US Equity 5,413 15,275 73.39 99.39 58.53 0.61% 126.28 NEM US Equity 44 (778) 27.20 25.66 5.78 0.98% (8.71) NESN VX Equity 973 12,449 71.26 76.83 16.56 0.47% (48.32) NG/ IN Equity 2,802 13,478 12.00 14.50 27.96 0.74% (50.82) NICE US Equity 437 5,145 71.37 77.42 12.12 0.70% (68.96) NOK US Equity 4,031 4,498 3.96 7.52 73.24 1.22% 25.84 NOV US Equity 568 8,643 78.01 83.13 6.58 1.00% (87.45) NOVN VX Equity 7,274 21,827 66.92 89.23 91.72 0.36% (115.68) NOVOB DC Equity 1,057 11,706 41.33 45.07 10.51 0.86% (44.87) NSC US Equity 2,650 10,790 82.20 102.38 37.22 0.66% (114.83) NVS US Equity 5,828 18,195 67.78 89.49 80.13 0.40% (44.53) OGXP3 BZ Equity 4,027 (4,107) 4.39 0.09 32.50 3.02% OR FP Equity 108 11,677 168.96 170.53 1.90 0.49% (57.48) ORA FP Equity 984 8,559 13.80 15.39 11.30 1.02% 15.09 ORCL US Equity 1,518 9,129 34.50 40.24 27.34 0.61% (13.56) OX? US Equity 418 10,929 96.82 100.52 7.14 0.54% (154.05) PBR US Equity (99) 2,578 15.64 15.07 -2.96 1.29% 12.05 PBR/A US Equity (73) 2,307 16.66 16.15 -2.26 1.40% 10.62 PCLN US Equity 188 5,110 1,174.29 1,217.52 3.69 1.00% (70.72) PCP US Equity (118) 8,068 257.58 253.86 -1.79 0.82% (14.10) PEP US Equity 980 14,142 84.13 89.96 15.76 0.44% 27.87 PETR3 BZ Equity (43) (2,385) 7.42 7.55 -1.21 1.49% PETR4 BZ Equity (54) (2,235) 7.90 8.09 -1.53 1.58% PFE US Equity (2) 7,697 29.86 29.85 -0.08 0.35% (56.98) PG US Equity 327 11,013 79.25 81.60 9.65 0.31% 37.32 PHIA NA Equity 31.53 - PM US Equity (272) 11,156 87.24 85.16 -6.40 0.38% (124.31) PNC US Equity 1,236 10,761 78.28 87.27 18.62 0.62% (126.92) POT CN Equity (171) 9,967 36.60 35.98 -2.33 0.74% (155.56) POT US Equity (219) 10,582 36.73 35.99 -3.03 0.68% (156.29) PRU LN Equity 8,640 10,521 12.76 23.24 150.00 0.55% (184.84) PSA US Equity 740 13,406 162.12 171.07 12.58 0.44% 70.55 PSX US Equity 1,357 6,695 66.16 79.58 27.42 0.74% 14.15 PX US Equity 2,635 17,041 114.23 131.89 35.33 0.44% (66.64) QCOM US Equity 2,546 12,871 67.10 80.38 45.43 0.44% (51.58) QQQ US Equity 3,246 17,569 79.74 94.48 45.47 0.41% (58.31) RAI US Equity 1,889 12,340 54.05 62.33 17.87 0.86% (96.15) RDS/A US Equity 925 12,883 75.73 81.16 13.00 0.55% (160.53) RDS/B US Equity 1,058 11,427 78.85 86.14 12.93 0.72% (98.18) EFTA00288586 RDSA LN Equity 1,043 12,402 37.55 40.71 15.77 0.53% (80.50) RDSA NA Equity 842 12,492 38.08 40.65 13.01 0.52% (98.29) RDSB LN Equity 1,095 12,149 39.49 43.04 13.18 0.68% (49.17) REGN US Equity 311.41 1.17% - RIO AU Equity 235 7,642 56.95 58.70 2.66 1.16% 39.95 RIO IN Equity 72 4,819 54.31 55.12 1.51 0.99% (51.87) RIO US Equity 80 4,934 54.34 55.23 1.44 1.13% (73.77) ROG VX Equity 6,522 17,035 212.78 294.26 71.60 0.53% (234.73) RY CN Equity 1,375 14,935 67.17 73.36 22.11 0.42% (59.97) SAB LN Equity 1,315 12,639 50.16 55.38 13.72 0.76% (205.64) SAN FP Equity (175) 5,211 106.59 103.13 -8.02 0.42% (40.92) SAN SM Equity 1,543 9,880 8.73 10.10 27.04 0.58% (268.37) SAN US Equity 1,038 7,980 8.73 9.87 15.85 0.82% (419.23) SAP GR Equity 47 8,587 77.21 77.63 0.87 0.64% (81.80) SAP US Equity 45 7,472 77.19 77.65 0.86 0.69% (76.44) SBUX US Equity 810 14,941 74.69 78.74 7.71 0.70% (89.14) SGO FP Equity 48 416 46.76 52.20 13.11 0.89% (13.50) SI US Equity #N/A N/A SIE GR Equity 192 2,538 117.57 126.45 12.95 0.58% (42.96) SLB US Equity 3,451 10,752 87.56 115.66 57.40 0.56% (137.90) SMSN LI Equity 69 (4,831) 650.18 640.91 1.24 1.15% 2.33 SO US Equity 150 11,861 44.11 44.67 2.23 0.57% 71.92 SPG US Equity (48) 12,778 168.98 168.35 -0.62 0.61% 110.54 SREN VX Equity 85.76 - STAN LN Equity 277 (7,339) 21.38 20.57 7.25 0.52% (6.11) STL NO Equity 1,381 11,818 26.89 30.03 14.78 0.79% (196.43) STT US Equity 177 7,670 66.09 67.61 3.17 0.73% (64.18) SU CN Equity 1,528 14,944 38.21 42.11 12.60 0.81% (230.33) SU FP Equity 220 10,184 87.64 89.54 2.28 0.95% (218.16) SU US Equity 1,577 14,725 38.07 42.15 13.41 0.80% (202.30) SWEDA SS Equity (35) 1,089 26.05 25.23 -5.01 0.65% (15.75) SYNN VX Equity (61) (6,953) 364.98 368.18 -2.18 0.40% 71.55 7 US Equity (116) (8,039) 35.16 35.67 -3.48 0.41% (9.12) TD CN Equity 1,566 15,790 47.07 51.74 21.98 0.45% (21.47) TEF SM Equity 180 9,929 16.31 16.61 3.58 0.51% (172.25) TEF US Equity 157 8,452 16.22 16.53 2.40 0.77% (200.39) TGT US Equity 495 (9,106) 63.24 59.81 7.95 0.68% 33.48 71X US Equity 59 (2,907) 54.91 53.79 2.17 0.94% 34.06 TLS AU Equity 891 14,776 4.69 4.97 11.96 0.50% (18.26) TLSN SS Equity (293) (5,268) 7.02 7.41 -12.45 0.45% 4.63 TM US Equity (120) 7,185 119.76 117.79 -2.70 0.62% (119.81) TMO US Equity 8,615 10,218 63.59 117.20 133.53 0.63% (103.03) TOT US Equity 959 8,160 61.65 68.89 15.25 0.77% (172.11) TRP CN Equity 147 6,354 47.86 48.97 5.24 0.44% 65.95 TRV US Equity 1,082 15,820 88.15 94.17 20.64 0.33% (66.18) TSCO LN Equity 911 (7,272) 5.49 4.80 15.55 0.81% (2.05) TWC US Equity 1,249 5,234 120.22 148.90 45.97 0.52% 3.93 EFTA00288587 TWX US Equity 621 9,814 67.77 72.05 7.68 0.82% (13.07) TXN US Equity 4,841 12,205 34.93 48.78 70.27 0.56% (140.15) TYC US Equity 12,942 24,080 29.17 44.84 72.75 0.74% (313.85) UBS US Equity 18.13 - UBSN VX Equity 246 (5,827) 18.90 18.11 5.83 0.72% 61.35 UCG IM Equity 1,746 4,400 5.62 7.86 32.51 1.22% (189.21) ULVR LN Equity 236 7,646 43.35 44.69 5.77 0.54% (90.75) UNA NA Equity 55 8,550 42.33 42.60 1.22 0.52% (135.39) UNH US Equity 2,823 10,775 64.97 82.00 42.89 0.61% (82.85) UNP US Equity 2,496 14,812 85.34 99.72 30.31 0.56% (149.96) UPS US Equity 4,128 14,806 79.87 102.14 52.21 0.53% (139.31) USB US Equity 3,427 14,625 34.87 43.04 53.32 0.44% (113.24) UTX US Equity 2,316 6,076 82.05 113.33 62.83 0.61% (30.31) V US Equity 460 10,070 205.70 215.09 8.74 0.52% (20.41) VALE US Equity 169 (3,004) 14.63 13.81 4.53 1.24% 31.18 VALE3 BZ Equity 239 (2,939) 15.07 13.84 5.85 1.39% VIAB US Equity 3,996 9,746 61.33 86.47 68.36 0.60% 54.66 VIV FP Equity 23.76 - VMW US Equity 322 4,886 89.33 95.21 8.02 0.82% 31.28 VOD LN Equity 612 (4,209) 3.78 3.23 16.40 0.89% 34.81 VOD US Equity 576 (4,063) 37.68 32.34 14.77 0.96% 38.98 VOW3 GR Equity (101) 2,567 259.28 249.43 -7.08 0.56% (19.93) VRX CN Equity (128) 2,413 126.38 120.02 -3.66 1.45% (23.19) VRX US Equity (138) 2,560 126.33 119.87 -3.93 1.37% (24.74) VTI US Equity 858 5,134 86.91 101.43 41.64 0.40% (28.63) VWO US Equity 96 9,008 43.18 43.64 1.97 0.54% (81.93) VZ US Equity (22) (3,147) 49.04 49.38 -1.54 0.46% (31.69) WBC AU Equity 317 11,844 30.87 31.70 4.27 0.63% (56.49) WES AU Equity 314 13,490 39.08 39.99 4.29 0.54% (21.57) WFC US Equity 3,968 13,253 39.86 51.79 49.20 0.61% (120.55) WLP US Equity 5,131 12,547 78.54 110.65 66.78 0.61% 19.43 WMT US Equity 109 9,262 76.31 77.21 2.61 0.45% 12.65 WOW AU Equity (168) 4,724 34.79 33.59 -6.73 0.53% (19.70) XOM US Equity 1,790 16,573 92.53 102.52 24.71 0.44% (159.69) XTA LN Equity UN/A N/A YHOO US Equity (33) 2,439 35.06 34.59 -1.44 0.95% (17.05) YUM US Equity 963 10,341 75.36 82.37 19.62 0.47% (68.91) ZURN VX Equity 178 9,344 295.49 301.13 4.89 0.39% (58.06) 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 21,773 62,272 1,455.70 1,964.68 93.96 0.37% (347.20) NDX Index 13,834 38,177 2,848.04 3,880.04 78.88 0.46% (172.03) RTY Index 463 18,515 1,133.51 1,161.86 3.12 0.80% (193.20) EFTA00288588 SPTSX Index 3,730 48,100 13,158.28 14,178.69 23.27 0.33% (391.36) MEXBOL Index 272 15,064 3,287.82 3,347.19 3.29 0.55% (96.56) IBOV Index 24,581.36 1.15% MERVAL Index 3,690 22,139 915.40 1,067.99 9.64 1.73% UKX Index 4,330 49,421 10,501.74 11,421.76 27.92 0.31% (393.46) DAX Index 8,683 37,847 10,682.74 13,133.52 60.01 0.38% (808.06) CAC Index 61 5,885 5,788.46 5,848.42 2.63 0.39% (92.80) IBEX Index 9,410 43,174 11,759.39 14,322.54 36.98 0.59% SMI Index 6,669 53,702 8,442.28 9,490.68 43.85 0.28% (509.87) FTSEMIB Index 3,315 16,170 23,118.94 27,858.55 21.52 0.95% (412.11) PSI20 Index 6,752 (64,165) 9,277.54 8,301.30 12.89 0.82% 30101 ISEQ Index 1,015 (59,665) 6,427.43 6,318.06 2.04 0.83% 594.06 ICEXI Index (91) 8,636 7.30 7.22 -1.96 0.54% (40.99) AEX Index 5,515 48,492 492.48 548.49 32.91 0.35% (1,050.96) BEL20 Index 5,793 38,337 3,658.46 4,211.25 42.88 0.35% (526.13) LUXXX Index 10,335 41,632 1,672.08 2,087.18 33.34 0.74% (312.18) KFX Index 11,956 40,987 102.53 132.44 53.01 0.55% (382.25) HEX Index 7,929 44,404 8,639.05 10,181.73 36.96 0.48% (576.36) OMX Index - 15,430 200.02 200.02 0.00 0.39% (229.59) ATX Index 0 15,430 3,217.54 3,217.54 0.00 0.62% (189.77) ASE Index (617) 7,420 1,695.78 1,565.67 -4.92 1.69% (139.57) OSEBX Index 3,715 29,330 87.27 98.33 23.91 0.53% (756.49) INDEXCF Index 513 44,654 43.48 43.98 1.04 1.10% (565.38) TOP40 Index 2,599 43,690 4,051.82 4,292.86 8.62 0.69% (418.42) SENSEX Index 5,830 48,389 377.03 422.45 13.00 0.93% (450.61) NKY Index 986 30,686 145.52 150.20 4.66 0.69% (47.80) HSI Index 816 43,840 2,943.76 2,998.58 4.46 0.42% 121.23 SHCOMP Index 1,488 (39,032) 341.67 328.64 6.87 0.56% 21.04 KOSPI Index 2,158 45,441 1.88 1.97 9.75 0.49% (85.27) AS51 Index 1,227 33,715 4,948.24 5,128.38 6.68 0.54% 24.52 STBCNZL Index 35,275 73,207 444.47 658.64 122.81 0.39% 125.32 EEM US Equity (6) 3,397 44.02 43.94 -0.29 0.61% (18.42) IYR US Equity 351 12,786 70.30 72.23 6.56 0.42% 41.97 MOY US Equity 5,654 14,269 184.03 256.95 78.08 0.51% (140.89) JNK US Equity (7) 12,756 41.38 41.36 -0.50 0.11% (49.13) XLF US Equity 6,185 13,610 15.57 22.65 101.51 0.45% (130.23) XLU US Equity 1,041 11,089 39.46 43.16 14.85 0.63% 82.06 XLK US Equity 3,313 13,272 30.99 38.72 56.62 0.44% (46.98) XLI US Equity 6,577 16,147 38.20 53.76 80.92 0.50% (134.46) XLP US Equity 895 12,469 42.17 45.20 17.76 0.40% (20.67) XLY US Equity 1,613 12,582 59.54 67.17 23.91 0.54% (131.91) XLE US Equity 1,496 14,057 89.62 99.16 25.46 0.42% (149.13) XLB US Equity 4,760 15,233 37.75 49.54 74.94 0.42% (88.39) XLV US Equity 14,170 24,346 38.87 61.49 144.83 0.40% (25.04) SXXP Index 6,040 49,038 407.21 457.36 43.52 0.28% (701.61) SXAP Index 7,239 23,096 521.95 685.56 47.47 0.66% (386.93) SXKP Index 2,522 30,101 366.14 396.81 16.46 0.51% (393.18) EFTA00288589 SX6P Index 7,146 39,503 360.60 425.83 38.37 0.47% (564.75) SXEP Index 3,470 55,125 460.42 489.40 11.32 0.56% r (1,043.59) SXIP Index 11,515 28,923 222.31 310.81 94.78 0.42% (433.79) SXNP Index 125 1,690 506.33 543.74 16.65 0.44% (25.87) SX3P Index 1,394 33,646 682.29 710.57 10.27 0.40% (403.90) SXDP Index 27,999 61,074 609.16 888.41 131.93 0.35% (438.91) SX4P Index 3,136 31,185 939.56 1,034.05 29.62 0.34% (740.56) SX8P Index 103 17,778 376.46 378.64 1.22 0.47% (237.67) SXOP Index 3,350 18,213 389.83 461.54 30.19 0.61% (329.59) SXQP Index 987 47,963 808.69 825.34 6.35 0.32% (260.97) SXRP Index (157) 6,706 430.15 420.30 .6.33 0.37% (45.14) SXMP Index 272 6,955 314.93 327.24 8.54 0.46% (114.62) SXTP Index 8,177 15,699 172.05 261.66 72.92 0.71% (370.13) SX7E Index 56 1,057 181.86 191.57 6.36 0.84% (26.83) SXSE Index 6,110 43,553 3,756.79 4,283.86 33.49 0.42% MN)1M SPGSCITR Index (3,635) 112,796 5,123.73 4,963.76 .9.06 0.36% 130.13 XAG Curncy (228) (10,701) 20.96 21.40 .2.97 0.72% (136.92) CO1 Comdty 341 (45,919) 109.48 108.67 1.46 0.51% (166.62) CL1 Comdty 922 36,479 100.39 102.93 4.32 0.58% 234.01 NG1 Comdty 160 2,426 3.86 4.12 4.70 1.40% (31.01) XAU Comdty (1,327) (31,099) 97.56 101.72 0.09 49.06% 588.15 IBOXHY Index 4,136 53,418 220.12 237.16 135.08 0.06% (114.51) US_TSY CREDIT 437 100,443 765.33 768.66 3.70 0.12% 81.43 CA_TSY CREDIT 3,046 309,688 1,238.04 1,250.22 3.63 0.27% (569.29) MX_TSY CREDIT 1,782 87,928 221.30 225.78 4.46 0.45% (91.29) AU TSY CREDIT 3,353 81,398 1,506.03 1,568.07 13.67 0.30% 61.66 JP_TSY CREDIT 296 145,654 823.19 824.86 0.90 0.22% 509.59 MY_TSY CREDIT 2,402 109,755 170.41 174.14 8.39 0.26% (186.47) SG_TSY CREDIT 1,194 100,443 222.29 224.93 6.19 0.19% 85.93 AT_TSY CREDIT 5,050 81,569 358.40 380.59 22.59 0.27% (120.46) BE_TSY CREDIT 6,596 79,771 477.76 517.26 28.10 0.29% (191.59) FI_TSY CREDIT 4,503 85,645 349.64 368.03 19.94 0.26% (168.70) FR_TSY CREDIT 5,448 82,246 1,684.51 1,796.09 23.51 0.28% (181.74) DE_TSY CREDIT 3,566 84,524 1,247.55 1,300.19 16.33 0.26% (98.13) IE_TSY CREDIT 34,187 78,270 336.92 484.09 168.35 0.26% (388.92) IT_TSY CREDIT 9,305 54,986 1,616.07 1,889.56 52.77 0.32% (401.01) NL_TSY CREDIT 4,639 82,865 1,330.92 1,405.43 20.72 0.27% (99.51) ES_TSY CREDIT 11,374 50,187 391.98 480.82 78.14 0.29% (367.81) DK_TSY CREDIT 3,601 67,396 729.23 768.19 18.84 0.28% (47.10) NO_TSY CREDIT (493) 50,762 345.29 341.97 .3.38 0.29% (95.37) PL_TSY CREDIT 2,255 35,151 429.04 456.57 17.13 0.37% (255.50) ZA_TSY CREDIT (623) (53,153) 83.15 84.12 -1.19 0.98% 155.65 SE_TSY CREDIT 269 (55,965) 462.46 460.24 1.51 0.32% (37.90) CH_TSY CREDIT 1,321 26,825 1,008.64 1,058.30 20.70 0.24% (33.21) GELTSY CREDIT 4,116 100,192 1,514.10 1,576.29 17.28 0.24% 119.25 EFTA00288590