EFTA00288591.pdf

Atorus, LLC 7/11/2014 Current Date: Total Return since 1/1/12: T12M Return: T90 Day Return: T30 Day Return: Current Long Exposure @ Cost: Current Short Exposure @ Cost: Net Exposure: Starting Capital: Current NAV: 7/11/2014 101.86% 45.32% 14.82% 4.93% 6,529,782 (591,588) 5,938,194 1,000,000 2,018,597 Change on Day: 0.33% MSCI World Change on Day 0.09% No of Positions (+MTM) on Day No of Positions (-MTM) on Day Current No. of Positions: Current Leverage (Gross Exposures): 222 198 423 3.53 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% 0.98% -0.89% 50.00% 50.00% 10.00% 2X No. of Profitable Positions T12M 64.76% Avg. Realized Gain / Avg. Realized Loss 3.2 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 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. 2,200,080.00 2,00=0.00 1)300,000.00 1,800,000.00 1,400,000.00 1,200,000.00 1000,000.00 800,000.00 600 00000 eeeee eeeeee tivt.e e e c, et, et, ,),1, 1, et, 1, ct, 4 cbt, 4' 4 4 4 4 % 4' Ate —NAV EFTA00288591 Atorus, LLC 7/11/2014 Largest Exposures Current Positions 97.5th Percentile 2.5th Percentile (@ cost ex- MTM) Largest MTM Gains Current Posi ions (90th Percentile MTM Gains % NAV) Security Notional % of Total Notional 22 Positions • 24.46% DBK GR Equity (7,909) 0.11% T US Equity (8,039) 0.11% IBM US Equity (9,102) 0.13% TGT US Equity (9,106) 0.13% XAU Comdty (31,099) 0.44% SHCOMP Index (39,032) 0.55% ZA_TSY CREDIT (53,153) 0.75% CO1 Comdty (54,787) 0.77% SE_TSY CREDIT (55,965) 0.79% 'SEG Index (59,665) 0.84% P512O Index (71,670) 1.01% NL_TSY CREDIT 82,865 1.16% DE_TSY CREDIT 84,524 1.19% FI_TSY CREDIT 85,645 1.20% MX_TSY CREDIT 87,928 1.23% SPGSCITR Index 90,237 1.27% GB_TSY CREDIT 100,192 1.41% US_TSY CREDIT 100,443 1.41% SG_TSY CREDIT 100,443 1.41% MY_TSY CREDIT 109,755 1.54% JP_TSY CREDIT 190,579 2.68% CA_TSY CREDIT 309,688 4.35% Day NAV Impact of MTM by Category & Exposure Listed Equity Long 0.037% Listed Equity Short 0.001% EquityCom Long -0.055% EquityCom Short -0.028% G20 Rates Long -0.017% G20 Rates Short 0.008% Tam Contribution )%oi total Yr/Yr NAV Change by Category) Listed Equities 40.15% EquityCom 47.71% G20 Rates 13.77% Security MTM Gain % Total NAV 43 Positions 21.29% NEE US Equity 5,353 0.27% FR_TSY CREDIT 5,463 0.27% SXAP Index 5,509 0.27% AEX Index 5,569 0.28% AZN SS Equity 5,629 0.28% MDY US Equity 5,633 0.28% NVS US Equity 5,787 0.29% CMCSK US Equity 6,068 0.30% SXXP Index 6,153 0.30% AZN US Equity 6,163 0.31% XLF US Equity 6,220 0.31% SXSE Index 6,234 0.31% AZN LN Equity 6,304 0.31% PSI20 Index 6,323 0.31% DAI GR Equity 6,415 0.32% ROG VX Equity 6,482 0.32% HON US Equity 6,543 0.32% BE_TSY CREDIT 6,589 0.33% SMI Index 6,655 0.33% XLI US Equity 6,708 0.33% 1N1 US Equity 6,934 0.34% MAERSKB DC Equity 6,948 0.34% NOVN VX Equity 7,245 0.36% SX6P Index 7,488 0.37% HEX Index 7,887 0.39% TMO US Equity 8,680 0.43% DAX Index 8,738 0.43% PRU LN Equity 8,740 0.43% IT_TSY CREDIT 9,438 0.47% IBEX Index 9,460 0.47% MDT US Equity 9,806 0.49% LUXXX Index 10,234 0.51% MMM US Equity 10,373 0.51% ES_TSY CREDIT 11,478 0.57% SXIP Index 11,707 0.58% KFX Index 12,217 0.61% TYC USEquity 13,205 0.65% NDX Index 14,163 0.70% XLV US Equity 14,251 0.71% SPX Index 21,897 1.08% EFTA00288592 SXDP Index 28,251 1.40% IE_TSY CREDIT 34,283 1.70% STBCNZL Index 34,557 1.71% No. Names APAC Long 35 APAC Short 11 EMEA Long 65 EMEA 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 Equities) & Macro (Equity Indices & Cornmodiltes, G20 Gov. Credit) $2,500,000 $2,000,000 $1,500,000 51,000,000 $500,000 $- 5(500,000) 1 ■ ■ APAC Long ■ APAC Short ■ EMEA Long ■ EMEA Short ■ AMER Long ■ AMER Short ■ EquityCom Long ■ EquityCom Short ■ G20 Rates Long ■ G20 Rates Short EFTA00288593 Atorus, LLC 7/11/2014 Historical Net Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodites, G20 Gov. Credit) /V IN N IN 0) 01 01 0) ir CI V rl rl rl rl rl rl rl el el rl el el O O O O O O O OOOOO "1 IN IN IN IN 01 Ni 01 IN "I NA 04 `',.. "4, `,.. ".... '',.. ` "•••• ,... ..... ..... ..... ..... ..... ..... ..... ...... ..... ..... 111 N. at Ifi n Ol rl 110 111 vet% Historical Gross Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodlites, G20 Gov. Credit) EFTA00288594 Atorus, LIC 7/11/2014 Current Gross Notional Risk by Category 322,168 o 647,855 • APAC • EMEA • AMER • EquityCom • G20 Rates Performance Vs. MSCI World Index a - a 2.35 2.15 1.95 1.75 1.55 1.35 1.15 0.95 0.75 11> 11> <.t1 1%,1 Isti e 1311 3/41, 1)' 1)), <!' r, t% so so o o o o o so o o O1a .0Q' 4,.0 4 A\ Q' At c. Q' tQc' Q' Q cP NS\ IP 4 A.C.‘ c5 '‘. 4‘ A'C'k - M5O - 4T0 In Rolling 30 Day Realized Volatility - Atorus 2.00% 1.80% 1.60% 1.40% 1.20% 1.00% 0.80% 0.60% 0.40% 0.20% 0.00% e e e ee000000eee 41' 4Q yck' 4Q GP' 4Q 41' <Pi 40' 4Q GP' e S Is 4 4 4 S I. 4 4 1 1 1 1 Series1 EFTA00288595 Atorus, LLC 7/11/2014 Percentile Distribution of Current MTM Gains in Vol Days by Position (ex-99pct & ex-Ist percentiles) 80.00 70.00 60.00 50.00 40.00 30.00 20.00 10.00 0.03 10.00 . . . . . OOP Cs 5 , a % '3 na P % h 6 % % M. Vol Days by Pobtion Percentile No. Vol Days 0.00% -11.26 5.00% -4.24 10.00% -1.99 15.00% -0.53 20.00% 0.17 25.00% 1.01 30.00% 2.14 35.00% 3.88 40.00% 4.92 45.00% 6.40 50.00% 8.11 55.00% 10.30 60.00% 13.70 65.00% 17.58 70.00% 20.54 75.00% 25.80 80.00% 34.24 85.00% 44.10 90.00% 60.70 95.00% 84.21 100.00% 218.73 MTM Gains(Losses) % of NAV "Signficant" (<7 Vol Days) 0.94% MTM Gains(Losses) % of NAV "Signficant" (>7 Vol Days) 38.30% EFTA00288596 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) 000270 KS Equity 151 (5,336) 54.75 53.21 3.50 0.81% 17.58 005380 KS Equity (51) 2,519 224.30 219.88 -2.40 0.84% (40.89) 005490 KS Equity 16 (5,041) 289.59 288.65 0.35 0.94% 113.02 005930 KS Equity 154 (5,024) 1,305.89 1,265.83 2.82 1.09% 85.65 012330 KS Equity 268.79 1 HK Equity 1,578 13,773 16.34 18.21 13.74 0.83% (11.96) 1299 HK Equity 361 8,729 4.88 5.08 8.27 0.50% 54.94 13 HK Equity 849 6,579 11.90 13.44 18.86 0.68% (77.62) 16 HK Equity 13.71 27 HK Equity (352) (4,202) 7.46 8.08 -5.08 1.65% (24.59) 2914 JP Equity 479 11,062 35.05 36.57 7.58 0.57% (10.85) 3382 JP Equity 282 3,719 39.56 42.56 10.03 0.76% (69.42) 4063 JP Equity (14) 712 60.97 59.82 -2.63 0.73% (1.97) 4502 JP Equity 88 8,600 45.47 45.94 2.19 0.47% (3.54) 4689 JP Equity (205) 4,252 4.62 4.41 -3.85 1.25% (97.10) 5 HK Equity 16 (4,127) 10.15 10.11 0.90 0.43% 32.24 5108 JP Equity 74 7,634 36.08 36.43 1.30 0.75% (77.44) 5401 JP Equity 3.00 6301 JP Equity 19 4,173 22.56 22.67 0.56 0.80% (44.28) 6752 JP Equity 12.00 6902 JP Equity 45.87 6954 JP Equity 534 7,571 160.05 171.33 8.70 0.81% (134.24) 7201 JP Equity 38 5,116 9.48 9.55 0.98 0.76% (45.14) 7203 JP Equity (141) 7,637 59.98 58.89 -2.86 0.65% (81.33) 7267 JP Equity 73 (4,675) 35.34 34.78 2.78 0.56% 762 HK Equity 1.59 (12.72) 7751 JP Equity 6 9,172 33.01 33.03 0.12 0.51% 209.31 8031 JP Equity (61) 9,105 16.13 16.02 -1.14 0.59% (144.61) 8058 JP Equity 537 11,600 19.81 20.73 7.64 0.61% (8.33) 8306 JP Equity (35) 881 6.12 5.89 -5.05 0.79% 54.22 8316 JP Equity (44) (3,372) 39.96 40.49 -1.51 0.87% (137.70) 8411 JP Equity (165) 8,561 2.02 1.98 -3.99 0.48% (3.69) 8604 JP Equity (90) 986 7.19 6.59 -8.81 1.04% (81.76) 8801 JP Equity 280 5,254 31.48 33.16 5.63 0.95% 8802 JP Equity 52 (3,033) 24.86 24.43 1.89 0.92% 41.66 9020 JP Equity 47 8,961 78.88 79.29 0.82 0.64% (121.01) 941 HK Equity 75 (3,476) 10.09 9.87 4.11 0.53% (14.88) 9432 JP Equity 1,645 10,589 55.68 64.33 21.22 0.73% 59.20 9433 JP Equity 441 9,967 58.51 61.10 6.64 0.67% (39.88) 9431 JP Equity 40 4,896 17.09 17.23 1.64 0.50% (42.88) 9983 JP Equity (20) (2,292) 322.77 325.66 -0.97 0.92% 36.52 7/11/2014 EFTA00288597 9984 JP Equity (50) 5,645 74.36 73.70 -1.02 0.87% (46.17) AAPL US Equity 2,028 10,137 79.40 95.28 29.11 0.69% 79.51 ABB US Equity 22.72 - ABBN VX Equity 155 (7,476) 23.20 22.72 5.03 0.41% (9.99) ABBV US Equity 395 6,570 52.10 55.23 7.56 0.80% (0.53) ABEV US Equity 178 (5,506) 7.24 7.01 3.94 0.82% 36.81 ABEV3 BZ Equity 174 (5,164) 7.31 7.06 3.47 0.97% 29.24 ABI BB Equity 855 12,645 105.88 113.04 13.47 0.50% (56.29) ABT US Equity 329 9,473 39.80 41.18 6.52 0.53% 7.67 ABX CN Equity (246) (5,037) 18.17 19.06 -5.16 0.95% (14.17) ABX US Equity (235) (4,849) 18.17 19.05 -5.33 0.91% (10.90) ACA FP Equity 219 (4,465) 14.25 13.55 4.71 1.04% (2.66) ACE US Equity 718 11,741 98.27 104.28 16.79 0.36% 32.15 ACN US Equity 205 8,563 77.97 79.84 4.83 0.50% (8.17) ADP US Equity 266 8,942 77.68 80.00 7.09 0.42% (13.92) MI. US Equity 89 5,843 61.61 62.55 3.29 0.46% 9.41 AGN US Equity 4,815 10,621 113.90 165.53 45.00 1.01% 119.14 Al FP Equity (165) 6,175 137.77 134.18 -4.35 0.61% (13.09) AIG US Equity 593 12,241 51.90 54.41 10.24 0.47% 42.88 AIR FP Equity 90 (4,212) 65.63 64.22 2.34 0.92% (12.98) ALV GR Equity 190 9,641 170.63 173.99 4.65 0.42% 0.89 ALVG IX Equity 206 9,641 170.39 174.03 4.87 0.44% 9.72 AMGN US Equity 267 11,177 117.07 119.86 4.08 0.59% 106.50 AMT US Equity 2,254 13,269 78.17 91.45 40.73 0.42% 40.68 AMZN US Equity (340) (2,898) 306.51 342.48 -10.33 1.14% (123.46) ANZ AU Equity 628 12,947 29.78 31.22 8.51 0.57% 50.58 AM US Equity 808 12,393 91.83 97.83 9.29 0.70% (153.53) APC US Equity 257 6,564 100.97 104.93 5.21 0.75% (71.40) AXP US Equity 3,307 12,443 74.48 94.28 55.39 0.48% 16.82 AZN LN Equity 6,304 12,950 50.16 74.58 81.24 0.60% 44.71 AZN SS Equity 5,629 12,372 51.16 74.44 76.46 0.60% 49.86 AZN US Equity 6,163 13,079 50.64 74.51 75.51 0.62% 17.91 BA US Equity (194) 10,667 129.91 127.59 -2.76 0.66% 73.54 BAC US Equity (41) 8,241 15.44 15.37 -0.69 0.73% (24.26) BARC LN Equity 3.56 BAS GR Equity 1,173 8,988 100.26 113.35 21.61 0.60% (69.90) BATS LN Equity 938 9,427 55.12 60.61 18.17 0.55% 37.44 BAX US Equity 189 6,295 74.16 76.39 5.74 0.52% (0.72) BAYN GR Equity 14 11,012 137.35 137.53 0.21 0.61% (11.64) BBAS3 BZ Equity 11.86 - BBO US Equity 61 5,475 14.62 14.78 0.94 1.18% 41.29 BBOC4 BZ Equity 86 5,427 14.64 14.87 1.23 1.29% 37.36 BBL US Equity 67.03 - BBVA SM Equity 1,274 6,375 10.30 12.36 24.01 0.83% 24.33 BCE CN Equity 76 10,241 45.03 45.36 1.79 0.42% 14.76 BCS US Equity 14.31 - BEN US Equity 248 6,278 54.92 57.09 6.33 0.62% 37.52 EFTA00288598 BG/ IN Equity 78 (3,365) 20.85 20.37 2.34 0.99% 41.58 BHP AU Equity 193 9,507 34.49 35.19 2.53 0.80% 21.72 BHP US Equity 265 7,278 68.00 70.47 4.05 0.90% 69.99 BIIB US Equity 320 1,066 245.93 319.71 40.31 0.74% 4.43 BIL SI Equity 33.43 - BK US Equity 1,280 11,358 33.73 37.54 17.82 0.63% (7.54) BLK US Equity 234 7,136 306.91 316.97 5.65 0.58% 26.64 BLT IN Equity 33.44 - BMO CN Equity 1,628 16,572 67.73 74.39 27.24 0.36% (75.48) BMW GR Equity 1,361 6,162 102.66 125.33 27.78 0.79% 68.69 BMY US Equity (51) 4,840 49.02 48.51 -1.41 0.74% 17.30 BN FP Equity 73.99 - BNP FP Equity 260 (3,920) 70.57 65.89 6.37 1.04% (100.25) BNS CN Equity 1,825 15,539 60.01 67.06 29.56 0.40% (121.97) BP/ LN Equity 1,093 12,727 7.94 8.62 15.19 0.57% (28.01) BRK/B US Equity 930 15,648 121.13 128.33 16.78 0.35% 1.73 BSBR US Equity (83) 5,698 6.81 6.71 -1.51 0.97% 15.77 BUD US Equity 815 11,940 105.71 112.93 12.28 0.56% (73.59) BX US Equity (34) 6,395 32.41 32.24 A.54 0.97% 34.24 C US Equity (139) 6,030 47.91 46.83 -3.64 0.63% (3.04) CA FP Equity 36.83 - CAT US Equity 3,096 15,874 91.67 109.54 32.98 0.59% 90.72 CBA AU Equity 1,520 17,832 70.01 75.98 18.34 0.46% 44.11 CBS US Equity 102 7,287 60.74 61.59 1.49 0.94% (21.84) CCL US Equity 7 1,353 36.49 36.68 0.79 0.66% 7.58 CELG US Equity 1 (534) 88.66 88.53 0.06 2.57% (4.74) CFR VX Equity 143 10,967 99.46 100.76 3.00 0.44% 0.61 CL US Equity 3,458 22,712 60.27 69.45 31.76 0.48% (7.65) CM CN Equity 985 13,057 84.64 91.02 17.90 0.42% (104.29) CMCSA US Equity 640 11,232 51.48 54.42 10.35 0.55% (7.98) CMCSK US Equity 6,068 15,601 38.97 54.13 78.00 0.50% 13.90 CNI US Equity 3,626 14,371 52.27 65.46 46.77 0.54% (19.75) CNQ CN Equity 2,357 12,999 37.91 44.79 25.50 0.71% (218.90) CNR CN Equity 3,563 14,238 52.32 65.41 44.23 0.57% (29.26) COF US Equity 1,644 9,398 71.32 83.80 26.84 0.65% 12.16 COP US Equity 1,045 12,885 78.45 84.82 16.19 0.50% (25.35) COST US Equity 305 10,787 114.46 117.69 6.70 0.42% (51.57) COV LN Equity #WA N/A COV US Equity 3,190 7,850 64.85 91.20 33.49 1.21% 59.19 CRM US Equity (25) 3,835 54.50 54.14 A.56 1.16% (14.37) CS FP Equity (56) 4,866 24.31 24.03 -1.34 0.86% 66.94 CSCO US Equity 341 11,838 24.82 25.53 7.76 0.37% 61.46 CSX US Equity 2,136 10,356 25.64 30.93 35.40 0.58% 8.73 CVE CN Equity 31.47 - CVS US Equity 2,345 12,539 64.62 76.70 37.25 0.50% 15.05 CVX US Equity (105) 5,595 130.89 128.47 -3.49 0.54% (76.17) D US Equity 1,161 7,953 60.80 69.67 19.44 0.75% (13.91) EFTA00288599 DAI GR Equity 6,415 13,908 62.20 90.90 64.00 0.72% (84.03) DBK GR Equity 1,112 (7,909) 40.31 34.64 13.10 1.07% (4.51) DD US Equity 64.96 - DDAIF US Equity 3,639 8,377 63.20 90.66 60.89 0.71% (94.63) DE US Equity 147 10,094 86.88 88.14 2.61 0.56% (24.69) DELI. US Equity //WA WA DG FP Equity - 1,168 70.49 70.49 0.00 0.66% 8.31 DGE LN Equity 36 3,082 31.23 31.59 2.09 0.56% (16.00) DHR US Equity 199 11,611 76.85 78.17 4.19 0.41% 18.23 DIS US Equity 2,742 12,410 70.99 86.68 40.17 0.55% (53.96) DISCA US Equity (220) (6,841) 75.84 78.28 .3.56 0.90% 4.56 DNB NO Equity (21) 8,725 17.95 17.91 -0.28 0.85% 22.80 DOW US Equity 2,864 7,396 37.11 51.49 87.64 0.44% 67.72 DPW GR Equity (7) 1,699 35.31 35.16 .0.66 0.64% (2.64) DTE GR Equity 528 10,164 15.65 16.46 9.11 0.57% (1.04) DTV US Equity 4,152 11,097 62.68 86.13 142.28 0.26% 35.74 DUK US Equity (72) (4,513) 71.20 72.34 .2.30 0.70% 5.55 DVN US Equity 2,523 14,839 66.12 77.36 33.57 0.51% (152.98) EBAY US Equity (86) (3,128) 50.12 51.49 -4.61 0.59% (79.67) Ea US Equity 372 11,898 106.13 109.45 6.35 0.49% (53.46) EDF FP Equity 30.60 - EMC US Equity 549 12,257 25.48 26.62 9.96 0.45% (12.73) EMR US Equity 30 8,739 66.80 67.03 0.65 0.54% (25.02) ENB CN Equity 402 12,532 45.66 47.12 6.50 0.49% (105.49) ENEL IM Equity 2,444 8,902 4.48 5.71 32.35 0.85% 62.90 ENI IM Equity 968 13,637 24.69 26.44 10.64 0.67% 6.91 EOAN GR Equity 90 7,125 19.44 19.69 1.98 0.64% (16.85) EOG US Equity 3,299 5,841 72.84 113.98 70.19 0.80% (79.65) EPD US Equity 2,865 14,612 64.66 77.34 32.53 0.60% 24.44 ERICB SS Equity 11.53 - ESRX US Equity (226) 5,436 70.45 67.63 -7.28 0.57% (13.72) ETN US Equity 434 8,219 73.83 77.73 9.01 0.59% 42.97 F US Equity 279 8,293 16.88 17.44 5.49 0.61% 71.16 F8 US Equity 1,310 2,630 44.06 66.00 50.03 1.00% 101.49 pa US Equity 1,005 8,251 34.38 38.57 14.96 0.81% (87.36) FDX US Equity 729 6,811 136.00 150.55 18.13 0.59% 17.00 FOX US Equity 266 8,704 33.35 34.37 4.67 0.65% (65.46) FOXA US Equity 283 7,483 34.19 35.48 5.60 0.67% (49.46) FP FP Equity 1,426 15,659 63.30 69.07 12.26 0.74% 6.90 G IM Equity • 1,168 20.96 20.96 0.00 0.68% 8.14 GE US Equity 2,389 13,140 22.32 26.37 36.93 0.49% 98.78 GILD US Equity 782 6,565 79.65 89.13 13.22 0.90% 54.83 GIS US Equity 1,000 25,323 50.89 52.90 8.11 0.49% (30.62) GLE FP Equity 50.37 - GLEN LN Equity 5.85 - GLW US Equity 3,860 12,136 16.41 21.63 58.99 0.54% (37.92) GM US Equity 652 11,236 35.80 37.88 7.54 0.77% 51.85 EFTA00288600 GOOG US Equity 239 8,672 561.32 576.76 3.94 0.70% 95.02 GS US Equity 66 8,980 163.21 164.40 1.23 0.60% 84.40 GSK LN Equity 118 5,707 26.22 26.76 4.39 0.47% (7.50) GSZ FP Equity 499 12,912 25.62 26.61 5.72 0.68% (13.60) HAL US Equity 2,610 8,541 52.84 68.99 41.16 0.74% (58.34) HD US Equity 340 17,619 78.01 79.52 3.68 0.52% 105.94 HMB SS Equity (267) 10,012 42.50 41.39 4.27 0.62% (40.82) HON US Equity 6,543 11,930 61.10 94.61 117.60 0.47% 79.38 HPQ US Equity 2,494 8,313 26.16 34.01 49.91 0.60% 87.14 HSBA LN Equity (160) 8,008 10.33 10.13 •4.60 0.44% 35.10 IBE SM Equity 2,338 7,531 5.56 7.29 57.15 0.54% 51.87 IBM US Equity (46) (9,102) 186.82 187.75 0.96 0.52% (27.13) IMT LN Equity 3,679 14,380 37.31 46.86 34.20 0.75% 492.11 INTC US Equity 3,703 14,005 24.68 31.21 37.51 0.70% 90.21 ISP IM Equity 0 634 3.01 3.01 0.00 1.38% 17.82 ITUB US Equity (365) 5,715 15.81 14.86 4.24 1.50% 56.01 ITUB4 BZ Equity (248) 4,601 15.74 14.94 -3.52 1.53% 44.24 ITW US Equity 3,708 14,011 67.84 85.79 55.97 0.47% (19.11) ITX SM Equity (19) 1,073 153.18 150.56 -2.68 0.65% (3.87) JCI US Equity 191 7,794 49.37 50.58 4.79 0.51% 27.93 JNJ US Equity 6,934 20,338 78.39 105.12 80.28 0.42% (136.76) JPM US Equity (104) 10,159 56.22 55.66 -1.87 0.55% 34.17 KMB US Equity 484 11,894 108.16 112.56 11.32 0.36% (21.33) KMI US Equity 35.58 KO US Equity 16 4,065 41.85 42.01 1.11 0.35% (11.63) LBTYA US Equity 24 5,724 43.92 44.11 0.60 0.70% 75.60 LBTYK US Equity 95 7,489 41.91 42.44 1.93 0.66% 67.75 LIN GR Equity 143 12,928 202.91 205.15 2.34 0.47% (64.96) LLOY LN Equity 40 2,680 1.23 1.25 1.76 0.86% 10.52 LLY US Equity 305 7,377 60.16 62.65 8.34 0.50% 18.77 LMT US Equity 123 1,095 143.68 159.79 18.80 0.60% 12.67 LNKD US Equity 382 (3,019) 179.33 156.61 9.55 1.33% (11.01) LOW US Equity 3 7,548 47.35 47.37 0.07 0.55% 38.70 LVS US Equity (12) 3,103 74.86 74.58 -0.37 1.03% (6.93) LYB US Equity 1,541 2,297 59.29 99.06 119.29 0.56% 18.92 MA US Equity 33 6,084 75.27 75.67 0.88 0.61% 20.01 MAERSKB DC Equity 6,948 14,377 1,651.64 2,449.87 52.39 0.92% 38.89 MC FP Equity 31 7,348 188.38 189.16 0.79 0.53% (28.48) MCD US Equity (29) 9,603 100.64 100.33 -0.82 0.37% (27.96) MCK US Equity 314 2,181 164.92 188.63 23.86 0.60% (2.99) MDIZ US Equity 4,668 13,763 28.74 38.49 70.05 0.48% 268.02 MDT US Equity 9,806 20,811 43.22 63.59 66.88 0.70% 148.97 MET US Equity 1,920 7,556 44.37 55.64 32.47 0.78% 46.05 MFC CN Equity 1,603 4,903 15.08 20.02 53.98 0.61% (20.64) MHS US Equity #WA WA MMM US Equity 10,373 21,331 96.89 144.01 154.75 0.31% 54.34 MO US Equity 2,126 13,316 37.33 43.29 22.92 0.70% 165.79 EFTA00288601 MON US Equity 1,714 12,758 106.90 121.26 19.93 0.67% (155.05) MOS US Equity 47.30 - MRK US Equity 1,956 13,912 51.28 58.48 25.38 0.55% 22.60 MS US Equity 42 4,759 31.23 31.51 1.28 0.69% (5.08) MSFT US Equity 1,516 9,097 35.88 41.86 26.73 0.62% 43.79 MUV2 GR Equity 636 6,116 197.70 218.24 24.52 0.42% 11.90 NAB AU Equity (19) 10,650 31.52 31.46 -0.32 0.55% 45.16 NCM AU Equity 10.57 - NEE US Equity 5,353 15,275 73.39 99.10 56.52 0.62% (60.08) NEM US Equity 19 (389) 27.20 25.89 5.43 0.89% (3.56) NESN VX Equity 950 12,449 71.26 76.70 19.87 0.38% (22.52) NG/ LN Equity 2,826 13,478 12.00 14.52 28.22 0.74% 23.95 NKE US Equity 414 5,145 71.37 77.11 12.16 0.66% (22.64) NOK US Equity 3,977 4,498 3.96 7.47 74.50 1.19% (53.79) NOV US Equity 508 8,643 78.01 82.59 5.65 1.04% (59.35) NOVN VX Equity 7,245 21,827 66.92 89.14 84.30 0.39% (29.26) NOVOB DC Equity 1,092 11,706 41.33 45.19 14.26 0.65% 34.81 NSC US Equity 2,807 10,790 82.20 103.57 38.27 0.68% 158.30 NVS US Equity 5,787 18,195 67.78 89.34 72.89 0.44% (40.33) OGXP3 BZ Equity 4,027 (4,107) 4.39 0.09 45.74 2.14% - OR FP Equity 147 11,677 168.96 171.10 2.64 0.48% 39.11 ORA FP Equity 986 8,559 13.80 15.39 11.58 0.99% 1.55 ORCL US Equity 1,500 9,129 34.50 40.18 23.78 0.69% (17.38) OX? US Equity 400 10,929 96.82 100.36 6.49 0.56% (18.37) PBR US Equity (76) 2,578 15.65 15.20 -2.01 1.47% 22.93 PBR/A US Equity (59) 2,307 16.67 16.25 -1.67 1.54% 14.02 PCLN US Equity 186 5,110 1,174.29 1,217.01 5.00 0.73% (2.19) PCP US Equity (94) 8,068 257.60 254.65 -1.60 0.72% 24.64 PEP US Equity 946 14,142 84.13 89.76 15.93 0.42% (34.48) PETR3 BZ Equity (72) (2,385) 7.42 7.64 -1.82 1.65% (27.11) PETR4 BZ Equity (77) (2,235) 7.90 8.17 -2.07 1.68% (21.95) PFE US Equity 32 7,697 29.86 29.99 1.07 0.39% 34.30 PG US Equity 270 11,013 79.25 81.19 7.38 0.33% (56.19) PHIA NA Equity 31.54 - PM US Equity (250) 11,156 87.25 85.34 -3.68 0.61% 22.17 PNC US Equity 1,211 10,761 78.28 87.09 22.41 0.50% (25.58) POT CN Equity (255) 9,967 36.58 35.67 -3.95 0.65% (82.98) POT US Equity (306) 10,582 36.71 35.68 -4.32 0.67% (86.58) PRU LN Equity 8,740 10,521 12.76 23.36 144.73 0.57% 101.19 PSA US Equity 738 13,406 162.12 171.05 12.97 0.42% (1.87) PSX US Equity 1,411 6,695 66.16 80.11 28.07 0.75% 53.73 PX US Equity 2,588 17,041 114.23 131.57 38.33 0.40% (47.15) QCOM US Equity 2,397 12,871 67.10 79.60 43.37 0.43% (147.71) QQQ US Equity 3,366 17,569 79.74 95.02 63.37 0.30% 120.63 RAI US Equity 1,685 12,340 54.05 61.43 16.81 0.81% (201.38) RDS/A US Equity 1,030 12,883 75.73 81.78 14.59 0.55% 105.99 RDS/B US Equity 1,144 11,427 78.85 86.74 15.78 0.63% 87.05 EFTA00288602 RDSA LN Equity 1,083 12,402 37.55 40.83 18.78 0.46% 40.32 RDSA NA Equity 902 12,492 38.08 40.84 14.78 0.49% 60.89 RDSB IN Equity 1,162 12,149 39.49 43.26 18.74 0.51% 67.72 REGN US Equity 315.16 - RIO AU Equity 167 7,642 56.95 58.19 2.12 1.03% (67.69) RIO IN Equity 15 4,819 54.31 54.48 0.34 0.94% (56.18) RIO US Equity 51 4,934 54.34 54.90 0.99 1.04% (29.06) ROG VX Equity 6,482 17,035 212.78 293.75 76.62 0.50% (40.61) RY CN Equity 1,290 14,935 67.17 72.98 20.80 0.42% (84.25) SAB LN Equity 1,252 12,639 50.16 55.13 13.10 0.76% (62.05) SAN FP Equity (176) 5,211 106.59 103.10 -8.39 0.40% (1.43) SAN SM Equity 1,637 9,880 8.73 10.18 23.38 0.71% 94.22 SAN US Equity 1,074 7,980 8.73 9.91 13.89 0.97% 35.87 SAP GR Equity 34 8,587 77.21 77.51 0.71 0.55% (13.65) SAP US Equity 41 8,173 77.22 77.61 0.90 0.56% (4.30) SBUX US Equity 757 15,440 74.80 78.47 8.66 0.57% (54.88) SGO FP Equity • 711 51.40 51.40 0.00 1.23% (10.84) SI US Equity RNA WA SIE GR Equity 89 1,269 117.57 125.81 12.35 0.57% (6.84) SLB US Equity 3,323 10,752 87.56 114.62 42.90 0.72% (126.83) SMSN LI Equity 127 (4,831) 650.18 633.12 2.44 1.08% 60.25 SO US Equity 141 11,861 44.11 44.63 1.88 0.63% (9.54) SPG US Equity (28) 12,778 168.98 168.62 -0.46 0.47% 20.59 SREN VX Equity 86.48 - STAN LN Equity 302 (7,339) 21.38 20.50 6.06 0.68% 26.26 STL NO Equity 1,377 11,818 26.89 30.02 15.79 0.74% (4.13) STT US Equity 181 7,670 66.09 67.65 4.20 0.56% 4.11 SU CN Equity 1,270 14,944 38.21 41.45 9.65 0.88% (253.58) SU FP Equity 358 10,184 87.64 90.72 4.05 0.87% 139.81 SU US Equity 1,296 14,725 38.07 41.42 10.01 0.88% (276.27) SWEDA SS Equity • 1,168 25.49 25.49 0.00 0.66% 11.70 SYNN VX Equity 4 (6,953) 364.98 364.76 0.07 0.81% 64.50 7 US Equity (117) (8,039) 35.16 35.67 -4.45 0.33% (0.44) TD CN Equity 1,425 15,957 47.12 51.32 23.31 0.38% (140.99) TEF SM Equity 128 9,929 16.31 16.52 2.11 0.61% (51.83) TEF US Equity 141 8,452 16.22 16.49 2.25 0.74% (15.91) TGT US Equity 478 (9,106) 63.24 59.92 9.88 0.53% (18.48) T1X US Equity 75 (2,907) 54.91 53.50 3.62 0.71% 16.12 TLS AU Equity 966 15,262 4.70 5.00 13.64 0.46% 78.02 TLSN SS Equity (256) (5,268) 7.02 7.36 .9.68 0.50% 33.27 TM US Equity (79) 7,185 119.78 118.48 -1.74 0.63% 41.22 TMO US Equity 8,680 10,218 63.59 117.61 218.73 0.39% 65.76 TOT US Equity 967 8,160 61.65 68.95 15.24 0.78% 7.59 TRP CN Equity 176 7,196 48.01 49.19 5.15 0.48% 32.85 TRV US Equity 1,132 15,820 88.15 94.45 21.24 0.34% 50.53 TSCO LN Equity 963 (7,272) 5.49 4.76 16.53 0.80% 67.75 TWC US Equity 1,234 5,234 120.22 148.58 42.12 0.56% (14.21) EFTA00288603 TWX US Equity 636 9,814 67.77 72.16 8.73 0.74% 15.49 TXN US Equity 4,962 12,205 34.93 49.13 104.06 0.39% 121.97 TYC US Equity 13,205 24,080 29.17 45.16 95.06 0.58% 264.40 UBS US Equity 18.19 .. UBSN VX Equity 215 (5,827) 18.90 18.21 4.75 0.78% (33.50) UCG IM Equity 1,370 3,300 5.62 7.96 34.28 1.21% 61.00 ULVR LN Equity 239 7,646 43.35 44.71 6.45 0.48% 2.51 UNA NA Equity 52 8,550 42.33 42.58 1.40 0.43% (3.09) UNH US Equity 2,921 10,775 64.97 82.59 50.09 0.54% 99.54 UNP US Equity 2,560 14,812 85.34 100.09 36.82 0.47% 64.37 UPS US Equity 4,181 14,806 79.87 102.42 79.75 0.35% 53.07 USB US Equity 3,429 14,625 34.87 43.05 53.86 0.44% 1.38 UTX US Equity 2,378 6,076 82.05 114.16 71.27 0.55% 61.69 V US Equity 520 10,070 205.36 215.96 11.53 0.45% 42.70 VALE US Equity 165 (3,004) 14.63 13.83 4.73 1.16% (5.35) VALE3 BZ Equity 240 (2,939) 15.07 13.84 6.58 1.24% 1.49 VIAB US Equity 3,828 9,746 61.33 85.41 72.95 0.54% (165.67) VIV FP Equity 23.57 .. VMW US Equity 279 4,886 89.33 94.43 8.36 0.68% (42.55) VOD LN Equity 605 (4,209) 3.78 3.24 9.91 1.45% (9.09) VOD US Equity 569 (4,063) 37.68 32.41 16.34 0.86% (9.97) VOWS GR Equity (71) 2,567 259.49 252.54 -3.84 0.72% 31.16 VRX CN Equity (120) 3,017 125.22 120.44 -3.36 1.18% 10.20 VRX US Equity (127) 3,202 125.19 120.41 -3.49 1.14% 13.88 VTI US Equity 866 5,134 86.91 101.56 54.41 0.31% 7.58 VWO US Equity 151 9,852 43.24 43.90 3.52 0.44% 60.15 VZ US Equity (53) (2,360) 49.04 50.13 -4.73 0.47% (35.08) WBC AU Equity 364 11,844 30.87 31.82 5.72 0.54% 46.84 WES AU Equity 419 13,490 39.08 40.30 6.31 0.49% 105.73 WFC US Equity 3,818 13,253 39.86 51.34 52.92 0.54% (148.50) WLP US Equity 5,151 12,547 78.54 110.78 78.11 0.53% 20.55 WMT US Equity 56 9,262 76.31 76.77 1.51 0.40% (52.68) WOW AU Equity (148) 4,724 34.80 33.74 -5.83 0.54% 19.72 XOM US Equity 1,638 16,573 92.53 101.67 18.30 0.54% (151.20) XTA LN Equity #N/A N/A YHOO US Equity 13 2,439 35.07 35.25 0.46 1.17% 47.01 YUM US Equity 950 10,341 75.36 82.28 20.20 0.45% (12.79) ZURN VX Equity 210 9,344 295.49 302.13 4.74 0.47% 31.79 Current Portfolio - Global Macro Portfolio Current Price P/I. in Vol 30P Realized Change on Day Security MTM Gain/(Loss) Exp. # Cost Avg. Price (In USD) Days Vol (in USD) SPX Index 21,897 62,272 1,455.70 1,967.57 112.66 0.31% 123.81 NDX Index 14,163 38,177 2,848.04 3,904.58 101.44 0.37% 331.04 RTY Index 432 18,515 1,133.51 1,159.93 3.60 0.65% (31.47) EFTA00288604 SPTSX Index 3,449 48,100 13,158.28 14,101.72 19.12 0.38% (279.84) MEXBOL Index 269 15,064 3,287.82 3,346.58 3.85 0.46% (2.77) IBOV Index • 12,513 24,669.46 24,669.46 0.00 0.93% 44.85 MERVAL Index 4,029 22,139 915.40 1,081.99 8.82 2.06% 342.95 UKX Index 4,457 49,421 10,501.74 11,448.89 22.86 0.39% 127.95 DAX Index 8,738 37,847 10,682.74 13,149.12 48.87 0.47% 55.34 CAC Index • 15,576 5,871.73 5,871.73 0.00 0.58% 62.08 IBEX Index 9,460 43,174 11,759.39 14,335.93 36.04 0.61% 49.22 SMI Index 6,655 53,702 8,442.28 9,488.54 34.25 0.36% (13.64) FTSEMIB Index 2,583 12,128 23,118.94 28,042.39 26.14 0.81% 97.08 P512O Index 6,323 (71,670) 9,164.69 8,356.15 8.44 1.04% (515.34) ISEQ Index 857 (59,665) 6,427.43 6,335.11 2.05 0.70% (163.27) ICEXI Index (50) 5,757 7.30 7.24 .1.70 0.51% 10.67 AEX Index 5,569 48,492 492.48 549.03 24.67 0.47% 53.35 BEL20 Index 4,272 28,753 3,658.46 4,202.06 35.07 0.42% (72.05) LUXXX Index 10,234 41,632 1,672.08 2,083.11 41.93 0.59% (101.14) KFX Index 12,217 40,987 102.53 133.09 57.99 0.51% 262.27 HEX Index 7,887 44,404 8,639.05 10,173.44 37.20 0.48% (42.60) OMX Index (14) (6,219) 200.02 200.47 M.48 0.46% (13.83) ATX Index (42) (7,116) 3,217.54 3,236.55 M.93 0.64% (41.79) ASE Index (396) 4,947 1,696.64 1,571.00 .6.25 1.28% 15.49 OSEBX Index 3,746 29,330 87.27 98.42 20.34 0.63% 30.81 INDEXCF Index 354 44,654 43.48 43.83 0.74 1.07% (157.94) TOP40 Index 2,656 43,690 4,051.82 4,298.16 10.68 0.57% 57.23 SENSEX Index 5,026 48,389 377.03 416.19 12.87 0.81% (791.72) NKY Index 871 30,686 145.52 149.65 5.37 0.53% (114.94) HSI Index 806 43,840 2,943.76 2,997.86 3.99 0.46% (10.65) SHCOMP Index 1,334 (39,032) 341.67 330.00 7.60 0.45% (166.10) KOSPI Index 1,640 45,441 1.88 1.95 7.27 0.50% (511.99) AS51 Index 1,355 33,715 4,948.24 5,147.16 7.03 0.57% 128.40 STBCNZL Index 34,557 73,207 444.47 654.28 161.33 0.29% (713.37) EEM US Equity (10) 4,540 43.99 43.89 A.46 0.48% (5.16) IYR US Equity 361 12,786 70.30 72.28 7.53 0.37% 9.10 MDY US Equity 5,633 14,269 184.03 256.68 93.11 0.42% (20.91) JNK US Equity 2 12,756 41.38 41.39 0.16 0.11% 9.25 XLF US Equity 6,220 13,610 15.57 22.69 112.40 0.41% 35.02 XLU US Equity 948 11,089 39.46 42.83 12.72 0.67% (92.04) XLK US Equity 3,399 13,272 30.99 38.92 68.75 0.37% 86.11 XLI US Equity 6,708 16,147 38.20 54.07 90.21 0.46% 131.79 XLP US Equky 913 12,658 42.22 45.26 20.63 0.35% 18.01 XLY US Equity 1,660 12,582 59.54 67.39 28.07 0.47% 46.65 XLE US Equity 1,377 14,057 89.62 98.40 21.05 0.47% (118.29) XLB US Equity 4,796 15,233 37.75 49.63 82.46 0.38% 36.39 XLV US Equity 14,251 24,346 38.87 61.62 150.97 0.39% 81.60 SXXP Index 6,153 49,038 407.21 458.30 30.58 0.41% 113.00 SXAP Index 5,509 17,322 521.95 687.96 50.64 0.63% 79.84 SXKP Index 1,888 22,575 366.14 396.76 13.70 0.61% (3.46) EFTA00288605 SX6P Index 7,488 39,503 360.60 428.96 38.19 0.50% 344.98 SXEP Index 3,582 55,125 460.42 490.33 11.04 0.59% 112.39 SXIP Index 11,707 28,923 222.31 312.28 84.39 0.48% 192.19 SXNP Index • 15,576 544.98 544.98 0.00 0.48% 35.32 SX3P Index 1,441 33,646 682.29 711.50 10.89 0.39% 46.38 SXDP Index 28,251 61,074 609.16 890.93 125.57 0.37% 252.77 SX4P Index 3,185 31,185 939.56 1,035.50 19.23 0.53% 48.17 SX8P Index SO 14,222 376.46 377.77 0.71 0.49% (32.67) SXOP Index 1,628 9,106 389.83 459.51 25.91 0.69% (47.15) SXQP Index 1,166 47,963 808.69 828.35 5.99 0.41% 179.58 SXRP Index (81) 3,353 430.14 420.01 -5.51 0.44% (2.26) SXMP Index 137 3,478 314.93 327.30 7.51 0.52% 0.69 SXTP Index 4,097 7,849 172.05 261.86 84.61 0.62% 9.00 SX7E Index (0) 11,833 192.07 192.07 0.00 0.99% 31.27 SXSE Index 6,234 43,553 3,756.79 4,294.54 24.81 0.58% 124.10 SPGSCITR Index (3,978) 90,237 5,119.08 4,902.92 -10.64 0.41% EI057.26) XAG Curncy (168) (7,134) 20.96 21.45 -4.13 0.57% (15.10) CO1 Comdty 1,348 (54,787) 109.35 106.66 4.11 0.60% P I- 1,038.29 CL1 Comdty 159 36,479 100.39 100.83 0.81 0.54% (747.51) NG1 Comdty • 9,043 4.15 4.15 0.00 1.29% 57.07 XAU Comdty (1,399) (31,099) 99.59 104.07 .11.26 0.40% (686.15) IBOXHY Index 4,123 53,418 220.12 237.11 153.76 0.05% (13.00) US_TSY CREDIT 504 100,443 765.33 769.17 4.33 0.12% 66.98 CA_TSY CREDIT 1,815 309,688 1,238.04 1,245.30 2.20 0.27% it (1,225.86) MX_TSY CREDIT 1,988 87,928 221.30 226.30 5.96 0.38% 207.09 AU TSY CREDIT 3,553 81,398 1,506.03 1,571.76 14.42 0.30% 199.91 JP_TSY CREDIT 370 190,579 823.68 825.28 0.86 0.23% 97.23 MY_TSY CREDIT 2,273 109,755 170.41 173.94 8.10 0.26% (128.66) SG_TSY CREDIT 1,270 100,443 222.29 225.10 7.58 0.17% 76.87 AT_TSY CREDIT 5,061 81,569 358.40 380.64 21.36 0.29% 11.38 BE_TSY CREDIT 6,589 79,771 477.76 517.22 26.62 0.31% (6.68) FI_TSY CREDIT 4,506 85,645 349.64 368.04 18.49 0.28% 2.45 FR_TSY CREDIT 5,463 82,246 1,684.51 1,796.41 22.16 0.30% 15.63 DE_TSY CREDIT 3,573 84,524 1,247.55 1,300.29 15.34 0.28% 6.78 IE_TSY CREDIT 34,283 78,270 336.92 484.50 165.90 0.26% 95.33 IT_TSY CREDIT 9,438 54,986 1,616.07 1,893.45 56.87 0.30% 132.63 NL_TSY CREDIT 4,654 82,865 1,330.92 1,405.67 19.68 0.29% 14.95 ES_TSY CREDIT 11,478 50,187 391.98 481.63 78.46 0.29% 103.88 DK_TSY CREDIT 3,585 67,396 729.23 768.02 18.21 0.29% (15.71) NO_TSY CREDIT (567) 50,762 345.28 341.47 .3.46 0.32% (73.39) PL_TSY CREDIT 2,226 35,151 429.04 456.21 13.69 0.46% (29.47) ZA_TSY CREDIT (469) (53,153) 83.15 83.88 -1.15 0.77% 150.31 SE_TSY CREDIT 287 (55,965) 462.46 460.09 1.31 0.39% 18.33 CH_TSY CREDIT 1,319 26,825 1,008.64 1,058.25 18.86 0.26% (1.33) GB_TSY CREDIT 4,223 100,192 1,514.10 1,577.91 17.14 0.25% 107.31 EFTA00288606