EFTA00288607.pdf

Atorus, LLC 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: 7/17/2014 102.68% 44.76% 12.68% 6.23% 6,430,579 (905,777) 5,524,802 1,000,000 2,026,819 Change on Day: 7/17/2014 .0.97% MSCI World Change on Day .0.94% No of Positions (+MTM) on Day No of Positions (•MTM) on Day Current No. of Positions: Current Leverage (Gross Exposures): 138 269 423 3.62 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 65.81% Avg. Realized Gain / Avg. Realized Loss 3.45 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. 2,200,000.00 2,000,000.00 1,E00,000.00 1,600,000.00 8,400,030.00 1.200000.00 1,000,000.00 800,000.00 600,000 00 s tri filsokageli a eeeeeee e l 0' 0 e l 0' 0 (Oi l" 0' 10 .0' .0 1, .0 .0 !it' et' 0' St. et' 4:1,' A\'' 0)\ 4' 4' 4' A\ 4' NAV' •b\ 4 A\ —NAV EFTA00288607 Atorus, LLC Largest Exposures Current Positions 97.5th Percentile 2.5th Percentile (@ cost ex- MTM) Security Notional %of Total Notional 22 Positions • 26.46% SX7E Index (33,887) 0.46% SXOP Index (35,267) 0.48% SHCOMP Index (39,032) 0.53% SXNP Index (44,130) 0.60% CAC Index (44,295) 0.60% ATX Index (44,635) 0.61% ISEQ Index (47,733) 0.65% ZA_TSY CREDIT (53,153) 0.72% SE_TSY CREDIT (55,965) 0.76% NL_TSY CREDIT 82,865 1.13% DE TSY CREDIT 84,524 1.15% FI_TSY CREDIT 85,645 1.17% AU TSY CREDIT 88,899 1.21% CO1 Comdty (89,512) 1.22% P512O Index (94,327) 1.29% US_TSY CREDIT 100,443 1.37% GB_TSY CREDIT 101,774 1.39% MX_TSY CREDIT 103,019 1.40% SG_TSY CREDIT 106,900 1.46% MX_TSY CREDIT 136,346 1.86% JP_TSY CREDIT 159,271 2.17% CA_TSY CREDIT 309,688 4.22% Day NAV Impact of MTM by Category & Exposure Listed Equity Long -0.584% Listed Equity Short .0.003% EquityCom Long .0.668% EquityCom Short 0.127% G20 Rates Long 0.154% 620 Rates Short .0.005% T12M Contribution (%oi total Yr/Yr NAV Change by Category) Listed Equities 38.65% EquityCom 46.38% G20 Rates 12.88% 7/17/2014 Largest MTM Gains Current Posi ions (90th Percentile MTM Gains % NAV) • Security MTM Gain % Total NAV 42 Positions 21.60% MDY US Equity 5,412 0.26% AEX Index 5,418 0.26% AZN SS Equity 5,568 0.27% SXAP Index 5,573 0.27% NVS US Equity 5,624 0.27% WI) US Equity 5,730 0.28% AZN US Equity 5,877 0.29% JNJ US Equity 5,900 0.29% SENSEX Index 6,020 0.29% CMCSK US Equity 6,132 0.30% AZN LN Equity 6,164 0.30% XLF US Equity 6,185 0.30% SXXP Index 6,293 0.31% DAI GR Equity 6,331 0.31% BE_TSY CREDIT 6,466 0.31% ROG VX Equity 6,588 0.32% XLI US Equity 6,589 0.32% MAERSKB DC Equity 6,704 0.33% HON US Equity 6,768 0.33% SMI Index 6,869 0.33% NOVN VX Equity 7,185 0.35% SX6P Index 7,345 0.36% HEX Index 8,516 0.41% DAX Index 8,885 0.43% MDT US Equity 9,048 0.44% TMO US Equity 9,049 0.44% PRU LN Equity 9,056 0.44% IBEX Index 9,176 0.45% IT_TSY CREDIT 9,462 0.46% MMM US Equity 10,435 0.51% LW= Index 10,704 0.52% ES_TSY CREDIT 11,621 0.57% SXIP Index 11,870 0.58% KFX Index 12,648 0.61% TYC US Equity 13,059 0.63% XLV US Equity 13,500 0.66% NDX Index 13,806 0.67% SPX Index 21,492 1.04% SXDP Index 27,976 1.36% XAU Comdty 28,608 1.39% EFTA00288608 IE_TSY CREDIT 33,904 1.65% STBCNZL Index 34,737 1.69% No. Names by Category 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 & Comma&ites, G20 Gov. Credit) 52,500,000 52,000,000 51,500,000 51,000,000 $500,000 $- $(500,000) $(1,000,000) 1 ■ APAC Long ■ APAC Short ■ EMEA Long ■ EMEA Short ■ AMER Long ■ AMER Short ■ EquityCom Long ■ EquityCom Short G20 Rates Long ■ G20 Rates Short EFTA00288609 Atorus, LLC 7/17/2014 Historical Net Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodlites, G20 Gov. Credit) K 14 ) ...'. rl 1IIIM r•J ri .-I g o CV .., 1'f) CV .-1 o CV .., in y n CS ..... 00000 IN ...., ..... ch IN IN ...... -. .-I CO INI -. CO INI en Cr) INI of n M ri ..... 000000 1N IN " .1t INI ...7 .1t INI ...2 .1t INI 0 IN ----. ...., al ii- i ei .., •-• .., rn .., in --.... N. Historical Gross Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodlites, G20 Gov. Credit) EFTA00288610 Atorus, LLC 7/17/2014 Current Gross Notional Risk by Category 319,786 0887 ■ APAC ■ EMEA ■ AMER ■ EquityCom ■ G20 Rates Performance Vs. MSCI World Index die O7ti e eeeeeee dsbi e oss,‘ e 4 C . < e ° otst ist‘t cptst e e<pc'e Rolling 30 Day Realized Volatility - EFTA00288611 Atorus, LLC 7/17/2010 Percentile Distribution of Current MTM Gains In Vol Days by Position (ex.99pct & exist percentiles) 8000 MOO 60.00 5000 40.00 30.00 20.00 10.00 0.00 10.00 1 J . ,- lee, nce--ne-me-ve-me-42te s tt. '3 n> q> 05 Percentile No. Vol Days 0.00% -12.57 5.00% -4.10 10.00% -2.25 15.00% -0.34 20.00% 0.85 25.00% 1.83 30.00% 2.92 35.00% 4.49 40.00% 6.13 45.00% 7.36 50.00% 8.63 55.00% 10.20 60.00% 13.17 65.00% 16.56 70.00% 20.26 75.00% 24.75 80.00% 33.82 85.00% 43.93 90.00% 57.81 95.00% 77.95 100.00% 215.20 P/L V I 0' ys by Position MTM Gains(Losses) % of NAV "Signficant" (<7 Vol Days) 1.21% MTM Gains(Losses) % of NAV "Signficant" (>7 Vol Days) 37.69% EFTA00288612 Atorus, LLC -Listed Equity Portfolio 7/17/2014 Current Price P/L in Vol 30P Realized Change on Day Security MTM Gain/(Loss) Exp. @ Cost Avg. Price (in USD) Days Vol (in USD) 000270 KS Equity 26 (5,336) 54.75 54.49 0.60 0.80% (14.19) 005380 KS Equity 39 2,519 224.39 227.84 1.77 0.87% 11.50 005490 KS Equity (161) (5,041) 289.59 298.81 -3.36 0.95% (123.01) 005930 KS Equity 54 (5,024) 1,305.89 1,291.87 1.12 0.96% (49.31) 012330 KS Equity 276.17 1 HK Equity 1,366 14,064 16.37 17.96 13.86 0.70% (19.65) 1299 HK Equity 428 8,729 4.88 5.11 10.07 0.49% 47.51 13 HK Equity 883 6,579 11.90 13.50 21.36 0.63% 20.18 16 HK Equity 13.69 - 27 HK Equity (301) (4,202) 7.46 7.99 -4.64 1.54% 49.45 2914 JP Equity 652 11,062 35.05 37.11 9.30 0.63% 64.23 3382 JP Equity 382 3,719 39.56 43.62 13.88 0.74% 36.61 4063 JP Equity 34 5,188 61.35 61.75 0.86 0.76% 27.12 4502 JP Equity 214 8,600 45.47 46.61 5.73 0.44% 12.01 4689 JP Equity (159) 4,252 4.62 4.46 -3.51 1.07% 7.82 5 HK Equity (78) (5,533) 10.16 1030 -2.99 0.47% (18.38) 5108 JP Equity 412 7,634 36.08 38.02 5.97 0.90% 66.80 5401 JP Equity 3.02 - 6301 JP Equity 85 4,173 22.56 23.02 2.47 0.82% 53.99 6752 JP Equity 11.98 - 6902 JP Equity 47.09 - 6954 JP Equity 529 7,571 160.05 171.24 9.38 0.75% 11.98 7201 JP Equity 175 5,116 9.48 9.81 4.49 0.76% 8.27 7203 JP Equity (6) 3,023 59.92 59.80 -0.33 0.62% 16.70 7267 JP Equity (19) (2,337) 35.34 35.63 -1.41 0.59% - 762 HK Equity 1.67 28.00 7751 JP Equity 141 9,172 33.01 33.51 2.92 0.53% 47.88 8031 JP Equity 128 9,105 16.13 16.36 2.41 0.58% 151.16 8058 JP Equity 845 11,969 19.84 21.25 11.14 0.63% 8306 JP Equity 5.97 (1.05) 8316 JP Equity (74) (3,372) 39.96 40.84 -2.95 0.74% (2.86) 8411 JP Equity (154) 8,561 2.02 1.99 -4.38 0.41% 8.00 8604 JP Equity 466 6,151 6.12 6.58 8.34 0.91% 8801 JP Equity 34.20 8802 JP Equity (49) (1,517) 24.86 25.65 -3.52 0.91% (20.81) 9020 JP Equity 295 9,800 78.94 81.32 4.21 0.72% 208.71 941 HK Equity 885 10.53 10.53 0.00 0.65% 2.10 9432 JP Equity 2,073 10,754 55.82 66.58 23.50 0.82% 64.09 9433 JP Equity 567 9,967 58.51 61.84 7.41 0.77% 72.41 9437 JP Equity 183 4,896 17.09 17.73 6.82 0.55% 72.70 9983 JP Equity (19) (2,292) 322.77 325.47 -0.96 0.87% (17.11) EFTA00288613 9984 JP Equity 140 5,645 74.36 76.21 3.16 0.79% 9.09 AAPL US Equity 1,831 10,439 79.80 93.80 25.21 0.70% (299.33) ABB US Equity 22.95 ABBN VX Equity 78 (7,476) 23.20 22.96 2.35 0.44% (29.00) ABBV US Equity 205 6,570 52.10 53.72 3.26 0.96% 93.12 ABEV US Equity 60 (5,506) 7.24 7.17 1.38 0.79% (12.22) ABEV3 BZ Equity 59 (5,164) 7.31 7.23 1.15 0.99% (38.37) AB1 BB Equity 695 12,645 105.88 111.70 10.45 0.53% (112.46) ABT US Equity 567 9,473 39.80 42.18 9.24 0.65% 244.77 ABX CN Equity (256) (5,037) 18.17 19.09 -5.08 1.00% (76.59) ABX US Equity (240) (4,849) 18.17 19.07 .4.84 1.02% (72.37) ACA FP Equity 70 (5,840) 14.06 13.90 1.14 1.05% (24.94) ACE US Equity 681 11,741 98.27 103.97 15.92 0.36% (89.67) ACN US Equity 184 8,563 77.97 79.64 5.03 0.43% (19.09) ADP US Equity 282 8,942 77.68 80.13 8.06 0.39% (43.29) AFL US Equity 189 5,843 61.61 63.60 6.98 0.46% 59.30 AGN US Equity 4,877 10,858 114.68 166.19 62.62 0.72% 103.26 Al FP Equity (213) 6,175 137.70 133.11 -5.14 0.67% (62.48) AIG US Equity 715 12,241 51.90 54.93 12.54 0.47% (27.70) AIR FP Equity 346 (5,827) 65.04 61.17 6.01 0.99% 56.77 ALV GR Equity 323 10,261 171.02 176.39 6.47 0.49% (57.47) ALVG IX Equity 359 9,641 170.39 176.73 7.53 0.49% (29.59) AMGN US Equity (87) 11,177 117.06 116.16 -1.29 0.60% (93.65) AMT US Equity 2,215 13,269 78.17 91.21 38.36 0.44% (115.39) AMZN US Equity (446) (2,898) 306.51 353.65 -12.57 1.22% 21.92 ANZ AU Equity 625 12,947 29.78 31.21 7.73 0.62% 85.98 APA US Equity 1,121 12,393 91.83 100.14 12.23 0.74% 92.73 APC US Equity 583 6,564 100.97 109.94 9.44 0.94% (74.92) AXP US Equity 3,183 12,579 74.65 93.54 50.40 0.50% (173.06) AZN LN Equity 6,164 12,950 50.16 74.04 77.36 0.62% (193.97) AZN SS Equity 5,568 12,372 51.16 74.18 75.87 0.59% (164.51) AZN US Equity 5,877 13,079 50.64 73.40 68.84 0.65% (312.98) BA US Equity (251) 10,667 129.88 126.90 -3.20 0.74% (56.14) BAC US Equity (95) 8,241 15.44 15.27 -1.28 0.90% (133.15) BARC LN Equity 3.62 BAS GR Equity 1,189 9,073 100.38 113.54 19.40 0.68% (79.29) BATS LN Equity 913 9,427 55.12 60.46 16.24 0.60% 29.83 BAX US Equity 208 8,474 74.80 76.63 5.07 0.48% 4.53 BAYN GR Equity (83) 11,012 137.35 136.32 -1.11 0.68% (130.43) BBAS3 BZ Equity 12.22 BBD US Equity 95 5,475 14.62 14.87 1.35 1.28% (96.09) BBDC4 BZ Equity 120 5,427 14.64 14.96 1.60 1.38% (79.33) BBL US Equity 68.55 BBVA SM Equity 1,182 6,375 10.30 12.21 21.80 0.85% (73.64) BCE CN Equity 106 10,241 45.03 45.50 2.34 0.44% 37.16 BCS US Equity 14.49 - BEN US Equity 245 6,278 54.92 57.06 6.03 0.65% (65.88) EFTA00288614 BG/ LN Equity 69 (4,743) 20.69 20.39 1.39 1.05% 47.75 BHP AU Equity 540 11,120 34.69 36.37 6.42 0.76% 202.65 BHP US Equity 416 8,593 68.59 71.92 5.47 0.89% (95.87) BIIB US Equity 248 1,066 245.93 303.16 26.71 0.87% (10.72) BIL SJ Equity 34.46 BK US Equity 1,447 11,358 33.73 38.03 18.86 0.68% (34.15) BLK US Equity 321 7,520 307.81 320.97 6.48 0.66% (114.09) BLT LN Equity 34.44 - BMO CN Equity 1,903 16,572 67.73 75.51 29.72 0.39% 30.09 BMW GR Equity 1,559 6,162 102.66 128.63 32.99 0.77% 35.63 BMY US Equity (53) 4,840 49.02 48.50 -1.73 0.63% (22.29) BN FP Equity 76.49 - BNP FP Equity 261 (4,861) 69.65 65.91 5.01 1.07% 38.74 BNS CN Equity 2,024 15,655 60.07 67.83 30.75 0.42% (116.51) BP/ LN Equity 945 12,727 7.94 8.52 12.24 0.61% (235.48) BRK/B US Equity 769 15,648 121.13 127.08 13.52 0.36% (135.08) BSBR US Equity (65) 5,698 6.81 6.73 -1.05 1.08% (73.07) BUD US Equity 675 11,940 105.71 111.69 9.42 0.60% (108.85) BX US Equity 429 6,395 32.41 34.58 6.26 1.07% 144.70 C US Equity 206 6,595 48.07 49.57 3.99 0.78% (9.62) CA FP Equity 37.32 CAT US Equity 3,123 15,874 91.67 109.71 33.45 0.59% (215.11) CBA AU Equity 1,634 17,832 70.01 76.43 18.09 0.51% 96.29 CBS US Equity 145 7,287 60.74 61.94 1.81 1.09% 153.27 CCL US Equity 36.22 - CELG US Equity 27 (534) 88.66 84.22 1.91 2.62% 13.29 CFR VX Equity 296 10,967 99.46 102.15 5.73 0.47% (67.60) CL US Equity 3,285 23,685 60.60 69.01 32.73 0.42% (194.93) CM CN Equity 1,073 13,401 84.80 91.59 19.84 0.40% (15.28) CMCSA US Equity 669 11,232 51.48 54.55 9.90 0.60% (125.91) CMCSK US Equity 6,132 15,946 39.22 54.30 72.06 0.53% (202.21) CNI US Equity 4,066 14,430 52.31 67.06 49.02 0.57% 147.44 CNQ CN Equity 2,236 12,999 37.91 44.44 21.72 0.79% (110.72) CNR CN Equity 4,021 14,238 52.32 67.10 46.57 0.61% 145.60 COF US Equity 1,548 9,398 71.32 83.07 23.10 0.71% (175.09) COP US Equity 1,126 12,885 78.45 85.31 14.47 0.60% (148.56) COST US Equity 221 12,643 114.93 116.94 4.30 0.41% (111.83) COV LN Equity 4N/A N/A COV US Equity 2,791 7,850 64.85 87.91 28.17 1.26% (123.41) CRM US Equity (97) 3,835 54.46 53.12 -2.29 1.11% (61.42) CS FP Equity (64) 3,115 24.30 23.81 -2.27 0.91% (34.60) CSCO US Equity 457 11,838 24.82 25.78 9.20 0.42% (95.79) CSX US Equity 2,170 10,472 25.69 31.01 39.18 0.53% (34.23) CVE CN Equity 31.04 CVS US Equity 2,296 12,659 64.72 76.46 35.66 0.51% (140.19) CVX US Equity 7 8,549 130.48 130.59 0.14 0.57% (5.60) D US Equity 1,123 7,953 60.80 69.38 19.21 0.74% (20.27) EFTA00288615 DAI GR Equity 6,331 13,908 62.20 90.52 67.09 0.68% (194.03) DBK GR Equity 806 (7,909) 40.31 36.20 10.35 0.99% 45.20 DD US Equity 65.06 - DDAIF US Equity 2,842 6,701 63.20 90.01 57.68 0.74% (164.13) DE US Equity 112 8,076 86.88 88.08 2.33 0.59% (93.80) DELL US Equity #N/A N/A DG FP Equity 70.44 - DGE LN Equity 2 3,082 31.23 31.25 0.11 0.61% (29.29) DHR US Equity (304) 11,611 76.79 74.84 -4.43 0.59% (491.05) DIS US Equity 2,539 12,485 71.06 85.52 34.66 0.59% (42.48) DISCA US Equity (650) (5,131) 75.84 85.45 -11.33 1.12% (109.38) DNB NO Equity 153 8,725 17.95 18.27 2.06 0.85% (6.22) DOW US Equity 2,919 7,396 37.11 51.76 90.27 0.44% (35.83) DPW GR Equity (3) 453 35.31 35.05 -1.03 0.71% (6.28) DTE GR Equity 621 10,164 15.65 16.60 9.62 0.63% (89.80) DTV US Equity 4,198 11,097 62.68 86.39 136.79 0.28% (46.84) DUK US Equity (83) (4,513) 71.20 72.50 -2.49 0.74% (16.25) DVN US Equity 2,374 15,093 66.27 76.69 26.71 0.59% (206.38) EBAY US Equity (82) (3,128) 50.12 51.44 -4.10 0.64% (41.94) Ea US Equity 463 11,898 106.13 110.26 7.93 0.49% (29.30) EDF FP Equity 30.68 - EMC US Equity 656 12,257 25.48 26.85 11.48 0.47% (47.30) EMR US Equity 56 8,739 66.80 67.22 1.07 0.59% (100.25) ENB CN Equity 787 12,532 45.66 48.52 11.51 0.55% 173.42 ENEL IM Equity 2,258 8,902 4.48 5.62 28.98 0.88% (113.22) ENI IM Equity 1,042 13,637 24.69 26.57 11.44 0.67% (55.86) EOAN GR Equity 102 7,125 19.44 19.72 1.97 0.72% (158.88) EOG US Equity 3,528 5,841 72.84 116.83 63.76 0.95% 88.71 EPD US Equity 2,948 14,612 64.66 77.70 38.20 0.53% 30.47 ERICB SS Equity 11.67 - ESRX US Equity (218) 3,262 70.26 65.86 -11.09 0.60% (18.74) ETN US Equity 526 8,219 73.83 78.56 8.65 0.74% (102.55) F US Equity 506 9,388 16.98 17.90 8.69 0.62% 73.18 F8 US Equity 1,372 2,630 44.06 67.03 47.69 1.09% (29.91) FCX US Equity 1,008 8,796 34.61 38.58 14.24 0.80% (62.27) FDX US Equity 878 6,811 136.00 153.52 20.84 0.62% (12.40) FOX US Equity (204) 8,704 33.33 32.57 -2.78 0.84% (146.47) FOXA US Equity (260) 7,483 34.15 33.00 -3.80 0.91% (178.00) FP FP Equity 1,098 15,659 63.30 67.74 8.91 0.79% (266.02) G IM Equity 20.69 - GE US Equity 2,608 13,140 22.32 26.75 34.78 0.57% (96.15) GILD US Equity 534 6,869 80.04 86.27 8.22 0.95% (70.13) GIS US Equity 1,022 25,323 50.89 52.94 8.74 0.46% (35.63) GLE FP Equity 51.20 - GLEN LN Equity 6.08 - GLW US Equity 3,874 12,136 16.41 21.65 50.99 0.63% (157.70) GM US Equity 482 11,236 35.80 37.34 6.75 0.64% (86.36) EFTA00288616 GOOG US Equity 222 8,672 561.32 575.66 3.63 0.70% (143.74) GS US Equity 399 9,518 163.60 170.46 6.72 0.62% (0.99) GSK LN Equity 43 5,707 26.22 26.42 1.69 0.44% (15.11) GSZ FP Equity 552 12,912 25.62 26.71 6.86 0.62% (132.95) HAL US Equity 2,936 8,541 52.84 71.00 44.62 0.77% (24.40) HD US Equity 351 17,619 78.01 79.56 3.97 0.50% (18.70) HMB SS Equity (143) 10,012 42.52 41.92 -2.25 0.64% 14.10 HON US Equity 6,768 11,930 61.10 95.76 113.53 0.50% (121.48) HPQ US Equity 2,641 8,313 26.16 34.47 48.69 0.65% (118.95) HSBA LN Equity (49) 8,008 10.34 10.27 -1.23 0.50% (56.61) IBE SM Equity 2,321 7,531 5.56 7.27 57.32 0.54% (51.86) IBM US Equity (332) (9,102) 186.82 193.63 -6.14 0.59% (61.16) IMT LN Equity 3,326 14,380 37.31 45.94 25.87 0.89% 419.47 INTC US Equity 5,285 14,216 24.76 33.97 41.19 0.90% 4.36 ISP IM Equity 3.05 - ITUB US Equity (385) 5,715 15.81 14.81 -4.43 1.52% (78.02) ITUB4 BZ Equity (260) 4,601 15.74 14.90 -3.67 1.54% (49.15) ITW US Equity 3,567 14,011 67.84 85.11 50.09 0.51% (248.16) ITX SM Equity 149.61 JCI US Equity 115 7,794 49.37 50.09 2.43 0.61% (72.91) JNJ US Equity 5,900 20,338 78.39 101.13 57.78 0.50% (312.76) JPM US Equity 369 10,159 56.23 58.27 5.00 0.73% (82.82) KMB US Equity 553 11,894 108.16 113.19 12.61 0.37% (92.56) KMI US Equity 36.85 - KO US Equity 15 4,065 41.85 42.00 1.04 0.36% (11.95) LBTYA US Equity 60 5,724 43.92 44.38 1.50 0.69% (28.51) LBTYK US Equity 200 7,489 41.91 43.03 4.25 0.63% (6.62) LIN GR Equity 129 12,928 202.91 204.93 1.89 0.53% (70.86) LLOY LN Equity 66 2,680 1.23 1.26 2.91 0.84% (21.23) LLY US Equity 278 7,377 60.16 62.42 7.76 0.49% (16.32) LMT US Equity 146 3,460 155.67 162.25 6.46 0.65% 14.54 LNKD US Equity 360 (3,154) 178.22 157.90 8.89 1.28% 10.12 LOW US Equity 17 7,548 47.35 47.46 0.40 0.56% (21.76) LVS US Equity (56) 2,482 74.83 73.19 -2.25 0.99% (33.82) LYB US Equity 1,567 2,297 59.29 99.73 117.99 0.58% 13.29 MA US Equity 134 6,084 75.27 76.92 2.91 0.75% (113.25) MAERSKB DC Equity 6,704 14,377 1,651.64 2,421.74 50.77 0.92% (132.89) MC FP Equity (13) 7,348 188.38 188.04 -0.33 0.54% (45.78) MCD US Equity (189) 9,603 100.60 98.66 -5.28 0.37% (53.62) MCK US Equity 322 2,181 164.92 189.27 25.48 0.58% 15.47 MDIZ US Equity 4,440 13,763 28.74 38.02 67.20 0.48% (52.81) MDT US Equity 9,048 20,811 43.22 62.02 65.67 0.66% (339.77) MET US Equity 1,867 7,641 44.47 55.33 39.95 0.61% (106.33) MFC CN Equity 1,730 4,903 15.08 20.41 55.16 0.64% (70.42) MHS US Equity #WA WA MMM US Equity 10,435 21,331 96.89 144.29 129.85 0.38% (325.60) MO US Equity 1,567 13,316 37.33 41.72 14.97 0.79% (78.85) EFTA00288617 MON US Equity 1,562 12,758 106.90 119.98 18.56 0.66% (34.60) MOS US Equity 47.64 - MRK US Equity 1,794 13,912 51.28 57.89 23.07 0.56% (35.62) MS US Equity 205 4,759 31.23 32.58 5.84 0.74% 26.58 MSFT US Equity 2,298 9,167 35.92 44.93 33.67 0.74% 338.84 MUV2 GR Equity 695 6,116 197.70 220.15 25.27 0.45% (32.96) NAB AU Equity 152 10,650 31.52 31.97 2.54 0.56% 77.69 NCM AU Equity 10.43 - NEE US Equity 5,146 15,275 73.39 98.11 51.20 0.66% (91.32) NEM US Equity 26 (836) 26.24 25.41 3.08 1.02% (4.16) NESN VX Equity 1,025 12,449 71.26 77.13 21.67 0.38% 55.18 NG/ IN Equity 2,939 13,552 12.01 14.62 39.14 0.55% (88.07) NKE US Equity 375 5,145 71.37 76.57 10.64 0.69% (41.11) NOK US Equity 3,944 4,498 3.96 7.44 78.30 1.12% (66.65) NOV US Equity 783 10,746 79.15 84.92 10.49 0.69% (4.34) NOVN VX Equity 7,185 21,827 66.92 88.96 77.06 0.43% (418.48) NOVOB DC Equity 1,304 11,851 41.39 45.94 17.95 0.61% (37.29) NSC US Equity 2,967 10,790 82.20 104.80 41.36 0.66% (11.46) NVS US Equity 5,624 18,195 67.78 88.73 65.51 0.47% (383.15) OGXP3 BZ Equity 4,027 (4,107) 4.39 0.09 63.46 1.55% - OR FP Equity 126 11,677 168.96 170.79 2.17 0.50% (53.23) ORA FP Equity 991 8,559 13.80 15.40 12.50 0.93% (95.46) ORCL US Equity 1,531 9,129 34.50 40.29 23.07 0.73% (11.52) OX? US Equity 449 10,929 96.82 100.80 6.19 0.66% (63.66) PBR US Equity 72 2,578 15.67 16.10 2.04 1.37% 27.60 PBR/A US Equity 85 2,307 16.68 17.30 2.59 1.43% 2.31 PCLN US Equity 160 5,110 1,174.29 1,211.08 4.23 0.74% (78.06) PCP US Equity (30) 8,068 257.63 256.69 -0.53 0.69% (32.03) PEP US Equity 1,036 14,142 84.13 90.30 16.33 0.45% (19.73) PETR3 BZ Equity 8.08 PETR4 BZ Equity 8.71 - PFE US Equity 272 8,419 29.91 30.88 6.99 0.46% 30.67 PG US Equity 207 11,013 79.25 80.74 5.78 0.33% (30.47) PHIA NA Equity 31.46 PM US Equity (232) 11,156 87.25 85.48 -3.12 0.67% 62.71 PNC US Equity 754 10,761 78.28 83.76 10.57 0.66% (187.41) POT CN Equity (195) 9,967 36.59 35.89 -3.15 0.62% 10.14 POT US Equity (233) 10,582 36.73 35.94 -3.43 0.64% 34.70 PRU LN Equity 9,056 10,521 12.76 23.75 141.17 0.61% (80.05) PSA US Equity 820 13,406 162.12 172.04 15.77 0.39% (11.54) PSX US Equity 1,405 6,695 66.16 80.05 28.46 0.74% (79.75) PX US Equity 2,721 17,041 114.23 132.46 41.39 0.39% (114.93) QCOM US Equity 2,180 12,871 67.10 78.47 36.49 0.46% (238.87) QQQ US Equity 3,393 17,569 79.76 95.16 51.11 0.38% (198.57) RAI US Equity 957 12,340 54.05 58.24 7.36 1.05% (117.82) RDS/A US Equity 1,186 12,883 75.73 82.69 17.34 0.53% (20.00) RDS/B US Equity 1,137 11,427 78.85 86.69 16.68 0.60% (88.74) EFTA00288618 RDSA LN Equity 1,280 12,402 37.55 41.42 22.16 0.47% 18.55 RDSA NA Equity 1,101 12,492 38.08 41.44 18.83 0.47% 49.28 RDSB LN Equity 1,188 12,149 39.49 43.35 20.10 0.49% (44.37) REGN US Equity 299.86 - RIO AU Equity 545 7,642 56.95 61.01 7.01 1.02% 167.38 RIO LN Equity 223 4,819 54.31 56.82 4.49 1.03% (9.86) RIO US Equity 214 4,934 54.34 56.70 4.27 1.02% (57.12) ROG VX Equity 6,588 17,035 212.78 295.07 69.10 0.56% (244.92) RY CN Equity 1,572 15,233 67.29 74.23 23.03 0.45% 13.53 SAS LN Equity 1,668 12,639 50.16 56.79 17.12 0.77% 33.06 SAN FP Equity (196) 5,211 106.56 102.69 -8.46 0.45% (30.01) SAN SM Equity 1,345 9,880 8.73 9.92 16.50 0.83% (119.66) SAN US Equity 1,049 7,980 8.73 9.88 11.81 1.11% (144.42) SAP GR Equity 428 8,587 77.21 81.06 7.16 0.70% 298.73 SAP US Equity 379 8,173 77.22 80.81 6.84 0.68% 196.24 SBUX US Equity 618 15,938 74.92 77.83 6.91 0.56% (177.20) SGO FP Equity 51.92 - SI US Equity t/N/A N/A SIE GR Equity 125.99 - SLB US Equity 3,359 10,752 87.56 114.91 39.85 0.78% (51.43) SMSN LI Equity 53 (4,831) 650.18 643.00 1.00 1.11% (28.51) SO US Equity 145 11,861 44.11 44.65 1.86 0.66% 10.28 SPG US Equity 72 12,778 168.98 169.94 1.21 0.47% (37.95) SREN VX Equity 87.37 - STAN LN Equity 234 (7,339) 21.38 20.70 4.43 0.72% 24.10 STL NO Equity 1,578 11,818 26.89 30.48 18.58 0.72% 11.92 STT US Equity 357 8,544 66.40 69.18 7.09 0.59% (29.65) SU CN Equity 1,269 14,944 38.21 41.45 8.40 1.01% (44.51) SU FP Equity 272 10,184 87.64 89.98 3.07 0.87% (93.22) SU US Equity 1,289 15,335 38.21 41.42 8.54 0.98% (36.32) SWEDA SS Equity 6 3,290 25.71 25.76 0.27 0.72% (10.74) SYNN VX Equity 6 (6,953) 364.98 364.66 0.11 0.83% 25.79 7 US Equity (60) (2,010) 35.16 36.22 -8.26 0.36% 11.25 TD CN Equity 1,516 16,571 47.27 51.59 22.89 0.40% (32.97) TEF SM Equity 39 9,929 16.31 16.38 0.66 0.60% (114.91) TEF US Equity 66 8,452 16.22 16.35 0.98 0.79% (118.52) TGT US Equity 494 (9,289) 63.18 59.82 10.05 0.53% 43.31 T1X US Equity 136 (2,907) 54.91 52.35 6.34 0.74% 33.81 TLS AU Equity 1,291 15,748 4.71 5.09 16.58 0.49% 126.04 TLSN SS Equity (241) (5,268) 7.02 7.34 -8.08 0.57% 88.52 TM US Equity (51) 5,748 119.79 118.73 -1.54 0.58% (23.48) TMO US Equity 9,049 10,218 63.59 119.90 215.20 0.41% 86.16 TOT US Equity 756 8,160 61.65 67.36 10.21 0.91% (188.92) TRP CN Equity 507 9,721 48.45 50.98 9.77 0.53% 113.75 TRV US Equity 1,239 15,820 88.15 95.05 24.12 0.32% (105.04) TSCO LN Equity 796 (7,272) 5.49 4.89 13.73 0.80% 34.35 TWC US Equity 1,203 5,234 120.22 147.85 37.48 0.61% (83.12) EFTA00288619 TWX US Equity 2,606 9,814 67.77 85.76 19.28 1.38% 423.01 TXN US Equity 4,704 12,205 34.93 48.39 88.27 0.44% (221.13) TYC US Equity 13,059 24,080 29.17 44.98 96.01 0.56% (362.74) UBS US Equity 18.44 - UBSN VX Equity 113 (5,827) 18.90 18.54 2.40 0.81% 25.94 UCG IM Equity 338 7,646 7.56 7.89 8.61 0.51% (45.28) ULVR LN Equity 134 8,550 44.57 45.27 3.29 0.48% 19.38 UNA NA Equity 3,460 10,775 32.54 42.99 47.37 0.68% 41.08 UNH US Equity 2,735 14,812 72.46 85.84 38.33 0.48%r 470.63 UNP US Equity 4,307 14,806 78.31 101.09 68.48 0.42% (89.97) UPS US Equity 2,961 14,625 85.75 103.10 39.28 0.52% (245.93) USB US Equity 1,859 4,861 30.33 41.93 68.88 0.56% (110.56) UTX US Equity 667 11,895 107.41 113.44 10.65 0.53% (117.41) V US Equity 86 (2,403) 227.44 219.29 3.06 1.17% 33.55 VALE US Equity 147 (2,351) 15.05 14.11 5.15 1.21% 46.54 VALE3 BZ Equity 4,264 9,746 9.83 14.13 69.85 0.63% (207.07) VIAB US Equity 265 4,886 83.63 88.16 8.27 0.65% (8.52) VIV FP Equity 23.66 VMW US Equity 94.17 - VOD LN Equity 489 (4,209) 3.78 3.34 7.72 1.50% 21.84 VOD US Equity 470 (4,063) 37.68 33.32 12.54 0.92% 33.51 VOW3 GR Equity (84) 2,567 259.41 251.14 4.57 0.72% (42.17) VRX CN Equity (59) 3,022 124.40 122.02 -1.75 1.12% 31.95 VRX US Equity (61) 3,207 124.41 122.10 -1.76 1.08% 31.40 VTI US Equity 877 5,134 86.91 101.75 48.38 0.35% (27.75) VWO US Equity 138 9,852 43.24 43.84 3.17 0.44% (129.30) VZ US Equity (0) 1,179 50.55 50.55 0.00 0.45% (7.69) WBC AU Equity 321. 11,844 30.87 31.71 4.68 0.58% (6.29) WES AU Equity 563 13,490 39.08 40.71 8.46 0.49% 146.55 WFC US Equity 3,664 13,253 39.86 50.88 51.95 0.53% (114.90) WLP US Equity 5,730 12,673 78.78 114.40 68.95 0.66% 347.83 WMT US Equity 48 9,262 76.31 76.70 1.41 0.36% (21.97) WOW AU Equity (137) 4,724 34.80 33.82 -5.38 0.54% 16.17 XOM US Equity 1,868 16,573 92.53 102.96 18.84 0.60% (97.83) XTA LN Equity AN/A N/A YHOO US Equity (97) 1,952 34.98 33.32 -3.62 1.37% (37.38) YUM US Equity 374 10,500 75.46 78.15 5.77 0.62% (605.83) ZURN VX Equity 315 9,344 295.49 305.44 7.49 0.45% (21.12) Current Portfolio - Global Macro Portfolio Current Price PA In Vol 30P Realized Change on Day Security MTM Gain/(Loss) Exp. ga Cost Avg. Price (In USD) Days Vol (in USD) SPX Index 21,492 62,272 1,455.70 1,958.12 92.77 0.37% (991.27) NDX Index 13,806 38,177 2,848.04 3,878.01 81.84 0.44% (718.16) RTY Index 2 18,515 1,133.51 1,133.60 0.01 0.70% (288.56) EFTA00288620 SPTSX Index 3,621 48,100 13,158.28 14,148.97 16.70 0.45% (83.87) MEXBOL Index 456 19,583 3,312.01 3,389.13 5.15 0.45% (72.38) IBOV Index (385) 58,271 24,987.80 24,823.77 -0.73 0.90% (485.28) MERVAL Index 2,603 22,139 915.40 1,023.02 5.53 2.13% (603.51) UKX Index 4,823 49,421 10,501.74 11,526.57 21.77 0.45% (458.61) DAX Index 8,885 38,255 10,704.86 13,191.15 39.10 0.59% (517.69) CAC Index 382 (44,295) 5,887.95 5,837.12 1.29 0.67% 554.41 IBEX Index 9,176 43,174 11,759.39 14,258.76 30.00 0.71% (629.17) SMI Index 6,869 53,702 8,442.28 9,522.20 30.23 0.42% (438.09) FTSEMIB Index 664 3,234 23,118.94 27,863.89 21.38 0.96% (87.46) PSI20 Index 5,304 (94,327) 8,956.04 8,452.49 4.83 1.16% 812.27 ISEQ Index 186 (47,733) 6,427.43 6,402.40 0.52 0.75% 321.92 ICEXI Index (36) (22,823) 7.19 7.20 -0.34 0.46% (12.19) AEX Index 5,418 48,492 492.48 547.51 20.88 0.54% (535.40) BEL20 Index 2,858 18,402 3,658.46 4,226.66 30.88 0.50% (230.62) LUXXX Index 10,704 41,632 1,672.08 2,102.00 42.66 0.60% (153.95) KFX Index 12,648 40,987 102.53 134.17 53.68 0.57% (114.73) HEX Index 8,516 45,041 8,658.69 10,295.82 34.45 0.55% (238.07) OMX Index (21) (25,203) 201.57 201.73 -0.14 0.61% 278.52 ATX Index 273 (44,635) 3,249.93 3,230.04 0.81 0.76% 316.12 ASE Index (269) 8,566 1,660.34 1,609.72 -2.60 1.21% (0.99) OSEBX Index 4,403 29,330 87.27 100.37 21.89 0.69% (119.31) INDEXCF Index (517) 8,931 43.34 40.96 -5.19 1.12% (370.54) TOP40 Index 3,360 44,616 4,057.53 4,363.15 12.85 0.59% (404.94) SENSEX Index 6,020 48,389 377.03 423.94 16.26 0.77% (190.50) NKY Index 1,297 30,686 145.52 151.67 8.38 0.50% 94.75 HSI Index 1,352 45,272 2,946.55 3,034.56 6.91 0.43% (7.78) SHCOMP Index 1,166 (39,032) 341.67 331.46 6.67 0.45% 204.65 KOSPI Index 1,925 45,441 1.88 1.96 8.77 0.48% 202.60 ASST Index 1,576 33,715 4,948.24 5,179.49 8.44 0.55% 83.19 STBCNZL Index 34,737 73,207 444.47 655.37 161.54 0.29% (62.55) EEM US Equity (72) 5,684 44.03 43.48 -2.61 0.48% (105.13) IYR US Equity 388 12,786 70.30 72.43 7.72 0.39% (77.75) MOY US Equity 5,412 14,269 184.03 253.82 83.68 0.45% (207.90) JNK US Equity (94) 10,205 41.38 41.00 -7.33 0.13% (75.87) XLF US Equity 6,185 13,610 15.57 22.65 96.69 0.47% (258.76) XLU US Equity 802 11,089 39.46 42.31 9.88 0.73% (108.61) XLK US Equity 3,424 13,272 30.99 38.98 56.61 0.46% (215.62) XLI US Equity 6,589 16,147 38.20 53.79 77.52 0.53% (353.69) XLP US Equity 756 13,034 42.30 44.75 16.38 0.35% (85.75) XLY US Equity 1,552 12,582 59.54 66.88 24.96 0.49% (133.97) XLE US Equity 1,420 14,589 89.95 98.70 16.41 0.59% (258.52) XLB US Equity 4,796 15,233 37.75 49.63 78.64 0.40% (84.39) XLV US Equity 13,500 24,346 38.87 60.42 124.44 0.45% (415.07) SXXP Index 6,293 49,038 407.21 459.46 25.84 0.50% (537.31) SXAP Index 5,573 17,322 521.95 689.87 48.72 0.66% (316.16) SXKP Index 1,618 18,060 366.14 398.93 13.37 0.67% (244.31) EFTA00288621 SX6P Index 7,345 39,503 360.60 427.66 37.43 0.50% I (606.11) SXEP Index 3,217 55,125 460.42 487.28 9.10 0.64% (839.14) SXIP Index 11,870 28,923 222.31 313.54 73.94 0.56% (445.41) SXNP Index 146 (44,130) 548.24 546.42 0.57 0.59% 376.00 SX3P Index 1,625 33,646 682.29 715.24 11.25 0.43% (104.19) SXDP Index 27,976 61,074 609.16 888.19 110.94 0.41% (721.67) SX4P Index 3,058 31,185 939.56 1,031.68 14.77 0.66% (432.51) SX8P Index 67 11,378 376.46 378.69 1.06 0.56% 12.98 SXOP Index 242 (35,267) 463.21 460.03 0.92 0.75% 377.15 SXQP Index 1,056 47,963 808.69 826.49 4.46 0.49% (156.02) SXRP Index 18 (5,174) 424.99 423.48 0.70 0.51% 44.45 SXMP Index (27) (4,103) 330.24 332.42 -1.19 0.55% (2.61) SXTP Index (43) (9,330) 262.86 264.07 -0.70 0.65% 61.81 SX7E Index 261 (33,887) 193.45 191.96 0.67 1.15% 635.77 SXSE Index 3,812 27,874 3,756.79 4,270.64 19.91 0.69% (455.60) SPGSCITR Index (2,117) 65,680 5,087.36 4,928.52 -7.39 0.44% 356.13 XAG Curncy (60) (6,420) 20.96 21.15 -1.33 0.70% (117.42) CO1 Comdty 238 (89,512) 108.18 107.89 0.40 0.67% =EMI CL1 Comdty 1,017 36,479 100.39 103.19 4.37 0.64% 737.32 NG1 Comdty 1,244 (29,593) 4.13 3.95 3.00 1.40% 1235 XAU Comdty (1,399) (31,207) 98.05 102.45 -1.22 3.67% (760.87) IBOXHY Index 3,915 53,418 220.12 236.25 115.54 0.06% (117.89) US_TSY CREDIT 630 100,443 765.33 770.13 5.75 0.11% 268.44 CA_TSY CREDIT 1,880 309,688 1,238.04 1,245.56 2.49 0.24% 805.03 MX_TSY CREDIT 2,679 103,019 222.07 227.84 7.88 0.33% 223.15 AU TSY CREDIT 3,521 88,899 1,511.22 1,571.07 14.50 0.27% 132.55 JP_TSY CREDIT 69 159,271 823.82 824.18 0.21 0.21% 383.72 MY_TSY CREDIT 2,899 136,346 171.16 174.80 8.71 0.24% 479.60 SG_TSY CREDIT 1,345 106,900 222.46 225.26 7.69 0.16% 187.73 AT_TSY CREDIT 4,870 81,569 358.40 379.80 20.67 0.29% 47.82 BE_TSY CREDIT 6,466 79,771 477.76 516.48 27.04 0.30% 70.18 FI_TSY CREDIT 4,227 85,645 349.64 366.90 17.28 0.29% 49.02 FR_TSY CREDIT 5,267 82,246 1,684.51 1,792.39 21.83 0.29% 46.90 DE_TSY CREDIT 3,275 84,524 1,247.55 1,295.90 13.94 0.28% 33.89 IE_TSY CREDIT 33,904 78,270 336.92 482.87 155.42 0.28% (44.12) IT_TSY CREDIT 9,462 54,986 1,616.07 1,894.16 58.07 0.30% 24.17 NL_TSY CREDIT 4,429 82,865 1,330.92 1,402.05 18.75 0.28% 39.24 ES_TSY CREDIT 11,621 50,187 391.98 482.75 80.94 0.29% 65.37 DK_TSY CREDIT 3,362 67,396 729.23 765.60 17.50 0.29% 36.06 NO_TSY CREDIT (368) 40,610 344.24 341.15 -2.84 0.32% 105.26 PL_TSY CREDIT 2,075 35,151 429.04 454.37 13.04 0.45% (45.01) ZA_TSY CREDIT (1,652) (53,153) 82.80 85.37 -4.09 0.76% (18.10) SE_TSY CREDIT 408 (55,965) 462.46 459.09 1.93 0.38% (77.47) CH_TSY CREDIT 1,162 26,825 1,008.64 1,052.33 15.93 0.27% 18.63 GB_TSY CREDIT 4,446 101,774 1,515.10 1,581.28 20.65 0.21% 229.55 EFTA00288622