EFTA00288639.pdf

Atorus, LLC 7/28/2014 Current Date: Total Return since 1/1/12: 712M Return: T90 Day Return: T30 Day Return: Current Long Exposure @ Cost: Current Short Exposure @ Cost: Net Exposure: Starting Capital: Current NAV: 7/28/2014 107.19% 49.64% 12.37% 0.96% 6,407,992 (962,817) 5,445,175 1,000,000 2,071,910 Change on Day: -0.31% MSCI World Change on Day 0.00% No of Positions (+MTM) on Day No of Positions (-MTM) on Day Current No. of Positions: Current Leverage (Gross Exposures): 169 229 400 3.56 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% 0.90% 50.00% 50.00% 10.00% 2X No. of Profitable Positions 712M 67.20% Avg. Realized Gain / Avg. Realized Loss 3.67 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. 1.30 1.38 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 2,00=0.00 1,600,000.00 1,400,000.00 1,400,000.00 1,200,000.00 1,000,000.00 800,000.00 600 00000 O.ti'V 'V 'V "V 'V 'V "12 <1,2 41,4 <1,2 TOL 04 Ix 04 ,19.%419^,419^, ,19> et9 et9 c9. \\I 03 <7 A\ t ' c 9S 10.% ok 4 A\ 4 4Nt 4 4' A\ 4 4"' A —NAV EFTA00288639 Atorus, LLC 7/28/2014 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 • 27.70% INDEXCF Index (43,307) 0.59% ATX Index (44,635) 0.61% SE_TSY CREDIT (55,965) 0.76% CAC Index (57,501) 0.78% SXNP Index (57,657) 0.78% ISM Index (59,590) 0.81% SXOP Index (60,271) 0.82% NG1 Comdty (61,837) 0.84% SXRP Index (62,770) 0.85% DE_TSY CREDIT 84,524 1.15% Fl TSY CREDIT 85,645 1.16% CO1 Comdty (89,512) 1.21% JP_TSY CREDIT 89,848 1.22% AU TSY CREDIT 90,775 1.23% P512O Index (94,327) 1.28% IBOV Index 94,594 1.28% US_TSY CREDIT 100,443 1.36% GB_TSY CREDIT 108,101 1.47% MX_TSY CREDIT 121,882 1.65% SG_TSY CREDIT 132,728 1.80% MX_TSY CREDIT 136,346 1.85% CA_TSY CREDIT 309,688 4.20% Day NAV Impact of MTM by Category & Exposure Listed Equity Long -0.263% Listed Equity Short 0.022% EquityCom Long -0.069% EquityCom Short 0.131% G20 Rates Long 0.018% G20 Rates Short 0.010% T12M Contribution t% of total Yr/Yr NAV Change by Category) Listed Equine', 38.71% EquityCom 50.23% G20 Rates 11.78% Security MTM Gain % Total NAV 41 Positions 20.16% AGN US Equity 5,247 0.25% NVS US Equity 5,360 0.26% INTC US Equity 5,366 0.26% NEE US Equity 5,397 0.26% MDY US Equity 5,510 0.27% AZN SS Equity 5,614 0.27% WLP US Equity 5,792 0.28% AZN US Equity 6,061 0.29% CMCSK US Equity 6,133 0.30% JNJ US Equity 6,137 0.30% SXXP Index 6,213 0.30% AZN LN Equity 6,241 0.30% DAX Index 6,278 0.30% MAERSKB DC Equity 6,329 0.31% SMI Index 6,341 0.31% BE_TSY CREDIT 6,390 0.31% XLF US Equity 6,403 0.31% XLI US Equity 6,475 0.31% ROG VX Equity 6,523 0.31% HON US Equity 6,600 0.32% NOVN VX Equity 6,862 0.33% SENSEX Index 7,122 0.34% SX6P Index 7,968 0.38% HEX Index 8,767 0.42% PRU LN Equity 9,020 0.44% MDT US Equity 9,388 0.45% IT_TSY CREDIT 9,512 0.46% TMO US Equity 9,753 0.47% IBEX Index 10,515 0.51% MMM US Equity 10,567 0.51% LUXXX Index 10,740 0.52% ES_TSY CREDIT 11,685 0.56% SXIP Index 11,705 0.56% KFX Index 12,306 0.59% TYC US Equity 13,280 0.64% XLV US Equity 14,421 0.70% NDX Index 15,003 0.72% SPX Index 22,382 1.08% SXDP Index 26,765 1.29% IE_TSY CREDIT 33,486 1.62% EFTA00288640 STBCNZL Index 36,104 1.74% No. Names APAC Long 33 APAC Short 8 EMEA Long 55 EMEA Short 12 AMER Long 179 AMER Short 18 EquityCom Long 56 EquityCom Short 16 G20 Rates Long 21 G20 Rates Short 2 Total Long 344 Total Short 56 Current Exposure by Geography (Listed Equl In) & Macro (Equity Indices & Commodiites, G20 Gov. Credit) $2,500,000 $2,000,000 $1,500,000 $1,000,000 $500,000 $- $(500,000) $(1,000,000) ■ APAC Long ■ APAC Short ■ EMEA Long ■ EMEA Short ■ AMER Long ■ AMER Short ■ EquityCom Long ■ EquityCom Short ■ G20 Rates Long ■ G20 Rates Short EFTA00288641 Atorus, LLC 7/28/2014 Historical Net Exposure by Geography (Listed Equities) & Macro (Equity Indices & Comrnodikes, G20 Gov. Credit) —APAC amp —AMER — EquityCom —G20 Rates NexEposule REG 2.500.000 7,000,000 6.000,000 2,000,000 5,030,000 1,500,000 I r f 4,000000 3 , 0 0 0 , 0 0 0 1,003,000 2000,030 500,000 L034030 0 r (500.000) ..".. ....wl .: -4—;IC " ri (1.030,003) N N re y J ri N en in in -I r -I ri g o o ..... N o N N N N ,... • ri N m e • et mt Tt el T-1 r -I el vi 0 0 N N N N IN .."1 (1,000,000) ....„ .., .., ..... ret ta 01 en inN •-•.. •-•.. --... ..... 4... 4-.. ri en IA N. (2A:00,000) (3,000,000) Historical Gross Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodlites, G20 Gov. Credit) •»\ 4, A\ 4 •»\ 4) A\ 4 %N\ 4 ‘P At' EFTA00288642 Atorus, LIC 7/28/2014 Current Gross Notional Risk by Category 320,300 600,977 • APAC 2,001,56 A • ■EMEA 1,887,483 • AMER • EquityCom • G20 Rates 2,560, Performance Vs. MCI World Index 2.35 2.15 1.95 1.75 1.55 1.35 1.15 0.95 0.75 — MSC - ATo 00 .;t• O%et• t• et• O% O% et• 10% , % c)' 9 4 14 O°CI 9 9 44 9 44 9 4. ,(0 e9 4 19 e94/b 00 % 4 4 A cP es.'e ibic` 4 4 cf.C\ a s. %0 0,0 4) A Rolling 30 Day Realized Volatility - EFTA00288643 Atorus, LLC 7/28/2014 Percentile Distribution of Current MTM Gains in Vol Days by Position (ex-99pct & ex-1st percentiles) MOO 7000 611.00 5000 4000 MALI 2000 1000 OM 10.00 de. 1 s s ti h 4> h h 0 4, Percentile No. Vol Days 0.00% -11.87 5.00% -4.46 10.00% -2.50 15.00% -0.57 20.00% 0.75 25.00% 1.40 30.00% 3.05 35.00% 4.25 40.00% 5.75 45.00% 7.48 50.00% 9.01 55.00% 11.06 60.00% 13.80 65.00% 17.03 70.00% 19.67 75.00% 24.17 80.00% 32.76 85.00% 45.75 90.00% 62.43 95.00% 83.82 100.00% 203.90 Vol Days by Position MTM Gains(Losses) % of NAV "Signficant" (<7 Vol Days) 1.29% MTM Gains(Losses) % of NAV "Signficant" (>7 Vol Days) 36.34% EFTA00288644 Atorus, LLC Current Portfolio -Listed Equity Portfolio Current Price P/L in Vol 30P Realized Charge on Day Security MTM Gain/(Loss) Exp. # Cost Avg. Price (in USD) Days Vol (in USD) 7/28/2014 000270 KS Equity (80) (5,336) 54.75 55.58 -1.78 0.85% (21.74) 005380 KS Equity (33) 2,519 224.35 221.43 -1.35 0.97% (6.86) 005490 KS Equity 325.78 005930 KS Equity (60) (5,024) 1,305.89 1,321.61 -1.41 0.85% (33.46) 012330 KS Equity 273.32 1 HK Equity 1,759 14,064 16.37 18.42 17.60 0.71% 126.43 1299 HK Equity 929 9,303 4.89 5.38 17.44 0.57% 38.00 13 HK Equity 901 6,579 11.90 13.53 23.49 0.58% 2.93 16 HK Equity 13.93 - 27 HK Equity (502) (4,202) 7.46 8.35 -8.84 1.35% (64.35) 2914 JP Equity 302 11,062 35.05 36.00 4.48 0.61% (5.36) 3382 JP Equity 351 3,719 39.56 43.29 12.48 0.76% 29.38 4063 JP Equity 234 5,594 61.33 63.89 5.10 0.82% 59.68 4502 JP Equity 168 8,600 45.47 46.36 4.18 0.47% 50.33 4689 JP Equity (146) 4,252 4.62 4.47 -3.52 0.98% 67.79 5 HK Equity (183) (4,150) 10.16 10.61 -8.80 0.50% (35.58) 5108 JP Equity 253 7,634 36.08 37.27 3.57 0.93% 15.01 5401.1P Equity 3.07 - 6301.1P Equity 24 4,173 22.56 22.69 0.75 0.75% 61.33 6752 JP Equity 12.17 - 6902 JP Equity 47.37 - 6954 JP Equity 998 7,571 160.05 181.15 15.06 0.88% 127.04 7201.1P Equity 168 5,116 9.48 9.79 4.29 0.77% 25.37 7203 JP Equity 20 4,106 59.89 60.18 0.76 0.65% 23.83 7267 JP Equity 19 (2,805) 35.34 35.10 1.04 0.65% - 762 HK Equity 1.71 241.07 7751 JP Equity 138 9,172 33.01 33.50 2.73 0.55% 24.82 8031.1P Equity 69 9,105 16.13 16.25 1.30 0.59% 39.69 8058 JP Equity 893 11,969 19.84 21.32 12.45 0.60% - 8106 JP Equity 5.92 (54.72) 8316 JP Equity (66) (3,372) 39.96 40.74 -2.53 0.77% 137.69 84111P Equity (184) 8,561 2.02 1.98 -5.46 0.39% - 8604 JP Equity 6.57 13.53 8801.1P Equity 326 6,151 31.79 33.47 6.50 0.82% 8802 JP Equity (1) (2,263) 24.88 24.88 -0.03 0.96% (6.99) 9020.1P Equity 612 9,800 78.94 83.87 8.66 032% 10.74 941 HK Equity 10.95 - 9432 JP Equity 1,901 11,412 56.36 65.74 22.06 0.76% (76.09) 9433 JP Equity 215 9,967 58.51 59.78 2.63 0.82% 119.80 9437 JP Equity 314 4,896 17.09 18.19 9.78 0.66% 109.90 9983 JP Equity (23) (2,292) 322.77 325.98 -1.18 0.84% (40.00) EFTA00288645 9984 JP Equity (55) 5,645 74.35 73.64 -1.16 0.84% 2.47 AAPL US Equity 2,441 10,439 79.80 98.46 34.07 0.69% 147.25 ABB US Equity 23.98 - ABBN VX Equity (243) (7,476) 23.20 23.95 -5.37 0.60% (25.58) ABBV US Equity 191 6,570 52.10 53.61 3.54 0.82% (2.16) ABEV US Equity (118) (5,506) 7.24 7.40 -2.56 0.84% 26.22 ABEV3 BZ Equity (76) (5,164) 7.31 7.42 -1.43 1.03% 35.49 ABI BB Equity 482 12,645 105.88 109.92 7.34 0.52% (172.51) ABT US Equity 732 9,473 39.80 42.87 12.24 0.63% (22.26) ABX CN Equity (125) (5,037) 18.17 18.62 -2.57 0.96% (42.34) ABX US Equity (117) (4,849) 18.17 18.61 -2.52 0.96% (30.45) ACA FP Equity (34) (1,460) 14.06 14.39 -2.07 1.13% 9.91 ACE US Equity 582 11,741 98.27 103.14 11.48 0.43% (72.25) ACN US Equity 277 8,563 77.97 80.49 9.02 0.36% 7.28 ADP US Equity 539 10,491 78.30 82.32 15.41 0.33% (10.17) AR US Equity 152 10,226 62.46 63.39 4.22 0.35% (34.09) AGN US Equity 5,247 10,917 114.88 170.09 61.95 0.78% (24.63) Al FP Equity (79) 1,778 137.59 131.75 -6.31 0.70% 0.10 AIG US Equity 455 12,241 51.90 53.82 7.27 0.51% (125.97) AIR FP Equity 507 (6,344) 64.70 59.53 7.73 1.03% 83.39 ALV GR Equity 94 10,261 171.02 172.58 1.67 0.55% (86.52) ALVG IX Equity 120 9,641 170.39 172.51 2.25 0.55% (113.30) AMGN US Equity 505 11,177 117.07 122.36 6.49 0.70% (10.59) AMT US Equity 2,445 13,269 78.17 92.57 46.19 0.40% 19.66 AMZN US Equity 2 (2,245) 319.74 319.39 0.09 1.25% 4.19 ANZ AU Equity 791 12,947 29.78 31.60 11.16 0.55% (25.56) AM US Equity 1,281 12,393 91.83 101.33 12.33 0.84% (84.57) APC US Equity 451 6,564 100.97 107.92 7.07 0.97% (104.42) AXP US Equity 2,878 12,579 74.65 91.73 49.40 0.46% (44.24) AZN LN Equity 6,241 12,950 50.16 74.34 75.01 0.64% (70.42) AZN SS Equity 5,614 12,372 51.16 74.38 76.74 0.59% (59.22) AZN US Equity 6,061 13,079 50.64 74.11 70.17 0.66% (104.56) BA US Equity (350) 6,400 129.56 122.85 -7.17 0.76% (23.54) BAC US Equity 31 8,241 15.44 15.50 0.49 0.77% (46.79) BARC LN Equity 3.71 BAS GR Equity 535 7,259 100.38 107.78 9.01 0.82% (77.19) BATS LN Equity 893 9,427 55.12 60.34 15.25 0.62% 51.15 BAX US Equity 188 8,474 74.80 76.45 4.53 0.49% (16.49) BAYN GR Equity (298) 11,012 137.25 133.63 -4.23 0.64% 3.43 BBAS3 BZ Equity 13.08 - BBD US Equity 418 5,475 14.62 15.73 6.39 1.20% (42.18) BBOC4 BZ Equity 409 5,427 14.64 15.74 5.97 1.26% (57.92) BBL US Equity 70.50 BBVA SM Equity 857 3,825 10.30 12.61 24.63 0.91% (31.74) BCE CN Equity 166 10,241 45.03 45.76 3.47 0.47% 18.18 BCS US Equity 14.86 - BEN US Equity 279 6,278 54.92 57.36 7.19 0.62% 6.74 EFTA00288646 BG/ IN Equity 47 (4,743) 20.69 20.49 1.00 1.00% (23.76) BHP AU Equity 636 11,120 34.69 36.67 7.45 0.77% 10.78 BHP US Equity 586 9,032 68.75 73.21 7.54 0.86% (8.68) BBB US Equity 388 1,066 245.93 335.54 32.33 1.13% 0.89 BIL SJ Equity 35.11 - BK US Equity 1,941 11,358 33.73 39.50 23.17 0.74% 25.84 BLK US Equity 193 7,520 307.81 315.72 4.05 0.63% 16.37 BLT IN Equity 35.26 - BMO CN Equity 2,083 17,075 67.96 76.25 32.71 0.37% 17.91 BMW GR Equity 1,305 6,162 102.66 124.40 24.34 0.87%[ (167.99) BMY US Equity - 1,231 49.60 49.60 0.00 0.63% 9.03 BN FP Equity 74.71 - BNP FP Equity 191 (5,794) 68.94 66.68 3.28 1.00% 46.65 BNS CN Equity 2,139 15,655 60.07 68.28 33.97 0.40% 36.04 BP/ LN Equity 822 12,727 7.94 8.45 10.98 0.59% (80.99) BRK/B US Equity 868 15,648 121.13 127.85 16.84 0.33% 16.86 BSBR US Equity 59 5,698 6.81 6.88 1.05 0.99% (36.33) BUD US Equity 459 11,940 105.71 109.78 6.37 0.60% (162.20) BX US Equity 299 6,625 32.52 33.98 4.26 1.06% (104.94) C US Equity 232 6,595 48.07 49.76 5.21 0.68% (43.01) CA FP Equity 36.23 CAT US Equity 2,087 16,300 92.03 103.81 21.63 0.59% (172.16) CBA AU Equity 1,826 18,926 70.38 77.17 20.60 0.47% (22.62) CBS US Equity (369) 7,287 60.58 57.66 .4.52 1.12% (24.28) CCL US Equity 36.48 CELG US Equity 8 (534) 88.66 87.26 0.56 2.83% (2.48) CFR VX Equity (194) 10,967 99.43 97.70 -3.00 0.59% 43.61 CL US Equity 2,691 23,685 60.46 67.33 28.17 0.40% (156.28) CM CN Equity 1,393 13,918 85.07 93.58 24.12 0.41% 83.50 CMCSA US Equity 658 11,232 51.48 54.50 8.51 0.69% (21.04) CMCSK US Equity 6,133 15,946 39.22 54.30 61.32 0.63% (40.95) CNI US Equity 4,414 14,430 52.31 68.32 50.32 0.61% (50.43) CNQ CN Equity 2,304 12,999 37.91 44.64 23.03 0.77%' (207.29) CNR CN Equity 4,362 14,238 52.32 68.35 48.23 0.64% 5.88 COF US Equity 1,339 9,398 71.32 81.49 23.31 0.61% (45.92) COP US Equity 1,156 12,885 78.45 85.49 14.29 0.63% (90.34) COST US Equity 256 12,643 114.93 117.26 5.86 0.35% (18.15) COV LN Equity KWA N/A COV US Equity 2,703 7,850 64.85 87.19 26.25 1.31% (109.22) CRM US Equity (24) 3,835 54.50 54.16 -0.57 1.10% (34.76) CS FP Equity (33) 2,180 24.08 23.73 -1.76 0.85% (13.04) CSCO US Equity 492 12,884 24.90 25.85 9.15 0.42% (31.49) CSX US Equity 2,069 10,688 25.78 30.77 47.30 0.41% (118.46) CVE CN Equity 30.26 CVS US Equity 2,698 12,780 64.83 78.51 44.56 0.47% (94.87) CVX US Equity 179 8,549 130.48 133.22 3.43 0.61% (23.25) D US Equity 1,295 7,953 60.80 70.69 24.53 0.66% 89.53 EFTA00288647 DAI GR Equity 85.20 D8K GR Equity 899 (7,909) 40.31 35.73 10.82 1.05% 127.84 DD US Equity 65.26 DDAIF US Equity 84.90 DE US Equity (10) 808 86.87 85.76 -2.26 0.57% (4.22) DELI. US Equity #WA WA DG FP Equity 71.00 DGE LN Equity (65) 3,082 31.21 30.57 -3.77 056% (4.81) DHR US Equity (252) 11,611 76.81 75.18 -3.91 0.55% (79.07) DIS US Equity 2,756 12,485 71.06 86.75 43.81 0.50% 86.98 DISCA US Equity (136) (3,861) 80.18 83.01 -3.42 1.03% (8.70) DNB NO Equity 95 8,725 17.95 18.15 1.39 0.79% (62.54) DOW US Equity 3,341 7,396 37.11 53.88 91.56 0.49% 20.37 DPW GR Equity 32.79 DTE GR Equity 464 10,164 15.65 16.36 7.11 0.64% (7.98) DTV US Equity 4,173 11,097 62.68 86.25 137.11 0.27% (10.42) DUK US Equity (109) (2,708) 71.20 74.07 -5.62 0.72% (24.88) DVN US Equity 2,639 15,383 66.44 77.84 28.93 0.59% (117.95) EBAY US Equity (157) (3,128) 50.12 52.63 -7.90 0.64% 9.95 ECL US Equity 519 11,898 106.13 110.76 9.55 0.46% 39.02 EDF FP Equity 31.56 - EMC US Equity 1,966 12,257 25.48 29.57 23.02 0.70% 226.75 EMR US Equity 12 8,739 66.80 66.89 0.27 0.53% (71.50) EMI CN Equity 1,472 12,532 45.66 51.02 19.22 0.61% 10.85 ENEL IM Equity 2,443 8,902 4.48 5.71 31.49 0.87% (45.49) ENI IM Equity 1,004 13,637 24.69 26.50 10.63 0.69% (32.14) EOAN GR Equity 66 7,125 19.44 19.62 1.21 0.77% (64.57) EOG US Equity 3,264 5,841 72.84 113.55 64.53 0.87% (112.44) EPD US Equity 3,260 14,612 64.66 79.09 39.61 0.56% 49.15 ERICB SS Equity 12.69 ESRX US Equity 66.17 ETN US Equity 315 8,219 73.83 76.66 5.11 0.75% (83.27) F US Equity 333 11,031 17.09 17.61 5.10 0.59% (31.28) F8 US Equity 1,840 2,630 44.06 74.87 53.64 1.30% (22.87) FCX US Equity 852 8,796 34.61 37.96 11.28 0.86% 9.16 FDX US Equity 662 6,811 136.00 149.22 14.93 0.65% (99.92) FOX US Equity (280) 8,704 33.32 32.28 -4.07 0.79% (83.61) FOXA US Equity (363) 7,483 34.11 32.53 •5.42 0.90% (95.38) FP FP Equity 1,497 15,659 63.30 69.36 11.81 0.81% 120.54 G IM Equity 20.57 GE US Equity 1,527 10,512 22.32 25.56 24.70 0.59% (119.62) GILD US Equity 949 7,021 80.25 91.10 13.18 1.02% 135.53 GIS US Equity 1,003 25,323 50.89 52.91 9.41 0.42% 39.62 GLE FP Equity 51.67 GLEN LN Equity 6.32 GLW US Equity 4,126 12,136 16.41 21.99 54.18 0.63% (24.07) GM US Equity (274) 11,236 35.78 34.93 -3.00 0.81% (10.00) EFTA00288648 GOOG US Equity 432 8,672 561.32 589.29 7.00 0.71% 4.23 GS US Equity 733 11,132 164.80 175.66 10.17 0.65% 21.65 GSK LN Equity (90) 1,141 26.06 24.16 -11.39 0.69% (7.24) GSZ FP Equity 323 10,330 25.62 26.42 4.42 0.71% (157.44) HAL US Equity 3,187 8,541 52.84 72.56 44.66 0.84% (122.27) HD US Equity 684 17,619 78.01 81.04 8.31 0.47% 4.81 HMB SS Equity (147) 10,012 42.52 41.90 -2.59 0.57% (45.77) HON US Equity 6,600 11,930 61.10 94.90 117.91 0.47% (186.28) HPQ US Equity 2,960 8,313 26.16 35.47 59.82 0.60% 42.39 HSBA LN Equity 274 8,008 10.34 10.69 5.58 0.61% 102.90 IBE SM Equity 2,635 7,531 5.56 7.51 62.37 0.56% (32.26) IBM US Equity (250) (5,461) 186.82 195.36 -7.66 0.60% (17.01) IMT LN Equity 2,813 14,380 37.31 44.61 21.67 0.90% 141.60 INTC US Equity 5,366 14,296 24.80 34.11 51.60 0.73% (38.71) ISP IM Equity 3.09 ITUB US Equity 8 5,715 15.88 15.90 0.12 1.16% (30.57) ITUB4 BZ Equity 40 4,601 15.79 15.93 0.73 1.20% (37.46) ITW US Equity 3,481 14,011 67.84 84.69 53.87 0.46% (108.74) ITX SM Equity 30.16 JCI US Equity (146) 7,794 49.35 48.45 -2.89 0.65% (16.68) JNJ US Equity 6,137 20,338 78.39 102.05 63.09 0.48% 7.71 JPM US Equity 504 10,159 56.23 59.02 7.73 0.64% 0.70 KMB US Equity - 1,231 108.15 108.15 0.00 0.43% (7.88) KMI US Equity 37.76 - KO US Equity (134) 9,510 41.30 40.72 -3.10 0.46% (50.13) LBTYA US Equity (187) 5,724 43.88 42.49 -4.90 0.67% 23.95 LBTYK US Equity (190) 7,489 41.89 40.85 -4.00 0.63% (27.24) LIN GR Equity 230 12,928 202.91 206.51 3.37 0.53% 20.29 LLOY LN Equity 94 2,680 1.23 1.27 4.44 0.79% (8.70) LLY US Equity 387 7,377 60.16 63.31 9.21 0.57% (54.64) LMT US Equity 317 5,536 160.50 169.70 8.92 0.64% (10.86) LNKD US Equity 21 (3,154) 178.22 177.04 0.49 1.35% 1.54 LOW US Equity 44 7,548 47.35 47.63 1.31 0.45% (22.11) LVS US Equity (11) 3,103 74.11 73.85 -0.43 0.83% 28.93 LYB US Equity 1,921 2,297 59.29 108.87 110.01 0.76% 76.94 MA US Equity 50 6,084 75.27 75.88 1.03 0.79% 15.90 MAERSKB DC Equity 6,329 14,377 1,651.64 2,378.76 50.89 0.87% (72.07) MC FP Equity (265) 4,409 187.70 177.04 -7.84 0.77% (16.87) MCD US Equity • 1,231 95.67 95.67 0.00 0.43% 0.74 MCK US Equity 347 2,181 164.92 191.15 27.61 0.58% (19.99) MDIZ US Equity 4,511 13,763 28.74 38.16 71.70 0.46% 6.42 MDT US Equity 9,388 20,811 43.22 62.72 73.24 0.62% (104.26) MET US Equity 1,718 7,767 44.61 54.48 35.67 0.62% (55.44) MFC CN Equity 1,729 4,903 15.08 20.40 59.01 0.60% (4.03) MHS US Equity #WA WA MMM US Equity 10,567 21,331 96.89 144.89 147.18 0.34% (37.21) MO US Equity 1,514 13,316 37.33 41.57 16.15 0.70% (48.18) EFTA00288649 MON US Equity 996 12,758 106.90 115.24 10.63 0.73% (112.22) MOS US Equity 47.35 - MRK US Equity 1,830 13,912 51.28 58.02 25.93 0.51% (33.35) MS US Equity 286 5,272 31.36 33.06 7.51 0.72% (35.90) MSFT US Equity 2,101 9,448 36.13 44.17 34.89 0.64% (82.03) MUV2 GR Equity 661 6,116 197.70 219.06 18.30 0.59% (40.64) NAB AU Equity 369 10,650 31.52 32.61 6.49 0.53% 47.58 NCM AU Equity 10.21 - NEE US Equity 5,397 15,275 73.39 99.32 65.77 0.54% 158.14 NEM US Equity 10 (1,051) 25.66 25.42 0.86 1.08% (16.40) NESN VX Equity 896 12,449 71.26 76.39 19.78 0.36% (50.42) NG/ LN Equity 3,205 13,901 12.07 14.85 50.88 0.45% 83.08 NKE US Equity 492 5,145 71.37 78.20 13.93 0.69% 12.80 NOK US Equity 4,771 4,498 3.96 8.17 80.47 1.32% (63.57) NOV US Equity 682 12,716 80.09 84.38 9.18 0.58% (109.91) NOVN VX Equity 6,862 22,067 67.10 87.97 78.38 0.40% (194.06) NOVOB DC Equity 1,225 12,288 41.52 45.67 18.20 0.55% (11.29) NSC US Equity 3,058 10,834 82.27 105.50 42.22 0.67% (250.43) NVS US Equity 5,360 18,466 68.02 87.76 63.00 0.46% (199.74) OGXP3 BZ Equity 4,031 (4,107) 4.39 0.08 86.30 1.14% 289.95 OR FP Equity 167 11,677 168.96 171.37 3.06 0.47% 1.95 ORA FP Equity 1,219 8,559 13.80 15.77 19.58 0.73% 27.42 ORCL US Equity 1,598 9,129 34.50 40.54 25.14 0.70% 39.33 OXY US Equity 348 10,929 96.82 99.90 4.96 0.64% (42.99) PBR US Equity 197 4,517 16.30 17.01 3.23 1.35% (50.08) PBR/A US Equity 169 4,034 17.39 18.11 3.04 1.38% (42.41) PCLN US Equity 269 5,110 1,174.29 1,236.02 8.18 0.64% 29.69 PCP US Equity (301) 3,227 255.39 233.59 -11.87 0.79% 4.45 PEP US Equity 1,142 14,142 84.13 90.92 14.95 0.54% (121.14) PETR3 BZ Equity 8.52 PETR4 BZ Equity 9.08 PFE US Equity 34 8,419 29.91 30.03 0.79 0.52% (44.96) PG US Equity (4) 11,013 79.25 79.22 .0.10 0.36% (55.55) PHIA NA Equity 31.58 PM US Equity (361) 11,156 87.20 84.46 -4.46 0.73% (54.20) PNC US Equity 787 10,761 78.28 84.00 12.55 0.58% (99.90) POT CN Equity (23) 9,967 36.61 36.52 -0.34 0.67% 23.41 POT US Equity (68) 10,582 36.74 36.51 -0.93 0.68% 10.09 PRU LN Equity 9,020 10,521 12.76 23.70 132.74 0.65% (15.07) PSA US Equity 1,090 14,244 162.78 175.23 23.53 0.33% 65.47 PSX US Equity 1,652 6,695 66.16 82.49 32.95 0.75% 3.50 PX US Equity 2,425 17,041 114.23 130.48 38.05 0.37% 47.24 QCOM US Equity 665 5,148 67.10 75.76 17.79 0.73% (24.75) QQQ US Equity 3,715 17,569 79.74 96.60 53.51 0.40% (4.76) RAI US Equity 619 12,340 54.05 56.76 4.61 1.09% (29.91) RDS/A US Equity 1,013 12,883 75.73 81.68 15.50 0.51% (61.26) RDS/B US Equity 987 11,427 78.85 85.66 14.61 0.59% (90.98) EFTA00288650 RDSA LN Equity 1,089 12,402 37.55 40.85 19.69 0.45% (79.98) RDSA NA Equity 905 12,492 38.08 40.84 15.46 0.47% (72.81) RDSB LN Equity 1,021 12,149 39.49 42.80 17.78 0.47% (87.11) REGN US Equity 300.90 RIO AU Equity 572 7,642 56.95 61.21 7.84 0.95% 4.00 RIO LN Equity 341 4,819 54.31 58.16 7.06 1.00% (1.30) RIO US Equity 372 4,934 54.34 58.44 7.87 0.96% 22.00 ROG VX Equity 6,523 17,035 212.78 294.26 70.05 0.55% (78.82) RY CN Equity 1,509 15,233 67.29 73.95 24.69 0.40% 25.33 SAB LN Equity 1,638 13,023 50.36 56.70 18.46 0.68% (3.83) SAN FP Equity (80) 3,213 105.29 102.72 •5.17 0.48% 8.36 SAN SM Equity 1,662 9,880 8.73 10.20 19.25 0.87% (61.89) SAN US Equity 1,301 7,980 8.73 10.16 15.02 1.09% (67.32) SAP GR Equity 360 8,587 77.21 80.45 5.94 0.71% (34.28) SAP US Equity 341 8,173 77.22 80.44 5.52 0.76% (29.54) SBUX US Equity 759 15,938 74.92 78.48 7.59 0.63% (39.67) SGO FP Equity 49.68 SI US Equity RN/A N/A SIE GR Equity 125.23 SLB US Equity 2,958 10,752 87.56 111.65 33.88 0.81% (47.87) SMSN LI Equity (72) (4,831) 650.18 659.88 -1.62 0.92% (27.52) SO US Equity 306 11,861 44.11 45.25 4.30 0.60% 130.39 SPG US Equity 102 12,778 168.98 170.32 2.04 0.39% 73.23 SREN VX Equity 87.01 - STAN LN Equity 173 (7,339) 21.38 20.88 3.12 0.75% (93.31) STL NO Equity 1,025 11,818 26.89 29.22 12.81 0.68% (119.09) STT US Equity 620 8,981 66.55 71.14 10.55 0.65% (18.81) SU CN Equity 1,462 14,944 38.21 41.94 12.23 0.80% (83.20) SU FP Equity 403 10,184 87.64 91.11 4.44 0.89% (31.06) SU US Equity 1,492 15,335 38.21 41.93 12.32 0.79% (112.35) SWEDA SS Equity 108 5,874 25.79 26.27 2.73 0.67% (30.16) SYNN VX Equity 187 (6,953) 364.98 355.16 3.28 0.82% 57.97 T US Equity (28) (4,680) 35.45 35.66 -1.53 0.40% (13.27) TD CN Equity 1,847 16,571 47.27 52.53 29.79 0.37% 86.97 TEF SM Equity 94 9,929 16.31 16.47 1.62 0.58% 0.18 TEF US Equity 113 8,452 16.22 16.44 1.85 0.72% 13.99 TGT US Equity 436 (9,289) 63.18 60.21 8.28 0.57% 39.78 TJX US Equity 113 (4,578) 54.05 52.72 3.58 0.69% (1.29) TLS AU Equity 1,346 16,113 4.72 5.11 16.99 0.49% (82.96) TLSN SS Equity 7.68 - TM US Equity 33 5,594 119.61 120.32 1.12 0.53% 28.29 TMO US Equity 9,753 10,218 63.59 124.28 203.90 0.47% (118.37) TOT US Equity 1,021 8,160 61.65 69.36 13.72 0.91% 73.12 TRP CN Equity 670 12,878 49.11 51.66 8.54 0.61% (18.28) TRV US Equity 632 16,116 88.20 91.66 7.85 0.50% (108.91) TSCO LN Equity 1,216 (7,272) 5.49 4.57 17.09 0.98% 78.56 TWC US Equity 1,238 5,234 120.22 148.67 35.44 0.67% (5.29) EFTA00288651 TWX US Equity 2,523 11,604 70.04 85.26 15.94 1.36% 66.39 TXN US Equity 4,216 12,205 34.93 46.99 66.10 0.52% (16.09) TYC US Equity 13,280 24,080 29.17 45.25 100.11 0.55% 10.65 UBS US Equity 18.30 UBSN VX Equity 198 (5,827) 18.90 18.26 4.72 0.72% 55.09 UCG IM Equity 8.07 ULVR LN Equity 226 7,646 43.35 44.63 5.50 0.54% (2.08) UNA NA Equity 48 8,550 42.33 42.57 1.01 0.56% 28.74 UNH US Equity 3,401 10,929 65.20 85.49 38.86 0.80% 154.98 UNP US Equity 2,682 14,872 85.39 100.79 37.96 0.48% (175.18) UPS US Equity 4,191 14,806 79.87 102.48 64.82 0.44% (234.66) USB US Equity 3,191 14,625 34.87 42.48 45.68 0.48% (96.36) UTX US Equity 108.68 V US Equity 328 12,503 208.52 213.99 3.93 0.67% 38.30 VALE US Equity (5) (481) 14.63 14.77 -0.92 1.04% (7.92) VALE3 BZ Equity - 775 14.75 14.75 0.00 1.19% 10.69 VIAB US Equity 3,890 9,746 61.33 85.80 65.32 0.61% (23.34) VIV FP Equity 24.93 VMW US Equity 450 4,886 89.33 97.56 10.95 0.84% 24.62 VOD LN Equity 391 (4,209) 3.78 3.43 6.67 1.39% (0.67) VOD US Equity 362 (4,063) 37.68 34.32 10.91 0.82% (7.04) VOW3 GR Equity 237.57 VRX CN Equity (19) 3,022 124.44 123.66 -0.59 1.08% 10.72 VRX US Equity (24) 3,207 124.45 123.53 -0.75 0.99% 5.25 VII US Equity 888 5,134 86.91 101.94 52.65 0.33% (13.66) VWO US Equity 404 9,852 43.24 45.01 9.07 0.45% 33.10 VZ US Equity 51.40 WBC AU Equity 489 11,844 30.87 32.14 7.81 0.53% (28.71) WES AU Equity 532 15,919 39.35 40.67 6.14 0.54% (21.73) WFC US Equity 3,859 13,253 39.86 51.46 62.23 0.47% (56.04) WLP US Equity 5,792 12,743 78.92 114.78 68.91 0.66% 271.81 WMT US Equity (73) 9,262 76.31 75.71 -2.22 0.36% (30.81) WOW AU Equity (139) 4,724 34.80 33.81 -5.39 0.55% (10.03) XOM US Equity 2,052 16,573 92.53 103.99 19.36 0.64% 124.05 XTA LN Equity tiN/A N/A YHOO US Equity 80 2,439 34.76 35.90 2.22 1.48% (13.39) YUM US Equity (78) 4,200 75.43 74.06 -2.49 0.74% (0.96) ZURN VX Equity 96 9,344 295.49 298.54 2.06 0.50% (135.44) Current Portfolio • Global Macro Portfolio Current Price P/L In Vol 30P Realized Change on Day Security MTM Gain/(Loss) Exp. @ Cost Avg. Price (in USD) Days Vol (in USD) SPX Index 22,382 62,272 1,455.70 1,978.91 97.59 0.37% 24.39 NDX Index 15,003 38,177 2,848.04 3,967.24 83.69 0.47% 27.88 RTY Index 98 18,515 1,133.51 1,139.50 0.79 0.67% (84.86) EFTA00288652 SPTSX Index 4,163 48,100 13,158.28 14,297.16 19.66 0.44% 15.14 MEXBOL Index 708 26,362 3,337.29 3,426.91 6.14 0.44% (13.78) IBOV Index 1,934 94,594 25,350.69 25,869.04 2.34 0.88% (377.71) MERVAL Index 1,049 22,139 915.40 958.77 2.05 2.31% (244.76) UKK Index 4,846 49,421 10,501.74 11,531.57 21.48 0.46% 36.13 DAX Index 6,278 30,604 10,704.86 12,900.90 29.21 0.70% (142.51) CAC Index 234 (57,501) 5,863.68 5,839.81 0.54 0.76% (241.34) IBEX Index 10,515 43,174 11,759.39 14,623.54 35.25 0.69% 7.01 SMI Index 6,341 53,702 8,442.28 9,439.07 26.61 0.44%I (223.82) FTSEMIB Index 328 7,019 26,886.83 28,144.22 4.34 1.08% (36.81) P5120 Index 2,758 (94,327) 8,956.04 8,694.18 2.49 1.18% (368.78) ISEQ Index 571 (59,590) 6,404.69 6,343.32 1.40 0.68% (85.79) ICEXI Index (162) (15,115) 7.19 7.27 -2.17 0.49% 191.24 AEX Index 3,040 29,095 492.48 543.93 18.13 0.58% 16.00 BEL20 Index 1,478 12,695 3,807.55 4,250.80 21.29 0.55% (8.43) LUXXX Index 10,740 41,632 1,672.08 2,103.42 43.44 0.59% (196.45) KFX Index 12,306 40,987 102.53 133.31 58.07 0.52% (122.11) HEX Index 8,767 45,041 8,658.69 10,344.06 35.95 0.54% (242.31) OMX Index • 16,409 205.00 205.00 0.00 0.62% (75.11) ATX Index 1,329 (44,635) 3,249.93 3,153.18 4.15 0.72% 502.13 ME Index 18 6,853 1,626.56 1,630.81 0.22 1.19% (1.28) OSEBX Index 3,967 29,902 87.49 99.10 19.47 0.68% (312.76) INDEXCF Index 1,761 (43,307) 39.99 38.36 3.04 1.34% L 1,320.09 TOP40 index 3,966 44,616 4,057.53 4,418.19 15.36 0.58% 69.29 SENSEX Index 7,122 48,389 377.03 432.52 20.98 0.70% (320.10) NKY Index 1,470 30,686 145.52 152.49 8.99 0.53% 145.63 HSI Index 3,217 46,705 2,948.93 3,152.04 14.49 0.48% 437.67 SHCOMP Index (294) (9,758) 341.67 351.98 .5.51 0.55% (235.33) KOSPI Index 2,740 45,441 1.88 2.00 12.02 0.50% 355.90 AS51 Index 2,036 36,170 4,967.57 5,247.21 10.46 0.54% (29.69) STBCNZL Index 36,104 73,207 444.47 663.67 154.42 0.32% (190.73) EEM US Equity 145 8,257 44.31 45.09 3.48 0.50% 58.16 IYR US Equity 524 15,110 70.72 73.17 9.72 0.36% 94.58 MDY US Equity 5,510 14,269 184.03 255.09 87.28 0.44% (34.83) JNK US Equity (40) 6,531 41.38 41.13 -4.31 0.14% (7.88) XLF US Equity 6,403 13,610 15.57 22.90 104.82 0.45% 8.74 XLU US Equity 1,004 11,089 39.46 43.03 12.60 0.72% 168.13 XLK US Equity 3,771 13,272 30.99 39.79 64.37 0.44% 30.04 XLI US Equity 6,475 16,147 38.20 53.52 89.07 0.45% (113.55) XLP US Equky 697 13,034 42.30 44.56 13.64 0.39% (70.51) XLY US Equity 1,567 12,582 59.54 66.95 24.66 0.50% 27.53 XLE US Equity 1,566 14,589 89.95 99.60 18.63 0.58% (38.83) XLB US Equity 5,042 15,233 37.75 50.24 91.27 0.36% 52.60 XLV US Equity 14,421 24,346 38.87 61.89 111.05 0.53% 37.62 SXXP Index 6,213 49,038 407.21 458.80 23.64 0.54% (49.28) SXAP Index 545 2,079 521.95 658.93 32.40 0.81% (48.77) SXKP Index 927 14,304 378.31 402.84 11.42 0.57% 18.70 EFTA00288653 SX6P Index 7,968 39,503 360.60 433.34 36.01 SXEP Index 3,203 55,125 460.42 487.17 9.02 SXIP Index 11,705 28,923 222.31 312.27 70.52 SXNP Index 342 (57,657) 547.23 543.98 0.95 SX3P Index 1,179 33,646 682.29 706.20 8.02 SXDP Index 26,765 61,074 609.16 876.11 104.21 SX4P Index 2,639 31,185 939.56 1,019.06 11.82 SX8P Index 256 11,378 376.46 384.92 3.34 SXOP Index 436 (60,271) 461.61 458.27 0.99 SXQP Index 375 47,963 808.69 815.02 1.39 SXRP Index 1,263 (62,770) 422.15 413.66 3.83 SXMP Index (129) 81,238 335.28 334.75 -0.27 SXTP Index 53 (10,383) 263.69 262.34 0.88 SX7E Index (210) (10,726) 193.14 196.91 -1.66 SXSE Index 1,802 13,379 3,756.79 4,262.88 17.39 SPGSCITR Index (1,516) 65,680 5,027.69 4,914.23 -5.62 XAG Curncy 132 (7,608) 20.95 20.58 2.14 CO1 Comdty 503 (89,512) 108.18 107.57 0.89 CL1 Comdty 464 36,479 100.39 101.67 2.02 NG1 Comdty 3,461 (61,837) 3.97 3.75 4.21 XAU Comdty (558) (31,099) 100.39 102.19 -3.18 IBOXHY Index 3,901 53,418 220.12 236.19 105.77 US_TSY CREDIT 576 100,443 765.33 769.72 5.24 CA_TSY CREDIT 1,265 309,688 1,238.04 1,243.10 1.95 MX_TSY CREDIT 2,408 121,882 222.97 227.38 8.31 AU TSY CREDIT 3,739 90,775 1,512.49 1,574.78 15.28 JP_TSY CREDIT (146) 89,848 824.28 822.94 -0.85 MY_TSY CREDIT 3,226 136,346 171.16 175.21 10.98 SG_TSY CREDIT 1,430 132,728 223.14 225.54 6.58 AT_TSY CREDIT 4,629 81,569 358.40 378.74 21.99 BE_TSY CREDIT 6,390 79,771 477.76 516.03 29.97 FI_TSY CREDIT 3,849 85,645 349.64 365.36 18.06 FR_TSY CREDIT 5,087 82,246 1,684.51 1,788.69 23.67 DE_TSY CREDIT 2,893 84,524 1,247.55 1,290.25 13.62 IE_TSY CREDIT 33,486 78,270 336.92 481.07 174.64 IT_TSY CREDIT 9,512 54,986 1,616.07 1,895.64 66.74 NL_TSY CREDIT 4,076 82,865 1,330.92 1,396.38 19.54 ES_TSY CREDIT 11,685 50,187 392.28 483.62 94.79 DK_TSY CREDIT 3,095 67,396 729.23 762.72 17.80 NO_TSY CREDIT (346) 30,457 343.76 339.90 -4.09 PL_TSY CREDIT 2,034 35,151 429.04 453.87 16.93 ZA_TSY CREDIT (812) (21,261) 83.15 86.32 -6.61 SE_TSY CREDIT 397 (55,965) 462.46 459.18 2.26 CH_TSY CREDIT 865 21,460 1,008.64 1,049.28 16.36 GB_TSY CREDIT 4,215 108,101 1,518.91 1,578.14 20.24 0.56% 162.09 0.64% 137.61 0.57% (38.82) 0.63% 108.38 0.44% (29.15) 0.42%' (229.31) 0.72% 89.71 0.67% (49.47) 0.73% 0.56% 0.53% 150.36 0.60% 62.69 0.58% (10.39) 1.18% 41.37 0.77% (2.90) 0.41%' (230.66) 0.81% 57.21 0.63% 0.63% 1.33% 0.56% 0.07% (12.42) 0.11% 0.21% 0.24% 0.27% 12.61 0.19% 77.46 0.22% 47.81 0.16% (65.40) 0.26% 84.29 0.27% 135.46 0.25% 63.73 0.26% 115.87 0.25% 77.30 0.24% 0.26% 0.25% 74.15 0.25% 233.72 0.26% 101.81 0.28% (19.48) 0.34% 9.01 0.58% 131.81 0.31% 79.67 0.25% 29.61 0.19% 81.90 201.30 212.13 680.98 (151.99) 587.18 (180.38) I (90.48) (574.27) (544.23) 288.80 231.85 EFTA00288654