EFTA00288655.pdf

Atorus, LLC 8/4/2014 Current Date: 8/4/2014 Change on Day: -0.06% Total Return since 1/1/12: 98.35% MSCI World Change on T12M Return: 35.67% Day 0.26% T90 Day Return: 6.63% No of Positions T30 Day Return: -5.75% (+MTM) on Day 213 Current Long Exposure @ Cost: 5,653,315 No of Positions (4A7M) Current Short Exposure @ Cost: (1,306,275) on Day 144 Net Exposure: 4,347,040 Current No. of Starting Capital: 1,000,000 Positions: 385 Current NAV: 1,983,504 Current Leverage (Gross Exposures): 3.51 MIS 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 T12M 62.23% Avg. Realized Gain / Avg. Realized Loss 3.17 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. 1.21 1.30 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. 2,200,030.00 2,000,000.00 1,400,000.00 1,400,000.00 1,400,000.00 1,200,000.00 1,000,000.00 800,000.00 600,000.00 N N N N N N en en 01 en M M O *I' .0* O O itS 01 0 0 0 0 0 0 0 0 0 01 04 OI IN IN IN N N N 01 0 0 0 0 i••• tn 01 .> 01 III O —NAV EFTA00288655 Atorus, LLC 8/4/2014 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 20 Positions INDEXCF Index (61,017) NG1 Comdty (61,837) CAC Index (62,017) SXNP Index (62,472) SXOP Index (69,139) NO_TSY CREDIT (70,342) SXRP Index (80,697) DE_TSY CREDIT 84,524 FI_TSY CREDIT 85,645 CO1 Comdty (89,512) AU TSY CREDIT 90,775 P512O Index (94,327) IBOV Index 94,594 US_TSY CREDIT 100,443 GB_TSY CREDIT 108,101 JP_TSY CREDIT (120,012) MX_TSY CREDIT 121,882 SG_TSY CREDIT 132,728 MY_TSY CREDIT 136,346 CA_TSY CREDIT 309,688 Day NAV Impact of MTM by Category & Exposure Listed Equity Long 0.355% Listed Equity Short -0.017% EquityCom Long 0.262% EquityCom Short -0.001% G20 Rates Long 0.068% G20 Rates Short 0.061% 112r4 Contribution (% of total Yr/Yr NAV Change by Category) Listed Equities 28.92% EquityCom 60.81% G20 Rates 12.93% % of Total Notional Security MTM Gain % Total NAV 29.26%l 40 Positions 18.61% 0.88% DTV US Equity 4,086 0.21% 0.89% NOK US Equity 4,419 0.22% 0.89% AT_TSY CREDIT 4,636 0.23% 0.90% XLB US Equity 4,651 0.23% 0.99% XLI US Equity 4,653 0.23% 1.01% AGN US Equity 4,687 0.24% 1.16% HON US Equity 4,702 0.24% 1.21% FR_TSY CREDIT 5,055 0.25% 1.23% IBEX Index 5,118 0.26% 1.29% NVS US Equity 5,123 0.26% 1.30% MDY US Equity 5,127 0.26% 1.36% WLP US Equity 5,199 0.26% 1.36% INTC US Equity 5,219 0.26% 1.44% AZN SS Equity 5,399 0.27% 1.55% 1N1 US Equity 5,568 0.28% 1.72% MAERSKB DC Equity 5,606 0.28% 1.75% SENSEX Index 5,711 0.29% 1.91% CMCSK US Equity 5,834 0.29% 1.96% AZN US Equity 5,901 0.30% 4.45% XLF US Equity 5,966 0.30% AZN LN Equity 6,039 0.30% ROG VX Equity 6,130 0.31% BETSY CREDIT 6,349 0.32% NOVN VX Equity 6,604 0.33% HEX Index 7,429 0.37% PRU LN Equity 8,216 0.41% MDT US Equity 9,096 0.46% TMO US Equity 9,230 0.47% IT_TSY CREDIT 9,413 0.47% MMM US Equity 9,512 0.48% KFX Index 11,105 0.56% TYC US Equity 11,588 0.58% P5120 Index 11,599 0.58% ES_TSY CREDIT 11,629 0.59% XLV US Equity 14,001 0.71% NDX Index 14,219 0.72% SPX Index 20,674 1.04% SXDP Index 26,230 1.32% lE_TSY CREDIT 33,344 1.68% STBCNZL Index 34,116 1.72% EFTA00288656 No. Names by Category APAC Long 34 APAC Short 6 EMEA Long 53 (MEA Short 12 AMER Long 169 AMER Short 16 EquityCom Long 55 EquityCom Short 17 G20 Rates Long 19 G20 Rates Short 4 Total Long 330 Total Short 55 Current Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodlites, G20 Gov. Credit) $2,000,000 $1,500,000 $1,000,000 $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 EFTA00288657 Atorus, LLC 8/4/2014 Historical Net Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodites, G20 Gov. Credit) —APAC — Emu —AMER — EquityCom —G20 Rates . • NexEposule RIG 2,500,000 7,000,000 6,000,000 2,003000 5,000,000 1,503000 0,000,000 3,000,000 1,000,000 ( 2,000,000 500,000 Nt III 1,000,000 0 el -, (503,000) ast (1600,000) N N s-I 2 0 au -.... N rl 0 est ...., IN ..... 0 Al N 0 Ai -.... CO o N el CO o o Al N ..., el 0 Al el e-I 0 Al --% Tir r -I o N .-.7 'It T-1 o Al ..." .1 el 0 At -... el el 0 At -..7 (1,000,000) ss, ....... en -... ul t's ..... 01 Is.. .... s-0 ..... .... LA I.,. I... .... al I's.. ri t-i .... ri sss en 4... IA 4,.. t's (2000,003) (3,000,000) Historical Gross Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodlites, G20 Gov. Credit) EFTA00288658 Atorus, LIC 8/4/2014 Current Gross Notional Risk by Category • APAC • EMEA • AMER • EquityCom • G20 Rates Performance Vs. MSCI World Index 2.35 2.15 1.95 1.75 1.55 1.35 1.15 0.95 0.75 a a a N..% a a a 42, 0.2, a 0.2) j.,_b "r r ar ar ar r ar ^7 r r r Acytteet Al Rolling 30 Day Realized Volatility - EFTA00288659 Atorus, LLC 8/4/2014 Percentile Distribution of Current MTM Gains In Vol Days by Position (ex-99pct & ex-lst percentiles) MAO €OAO 5000 4000 2000 2000 10.00 °CO 10.00.0 . . % % % % 1* h 'h h •X 'X In nn Percentile No. Vol Da 0.00% -11.07 5.00% -6.52 10.00% -3.99 15.00% -1.84 20.00% -0.53 25.00% 0.23 30.00% 1.08 35.00% 2.38 40.00% 3.59 45.00% 4.85 50.00% 5.98 55.00% 7.88 60.00% 10.55 65.00% 13.51 70.00% 15.82 75.00% 20.27 80.00% 27.17 85.00% 39.08 90.00% 52.69 95.00% 74.52 100.00% 205.67 MTM Gains(Losses) % of NAV "Signficant" (<7 Vol Days) 1.58% MTM Gains(Losses) % of NAV "Signficant" (>7 Vol Days) 30.56% EFTA00288660 Atorus, LLC Current Portfolio -Listed Equity Portfolio Current Price P/L in Vol 30P Realized Change on Day Security MTM Galn/(Loss) Exp. # Cost Avg. Price (in USD) Days Vol (in USD) 8/4/2014 000270 KS Equity (0) 945 60.29 60.29 0.00 1.02% 29.90 005380 KS Equity 63 3,149 226.50 231.00 1.77 1.12% (49.19) 005490 KS Equity 320.85 005930 KS Equity 157 (5,024) 1,305.89 1,265.13 3.28 0.95% (3.95) 012330 KS Equity 293.98 1 HK Equity 1,824 14,064 16.37 18.49 14.11 0.92% (230.36) 1299 HK Equity 1,005 9,733 4.91 5.42 17.38 0.59% (61.28) 13 HK Equity 990 7,771 12.15 13.70 20.27 0.63% (34.47) 16 HK Equity 14.75 27 HK Equity (511) (4,202) 7.46 8.36 -9.18 1.33% (6.01) 2914 JP Equity 160 11,062 35.05 35.55 2.23 0.65% 91.84 3382 JP Equity 275 3,719 39.56 42.48 10.49 0.70% 7.38 40631P Equity 188 9,790 62.35 63.54 2.79 0.69% (48.11) 4502 JP Equity 19 8,600 45.47 45.57 0.52 0.42% (73.82) 4689 JP Equity (180) 2,551 4.61 4.30 -5.87 1.20% (24.60) 5 HK Equity 10.61 - 5108 JP Equity 3 7,634 36.08 36.09 0.05 0.95% 42.40 54011P Equity 3.02 63011P Equity (5) 4,173 22.56 22.54 A.17 0.78% (5.98) 67521P Equity 12.16 69021P Equity 46.33 6954 JP Equity 712 7,571 160.05 175.10 11.80 0.80% (32.37) 7201 JP Equity 186 5,116 9.48 9.83 4.20 0.86% (65.65) 7203 JP Equity (24) 1,971 59.88 59.17 -1.96 0.61% (10.16) 7267 JP Equity 38 (2,226) 35.30 34.69 2.26 0.76% - 762 HK Equity 1.76 145.39 7751 JP Equity 29 9,172 33.01 33.11 0.57 0.55% (42.21) 80311P Equity 48 9,105 16.13 16.22 1.00 0.53% 38.50 8058 JP Equity 838 11,969 19.84 21.23 11.21 0.62% - 81061P Equity 5.93 38.44 83161P Equity (85) (3,372) 39.96 40.97 -3.35 0.76% (46.18) 84111P Equity (312) 6,849 2.02 1.93 -10.47 0.43% - 8604 JP Equity 6.37 (52.97) 8801 JP Equity 279 6,151 31.79 33.23 6.64 0.68% 8802 JP Equity 83 (3,774) 24.87 24.33 2.44 0.90% 56.29 9020 JP Equity 144 7,840 78.94 80.39 2.53 0.73% (40.00) 941 HK Equity 11.02 94321P Equity 1,940 11,412 56.36 65.93 20.57 0.83% (149.87) 94331P Equity 93 9,967 58.51 59.06 1.03 0.90% 61.03 94371P Equity 170 6,364 17.25 17.71 3.69 0.72% (11.01) 99831P Equity (71) (2,292) 322.77 332.83 -3.80 0.82% 12.00 EFTA00288661 9984 JP Equity (270) 5,645 74.19 70.81 -5.87 0.81% (167.79) AAPL US Equity 2,084 10,665 80.12 95.78 26.20 0.75% (4.24) ABB US Equity 22.79 - ABBN VX Equity 128 (7,476) 23.20 22.80 2.38 0.72% ABBV US Equity 107 6,570 52.10 52.95 1.85 0.88% 83.58 ABEV US Equity 314 (5,506) 7.24 6.83 6.38 0.89% 47.40 ABEV3 BZ Equity 310 (5,164) 7.31 6.87 6.11 0.98% 21.66 ABI BB Equity 198 12,645 105.88 107.53 3.12 0.50% 50.22 ABT US Equity 581 9,473 39.80 42.24 10.22 0.60% 32.81 ABX CN Equity (8) (5,037) #WA N/A -0.20 0.83% ABX US Equity 32 (4,849) 18.17 18.05 0.77 0.85% 42.21 ACA FP Equity 4 (1,763) 13.79 13.76 0.17 1.25% (40.24) ACE US Equity 215 11,741 98.27 100.07 3.90 0.47% (31.55) ACN US Equity 117 8,563 77.97 79.03 3.23 0.42% 28.94 ADP US Equity 359 11,307 78.54 81.04 9.44 0.34% (67.21) AFL US Equity (118) 2,045 62.26 58.87 -11.01 0.52% (10.12) AGN US Equity 4,687 10,917 114.88 164.19 54.75 0.78% (100.02) Al FP Equity (32) 356 136.77 125.58 -11.07 0.81% (1.57) AIG US Equity 171 12,241 51.90 52.62 2.31 0.60% 149.00 AIR FP Equity 739 (6,344) 64.70 57.17 9.23 1.26% 5.42 ALV GR Equity (232) 6,157 170.78 164.59 -5.83 0.64% (23.73) ALVG IX Equity (195) 5,785 170.20 164.65 -5.17 0.65% (21.16) AMGN US Equity 1,023 11,752 117.64 127.88 9.19 0.95% 213.20 AMT US Equity 2,868 13,269 78.17 95.06 44.96 0.48% 60.59 AMZN US Equity 68 (4,254) 318.50 313.41 1.20 1.33% (70.51) ANZ AU Equity 576 13,493 29.84 31.11 8.53 0.50% (45.75) APA US Equity 1,334 12,393 91.83 101.72 12.34 0.87% 113.28 APC US Equity 583 6,564 100.97 109.94 7.59 1.17% 292.02 AXP US Equity 1,642 10,063 74.65 86.83 26.12 0.62% 42.92 AZN LN Equity 6,039 12,950 50.16 73.56 76.78 0.61% 238.28 AZN SS Equity 5,399 12,372 51.16 73.48 70.14 0.62% 181.93 AZN US Equity 5,901 13,079 50.64 73.49 67.25 0.67% 179.39 BA US Equity (213) 8,241 123.26 120.16 -3.27 0.79% (28.08) BAC US Equity 9 1,452 14.96 15.05 0.61 0.96% 1.12 BARC LN Equity 3.79 - BAS GR Equity 100.98 BATS LN Equity 447 9,427 55.12 57.73 7.11 0.67% (52.74) BAX US Equity (34) 8,474 74.80 74.50 -0.77 0.52% (67.56) BAYN GR Equity (464) 6,607 136.68 127.71 -8.17 0.86% (91.96) BBAS3 BZ Equity 12.09 BBD US Equity 319 5,475 14.62 15.47 4.87 1.20% 24.60 BBDC4 BZ Equity 308 5,427 14.64 15.47 4.60 1.23% 27.90 BBL US Equity 68.08 BBVA SM Equity 687 3,825 10.30 12.16 18.77 0.96% (20.07) BCE CN Equity 11 10,241 #N/A N/A 0.21 0.50% Bcs US Equity 15.17 - BEN US Equity (121) 6,278 54.90 53.86 -2.90 0.66% 2.32 EFTA00288662 BG/ LN Equity (5) (5,450) 20.62 20.63 -0.08 1.02% (141.95) BHP AU Equity 312 11,120 34.69 35.66 4.32 0.65% (5.80) BHP US Equity 363 9,032 68.75 71.51 5.07 0.79% 77.80 BBB US Equity 355 1,066 245.93 327.95 27.31 1.22% (9.85) BIL SJ Equity 33.88 BK US Equity 1,784 11,358 33.73 39.03 21.61 0.73% 56.81 BLK US Equity (76) 7,520 307.78 304.70 •1.52 0.67% 7.72 BLT IN Equity 33.95 BMO CN Equity 1,396 17,075 UN/A N/A 17.39 0.47% BMW GR Equity 392 2,465 102.66 118.98 16.73 0.95% 24.19 BMY US Equity 49.98 BN FP Equity 72.41 BNP FP Equity 113 (5,794) 68.94 67.59 2.09 0.93% (68.88) BNS CN Equity 1,869 15,655 UN/A N/A 28.39 0.42% BP/ LN Equity 369 12,727 7.94 8.17 4.36 0.66% 98.57 BRK/B US Equity 1,022 15,815 121.19 129.02 15.72 0.41% 414.68 BSBR US Equity (19) 5,698 6.81 6.79 -0.33 0.99% 21.58 BUD US Equity 259 11,940 105.71 108.01 3.58 0.61% 125.54 BX US Equity 44 6,625 32.52 32.73 0.59 1.13% 42.17 C US Equity 34 6,595 48.07 48.32 0.66 0.78% 5.23 CA FP Equity 35.01 - CAT US Equity 664 6,520 92.03 101.40 13.38 0.76% 82.39 CBA AU Equity 1,785 19,541 70.58 77.02 22.67 0.40% (11.40) CBS US Equity (224) 4,372 60.58 57.62 .4.81 1.07% 35.44 CCL US Equity 36.25 . CELG US Equity 9 (828) 88.50 87.52 0.40 2.76% (6.27) CFR VX Equity (331) 6,580 99.21 94.45 -8.01 0.63% CL US Equity 498 9,474 60.64 63.82 10.65 0.49% (59.75) CM CN Equity 1,086 13,918 UN/A N/A 17.31 0.45% CMCSA US Equity 502 11,232 51.48 53.78 5.33 0.84% 69.44 CMCSK US Equity 5,834 15,946 39.22 53.56 46.97 0.78% 104.43 CNI US Equity 3,915 14,430 52.31 66.51 44.17 0.61% 42.80 CNQ CN Equity 1,532 12,999 UN/A N/A 13.47 0.87% CNR CN Equity 3,873 14,238 UN/A N/A 43.09 0.63% COF US Equity 1,137 9,398 71.32 79.96 20.41 0.59% 67.75 COP US Equity 476 12,885 78.45 81.35 5.22 0.71% 88.24 COST US Equity 325 12,643 114.93 117.89 6.48 0.40% (7.04) COV LN Equity UN/A N/A COV US Equity 2,757 8,082 65.33 87.61 75.29 0.45% 123.08 CRM US Equity 10 3,835 54.50 54.64 0.23 1.12% 76.47 CS FP Equity (2) 436 24.09 24.00 -0.37 0.97% 9.58 CSCO US Equity 87 13,232 24.93 25.09 1.33 0.50% 65.73 CSX US Equity 1,571 10,803 25.81 29.57 32.30 0.45% (27.02) CVE CN Equity UN/A N/A CVS US Equity 2,406 12,841 64.88 77.04 39.09 0.48% 75.20 CVX US Equity (204) 8,549 130.41 127.37 -3.80 0.63% (45.57) D US Equity 307 3,181 60.80 66.66 13.97 0.69% (61.12) EFTA00288663 DAI GR Equity 82.24 DBK GR Equity 1,297 (8,131) 40.11 33.71 15.41 1.03% 71.65 DD US Equity 64.35 DDAIF US Equity 82.45 DE US Equity 85.04 DELL US Equity #WA WA DG FP Equity 64.95 DGE LN Equity (29) 616 31.16 29.78 -7.94 0.58% 0.27 DHR US Equity (482) 11,611 76.71 73.65 .6.70 0.62% 38.74 DIS US Equity 2,777 12,485 71.06 86.87 39.55 0.56% 242.87 DISCA US Equity 84.18 - DNB NO Equity (135) 8,725 17.95 17.68 •1.94 0.80% 24.47 DOW US Equity 2,846 7,396 37.11 51.39 56.87 0.68% 100.22 DPW GR Equity 31.35 - DTE GR Equity 262 10,164 15.65 16.05 3.56 0.72% (231.64) DTV US Equity 4,086 11,097 62.68 85.76 125.89 0.29% (44.06) DUK US Equity 14 (4,546) 72.07 71.84 0.46 0.68% 72.91 DVN US Equity 2,246 15,383 66.44 76.14 20.57 0.71% 269.66 EBAY US Equity (164) (3,128) 50.12 52.75 -8.03 0.65% (11.40) Ea US Equity 313 11,898 106.13 108.92 5.33 0.49% 80.01 EDF FP Equity 32.78 - EMC US Equity 1,902 12,257 25.48 29.44 21.43 0.72% 192.54 EMR US Equity (81) 1,748 66.65 63.69 .7.51 0.62% 12.23 ENB CN Equity 968 12,532 #WA WA 12.68 0.61% ENEL IM Equity 2,271 8,902 4.48 5.63 32.49 0.79% (41.74) ENI IM Equity 352 13,637 24.69 25.32 3.75 0.69% (91.87) EOAN GR Equity (332) 5,700 19.38 18.31 .6.55 0.89% (44.94) EOG US Equity 3,030 5,841 72.84 110.63 57.63 0.90% 167.70 EPD US Equity 2,262 14,612 64.66 74.67 21.28 0.73% 322.37 ERICB SS Equity 12.32 ESRX US Equity 70.75 - ETN US Equity • 887 67.55 67.55 0.00 1.08% 1.93 F US Equity (40) 11,031 17.09 17.03 A.49 0.74% 103.64 F8 US Equity 1,749 2,630 44.06 73.36 46.41 1.43% 58.59 FCX US Equity 643 8,796 34.61 37.14 7.88 0.93% 85.42 FDX US Equity 610 6,811 136.00 148.17 15.89 0.56% 66.95 FOX US Equity (460) 8,704 33.26 31.59 .6.92 0.76% (70.43) FOXA US Equity (213) 2,993 34.02 31.75 .8.25 0.86% (14.75) FP FP Equity 153 6,263 63.30 64.85 2.64 0.93% 5.06 G IM Equity 21.18 GE US Equity 25.22 GILD US Equity 1,055 7,021 80.25 92.31 13.70 1.10% 71.51 GIS US Equity 48 10,129 50.89 51.13 0.85 0.56% 54.27 GLE FP Equity 49.82 GLEN LN Equity 6.07 GLW US Equity • 1,057 19.96 19.96 0.00 0.91% 8.24 GM US Equity (518) 8,989 35.68 33.74 .6.60 0.87% 35.78 EFTA00288664 GOOG US Equity 155 8,672 561.32 571.35 2.39 0.75% 57.47 GS US Equity 423 11,132 164.80 171.07 5.72 0.66% 19.83 GSK LN Equity 24.14 GSZ FP Equity (23) 2,066 25.61 25.34 -1.41 0.78% (3.14) HAL US Equity 2,697 8,652 53.00 69.52 33.34 0.93% 184.90 HD US Equity 427 17,619 78.01 79.90 5.45 0.44% (49.69) HMB SS Equity (181) 4,005 42.44 40.61 -8.25 0.55% (27.79) HON US Equity 4,702 9,544 61.10 91.20 90.39 0.54% (60.96) HPQ US Equity 2,902 8,313 26.16 35.29 50.87 0.69% 53.68 HSBA LN Equity 294 8,008 10.34 10.72 5.39 0.68% 93.15 IBE SM Equity 2,546 7,531 5.56 7.44 59.04 0.57% 68.86 IBM US Equity (60) (4,369) 186.82 189.37 -2.09 0.65% 3.64 IMT LN Equity 2,081 14,380 37.31 42.71 15.52 0.93% 18.17 INTC US Equity 5,219 14,613 24.95 33.86 48.46 0.74% 50.97 ISP IM Equity 3.07 ITUB US Equity (125) 5,715 15.87 15.53 -1.83 1.19% 60.21 ITUB4 BZ Equity (74) 4,601 15.78 15.54 -1.30 1.23% 48.42 ITW US Equity 3,027 14,011 67.84 82.49 44.90 0.48% 74.14 ITX SM Equity 28.57 - JCI US Equity (282) 7,794 49.30 47.58 -4.55 0.80% 135.85 JNJ US Equity 5,568 20,338 78.39 99.86 61.48 0.45% (1.76) JPM US Equity 63 10,159 56.23 56.58 0.87 0.72% (6.07) KMB US Equity 105.10 KMI US Equity 36.01 - KO US Equity (456) 9,510 41.21 39.32 -10.48 0.46% 1.22 LBTYA US Equity (264) 5,724 43.83 41.90 -6.37 0.72% 16.14 LBTYK US Equity (284) 7,489 41.85 40.32 -5.68 0.67% 30.09 LIN GR Equity (307) 10,343 202.73 196.88 -4.23 0.70% (167.04) LLOY LN Equity 26 2,144 1.23 1.24 1.42 0.86% 11.41 LLY US Equity 134 7,690 60.25 61.30 2.97 0.59% 90.42 LMT US Equity 248 6,055 161.27 167.86 6.74 0.61% 13.90 LNKD US Equity 202.41 LOW US Equity 83 7,548 47.35 47.87 2.09 0.53% 47.63 LVS US Equity (36) 3,103 73.88 73.03 -1.35 0.87% 7.97 LYB US Equity 1,872 2,297 59.29 107.61 102.00 0.80% 43.79 MA US Equity 18 6,084 75.27 75.48 0.35 0.82% 61.29 MAERSKB DC Equity 5,606 14,377 1,651.64 2,295.69 59.86 0.65% 23.24 MC FP Equity 171.34 MCD US Equity 93.96 MCK US Equity 381 2,181 164.92 193.71 30.21 0.58% (5.36) MDIZ US Equity 3,660 13,763 28.74 36.39 44.95 0.59% 58.81 MDT US Equity 9,096 20,811 43.22 62.11 93.03 0.47% 305.70 MET US Equity 1,312 7,798 44.64 52.15 26.23 0.64% (1.76) MFC CN Equity 1,652 5,260 #N/A N/A 53.20 0.59% MHS US Equity #WA N/A MMM US Equity 9,512 21,331 96.89 140.10 107.66 0.41% (4.58) MO US Equity 1,187 13,316 37.33 40.66 13.80 0.65% 36.12 EFTA00288665 MON US Equity 856 12,758 106.90 114.07 9.07 034% 86.74 MOS US Equity 46.56 - MRK US Equity 1,516 13,912 51.28 56.86 17.74 0.61% 29.30 MS US Equity 69 5,272 31.36 31.77 1.58 0.83% 3.25 MSFT US Equity 1,846 9,448 36.13 43.20 28.93 0.68% 68.63 MUV2 GR Equity 128 2,446 197.70 208.07 7.60 0.69% (17.56) NAB AU Equity 305 10,650 31.52 32.42 5.98 0.48% (9.28) NCM AU Equity 10.09 - NEE US Equity 1,649 6,110 73.39 93.19 43.00 0.63% (80.47) NEM US Equity (1) (605) 25.47 25.50 -0.12 1.01% (9.78) NESN VX Equity 243 7,469 71.26 73.58 7.14 0.46% NG/ LN Equity 2,496 13,901 12.07 14.24 31.04 0.58% 63.70 NICE US Equity 407 5,145 71.37 77.02 10.05 0.79% 14.93 NOK US Equity 4,419 4,498 3.96 7.86 85.50 1.15% 10.34 NOV US Equity 338 12,775 80.09 82.21 3.88 0.68% 208.52 NOVN VX Equity 6,604 22,187 67.19 87.18 71.40 0.42% NOVOB DC Equity 1,123 12,542 41.61 45.34 15.04 0.60% 19.11 NSC US Equity 2,443 10,834 82.27 100.83 31.52 0.72% (40.02) NVS US Equity 5,123 18,466 68.02 86.88 61.67 0.45% (10.58) OGXP3 BZ Equity 4,031 (4,107) 4.39 0.08 92.83 1.06% (80.47) OR FP Equity (144) 11,677 168.94 166.87 -2.56 0.48% (14.41) ORA FP Equity 1,019 8,559 13.80 15.45 15.04 0.79% 34.48 ORCL US Equity 1,451 9,129 34.50 39.99 26.66 0.60% 28.31 OX? US Equity 389 10,929 96.82 100.27 5.21 0.68% 259.09 PBR US Equity (96) 4,517 16.29 15.95 -1.48 1.43% 54.21 PBR/A US Equity (108) 4,034 17.38 16.92 -1.86 1.45% 34.28 PCLN US Equity 498 6,424 1,190.29 1,282.65 10.15 0.76% 205.33 PCP US Equity 229.00 - PEP US Equity 850 14,142 84.13 89.19 11.19 0.54% 141.21 PETR3 BZ Equity 7.96 PETR4 BZ Equity 8.46 PFE US Equity (66) 1,684 29.86 28.74 -6.22 0.63% (8.92) PG US Equity (10) 3,524 79.25 79.03 -0.53 0.53% (42.41) PHIA NA Equity 30.92 PM US Equity (410) 6,694 86.96 81.95 -8.38 0.73% (12.50) PNC US Equity 207 4,305 78.28 82.05 7.88 0.61% (7.83) POT CN Equity (434) 9,967 #WA N/A -7.03 0.62% POT US Equity (486) 10,582 36.67 35.06 -7.64 0.60% (2.04) PRU LN Equity 8,216 10,521 12.76 22.73 104.79 0.75% 35.76 PSA US Equity 845 14,244 162.78 172.44 17.05 0.35% (30.10) PSX US Equity 1,546 6,695 66.16 81.44 28.77 0.80% 112.26 PX US Equity • 1,282 128.59 128.59 0.00 0.37% 3.70 QCOM US Equity 73.20 QQQ US Equity 3,400 18,032 80.07 95.16 39.43 0.48% 116.25 RAI US Equity 413 12,340 54.05 55.86 3.18 1.05% 12.66 RDS/A US Equity 989 12,883 75.73 81.54 13.54 0.57% 46.45 RDS/B US Equity 1,006 11,427 78.85 85.79 13.03 0.68% 46.16 EFTA00288666 RDSA LN Equity 1,042 12,402 37.55 40.70 16.50 0.51% 14.71 RDSA NA Equity 843 12,492 38.08 40.66 12.79 0.53% (42.70) RDSB LN Equity 1,033 12,149 39.49 42.84 15.83 0.54% 42.94 REGN US Equity 325.47 RIO AU Equity 515 9,608 57.78 60.87 6.83 0.79% 13.79 RIO LN Equity 224 4,819 54.31 56.83 4.36 1.06% 63.91 RIO US Equity 263 4,934 54.34 57.24 5.10 1.04% 52.76 ROG VX Equity 6,130 17,035 212.78 289.35 65.17 0.55% RY CN Equity 1,246 15,531 OVA N/A 17.25 0.46% SAS LN Equity 929 13,023 50.36 53.95 8.88 0.80% (1.68) SAN FP Equity 111 5,571 104.49 106.57 3.60 0.55% 16.62 SAN SM Equity 1,401 9,880 8.73 9.97 15.69 0.90% (25.62) SAN US Equity 1,088 7,980 8.73 9.92 12.59 1.08% (0.18) SAP GR Equity (54) 8,587 77.21 76.72 -0.84 0.74% (104.45) SAP US Equity (41) 8,173 77.22 76.83 -0.67 0.76% (79.31) SBUX US Equity 543 15,938 74.92 77.47 5.74 0.59% 87.86 SGO FP Equity 48.33 SI US Equity 0N/A N/A SIE GR Equity 120.94 SLB US Equity 2,617 10,752 87.56 108.87 29.17 0.83% 108.69 SMSN LI Equity 115 (4,831) 650.18 634.66 2.21 1.08% (81.90) SO US Equity (273) 9,489 44.08 42.84 •4.68 0.62% (125.73) SPG US Equity (58) 12,778 168.98 168.21 -1.27 0.36% 3.34 SREN VX Equity 84.66 STAN LN Equity 261 (7,339) 21.38 20.62 4.67 0.76% (7.27) STL NO Equity 942 11,818 26.89 29.03 11.49 0.69% 129.99 STT US Equity 500 8,981 66.55 70.26 8.85 0.63% 26.77 SU CN Equity 723 14,944 0N/A N/A 5.73 0.84% SU FP Equity (105) 2,037 87.41 83.12 -5.10 1.01% (18.09) SU US Equity 832 15,335 38.21 40.28 6.47 0.84% 138.69 SWEDA SS Equity (56) 3,525 25.78 25.38 -2.39 0.67% (19.64) SYNN VX Equity 178 (6,953) 364.98 355.64 3.11 0.82% T US Equity 20 (4,666) 35.52 35.37 0.71 0.61% 15.05 TD CN Equity 1,594 16,822 #N/A N/A 24.12 0.39% TEF SM Equity (137) 9,929 16.31 16.09 -2.40 0.57% (88.01) TEF US Equity (92) 8,452 16.22 16.05 -1.54 0.71% (49.10) TGT US Equity 306 (7,431) 63.18 60.58 6.40 0.64% (116.92) TJX US Equity 38 (4,997) 53.94 53.53 1.06 0.72% (37.54) TLS AU Equity 1,195 17,571 4.75 5.07 16.80 0.40% 12.23 TLSN SS Equity 7.46 - TM US Equity (31) 2,238 119.59 117.97 -2.54 0.54% 5.09 TMO US Equity 9,230 10,218 63.59 121.03 174.00 0.52% (80.38) TOT US Equity 186 3,264 61.65 65.15 5.34 1.06% 26.45 TRP CN Equity 102 12,878 #N/A N/A 1.14 0.69% TRV US Equity 264 16,116 88.20 89.65 3.01 0.54% (7.41) TSCO LN Equity 1,644 (7,272) 5.49 4.25 20.29 1.11% 73.28 TWC US Equity 1,166 5,234 120.22 147.00 26.69 0.83% 39.19 EFTA00288667 TWX US Equity 2,536 11,604 70.04 85.34 15.78 1.39% 286.12 TXN US Equity 3,981 12,205 34.93 46.32 60.22 0.54% 12.31 TYC US Equity 11,588 24,080 29.17 43.20 78.53 0.61% 236.69 UBS US Equity 17.11 - UBSN VX Equity 566 (6,223) 18.79 17.08 10.92 0.83% UCG IM Equity 7.98 - ULVR LN Equity (43) 7,646 43.35 43.11 -0.93 0.60% (7.63) UNA NA Equity (245) 6,840 42.27 40.81 -5.32 0.67% (61.01) UNH US Equity 2,816 10,929 65.20 82.00 30.51 0.84% 92.71 UNP US Equity 2,188 14,872 85.39 97.96 30.78 0.48% (55.15) UPS US Equity 1,896 8,884 79.87 96.91 38.06 0.56% 2.70 USB US Equity 2,772 14,625 34.87 41.48 36.29 0.52% (14.75) UTX US Equity 104.93 - V US Equity 248 12,503 208.25 212.38 2.94 0.67% 40.45 VALE US Equity 23 (1,063) 14.41 14.10 2.01 1.07% (0.13) VALE3 BZ Equity 14.08 - VIAB US Equity 2,005 5,848 61.33 82.35 51.04 0.67% (4.30) VIV FP Equity 25.31 - VMW US Equity 574 4,886 89.33 99.81 11.76 1.00% 57.35 VOD LN Equity 517 (4,209) 3.78 3.32 8.68 1.41% (16.59) VOD US Equity 493 (4,063) 37.68 33.10 14.66 0.83% (21.57) VOW3 GR Equity 232.49 - VRX CN Equity (91) 1,813 XWA N/A -4.03 1.24% VRX US Equity (77) 1,283 124.01 116.98 -5.44 1.11% (13.22) VTI US Equity 764 5,134 86.91 99.84 39.92 0.37% 17.93 VWO US Equity 245 9,852 43.24 44.31 4.69 0.53% 94.92 VZ US Equity 49.96 WBC AU Equity 203 10,131 30.94 31.56 4.07 0.49% (47.52) WES AU Equity 425 15,919 39.35 40.41 5.20 0.51% 30.80 WFC US Equity 3,645 13,326 39.91 50.82 56.47 0.48% 91.35 WLP US Equity 5,199 12,743 78.92 111.11 51.45 0.79% 59.39 WMT US Equity (72) 1,852 76.20 73.35 -9.76 0.40% (6.27) WOW AU Equity (106) 4,724 34.81 34.05 -4.29 0.52% 14.00 XOM US Equity 1,244 16,573 92.53 99.47 10.63 0.71% 114.43 XTA LN Equity XN/A N/A YHOO US Equity 104 2,439 34.76 36.24 3.04 1.40% 45.02 YUM US Equity 70.60 ZURN VX Equity (179) 9,344 295.39 289.85 -3.57 0.54% Current Portfolio - Global Maao Portfoli0 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 20,674 62,272 1,455.70 1,938.99 75.80 0.44% 596.30 NDX Index 14,219 38,177 2,848.04 3,908.77 65.77 0.57% 393.00 RTY Index (142) 18,515 1,133.44 1,124.82 -1.04 0.74% 164.20 EFTA00288668 SPTSX Index 2,866 48,100 kWA WA 12.26 0.49% MEXSOL Index 318 26,362 3,337.29 3,377.59 2.26 0.53% 402.32 IBOV Index (1,278) 94,594 25,346.07 25,008.32 -1.47 0.92% MERVAL Index 2,237 22,139 915.40 1,007.89 4.28 2.36% (78.97) UKX Index 3,526 49,421 10,501.74 11,250.95 14.48 0.49% 34.01 DAX Index 902 6,121 10,704.86 12,282.11 18.38 0.80% (49.93) CAC Index 2,155 (62,017) 5,861.93 5,658.24 4.31 0.81% (153.37) IBEX Index 5,118 25,904 11,759.39 14,082.75 27.14 0.73% (84.80) SMI Index 911 10,740 8,442.28 9,158.53 16.70 0.51% FTSEMIB Index 24 1,404 26,886.83 27,345.71 1.60 1.06% (0.16) PSI2O Index 11,599 (94,327) 8,956.04 7,854.79 8.55 1.44% It (924.24 ISEQ Index 2,138 (59,652) 6,404.62 6,175.04 5.82 0.62% 230.94 ICEXI Index 706 47,263 kWA WA 2.57 0.58% AEX Index 458 5,819 492.48 531.25 13.09 0.60% (47.61) BEL20 Index • 17,092 4,108.89 4,108.89 0.00 0.58% (6.88) LUXXX Index 3,963 16,653 1,672.08 2,070.03 39.08 0.61% 136.51 KFX Index 11,105 40,987 102.53 130.31 49.69 0.55% (16.97) HEX Index 7,429 45,041 8,658.69 10,086.91 27.43 0.60% 119.21 OMX Index (111) 3,094 204.73 197.65 .5.21 0.69% (11.60) ATX Index 2,770 (44,635) 3,249.93 3,048.22 8.17 0.76% 231.72 ASE Index (150) 3,427 1,618.88 1,551.09 .3.92 1.11% (22.64) OSEBX Index 3,245 29,902 87.49 96.99 16.13 0.67% 81.59 INDEXCF Index 1,663 (61,017) 39.56 38.49 2.16 1.26% (117.61) TOP40 index 2,704 44,616 4,057.53 4,303.44 9.76 0.62% 391.19 SENSEX Index 5,711 49,159 377.78 421.66 15.20 0.76% 524.07 NKY Index 1,149 31,805 145.72 150.99 8.07 0.45% (116.02) HSI Index 3,555 48,854 2,958.87 3,174.16 13.61 0.53% 143.84 SHCOMP Index 491 46,321 356.06 359.84 1.87 0.57% 811.54 KOSPI Index 3,160 45,441 1.88 2.01 14.49 0.48% 182.88 AS51 Index 1,417 39,851 4,991.54 5,169.08 8.80 0.40% (17.82) STBCNZL Index 34,116 73,207 444.47 651.60 133.90 0.35% (519.59) EEM US Equity 20 9,973 44.38 44.47 0.35 0.57% 92.99 IYR US Equity 274 15,110 70.72 72.00 4.88 0.37% 92.43 MDY US Equity 5,127 14,269 184.03 250.15 70.95 0.51% 100.54 JNK US Equity (5) (733) 40.27 40.54 -3.10 0.22% (4.88) XLF US Equity 5,966 13,610 15.57 22.40 82.57 0.53% 158.59 XLU US Equity 311 7,097 39.46 41.19 6.16 0.71% (40.25) XLK US Equity 3,461 13,272 30.99 39.07 51.92 0.50% 119.06 XLI US Equity 4,653 12,917 38.20 51.96 67.22 0.54% 61.08 XLP US Equky 405 13,034 42.30 43.61 7.19 0.43% 43.28 XLY US Equity 1,427 12,582 59.54 66.29 20.18 0.56% 136.57 XLE US Equity 1,219 14,589 89.95 97.46 12.47 0.67% 265.53 XLB US Equity 4,651 15,233 37.75 49.27 67.86 0.45% 236.86 XLV US Equity 14,001 24,346 38.87 61.22 100.30 0.57% 163.55 SXXP Index 893 9,808 407.21 444.30 15.60 0.58% (35.63) SXAP Index 47 (18,597) 637.15 635.55 0.29 0.86% (67.07) SXKP Index 209 5,722 378.31 392.14 6.31 0.58% (30.61) EFTA00288669 SX6P Index 3,719 23,702 360.60 417.19 24.97 0.63% 43.85 SXEP Index 1,226 55,125 460.42 470.65 3.25 0.68% 192.72 SXIP Index 2,061 5,785 222.31 301.51 59.04 0.60% (4.34) SXNP Index 2,696 (62,472) 546.98 523.37 6.48 0.67% 396.70 SX3P Index (40) 20,188 682.29 680.94 A.39 0.51% (172.14) SXDP Index 26,230 61,074 609.16 870.78 120.34 0.36% (316.18) SX4P Index 187 6,237 939.56 967.77 3.63 0.83% (74.22) SX8P Index (38) 9,102 376.45 374.87 -0.54 0.78% (99.92) SXOP Index 3,766 (69,139) 457.93 432.99 6.88 0.79% 242.60 SXQP Index (663) 19,185 807.73 780.76 .5.54 0.62% (156.91) SXRP Index 3,668 (80,697) 417.42 398.44 7.57 0.60% 305.89 SXMP Index (494) 16,248 334.97 325.08 -4.76 0.64% (81.75) SXTP Index 1,712 (60,334) 258.39 251.06 4.54 0.62% 570.62 SX7E Index 232 (24,325) 193.46 191.62 0.80 1.18% (91.76) SXSE Index 126 (21,062) 4,144.46 4,119.64 0.74 0.81% 36.62 SPGSCITR Index • 17,092 4,823.59 4,823.59 0.00 0.46% 75.63 XAG Curncy 284 (7,608) 20.95 20.16 5.46 0.68% 63.75 CO1 Comdty 2,290 (89,512) 108.18 105.41 3.89 0.66% (499.11) CL1 Comdty (306) 14,592 100.35 98.29 -2.99 0.70% 59.84 NG1 Comdty 2,106 (61,837) 3.97 3.83 2.49 1.37% (606.09) XAU Comdty (174) (31,099) 97.76 98.31 .1.10 0.51% 366.78 IBOXHY Index 1,817 32,051 220.12 232.60 46.42 0.12% 69.11 US_TSY CREDIT 692 100,443 765.33 770.60 5.56 0.12% 56.47 CA_TSY CREDIT (1,649) 309,688 1,238.01 1,231.45 -2.30 0.23% (526.90) MX_TSY CREDIT (702) 121,882 222.97 221.69 -2.05 0.28% (337.96) AU TSY CREDIT 2,609 90,775 1,512.22 1,555.69 11.41 0.25% 97.95 JP_TSY CREDIT (314) (120,012) 814.94 817.07 .1.26 0.21% (51.30) MY_TSY CREDIT 2,310 136,346 171.16 174.06 8.03 0.21% 559.87 SG_TSY CREDIT 1,019 132,728 223.14 224.85 4.79 0.16% 447.61 AT_TSY CREDIT 4,636 82,197 358.55 378.77 26.67 0.21% - BE_TSY CREDIT 6,349 81,103 478.32 515.77 36.25 0.22% 13.57 FI_TSY CREDIT 3,827 85,645 349.64 365.27 22.18 0.20% 41.66 FR_TSY CREDIT 5,055 82,246 1,684.51 1,788.04 29.39 0.21% (4.39) DE_TSY CREDIT 2,861 84,524 1,247.55 1,289.78 16.22 0.21% (12.87) IE_TSY CREDIT 33,344 78,270 336.92 480.46 205.67 0.21% 127.91 IT_TSY CREDIT 9,413 54,986 1,616.07 1,892.73 81.23 0.21% 187.34 NL_TSY CREDIT 4,071 83,503 1,331.40 1,396.30 23.56 0.21% (33.23) ES_TSY CREDIT 11,629 50,187 392.28 483.18 110.86 0.21% 188.64 DK_TSY CREDIT 3,110 71,590 731.06 762.82 20.19 0.22% 18.61 NO_TSY CREDIT (175) (70,342) 337.10 337.94 .1.01 0.25% (41.55) PL_TSY CREDIT 1,660 35,151 429.04 449.30 14.21 0.33% 264.05 ZA_TSY CREDIT (234) (53,607) 84.71 85.08 -0.94 0.46% 50.14 SE_TSY CREDIT 920 (55,965) 462.46 454.86 5.45 0.30% CH_TSY CREDIT - 51,277 1,046.03 1,046.03 0.00 0.21% 13.73 GB_TSY CREDIT 3,925 108,101 1,518.91 1,574.06 19.42 0.19% 248.93 EFTA00288670