EFTA00288671.pdf

Atorus, LLC 8/8/2014 Current Date: Total Return since 1/1/12: T12M Return: T90 Day Return: T30 Day Return: Current Long Exposure @ Cost: Current Short Exposure @ Cost: Net Exposure: Starting Capital: Current NAV: 8/8/2014 105.73% 41.95% 11.71% 0.77% 5,606,842 (1,574,291) 4,032,550 1,000,000 2,057,298 Change on Day: 0.87% MSCI World Change on Day 0.35% No of Positions (+MTM) on Day No of Positions (-MTM) on Day Current No. of Positions: Current Leverage (Gross Exposures): 187 195 383 3.49 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% 1.00% -0.90% 50.00% 50.00% 10.00% 2X No. of Profitable Positions T12M 61.88% Avg. Realized Gain / Avg. Realized Loss 3.29 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. 1.25 1.34 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. 2,400,000.00 2,200,000.00 2.00=0.00 1)300.000.00 1.600.000.00 1,400,000.00 1.200.000.00 1.000.000.00 800.000.00 600.000.00 N N rn M rn in M M e !It C C 0 0 0 0 N N N N N N N N NI 0 O itS in in O itS in in IN in in N. NAV EFTA00288671 Atorus, LLC 8/8/2014 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 SXTP Index (75,418) INDEXCF Index (76,271) NG1 Comdty (77,296) CAC Index (77,522) SXNP Index (78,090) DE_TSY CREDIT 84,524 FI_TSY CREDIT 85,645 SXOP Index (86,423) AU TSY CREDIT 90,775 IBOV Index 94,594 US_TSY CREDIT 100,443 SXRP Index (100,871) GB_TSY CREDIT 108,101 CO1 Comdty (111,889) PSI2O Index (117,909) MX_TSY CREDIT 121,882 JP_TSY CREDIT (126,049) 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 -0.202% Listed Equity Short 0.032% EquityCom Long -0.150% EquityCom Short -0.150% G20 Rates Long 0.289% G20 Rates Short -0.059% T12m Contribution (% of total Yr/Yr NAV Change by Category) Listed Equities 28.95% [ EquityCom 58.76% G20 Rates 12.29% % of Total Notional Security MTM Gain % Total NAV 30.53% 40 Positions 18.08% 1.05% XLB US Equity 4,417 0.21% 1.06% SXOP Index 4,434 0.22% 1.08% XLI US Equity 4,592 0.22% 1.08% AT_TSY CREDIT 4,636 0.23% 1.09% HON US Equity 4,763 0.23% 1.18% AGN US Equity 4,788 0.23% 1.19% MDY US Equity 5,027 0.24% 1.20% OGXP3 BZ Equity 5,039 0.24% 1.26% FR_TSY CREDIT 5,055 0.25% 1.32% NVS US Equity 5,133 0.25% 1.40% WLP US Equity 5,140 0.25% 1.40% INTC US Equity 5,168 0.25% 1.51% SENSEX Index 5,191 0.25% 1.56% IBEX Index 5,203 0.25% 1.64% AZN SS Equity 5,219 0.25% 1.70% 1N1 US Equity 5,569 0.27% 1.76% MAERSKB DC Equity 5,583 0.27% 1.85% AZN US Equity 5,723 0.28% 1.90% CMCSK US Equity 5,730 0.28% 4.31% AZN IN Equity 5,804 0.28% XLF US Equity 5,809 0.28% BE_TSY CREDIT 6,349 0.31% ROG VX Equity 6,394 0.31% NOVN VX Equity 6,827 0.33% HEX Index 7,310 0.36% PRU LN Equity 8,180 0.40% MDT US Equity 8,793 0.43% TMO US Equity 9,311 0.45% IT_TSY CREDIT 9,413 0.46% MMM US Equity 9,517 0.46% KFX Index 11,122 0.54% TYC US Equity 11,353 0.55% ES_TSY CREDIT 11,629 0.57% NDX Index 13,829 0.67% XLV US Equity 13,838 0.67% PSI20 Index 15,393 0.75% SPX Index 20,082 0.98% SXDP Index 26,548 1.29% IE_TSY CREDIT 33,344 1.62% STBCNZL Index 34,638 1.68% EFTA00288672 No. Names APAC Long 34 APAC Short 6 (MEA Long 53 (MEA Short 12 AMER Long 166 AMER Short 19 EquityCom Long 53 EquityCom Short 17 G20 Rates Long 19 G20 Rates Short 4 Total Long 325 Total Short 58 Current Exposure by Geography (Listed Equities) & Macro (Equity Indices & Coinmodiltes, G20 Gov. Credit) $2,000,000 $1,500,000 $1,000,000 $500,000 $ $(500,000) 5(1,000,000) $(1,500,000) 1 1 ■ APAC Long ■ APAC Short ■ EMEA Long ■ EMEA Short ■ AMER Long ■ AMER Short ■ EquityCom Long ■ EquityCom Short ■ G20 Rates Long ■ G20 Rates Short EFTA00288673 Atorus, LLC 8/8/2014 Historical Net Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodlites, G20 Gov. Credit) uuv 000 000 000 el oco) ...—Z-T el N N N N N O1 m m CO it et Oe IL-I rl el el ri el N el T-1 N r-I e-I N N N N N O O O O O O NN N ...... ...... ...... `.- '7 'T ,, m in OI .-1 ri m Lel I% 01 •-• .4 m ul n Historical Gross Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodlites, G20 Gov. Credit) EFTA00288674 Atorus, LLC 8/8/2014 Current Gross Notional Risk by Category 318,998 536,766 2,153,0 rtill • 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 d i 01ry e ce e e di:1 0 e e e 0 0 0 0 e e %\C' 4At AO'. OC1.,,v0‘' et" e ''\ \CF e," iselb.C.P. e A011 MSC ATO Rolling 30 Day Realized Volatility - A EFTA00288675 Atorus, LLC 8/8/2014 Percentile Distribution of Current MTM Gains In Vol Days by Position (ex•99pct & ex•lst percentiles) MOO MOO WOO 40.00 30.00 20.00 10.00 000 10.130.0 . . Percentile No. Vol Da 0.00% -10.46 5.00% -6.73 10.00% -3.90 15.00% -2.17 20.00% -0.88 25.00% 0.27 30.00% 0.97 35.00% 2.33 40.00% 3.31 45.00% 4.55 50.00% 5.71 55.00% 8.04 60.00% 10.08 65.00% 13.15 70.00% 16.01 75.00% 19.48 80.00% 27.15 85.00% 38.13 90.00% 52.12 95.00% 72.58 100.00% 205.67 MTM Gams(Losses) % of NAV "Signficant" (<7 Vol Days) 1.60% MTM Gains(Losses) % of NAV "Signficant" (>7 Vol Days) 29.44% EFTA00288676 Atorus, LLC Current Portfolio •Listed Equity Portfolio Current Price P/L in Vol 30P Realized Change on Day Security MTM Gain/(Loss) Exp. @ Cost Avg. Price (in USD) Days Vol (in USD) 000270 KS Equity 58.39 005380 KS Equity 111 3,059 213.90 221.67 3.37 1.08% (40.17) 005490 KS Equity 310.59 005930 KS Equity 201 (6,280) 1,260.12 1,219.85 3.46 0.92% 130.94 012330 KS Equity 283.02 1 HK Equity 2,057 14,064 15.90 18.23 16.63 0.88% (188.04) 1299 HK Equity 1,065 9,518 4.80 5.34 19.41 0.58% (51.27) 13 HK Equity 1,023 7,374 11.81 13.44 22.15 0.63% (55.34) 16 HK Equity 14.87 - 27 HK Equity (629) (5,252) 6.77 7.58 -8.56 1.40% 75.42 2914 JP Equity 69 11,062 33.04 33.25 1.00 0.62% (297.54) 3382 JP Equity 267 3,719 38.32 41.07 10.30 0.70% (27.99) 4063 JP Equity 232 8,951 59.38 60.92 3.62 0.72% (164.41) 4502 JP Equity 93 8,600 44.20 44.68 2.68 0.40% (47.64) 4689 JP Equity (155) 2,551 4.56 4.30 -5.08 1.20% (41.13) 5 HK Equity 1,351 10.60 10.60 0.00 0.57% (5.17) 5108 JP Equity (39) 7,634 35.16 34.99 -0.54 0.95% (97.38) 5401 JP Equity 2.85 6301 JP Equity 1 4,173 22.13 22.13 0.02 0.79% (46.72) 6752 JP Equity 11.80 6902 JP Equity 44.64 6954 JP Equity 745 7,571 155.19 170.45 12.28 0.80% (124.52) 7201 JP Equity 252 5,116 9.05 9.49 5.71 0.86% (37.17) 7203 JP Equity (14) 1,971 58.60 58.20 -1.15 0.60% (15.87) 7267 JP Equity 9 (2,782) 33.77 33.66 0.46 0.73% 762 HK Equity 1.62 (100.58) 7751 JP Equity 72 9,172 32.49 32.74 1.42 0.55% (86.33) 8031 JP Equity 21 9,105 16.12 16.16 0.43 0.53% (82.30) 8058 JP Equity 741 11,969 19.05 20.23 10.33 0.60% 8306 JP Equity 5.65 61.08 8316 JP Equity (138) (4,215) 38.11 39.35 -4.38 0.75% (65.99) 8411 JP Equity (236) 6,849 1.97 1.90 -8.25 0.42% 8604 JP Equity 6.21 (56.92) 8801 JP Equity 351 6,151 29.56 31.25 8.08 0.71% 8802 JP Equity 36 (4,717) 23.25 23.08 0.80 0.94% 59.57 9020 JP Equity 185 7,840 76.99 78.81 3.20 0.74% (35.21) 941 HK Equity 11.06 9432 JP Equity 2,091 11,412 55.75 65.96 22.58 0.81% (54.31) 9433 JP Equity 32 9,967 56.41 56.59 0.36 0.89% (236.50) 9437 JP Equity 181 6,364 16.96 17.44 3.94 0.72% (62.83) 9983 JP Equity (105) (2,865) 306.97 318.26 -4.49 0.82% 62.54 8/8/2014 EFTA00288677 9984 JP Equity (97) 5,645 68.18 67.03 -2.39 0.72% (85.16) AAPL US Equity 2,088 10,665 78.77 94.19 25.96 0.75% (111.79) ABB US Equity 22.35 - ABBN VX Equity 1 (9,345) 22.27 22.27 0.01 0.68% 38.41 ABBV US Equity 25 6,570 52.39 52.59 0.43 0.86% 29.87 ABEV US Equity 339 (6,882) 7.13 6.78 5.59 0.88% (3.73) ABEV3 BZ Equity 364 (6,455) 7.21 6.80 5.52 1.02% 2.50 ABI BB Equity 147 12,645 105.16 106.39 2.37 0.49% (87.37) ABT US Equity 549 9,473 39.21 41.48 9.60 0.60% (31.17) ABX CN Equity (8) (5,037) 18.74 18.77 -0.20 0.83% (101.31) ABX US Equity (13) (6,061) 18.73 18.77 -0.26 0.83% (119.28) ACA FP Equity 56 (2,315) 14.27 13.93 2.00 1.22% 5.94 ACE US Equity 247 11,741 98.12 100.18 4.55 0.46% 16.07 ACN US Equity 88 8,563 77.53 78.33 2.49 0.42% 61.59 ADP US Equity 427 11,307 77.95 80.89 10.87 0.35% 100.15 AR US Equity (108) 2,045 62.03 58.93 -10.05 0.52% 1.34 AGN US Equity 4,788 10,917 108.40 155.94 52.93 0.83% 240.91 Al FP Equity (30) 356 135.01 124.47 -10.29 0.82% (1.56) AIG US Equity 24 12,241 52.17 52.27 0.34 0.57% (66.56) AIR FP Equity 918 (7,931) 64.00 56.59 8.68 1.33% 57.46 ALV GR Equity (208) 6,157 169.26 163.73 -5.17 0.65% 48.78 ALVG IX Equity (174) 5,785 168.72 163.80 -4.52 0.66% 41.59 AMGN US Equity 813 11,752 118.50 126.70 7.23 0.96% 29.20 AMT US Equity 2,808 13,269 80.60 97.66 43.98 0.48% 95.65 AMZN US Equity 169 (5,318) 325.44 315.09 2.37 1.34% (59.10) ANZ AU Equity 622 13,493 28.74 30.06 9.19 0.50% (166.53) AM US Equity 1,222 12,393 91.02 99.99 11.40 0.86% 171.50 APC US Equity 303 6,564 103.62 108.40 4.26 1.08% 93.58 MP US Equity 1,600 10,063 75.06 86.99 25.06 0.63% 71.41 AZN LN Equity 5,804 12,950 47.78 69.20 72.48 0.62% (404.89) AZN SS Equity 5,219 12,372 48.90 69.52 70.89 0.60% (276.44) AZN US Equity 5,723 13,079 47.73 68.62 67.30 0.65% (476.92) BA US Equity 120.00 BAC US Equity (219) 8,241 15.51 15.11 -3.36 0.79% (64.21) BARC LN Equity 3.59 BAS GR Equity 24 1,452 97.38 99.03 1.76 0.96% (15.52) BATS LN Equity SOO 9,427 54.30 57.18 7.85 0.68% (87.97) BAX US Equity 34 8,474 73.53 73.83 0.81 0.50% (6.79) BAYN GR Equity (371) 6,607 134.76 127.60 -6.84 0.82% (60.91) BBAS3 BZ Equity 11.87 HD US Equity 294 5,475 14.09 14.85 4.55 1.18% (132.44) BBOC4 BZ Equity 280 5,427 14.14 14.87 4.10 1.26% (132.75) BBL US Equity 67.35 - BBVA SM Equity 707 3,825 9.82 11.63 19.27 0.96% 10.00 BCE CN Equity 11 10,241 43.89 43.93 0.21 0.50% (121.84) BCS US Equity 14.47 BEN US Equity (123) 6,278 54.93 53.88 -2.92 0.67% 11.64 EFTA00288678 BG/ LN Equity 167 (6,813) 19.98 19.49 2.50 0.98% 189.58 BHP AU Equity 318 11,120 34.12 35.09 4.18 0.68% (174.73) BHP US Equity 286 9,032 68.57 70.74 4.02 0.79% (6.74) BBB US Equity 365 1,066 241.05 323.68 27.22 1.26% 2.74 BIL S1 Equity 33.56 BK US Equity 1,728 11,358 33.36 38.44 20.28 0.75% (81.24) BLK US Equity (84) 7,520 309.47 306.06 -1.68 0.66% 60.51 BLT IN Equity 33.41 - BMO CN Equity 1,396 17,075 66.61 72.06 17.39 0.47% (205.58) BMW GR Equity 368 2,465 99.97 114.89 15.51 0.96% (41.38) BMY US Equity 48.96 BN FP Equity 71.19 BNP FP Equity 224 (7,242) 66.37 64.32 3.39 0.91% 66.76 BNS CN Equity 1,869 15,655 58.23 65.18 28.39 0.42% (233.35) BP/ LN Equity 271 12,727 7.65 7.81 3.28 0.65% (199.28) BRK/B US Equity 617 15,815 125.31 130.20 11.71 0.33% 149.27 BSBR US Equity (40) 5,698 6.63 6.58 -0.68 1.03% 72.36 BUD US Equity 135 11,940 105.58 106.78 1.84 0.61% (25.66) BX US Equity 2 6,625 32.80 32.81 0.03 1.13% 39.68 C US Equity 29 6,595 47.97 48.17 0.55 0.79% (2.75) CA FP Equity 34.61 - CAT US Equity 582 6,520 94.39 102.82 11.55 0.77% 27.53 CBA AU Equity 1,796 19,336 68.25 74.59 22.10 0.42% (244.95) CBS US Equity (259) 4,372 62.35 58.86 -5.29 1.12% 117.93 CCL US Equity 36.49 - CELG US Equity 19 (1,035) 87.79 86.17 0.66 2.81% (9.34) CFR VX Equity (256) 6,580 96.78 93.16 -6.58 0.59% (48.23) CL US Equity 558 9,474 61.29 64.90 11.87 0.50% 40.45 CM CN Equity 1,086 13,918 83.94 90.49 17.31 0.45% (157.48) CMCSA US Equity 433 11,232 51.32 53.30 4.69 0.82% 100.35 CMCSK US Equity 5,730 15,946 39.05 53.08 46.82 0.77% 141.14 CNI US Equity 3,872 14,430 52.01 65.96 43.35 0.62% (83.03) CNQ CN Equity 1,532 12,999 37.18 41.56 13.47 0.87% 237.35 CNR CN Equity 3,873 14,238 51.84 65.94 43.09 0.63% (77.95) COF US Equity 1,070 9,398 70.36 78.37 18.09 0.63% 5.41 COP US Equity 389 12,885 78.39 80.75 4.24 0.71% 148.82 COST US Equity 332 12,643 115.89 118.94 6.45 0.41% 96.48 COV LN Equity KN/A N/A COV US Equity 2,635 8,036 62.54 83.06 72.59 0.45% (51.31) CRM US Equity (65) 3,835 55.15 54.23 -1.56 1.09% 18.31 CS FP Equity (11) 436 24.12 23.53 -2.72 0.92% 1.23 CSCO US Equity 21. 13,232 24.88 24.92 0.33 0.49% 35.62 CSX US Equity 1,598 10,745 25.61 29.41 32.22 0.46% 47.14 CVE CN Equity 30.33 - CVS US Equity 2,332 12,841 65.43 77.31 38.16 0.48% 219.79 CVX US Equity (158) 8,549 129.48 127.12 -2.95 0.63% 97.39 D US Equity 369 3,181 60.32 67.31 18.06 0.64% 89.04 EFTA00288679 DAI GR Equity 78.52 D8K GR Equity 1,555 (10,163) 38.83 32.89 14.74 1.04% 44.87 DD US Equity 64.72 DDAIF US Equity 79.80 DE US Equity 86.53 DELL US Equity #WA WA DG FP Equity 62.57 DGE LN Equity (29) 616 30.07 28.72 -7.65 0.61% (13.32) DHR US Equity (521) 11,611 77.91 74.56 -7.27 0.62% 73.54 DIS US Equity 2,538 12,485 71.84 86.44 38.75 0.52% 77.58 DISCA US Equity (42) (1,015) 40.07 41.72 -3.78 1.09% (3.93) DNB NO Equity (159) 8,725 17.35 17.03 -2.23 0.82% (118.58) DOW US Equity 2,747 7,396 37.81 51.85 56.21 0.66% 40.08 DPW GR Equity 31.15 DTE GR Equity 499 10,164 14.23 14.93 7.21 0.68% (241.69) DTV US Equity 4,130 11,097 61.09 83.82 129.76 0.29% 11.82 DUK US Equity (74) (5,683) 70.52 71.44 -2.03 0.64% (66.43) DVN US Equity 1,980 15,383 65.40 73.82 18.63 0.69% 66.13 EBAY US Equity (189) (3,910) 51.29 53.77 -7.34 0.66% (2.67) Ea US Equity 233 11,898 106.53 108.61 4.07 0.48% 21.24 EDF FP Equity 31.87 - EMC US Equity 1,712 12,257 25.45 29.01 19.17 0.73% 0.96 EMR US Equity (93) 1,748 65.82 62.48 -8.45 0.63% 12.91 EMI CN Equity 968 12,532 45.19 48.68 12.68 0.61% 1.50 ENEL IM Equity 2,313 8,902 4.02 5.06 29.26 0.89% (181.68) ENI IM Equity 444 13,637 23.77 24.54 4.88 0.67% (42.56) EOAN GR Equity (286) 5,700 18.48 17.59 -5.80 0.87% (19.10) EOG US Equity 2,866 5,841 71.84 107.09 53.10 0.92% 63.43 EPD US Equity 1,945 14,612 66.27 75.09 19.44 0.68% 169.92 ERICB SS Equity 12.11 - ESRX US Equity 71.11 - ETN US Equity 67.29 - F US Equity (142) 11,031 17.18 16.96 -1.79 0.72% 46.09 F8 US Equity 1,692 2,630 44.44 73.02 45.19 1.42% (20.03) FCX US Equity 559 8,796 34.22 36.39 7.05 0.90% 46.01 FDX US Equity 543 6,811 136.23 147.10 14.86 0.54% 29.75 FOX US Equity (389) 8,704 34.82 33.33 -5.67 0.79% (50.61) FOXA US Equity (199) 2,993 36.44 34.17 -7.37 0.90% (12.36) FP FP Equity 148 6,263 63.37 64.87 2.52 0.94% (3.54) G IM Equity 20.30 - GE US Equity (1,845) 25.52 25.52 0.00 0.61% 3.62 GILD US Equity 984 7,021 80.71 92.02 12.61 1.11% (44.78) GIS US Equity (6) 10,129 51.73 51.70 -0.11 0.55% 61.53 GLE FP Equity 47.58 GLEN LN Equity 6.07 GLW US Equity 19.83 GM US Equity (554) 8,989 35.44 33.38 -7.08 0.87% 69.73 EFTA00288680 GOOG US Equity 98 8,672 559.88 566.20 1.51 0.75% 25.18 GS US Equity 404 11,132 164.85 170.83 5.39 0.67% 86.81 GSK LN Equity 23.04 - GSZ FP Equity (20) 2,066 24.98 24.74 -1.21 0.78% (4.98) HAL US Equity 2,515 8,652 52.61 67.90 30.48 0.95% 43.21 HD US Equity 477 17,619 79.90 82.06 6.16 0.44% 317.21 HMB SS Equity (153) 4,005 41.30 39.78 .6.75 0.56% (16.90) HON US Equity 4,763 9,544 61.43 92.08 91.24 0.55% 175.44 HPQ US Equity 2,849 8,313 26.07 35.00 49.94 0.69% 26.76 HSBA LN Equity 202 8,008 10.29 10.55 3.83 0.66% (49.43) IBE SM Equity 2,478 7,531 5.41 7.18 59.74 0.55% (33.60) IBM US Equity (79) (5,461) 183.10 185.76 .2.16 0.67% (34.68) IMT LN Equity 2,063 14,380 36.45 41.68 15.11 0.95% (267.21) INTC US Equity 5,168 14,613 24.16 32.71 47.65 0.74% (60.42) ISP IM Equity 2.84 ITUB US Equity (184) 5,715 15.64 15.16 .2.76 1.17% (122.67) ITUB4 BZ Equity (122) 4,601 15.60 15.20 .2.18 1.21% (97.19) ITW US Equity 2,953 14,011 69.41 84.04 43.36 0.49% 127.55 ITX SM Equity 28.02 - JO US Equity (416) 7,794 50.57 48.01 .7.08 0.75% 66.13 AU US Equity 5,569 20,338 79.04 100.68 56.04 0.49% 143.21 JPM US Equity 69 10,159 55.75 56.13 0.94 0.73% 10.91 KMB US Equity 106.68 - KMI US Equity 35.89 KO US Equity (458) 9,510 41.34 39.44 .10.46 0.46% (24.68) LBTYA US Equity (280) 5,724 43.60 41.57 .6.82 0.72% (27.93) LBTYK US Equity (314) 7,489 41.93 40.24 .6.25 0.67% (45.62) LIN GR Equity (138) 10,343 197.77 195.17 -1.95 0.68% (81.63) LLOY LN Equity 15 2,144 1.20 1.21 0.78 0.89% (11.76) LLY US Equity 44 7,690 60.46 60.80 0.90 0.64% 32.88 LMT US Equity 234 6,055 159.21 165.36 6.30 0.61% 73.09 LNKD US Equity (89) (789) 185.81 206.67 -7.14 1.57% (0.37) LOW US Equity 36 7,548 48.99 49.23 0.93 0.51% 185.44 LVS US Equity (43) 2,482 68.83 67.67 -1.99 0.87% 37.32 LYB US Equity 1,829 2,297 60.18 108.08 99.72 0.80% (18.25) MA US Equity (43) 6,084 75.16 74.63 -0.88 0.80% 15.39 MAERSKB DC Equity 5,583 14,377 1,627.19 2,259.08 59.90 0.65% (232.97) MC FP Equity 168.97 - MCD US Equity 93.31 MCK US Equity 386 2,181 160.40 188.80 30.30 0.58% 17.50 MDIZ US Equity 3,601 13,763 28.04 35.38 44.71 0.59% 82.75 MDT US Equity 8,793 20,811 43.34 61.65 90.39 0.47% 257.21 MET US Equity 1,313 7,798 43.94 51.34 25.73 0.65% 18.53 MFC CN Equity 1,652 5,260 15.07 19.81 53.20 0.59% (76.54) MHS US Equity KWA WA MMM US Equity 9,517 21,331 96.78 139.96 105.86 0.42% 98.63 MO US Equity 1,151 13,316 38.16 41.46 13.12 0.66% 113.13 EFTA00288681 MON US Equity 770 12,758 108.62 115.17 8.27 0.73% (34.49) MOS US Equity 45.92 - MRK US Equity 1,487 13,912 50.82 56.25 16.58 0.64% 75.18 MS US Equity 66 5,272 31.27 31.66 1.48 0.84% 27.83 MSFT US Equity 1,778 9,448 36.29 43.13 28.34 0.66% (21.07) MUV2 GR Equity 146 2,446 187.51 198.71 8.72 0.68% 5.95 NAB AU Equity 314 10,650 30.61 31.52 5.95 0.50% (133.34) NCM AU Equity 10.37 - NEE US Equity 1,730 6,110 74.05 95.02 47.56 0.60% 99.76 NEM US Equity 12 (806) 26.73 26.34 1.47 1.00% (6.71) NESN VX Equity 341 7,469 72.69 76.01 11.01 0.41% (14.17) NG/ IN Equity 2,433 13,901 12.07 14.18 30.20 0.58% (71.01) NKE US Equity 393 5,145 71.34 76.78 9.76 0.78% 13.89 NOK US Equity 4,409 4,498 3.86 7.64 82.92 1.18% (73.63) NOV US Equity 132 12,775 81.11 81.95 1.55 0.67% 11.49 NOVN VX Equity 6,827 22,067 64.68 84.69 78.82 0.39% (254.13) NOVOB DC Equity 1,104 12,542 40.40 43.96 14.63 0.60% (289.63) NSC US Equity 2,483 10,834 81.87 100.64 31.09 0.74% 69.64 NVS US Equity 5,133 18,466 66.55 85.05 61.47 0.45% (94.85) OGXP3 BZ Equity 5,039 (5,134) 4.24 0.08 94.38 1.04% 128.61 OR FP Equity (130) 11,677 168.67 166.81 -2.16 0.52% (56.25) ORA FP Equity 984 8,559 13.04 14.54 13.95 0.82% (126.00) ORCL US Equity 1,423 9,129 34.42 39.78 21.85 0.71% (24.72) OXY US Equity 136 10,929 98.06 99.28 1.99 0.62% 97.63 PBR US Equity (149) 4,517 16.39 15.86 -2.34 1.42% (140.26) PBR/A US Equity (142) 4,034 17.57 16.97 -2.45 1.44% (140.31) PCLN US Equity 309 6,096 1,217.24 1,278.85 7.47 0.68% (57.03) PCP US Equity 231.84 PEP US Equity 710 14,142 85.63 89.93 9.72 0.52% (4.85) PETR3 BZ Equity 7.93 - PETR4 BZ Equity 8.50 .. PFE US Equity (57) 1,684 29.12 28.17 -5.35 0.63% 5.44 PG US Equity 33 3,524 79.98 80.73 1.92 0.49% 16.69 PHIA NA Equity 29.65 - PM US Equity (397) 6,694 88.38 83.43 -8.05 0.74% 39.00 PNC US Equity 215 4,305 77.54 81.41 7.87 0.63% (5.10) POT CN Equity (434) 9,967 35.80 34.31 -7.03 0.62% (38.19) POT US Equity (484) 10,582 35.89 34.32 -7.32 0.63% (64.43) PRU LN Equity 8,180 10,521 12.51 22.24 101.82 0.76% (126.61) PSA US Equity 876 14,244 162.74 172.75 17.34 0.35% 3.62 PSX US Equity 1,435 6,695 67.93 82.49 27.46 0.78% 59.20 PX US Equity 128.19 - QCOM US Equity 73.42 - QQQ US Equity 3,284 18,032 79.98 94.54 39.08 0.47% 0.23 RAI US Equity 401 12,340 54.98 56.76 3.02 1.08% 91.47 RDS/A US Equity 942 12,883 74.67 80.13 12.89 0.57% (114.62) RDS/B US Equity 960 11,427 77.92 84.47 12.64 0.66% (99.57) EFTA00288682 RDSA LN Equity 1,027 12,402 36.92 39.98 16.09 0.51% (170.84) RDSA NA Equity 886 12,492 37.44 40.09 13.52 0.52% (128.16) RDSB LN Equity 991 12,149 38.90 42.08 15.30 0.53% (154.15) REGN US Equity 338.32 RIO AU Equity 502 9,116 58.42 61.64 6.43 0.86% 54.92 RIO IN Equity 160 4,819 54.71 56.53 3.11 1.07% (96.43) RIO US Equity 211 4,934 54.76 57.10 4.15 1.03% (13.61) ROG VX Equity 6,394 17,035 206.06 283.40 70.71 0.53% (90.49) RY CN Equity 1,246 15,531 66.61 71.95 17.25 0.46% (164.23) SAB LN Equity 930 13,023 49.22 52.74 8.70 0.82% (246.81) SAN FP Equity 94 5,571 102.06 103.78 3.04 0.56% 5.33 SAN SM Equity 1,427 9,880 8.41 9.63 15.96 0.90% 42.44 SAN US Equity 1,088 7,980 8.47 9.62 12.23 1.12% 122.18 SAP GR Equity 52 8,587 75.86 76.31 0.85 0.71% (82.91) SAP US Equity 39 8,173 76.12 76.48 0.62 0.77% (35.21) SBUX US Equity 455 15,938 75.14 77.28 4.86 0.59% 86.42 SGO FP Equity 47.57 SI US Equity #N/A N/A SIE GR Equity 118.86 - SLB US Equity 2,509 10,752 87.57 108.00 27.21 0.86% 76.95 SMSN LI Equity 240 (6,039) 628.59 603.59 3.68 1.08% 169.76 SO US Equity (146) 9,489 43.94 43.27 -2.64 0.58% 145.64 SPG US Equity (62) 12,778 166.77 165.97 -1.32 0.37% 20.60 SREN VX Equity 80.27 - STAN LN Equity 335 (9,173) 21.16 20.38 4.64 0.79% 63.06 STL NO Equity 814 11,818 26.72 28.56 10.03 0.69% (56.28) STT US Equity 474 8,981 66.49 70.00 8.21 0.64% 18.63 SU CN Equity 723 14,944 37.23 39.03 5.73 0.84% 73.80 SU FP Equity (87) 2,037 85.39 81.90 .4.19 1.02% (2.16) SU US Equity 695 15,335 37.36 39.05 5.35 0.85% 73.03 SWEDA SS Equity (37) 3,525 24.81 24.56 -1.60 0.65% (28.99) SYNN VX Equity 198 (8,691) 360.98 352.76 2.72 0.84% 33.84 T US Equity 6 (5,832) 34.37 34.33 0.18 0.61% 7.05 TD CN Equity 1,594 16,822 46.23 50.61 24.12 0.39% (216.74) TEF SM Equity (48) 9,929 15.60 15.52 -O.87 0.55% (23.94) TEF US Equity (43) 8,452 15.61 15.53 -0.72 0.70% 41.02 TGT US Equity 515 (9,289) 61.52 58.11 8.88 0.62% (80.43) TJX US Equity 94 (6,247) 55.30 54.47 2.13 0.70% (92.92) TLS AU Equity 1,183 17,206 4.70 5.02 16.46 0.42% (71.86) TLSN SS Equity 7.17 - TM US Equity (36) 2,238 118.84 116.97 -2.93 0.55% (4.59) TMO US Equity 9,311 10,218 62.99 120.39 177.65 0.51% 110.87 TOT US Equity 159 3,264 61.98 65.00 4.61 1.06% 11.21 TRP CN Equity 102 12,878 48.71 49.09 1.14 0.69% (41.67) TRV US Equity 272 16,116 88.78 90.28 3.05 0.55% 65.85 TSCO LN Equity 1,997 (9,090) 5.29 4.13 19.88 1.10% (15.59) TWC US Equity 1,127 5,234 119.21 144.88 26.39 0.82% 47.21 EFTA00288683 TWX US Equity 2,256 11,604 60.95 72.79 14.22 1.37% 30.47 TXN US Equity 3,968 12,205 34.85 46.18 59.82 0.54% 86.13 TYC US Equity 11,353 24,080 29.33 43.16 78.56 0.60% 294.62 UBS US Equity 17.33 - UBSN VX Equity 639 (7,779) 18.66 17.13 9.88 0.83% (86.04) UCG IM Equity 7.50 - ULVR LN Equity (35) 7,646 42.81 42.62 -0.76 0.61% (97.49) UNA NA Equity (183) 6,840 41.34 40.26 -4.10 0.65% (77.89) UNH US Equity 2,724 10,929 63.76 79.65 29.07 0.86% (8.19) UNP US Equity 2,244 14,872 85.11 97.95 32.08 0.47% 26.78 UPS US Equity 1,893 8,884 78.73 95.51 37.85 0.56% 7.42 USB US Equity 2,787 14,625 34.40 40.95 33.92 0.56% 48.18 UTX US Equity 105.36 - V US Equity 208 12,503 206.37 209.79 2.46 0.67% 11.81 VALE US Equity 29 (1,329) 14.11 13.80 1.99 1.09% 4.08 VALE3 BZ Equity 13.79 - VIAB US Equity 2,009 5,848 59.73 80.25 48.72 0.71% 17.34 VIV FP Equity 25.75 - VMW US Equity 517 4,886 89.30 98.74 10.39 1.02% (34.64) VOD LN Equity 662 (5,261) 3.69 3.23 8.81 1.43% 152.42 VOD US Equity 638 (5,079) 36.84 32.21 14.50 0.87% 106.76 VOW3 GR Equity 220.11 - VRX CN Equity (91) 1,813 113.87 108.46 -4.03 1.24% 11.50 VRX US Equity (64) 1,283 113.82 108.44 -4.25 1.17% 9.68 VTI US Equity 746 5,134 86.78 99.39 38.90 0.37% 12.20 VWO US Equity 151 9,852 42.94 43.60 3.02 0.51% 44.87 VZ US Equity 48.54 - WBC AU Equity 251 10,131 30.07 30.81 4.97 0.50% (117.72) WES AU Equity 395 15,919 38.54 39.49 4.61 0.54% (169.32) WFC US Equity 3,554 13,326 39.34 49.83 52.59 0.51% (12.59) WLP US Equity 5,140 12,743 76.83 107.81 49.81 0.81% (81.19) WMT US Equity (66) 1,852 77.09 74.45 -8.71 0.41% 7.66 WOW AU Equity (120) 4,724 34.10 33.26 -4.74 0.53% (45.51) XOM US Equity 1,130 16,573 92.81 99.13 9.35 0.73% 116.52 XTA LN Equity #WA N/A YHOO US Equity 59 2,439 34.89 35.74 1.76 1.38% 1.62 YUM US Equity 69.85 - ZURN VX Equity (113) 9,344 296.46 292.93 -2.26 0.53% (46.00) 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 20,082 62,272 1,460.57 1,931.59 76.83 0.42% NDX Index 13,829 38,177 2,854.22 3,888.09 66.72 0.54% 406.48 RTY Index (305) 18,515 1,149.96 1,131.35 -2.28 0.72% 188.49 EFTA00288684 SPTSX Index 2,866 48,100 13,065.27 13,843.77 12.26 0.49% 29.20 MEXBOL Index (78) 26,362 3,341.68 3,331.82 A.61 0.49% 65.59 IBOV Index (2,555) 94,594 24,846.12 24,192.65 4.06 0.88% (1,328.59) MERVAL Index 2,316 22,139 900.58 994.80 4.16 2.51% (45.61) UKK Index 3,492 49,421 10,290.35 11,017.40 14.10 0.50% (419.05) DAX Index 952 6,121 10,459.82 12,086.90 19.52 0.80% 11.65 CAC Index 2,872 (77,522) 5,778.80 5,564.70 4.55 0.81% (358.12) IBEX Index 5,203 25,904 11,289.10 13,556.60 27.63 0.73% 235.05 SMI Index 1,032 10,740 8,344.70 9,146.29 20.19 0.48% 15.43 FTSEMIB Index 24 1,404 25,315.05 25,749.97 1.55 1.11% 11.77 P512O Index 15,393 (117,909) 8,347.16 7,257.45 9.05 1.44% L 415.47 ISEQ Index 2,403 (74,565) 6,281.19 6,078.75 5.08 0.63% (47.87) ICEXI Index 742 49,640 7.35 7.46 2.57 0.58% (422.09) AEX Index 506 5,819 481.67 523.56 14.70 0.59% (32.42) BEL2O Index 4,073.04 LUXXX Index 3,828 16,653 1,619.52 1,991.78 38.05 0.60% (143.87) KFX Index 11,122 40,987 99.76 126.82 49.73 0.55% (523.44) HEX Index 7,310 45,041 8,385.30 9,746.28 27.05 0.60% (563.07) OMX Index (99) 3,094 199.56 193.36 4.60 0.70% 5.82 ATX Index 3,206 (55,794) 3,176.10 2,993.61 7.33 0.78% (83.30) ASE Index (127) 3,427 1,457.00 1,404.94 .3.14 1.18% (116.26) OSEBX Index 3,164 29,902 85.41 94.45 15.57 0.68% (241.70) IN- INDEXCF Index 2,218 (76,271) 38.37 37.26 2.26 1.29% (1,151.28) TOP40 Index 2,316 44,616 4,054.23 4,264.68 8.51 0.61% 362.98 SENSEX Index 5,191 49,159 374.43 413.98 14.07 0.75% (285.98) NKY Index 1,265 31,805 139.53 145.09 8.91 0.45% (906.91) HSI Index 3,411 48,854 2,934.06 3,138.93 13.21 0.53% (122.35) SHCOMP Index (98) 35,484 357.50 356.52 A.54 0.51% 151.38 KOSPI Index 2,978 45,441 1.85 1.97 13.41 0.49% (275.63) AS51 Index 1,435 39,851 4,866.00 5,041.25 8.29 0.43% (556.70) STBCNZL Index 34,638 73,207 439.01 646.73 141.85 0.33% (925.81) EEM US Equity (72) 9,973 44.03 43.71 4.33 0.54% 89.13 IYR US Equity 183 15,110 71.28 72.14 3.32 0.36% 115.33 MDY US Equity 5,027 14,269 185.56 250.94 71.91 0.49% 202.80 JNK US Equity (0) (980) 40.69 40.69 0.00 0.20% (4.11) XLF US Equity 5,809 13,610 15.69 22.38 84.70 0.50% 192.79 XLU US Equity 351 7,097 39.49 41.44 6.68 0.74% 148.49 XLK US Equity 3,343 13,272 30.89 38.67 50.26 0.50% 108.11 XLI US Equity 4,592 12,917 38.49 52.17 67.65 0.53% 248.48 XLP US Equity 361 13,034 42.69 43.87 6.11 0.45% 135.71 XLY US Equity 1,292 12,582 60.18 66.36 18.58 0.55% 214.43 XLE US Equity 957 14,589 90.65 96.60 10.39 0.63% 260.18 XLB US Equity 4,417 15,233 38.14 49.20 69.88 0.41% 205.82 XLV US Equity 13,838 24,346 38.59 60.53 98.92 0.57% 453.20 SXXP Index 929 9,808 398.17 435.90 16.14 0.59% (14.57) SXAP Index 149 (24,457) 616.23 612.48 0.69 0.88% (165.05) SXKP Index 240 5,722 363.73 378.98 7.29 0.57% (71.24) EFTA00288685 SX6P Index 3,675 23,702 350.42 404.76 24.47 0.63% (7.08) SXEP Index 1,034 55,125 450.18 458.63 2.73 0.69% (325.04) SXIP Index 2,065 5,785 219.34 297.65 58.06 0.61% (0.82) SXNP Index 2,913 (78,090) 535.89 515.90 5.53 0.67% 22.82 SX3P Index 134 20,188 676.44 680.92 1.35 0.49% (168.75) SXDP Index 26,548 61,074 591.00 847.89 115.59 0.38% (285.41) SX4P Index 262 6,237 926.55 965.52 5.15 0.82% (1.01) SX8P Index 63 9,102 370.24 372.79 0.93 0.74% (17.89) SXOP Index 4,434 (86,423) 441.67 419.01 6.37 0.81% (379.07) SXQP Index (504) 19,185 792.95 772.64 -4.25 0.62% (82.68) SXRP Index 4,234 (100,871) 411.39 394.12 7.07 0.59% (211.30) SXMP Index (412) 16,248 331.43 323.23 -3.93 0.65% (12.34) SXTP Index 1,459 (75,418) 249.66 244.83 3.16 0.61% 602.16 SX7E Index 422 (31,935) 185.01 182.56 1.10 1.20% (258.24) SXSE Index 118 (27,699) 4,051.26 4,033.96 0.52 0.82% (81.39) SPGSCITR Index 4,800.84 XAG Curncy 281 (9,510) 20.50 19.90 4.48 0.66% 35.30 CO1 Comdty 3,452 (111,889) 108.36 105.02 4.68 0.66% 459.44 CL1 Comdty (365) 14,592 100.09 97.65 -351 0.71% 45.31 NG1 Comdty 3,333 (77,296) 4.14 3.96 3.14 1.37% MUM XAU Comdty (385) (38,874) 100.27 101.26 -1.98 0.50% (60.91) IBOXHY Index 1,748 32,051 221.65 233.74 46.49 0.12% (7.55) US_TSY CREDIT 692 100,443 767.42 772.70 5.56 0.12% (9.16) CA_TSY CREDIT (1,649) 309,688 1,235.52 1,228.98 -2.30 0.23% (1,287.92) MX_TSY CREDIT (702) 121,882 223.12 221.84 -2.05 0.28% 92.93 AU TSY CREDIT 2,609 90,775 1,522.55 1,566.31 11.41 0.25% 633.86 JP_TSY CREDIT (330) (126,049) 820.95 823.10 -1.26 0.21% (595.43) MY_TSY CREDIT 2,310 136,346 170.99 173.89 8.03 0.21% (55.79) SG_TSY CREDIT 1,019 132,728 223.35 225.07 4.79 0.16% 411.29 AT_TSY CREDIT 4,636 82,197 360.46 380.79 26.67 0.21% 580.78 BE_TSY CREDIT 6,349 81,103 480.57 518.19 36.25 0.22% 637.48 FI_TSY CREDIT FR_TSY CREDIT 3,827 5,055 85,645 82,246 351.08 1,691.75 366.77 1,795.72 22.18 29.39 0.20% 0.21% 525.11 622.32 DE_TSY CREDIT 2,861 84,524 1,254.64 1,297.10 16.22 0.21% 554.58 lE_TSY CREDIT 33,344 78,270 335.98 479.11 205.67 0.21% 590.17 IT_TSY CREDIT 9,413 54,986 1,605.64 1,880.51 81.23 0.21% 390.35 NL_TSY CREDIT 4,071 83,503 1,339.12 1,404.40 23.56 0.21% 578.10 ES_TSY CREDIT 11,629 50,187 390.77 481.32 110.86 0.21% 405.92 DK_TSY CREDIT 3,110 71,590 736.27 768.26 20.19 0.22% 526.80 NO_TSY CREDIT (184) (74,008) 340.19 341.04 -1.01 0.25% (334.87) PL_TSY CREDIT 1,660 35,151 424.62 444.67 14.21 0.33% 137.68 ZA_TSY CREDIT (234) (53,607) 84.71 85.08 -0.94 0.46% 12.54 SE_TSY CREDIT 920 (55,965) 465.31 457.66 5.45 0.30% (283.56) CH_TSY CREDIT - 54,044 1,049.86 1,049.86 0.00 0.21% 335.12 GELTSY CREDIT 3,925 108,101 1,530.35 1,585.91 19.42 0.19% 226.50 EFTA00288686