EFTA00288736.pdf

Atorus, LLC 4/29/2014 Current Date: 4/29/2014 Change on Day: 1.24% Total Return since 1/1/12: 84.20% MSCI World Change on 712M Return: 30.46% Day 0.58% T90 Day Return: 8.68% No of Positions T30 Day Return: 1.85% (+MTM) on Day 275 Current Long Exposure @ Cost: 4,898,673 No of Positions (-WM) Current Short Exposure @ Cost: (565,940) on Day 137 Net Exposure: 4,332,734 Current No. of Starting Capital: 1,000,000 Positions: 443 Current NAV: 1,842,000 Current Leverage (Gross Exposures): 2.97 Profit Factor: Win Ratio: T24M (+) NAV Days T24M Avg. Daily NAV (+) Change T24M Avg. Daily NAV (.) Change Target Vo!adj. Risk Listed Equities Target Vo!adj. Risk Global Macro Targeted Max Loss (ex•Leverage) Leverage Target At Inception: Notes on Leverage: T24M Sharpe Ratio: Historical Sharpe & Notes: Historically 2.25X • 3.25X, depending on measurement Interval 40% - 50% historically -0.90% 50.00% 50.00% 10.00% 2X 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. 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. NAV 2,000,030.00 1,800,800.00 1,600,800.00 1,400,800.00 1,200,800.00 1,000,800.00 800,000.00 600,000.00 ----Series1 11, 'V . 'V eb II ) "), 4) t•i c9% 19 etr O0.S 19> O9% ,9% O9% ,19> 19% c O,S $ \e% • 4' 4 4 S* 4 4' .71 4v 4' 0)\",,, EFTA00288736 Atorus, LLC 4/29/2014 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 24 Positions 941 HK Equity (9,455) ZA_TSY CREDIT (11,615) XAG Curncy (15,640) CO1 Comdty (19,698) MEXBOL Index (20,915) INDEXCF Index (21,271) JP_TSY CREDIT (22,684) XAU Comdty (23,727) SHCOMP Index (26,960) NO_TSY CREDIT (29,231) SE_TSY CREDIT (55,416) SPX Index 62,272 DK_TSY CREDIT 67,396 CH_TSY CREDIT 68,798 CA_TSY CREDIT (72,133) STBCNZL Index 73,231 GB_TSY CREDIT 75,587 AT_TSY CREDIT 77,381 lE_TSY CREDIT 78,270 BE_TSY CREDIT 78,588 FR_TSY CREDIT 79,196 NL_TSY CREDIT 79,461 DE_TSY CREDIT 80,183 FI_TSY CREDIT 80,881 NAV Impact of MTM by Category & Exposure Listed Equity Long 0.759% Listed Equity Short -0.128% EquityCom Long 0.858% EquityCom Short -0.071% G20 Rates Long -0.100% G20 Rates Short -0.023% % of Total Notional Security MTM Gain % Total NAV 22.51%1 45 Positions 25.84% 0.17% AEX Index 5,766 0.31% 0.21% JNJ US Equity 5,957 0.32% 0.29% MAERSKB DC Equity 6,084 0.33% 0.36% ROG VX Equity 6,085 0.33% 0.38% XLI US Equity 6,120 0.33% 0.39% HON US Equity 6,133 0.33% 0.42% NOVN VX Equity 6,305 0.34% 0.43% AZN SS Equity 6,421 0.35% 0.49% SXMP Index 6,484 0.35% 0.53% SX7E Index 6,531 0.35% 1.01% UTX US Equity 6,624 0.36% 1.14% SX6P Index 6,790 0.37% 1.23% P5120 Index 6,801 0.37% 1.26% AZN US Equity 6,960 0.38% 1.32% DAI GR Equity 6,961 0.38% 1.34% ACA FP Equity 7,007 0.38% 1.38% SMI Index 7,088 0.38% 1.42% AZN LN Equity 7,171 0.39% 1.43% SXXP Index 7,203 0.39% 1.44% MDT US Equity 7,546 0.41% 1.45% SXSE Index 7,818 0.42% 1.45% HEX Index 7,846 0.43% 1.47% FTSEMIB Index 7,905 0.43% 1.48% PRU LN Equity 8,170 0.44% TMO US Equity 8,194 0.44% BEL20 Index 8,447 0.46% MMM US Equity 8,933 0.48% IT_TSY CREDIT 9,068 0.49% DAX Index 9,076 0.49% TYC US Equity 9,773 0.53% NDX Index 9,799 0.53% IBEX Index 9,923 0.54% LUXXX Index 10,599 0.58% SXAP Index 10,704 0.58% KFX Index 11,074 0.60% ES_TSY CREDIT 11,332 0.62% XLV US Equity 12,028 0.65% SXIP Index 12,233 0.66% SXOP Index 12,684 0.69% SPX Index 18,079 0.98% EFTA00288737 SXTP Index 21,989 1.19% ISEQ Index 23,547 1.28% SXDP Index 26,542 1.44% lE_TSY CREDIT 32,694 1.77% STBCNZL Index 35,494 1.93% APAC Lon 22 APAC Short 26 EMEA Long 76 EMEA Short 12 AMER Long 179 AMER Short 33 E • ultyCom Lon 64 EquityCom Short 8 G20 Rates Lon 16 G20 Rates Short 7 Total Long 357 Total Short 86 Current Exposure by Geography (Listed Eqult es) & Macro (Equity Indices & Commodiites, G20 Gov. Credit) $2,000,000 $1,500,000 51,000,000 5500,000 $ $(500,000) • APAC Long • APAC Short • EMEA Long ■ EMEA Short ■ AMER Long • AMER Short • EquityCom Long • EquityCom Short • G20 Rates Long • G20 Rates Short EFTA00288738 Atorus, LLC 4/29/2014 Historical Net Exposure by Geography (Listed Equities) & Macro (Equity Indices & Comrnodlites, G20 Gov. Credit) —APAC — EMU — AMER 2.000.000 1,500,00D 5,000,000 0,000,000 3,000,000 2,000,000 1,000,000 500.000 1,000,030 (1.000,000) (2,000,000) — EqurtyCom —G20 Rates . ,NexEposute REG .% oaekDDDI ett el, O% os,, 41 c, \is. % .39 1 1) a, 1 1) ,92 NV19 ,c9 NVI9 VP v \_ \N„ O1, e e st. 0. 1. -v• \is. \ (1,030,000) (3,000,000) Historical Gross Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodlites, G20 Gov. Credit) EFTA00288739 Atorus, LIC 4/29/2014 Current Gross Notional Risk by Category 227,016 1,201,960 Ag or*76,305 c oos - 1,480,781 • APAC • EMEA • AMER • EquityCom • G20 Rates Performance Vs. MSCI World Index 2.15 1.95 1.75 1.55 1.35 1.15 0.95 0.75 ecl• Ayb 1. Otis eb b st) o st) 6+' 6> 6+ Qs% 6+. 6+ I+. e e e fee e 4( / 01' e •—•Serits1 —Serits2 Rolling 30 Day Realized Volatility - EFTA00288740 Atorus, LLC 4/29/2014 Percentile Distribution of Current MTM Gains in Vol Days by Position (ex-99pct & ex-1st percentiles) Percentile No. Vol Days 0.00,:, -20.80 5.00% -2.88 10.00% -1.38 15.00% 43.67 20.00% 0.08 25.00% 1.30 30.00% 2.57 35.00% 3.34 40.00% 4.93 45.00% 6.81 50.00% 8.36 55.00% 10.74 60.00% 13.09 65.00% 15.70 70.00% 18.92 75.00% 22.44 80.00% 26.71 85.00% 32.48 90.00% 39.30 95.00% 55.93 100.00% 208.26 MTM Gains(Losses) % of NAV "Signficant" (<7 Vol Days) MTM Gains(Losses) % of NAV "Signficant" (>7 Vol Days) 1.01% EFTA00288741 Atorus, LLC Current Portfolio -Listed Equity Portfolio Current Price P/L in Vol 309 Realized Change on Day Security MTM Gain/(Loss) Exp. # Cost Avg. Price (in USD) Days Vol (In USD) 4/29/2014 000270 KS Equity (20) (1,967) 55.72 56.30 -1.04 1.00% (15.22) 005380 KS Equity 42 3,149 224.39 227.41 1.33 1.01% 11.55 005490 KS Equity (210) (3,011) 272.57 291.63 -5.91 1.18% (83.82) 005930 KS Equity (42) (1,121) 1,278.08 1,326.22 -4.24 0.89% 19.50 012330 KS Equity 1,027 5,584 247.00 292.44 19.56 0.94% 3.11 1 HK Equity 962 12,607 16.18 17.41 11.34 0.67% (8.49) 1299 HK Equity 198 5,954 4.79 4.95 3.40 0.98% 126.89 13 HK Equity 2,617 12,243 11.40 13.84 27.41 0.78% 101.51 16 HK Equity 12.63 27 HK Equity (13) 74 9.40 8.03 -8.68 1.97% (3.30) 2914 JP Equity 4 (3,774) //N/A N/A 0.12 0.94% 3382 JP Equity 30 1,329 //N/A N/A 2.35 0.95% 4063 JP Equity (77) 2,344 //N/A N/A -2.88 1.15% 4502 JP Equity 8 (3,151) //N/A N/A 0.29 0.88% 4689 JP Equity 0 (357) //N/A N/A 0.07 2.01% 5 HK Equity (17) (3,197) 10.17 10.22 -0.68 0.77% (26.98) 5108 JP Equity 832 //N/A N/A 0.00 1.00% 5401.1P Equity 401 (4,349) PN/A N/A 8.54 1.08% 6301.1P Equity (38) (1,238) PN/A N/A -2.84 1.09% 6752 JP Equity //N/A N/A 6902 JP Equity //N/A N/A 6954 JP Equity 965 6,393 6,392.98 //N/A N/A 14.32 1.05% 7201.1P Equity 124 (2,999) (3,742.97) PWA N/A 4.47 0.93% 7203 JP Equity 218 (4,207) (5,259.85) //N/A N/A 5.68 0.91% 7267 JP Equity 396 (4,294) (4,885.01) MO N/A 9.13 1.01% 762 HK Equity (133) (3,929) (5,161.69) 1.42 -2.78 1.21% (176.81) 7751 JP Equity 63 (5,492) (6,865.02) //N/A N/A 1.54 0.74% 8031.1P Equity (36) (3,821) (4,775.88) //N/A N/A -1.01 0.94% 8058 JP Equity 52 (2,761) (4,383.01) PN/A N/A 2.05 0.92% 8106 JP Equity 226 (3,668) (4,603.66) PN/A N/A 4.39 1.40% 8316 JP Equity 110 (1,984) (2,000.57) PN/A N/A 4.39 1.26% 84111P Equity 31 (4,309) //N/A N/A 1.01 0.71% 8604 JP Equity 316 (3,335) (3,504.39) MO N/A 7.46 1.27% 8801.1P Equity (97) 2,660 MO N/A -2.82 1.29% 8802 JP Equity 432 (4,463) //N/A N/A 7.29 1.33% 9020 JP Equity 254 (5,379) PN/A N/A 4.07 1.16% 941 HK Equity 836 (9,455) 10.19 9.29 7.28 1.21% (324.45) 9432 JP Equity 132 6,077 PN/A N/A 1.97 1.10% 9433 JP Equity (33) (1,000) PN/A N/A -2.74 1.21% 9437 JP Equity (145) (6,149) PN/A N/A -2.33 1.02% 9983 JP Equity 104 (2,751) PN/A N/A 2.75 1.37% EFTA00288742 9984 JP Equity (56) 2,175 #WA WA -1.37 1.88% AAPL US Equity 908 6,302 518.25 592.89 15.76 0.91% 71.78 ABB US Equity 144 5,329 23.59 24.23 3.26 0.83% (404.30) ABBN VX Equity 163 5,570 23.63 24.32 3.32 0.88% (390.81) ABBV US Equity 88 2,296 49.39 51.29 2.69 1.43% 38.53 ABEV US Equity 45 4,344 7.61 7.69 1.27 0.81% 0.34 ABEV3 BZ Equity 78 4,143 7.59 7.73 2.12 0.89% 0.27 ABI BB Equity 686 8,888 103.14 111.10 11.04 0.70% 72.36 ABT US Equity (32) 4,097 38.86 38.56 .1.10 0.71% 39.98 ABX CN Equity 242 (3,366) 18.97 17.60 4.89 1.47% (24.60) ABX US Equity 236 (3,243) 18.99 17.61 5.11 1.42% (18.95) ACA FP Equity 7,007 5,408 6.83 15.69 111.91 1.16% (2.61) ACE US Equity 511 8,813 96.79 102.41 13.20 0.44% 65.09 ACN US Equity 198 10,703 77.97 79.41 2.18 0.85% 118.72 ADP US Equity 57 3,867 75.63 76.74 2.19 0.67% 56.97 AFL US Equity (12) 3,645 62.99 62.79 -0.47 0.68% 57.50 AGN US Equity 4,887 9,698 110.56 166.28 25.63 1.97% (23.15) Al FP Equity 474 9,303 135.66 142.57 8.12 0.63% (29.68) AIG US Equity 364 7,022 49.93 52.52 6.30 0.82% 59.08 AIR FP Equity 301 1,408 57.15 69.35 23.13 0.92% (10.33) ALV GR Equity 130 5,509 167.39 171.33 3.12 0.75% 62.64 ALVG IX Equity 128 5,509 167.40 171.30 3.03 0.77% 60.06 AMGN US Equity 1,680 9,154 94.49 111.82 14.86 1.23% 114.44 AMT US Equity 974 11,367 76.70 83.27 16.81 0.51% (10.47) AMZN US Equity 95 (1,925) 312.70 297.28 2.61 1.89% (26.46) ANZ AU Equity 682 7,586 29.55 32.21 12.97 0.69% (1.57) APA US Equity • 1,027 88.09 88.09 0.00 0.81% 14.93 APC US Equity 61 2,501 97.78 100.15 1.99 1.21% 19.23 AXP US Equity 2,345 10,373 71.56 87.74 25.73 0.88% 135.06 AZN LN Equity 7,171 12,676 49.80 77.98 35.95 1.57% (203.20) AZN SS Equity 6,421 12,119 50.82 77.74 35.03 1.51% (252.70) AZN US Equity 6,960 12,812 50.30 77.63 38.32 1.42% (9.50) BA US Equity 78 4,613 125.87 128.01 2.09 0.82% 29.77 BAC US Equity 4,678 6,530 8.82 15.14 61.93 1.16% 19.80 BARC LN Equity 138 3,874 4.05 4.19 3.40 1.05% 0.48 BAS GR Equity 1,256 7,333 97.30 113.97 18.50 0.93% 76.98 BATS LN Equity 630 7,532 53.98 58.49 11.04 0.76% 84.62 BAX US Equity 3 1,938 73.05 73.14 0.15 0.86% 5.02 BAYN GR Equity 226 4,438 132.62 139.37 4.94 1.03% 49.16 BBAS3 BZ Equity (33) (456) 10.07 10.79 .3.56 2.01% (17.35) BBD US Equity 164 3,222 14.49 15.23 3.07 1.66% 81.38 BBDC4 BZ Equity 161 3,172 14.49 15.23 2.98 1.70% 78.82 BBL US Equity (64) (2,585) 62.89 64.44 .2.73 0.90% (21.27) BBVA SM Equity 1,260 5,790 10.12 12.32 22.60 0.96% 66.96 BCE CN Equity (10) 2,360 44.18 43.99 0.97 0.44% 11.46 BCS US Equity 173 3,122 16.00 16.89 5.01 1.10% 31.62 BEN US Equity (25) 1,468 52.54 51.65 -1.64 1.05% (4.23) EFTA00288743 BG/ LN Equity (462) (3,503) 17.51 19.82 -14.42 0.92% (164.77) BHP AU Equity 92 6,689 34.33 34.80 1.59 0.86% (64.52) BHP US Equity 264 6,839 67.77 70.39 4.12 0.94% 61.04 BII8 US Equity 192 1,066 245.93 290.13 9.52 1.89% 32.25 BIL Si Equity (8) (1,598) 32.02 32.18 .0.61 0.84% BK US Equity 245 8,609 32.86 33.80 3.50 0.81% 133.22 BLK US Equity 85 3,418 293.93 301.22 2.51 0.99% 25.20 BLT IN Equity 3 (3,182) 32.13 32.10 0.10 0.86% (9.50) BMO CN Equity 388 11,017 66.19 68.52 7.40 0.48% (42.32) BMW GR Equity 1,345 5,212 99.22 124.82 25.14 1.03% 27.33 BMY US Equity (19) 582 50.47 48.88 -2.82 1.16% (14.67) BN FP Equity (4) 3,945 73.10 73.03 -0.13 0.72% 20.80 BNP FP Equity 1,334 5,498 61.78 76.77 23.98 1.01% 1.03 BNS CN Equity 341 10,072 58.15 60.12 7.52 0.45% 134.90 BP/ LN Equity 789 9,797 7.76 8.39 10.12 0.80% 236.13 BRK/B US Equity 916 13,041 119.88 128.30 14.51 0.48% 92.74 BSBR US Equity (391) (4,903) 6.18 6.68 .4.55 1.75% BUD US Equity 648 9,049 103.62 111.04 10.32 0.69% 67.57 BX US Equity (27) 1,871 30.35 29.92 -0.80 1.81% (19.56) C US Equity (21) 3,763 48.12 47.85 -0.55 1.01% 32.14 CA FP Equity 501 3,932 34.37 38.74 14.48 0.88% 25.20 CAT US Equity 2,357 14,434 90.25 104.98 22.86 0.71% 123.28 CBA AU Equity 767 11,594 68.84 73.40 11.25 0.59% 18.20 CBS US Equity 41 253 49.35 57.34 13.72 1.18% 0.41 CCL US Equity 552 6,257 36.20 39.40 8.79 1.00% 198.82 CELG US Equity (3) (116) 142.74 146.05 -1.40 1.65% (2.82) CFR VX Equity 230 7,019 96.74 99.90 4.27 0.77% (32.35) CI. US Equity 2,623 20,847 59.76 67.28 23.66 0.53% (113.90) CM CN Equity 604 10,376 83.40 88.26 13.19 0.44% 100.40 CMCSA US Equity 139 4,527 50.01 51.54 3.03 1.01% 6.45 CMCSK US Equity 4,875 12,096 36.26 50.88 41.84 0.96% 81.45 CNI US Equity 1,669 12,873 51.38 58.04 17.46 0.74% (10.44) CNQ CN Equity 1,336 10,769 36.73 41.29 16.16 0.77% 216.88 CNR CN Equity 1,639 12,425 51.30 58.06 19.03 0.69% 16.37 COF US Equity 477 7,124 68.86 73.46 10.82 0.62% 32.94 COP US Equity 35 4,333 74.40 75.00 1.19 0.67% 25.48 COST US Equity 126 7,900 113.72 115.54 3.29 0.48% (18.60) COV LN Equity #N/A N/A COV US Equity 687 7,080 64.09 70.31 11.53 0.84% 76.38 CRM US Equity (100) 822 56.04 49.94 -7.37 1.66% 4.09 CS FP Equity 774 2,155 19.39 26.36 37.87 0.95% 44.30 CSCO US Equity (18) 5,008 23.24 23.15 -0.43 0.86% 38.98 CSX US Equity 1,109 8,914 25.07 28.19 17.06 0.73% 34.89 CVE CN Equity 29.99 - CVS US Equity 1,799 11,815 63.98 73.72 27.48 0.55% (15.99) CVX US Equity (83) (657) 112.39 126.61 -20.80 0.61% (5.88) D US Equity 2,536 13,059 60.65 72.43 38.65 0.50% (5.42) EFTA00288744 DAI GR Equity 6,961 13,908 62.20 93.34 42.83 1.17% 170.57 DBK GR Equity 6 1,906 44.29 44.44 0.31 1.08% 45.75 DD US Equity 2,869 12,980 54.99 67.15 37.65 0.59% 86.29 DDAIF US Equity 4,042 8,377 63.20 93.70 36.23 1.33% 169.58 DE US Equity 805 9,783 86.71 93.85 12.78 0.64% 94.55 DELL US Equity #WA WA DG FP Equity 4,697 10,090 51.66 75.71 68.55 0.68% 150.37 DGE LN Equity (16) 2,332 30.86 30.65 -0.68 0.99% 8.34 DHR US Equity (11) 5,021 73.46 73.30 -0.31 0.73% 1.00 DIS US Equity 1,446 9,908 68.36 78.34 16.33 0.89% 67.84 DISCA US Equity 106 (4,082) 77.65 75.63 3.02 0.86% 2.73 DNB NO Equity 105 3,191 16.67 17.21 3.35 0.98% 27.51 DOW US Equity 2,292 7,396 37.11 48.61 27.93 1.11% 214.08 DPW GR Equity 163 660 29.41 36.66 18.01 1.37% 0.96 DTE GR Equity 765 3,835 13.54 16.25 23.24 0.86% 94.35 DTV US Equity 2,501 10,622 61.97 76.57 22.92 1.03% (4.40) DUK US Equity 180 7,514 72.92 74.67 4.49 0.53% 25.99 DVN US Equity 1,320 11,143 63.30 70.80 14.54 0.81% 92.61 EBAY US Equity (44) 6,678 54.29 53.93 A.71 0.93% 63.14 ECL US Equity (56) 9,210 105.21 104.58 -0.82 0.74% (50.28) EDF FP Equity 5,612 9,189 23.45 37.76 65.39 0.93% (389.55) EMC US Equity (25) 10,986 25.35 25.30 -0.29 0.79% 12.62 EMR US Equity 157 8,739 66.80 67.99 2.42 0.74% (30.98) ENB CN Equity 689 11,028 45.29 48.13 12.56 0.50% 154.85 ENEL IM Equity 2,324 8,525 4.44 5.65 32.15 0.85% 126.95 ENI IM Equity 755 11,929 24.33 25.87 9.69 0.65% 211.16 EOAN GR Equity 60 2,996 18.77 19.14 2.92 0.69% 32.39 EOG US Equity 2,180 5,841 72.84 100.02 38.34 0.97% 165.89 EPD US Equity 1,899 13,127 63.70 72.91 20.05 0.72% 347.93 ERICB SS Equity (284) 7,934 12.49 12.06 -3.60 1.00% (12.54) ESRX US Equity 641 9,815 66.69 71.04 9.16 0.71% 45.23 ETN US Equity (6) 5,260 72.48 72.40 A.11 1.05% (138.40) F US Equity (247) (2,897) 14.82 16.08 -9.61 0.89% (27.33) F8 US Equity 790 2,630 44.06 57.30 13.51 2.22% 66.04 FCX US Equity 156 5,057 33.25 34.28 2.90 1.07% 70.33 FDX US Equity 210 2,491 124.78 135.31 13.02 0.65% 15.54 FOX US Equity (92) 3,508 32.01 31.19 -2.30 1.14% 9.38 FOXA US Equity (101) 3,236 32.94 31.94 -2.68 1.16% 3.34 FP FP Equity 1,865 13,022 61.76 70.61 18.85 0.76% 264.28 G IM Equity 352 4,550 21.70 23.38 9.86 0.79% 49.56 GE US Equity 2,585 13,140 22.32 26.71 35.79 0.55% 0.88 GILD US Equity 14 1,409 74.73 75.47 0.54 1.83% 16.14 GIS US Equity 1,142 18,262 49.84 52.95 12.75 0.49% (40.81) GLE FP Equity 802 3,248 49.51 61.73 21.16 1.17% 128.18 GLEN LN Equity (43) (3,693) 5.22 5.28 -1.30 0.89% (21.90) GLW US Equity 3,353 11,635 16.25 20.93 30.93 0.93% 41.06 GM US Equity 14 (1,890) 34.16 33.91 0.85 0.88% (8.36) EFTA00288745 GOOG US Equity (26) (1,335) 515.21 525.31 -1.36 1.44% (38.14) GS US Equity (17) (1,683) 156.31 157.92 -1.07 0.96% (20.52) GSK LN Equity 384 5,707 26.22 27.98 7.17 0.94% (2.96) GSZ FP Equity 413 11,150 25.29 26.22 5.02 0.74% (32.14) HAL US Equity 1,837 6,543 49.74 63.71 26.91 1.04% 126.90 HD US Equity 611 7,619 73.80 79.72 10.81 0.74% (47.18) HMB SS Equity (46) (3,245) 41.18 41.76 -1.88 0.76% 14.09 HON US Equity 6,133 11,930 61.10 92.51 77.06 0.67% 21.58 HPQ US Equity 2,175 7,393 25.45 32.94 22.47 1.31% 283.40 HSBA LN Equity 38 4,565 10.16 10.25 1.42 0.59% 51.41 IBE SM Equity 1,800 7,501 5.56 6.89 39.28 0.61% 49.13 IBM US Equity (31) (1,168) 190.16 195.13 -3.08 0.85% (12.48) IMT LN Equity 2,469 13,136 36.73 43.63 28.95 0.65% 237.27 INTC US Equity 1,149 12,041 24.19 26.50 14.23 0.67% 132.66 ISP IM Equity 4,324 5,699 1.93 3.39 57.06 1.33% 109.57 ITUB US Equity 256 4,335 15.61 16.53 4.04 1.46% 49.45 ITUB4 BZ Equity 247 3,252 15.40 16.57 4.88 1.56% 31.20 ITW US Equity 3,498 14,011 67.84 84.77 32.76 0.76% 83.09 ITX SM Equity (58) (3,652) 146.45 148.76 -2.10 0.75% 6.43 JCI US Equity 14 599 42.92 43.94 1.88 1.26% 2.38 JNJ US Equity 5,957 16,787 74.76 101.29 67.79 0.52% 94.81 JPM US Equity 12 1,888 55.66 56.01 0.73 0.87% 24.37 KMB US Equity 355 9,903 107.52 111.38 6.82 0.53% 44.93 KMI US Equity 164 (6,775) 33.81 32.99 3.10 0.78% (104.95) KO US Equity (12) 5,636 40.78 40.70 -0.40 0.54% (49.08) LBTYA US Equity 4 (664) 39.65 39.39 0.63 1.02% 4.27 LBTYK US Equity 12 (2,842) 38.22 38.06 0.42 1.02% 19.99 LIN GR Equity 271 8,087 198.03 204.67 5.14 0.65% 99.90 LLOY LN Equity 282 1,914 1.10 1.26 12.82 1.15% 11.59 LLY US Equity 35 4,953 59.03 59.45 0.93 0.77% 64.74 LMT US Equity 651 2,016 122.48 162.03 34.90 0.93% 12.42 LNKD US Equity 442 (2,461) 183.83 150.85 7.19 2.50% (31.67) LOW US Equity (206) 5,011 48.33 46.42 -5.33 0.77% 6.70 LVS US Equity 1,070 4,085 61.33 77.39 14.13 1.85% 152.70 LYB US Equity 1,224 2,297 59.29 90.87 62.50 0.85% 3.82 MA US Equity (6) 277 73.43 71.94 -1.63 1.27% 2.84 MAERSKB DC Equity 6,084 14,148 1,642.52 2,348.81 41.27 1.04% 403.13 MC FP Equity 244 5,711 186.24 194.21 5.57 0.77% (64.28) MCD US Equity 56 6,304 100.37 101.27 2.06 0.43% 64.26 MCK US Equity 40 2,181 164.92 167.95 2.03 0.90% (1.27) MDIZ US Equity 3,291 13,641 28.68 35.60 40.09 0.60% (109.01) MDT US Equity 7,546 20,811 43.22 58.90 43.19 0.84% 171.09 MET US Equity 1,246 7,556 44.37 51.68 16.51 1.00% 142.17 MFC CN Equity 1,624 3,201 12.38 18.65 61.68 0.82% 78.65 MHS US Equity #WA WA MMM US Equity 8,933 21,331 96.89 137.47 65.77 0.64% 72.54 MO US Equity 1,013 10,839 36.70 40.12 17.35 0.54% 81.43 EFTA00288746 MON US Equity 537 11,917 106.02 110.79 5.94 0.76% 72.06 MOS US Equity 49.95 - MRK US Equity 1,930 11,769 50.18 58.42 17.84 0.92% 335.66 MS US Equity 2 2,280 30.40 30.42 0.07 1.26% 36.21 MSFT US Equity 1,213 8,007 35.30 40.65 15.69 0.97% (32.43) MUV2 GR Equity 1,119 6,116 197.70 233.85 27.98 0.65% 85.27 NAB AU Equity 465 9,956 31.52 32.99 6.90 0.68% (65.10) NCM AU Equity 9.74 - NEE US Equity 5,081 14,891 72.92 97.80 54.41 0.63% 81.30 NEM US Equity 426 (1,757) 33.09 25.06 13.35 1.82% (19.13) NESN VX Equity 941 9,821 69.64 76.31 16.80 0.57% 14.89 NG/ IN Equity 2,353 13,258 11.96 14.09 31.15 0.57% 216.73 NICE US Equity 189 2,940 68.03 72.41 7.06 0.91% 18.66 NOK US Equity 3,892 4,498 3.96 7.39 53.50 1.62% 351.40 NOV US Equity 132 9,753 77.58 78.63 1.54 0.88% 82.26 NOVN VX Equity 6,305 18,291 63.81 85.80 42.85 0.80% 121.43 NOVOB DC Equity 1,120 9,444 40.35 45.14 12.88 0.92% 2.27 NSC US Equity 1,661 9,797 80.78 94.47 22.41 0.76% 56.73 NVS US Equity 5,059 15,510 65.07 86.29 39.31 0.83% 247.71 OGXP3 BZ Equity 4,024 (4,107) 4.39 0.09 53.26 1.84% 153.59 OR FP Equity 122 5,025 163.47 167.42 3.63 0.67% (91.17) ORA FP Equity 1,178 7,118 13.32 15.52 16.95 0.98% 302.41 ORCL US Equity 1,559 7,995 33.68 40.24 19.76 0.99% 61.26 OXY US Equity 184 7,355 95.04 97.42 2.99 0.84% 56.01 PBR US Equity (53) (738) 13.35 14.31 .3.12 2.32% (28.95) PBR/A US Equity (155) (1,677) 13.87 15.15 .3.95 2.34% (66.93) PCLN US Equity 499 2,920 983.89 1,151.92 10.02 1.70% 63.99 PCP US Equity ISM 4,727 255.24 252.14 -1.12 1.09% 73.64 PEP US Equity 409 10,723 83.02 86.19 8.41 0.45% (53.02) PETR3 BZ Equity (52) (561) 6.54 7.16 -4.04 2.31% (19.41) PETR4 BZ Equity (112) (1,249) 6.95 7.57 -3.69 2.43% (42.54) PFE US Equity 171 5,476 30.70 31.65 3.43 0.91% (35.38) PG US Equity 468 11,013 79.25 82.61 9.09 0.47% 9.72 PHIA NA Equity 2 (6,100) 31.96 31.95 0.06 0.60% (29.77) PM US Equity 811 9,010 78.38 85.44 11.17 0.81% 40.86 PNC US Equity 46 4,291 82.62 83.50 1.11 0.95% 23.12 POT CN Equity 15 2,642 35.72 35.92 0.61 0.93% 12.71 POT US Equity 8,170 10,521 20.23 35.94 82.04 0.95% 109.74 PRU LN Equity 1,120 12,888 20.86 22.67 21.84 0.40% 165.66 PSA US Equity 1,794 6,222 136.48 175.83 32.76 0.88% 37.44 PSX US Equity 2,232 16,340 73.78 83.86 21.46 0.64% 43.89 PX US Equity 2,226 12,547 109.61 129.05 23.86 0.74% (55.26) QCOM US Equity 2,149 7,968 61.97 78.68 34.07 0.79% 88.71 QQQ US Equity 609 9,925 81.90 86.92 8.83 0.70% 92.92 RAI US Equity 318 9,288 54.45 56.31 8.36 0.41% 104.91 RDS/A US Equity 518 9,236 72.44 76.50 11.94 0.47% 89.16 RDS/B US Equity 503 7,114 76.26 81.65 14.63 0.48% 75.73 EFTA00288747 RDSA LN Equity 251 7,620 37.00 38.22 7.30 0.45% 78.77 RDSA NA Equity 38.08 - RDSB LN Equity 552 9,209 38.45 40.75 11.42 0.52% 86.41 REGN US Equity (169) 6,240 302.56 294.60 -1.38 1.95% 319.86 RIO AU Equity (162) 3,506 59.27 56.66 .4.90 0.94% (58.08) RIO IN Equity (93) 4,819 54.81 53.78 -1.86 1.03% (5.27) RIO US Equity (0) 4,934 54.04 54.04 0.00 1.10% 43.72 ROG VX Equity 6,085 17,035 212.78 288.79 53.56 0.67% (78.11) RY CN Equity 107 8,293 65.48 66.33 2.90 0.45% 95.40 SAB LN Equity 1,054 9,453 48.63 54.05 11.20 1.00% 116.90 SAN FP Equity (13) 1,964 106.47 105.75 -0.82 0.83% (27.29) SAN SM Equity 1,312 8,103 8.48 9.86 19.94 0.81% 119.67 SAN US Equity 1,077 7,021 8.57 9.89 16.95 0.91% 95.55 SAP GR Equity (83) 5,241 80.58 79.33 -1.91 0.83% 53.19 SAP US Equity (80) 5,649 80.61 79.49 -1.80 0.78% 79.88 SBUX US Equity 70.79 - SGO FP Equity 2,955 7,836 44.08 60.71 37.06 1.02% 10.57 SI US Equity 521 5,671 118.49 129.38 11.28 0.81% (4.55) SIE GR Equity 684 5,345 114.81 129.50 14.62 0.88% (21.07) SLB US Equity 1,874 8,483 83.83 102.35 31.46 0.70% 113.96 SMSN LI Equity (43) (2,409) 643.80 655.24 -1.74 1.02% 39.21 SO US Equity 597 10,777 43.97 46.41 9.64 0.57% (13.44) SPG US Equity 300 8,178 166.14 172.24 6.82 0.54% 69.56 SREN VX Equity 86.46 - STAN LN Equity 19 (2,352) 22.09 21.91 0.86 0.91% (35.63) STL NO Equity 1,458 9,825 26.16 30.04 17.17 0.86% 453.21 ST7 US Equity (27) 813 66.45 64.33 -2.87 1.15% 12.66 SU CN Equity 636 8,181 36.12 38.93 7.97 0.98% 385.98 SU FP Equity 704 7,356 85.28 93.44 8.25 1.16% (27.12) SU US Equity 563 9,658 36.78 38.93 6.06 0.96% 441.83 SWEDA SS Equity 201 3,653 24.78 26.14 5.11 1.08% 65.49 SYNN VX Equity (460) (5,164) 359.52 391.58 -14.53 0.61% (20.40) T US Equity (12) 1,820 35.61 35.38 -0.82 0.81% 22.13 TD CN Equity 423 10,892 45.74 47.52 8.89 0.44% 149.40 TEF SM Equity 317 6,355 15.90 16.69 7.14 0.70% 74.09 TEF US Equity 287 5,961 15.89 16.66 6.71 0.72% 72.64 7G7 US Equity 218 (8,574) 63.57 61.96 4.09 0.62% 8.39 71X US Equity 1,464 5,695 46.52 58.47 32.66 0.79% 0.64 TLS AU Equity 365 7,919 4.60 4.81 8.51 0.54% 26.23 TLSN SS Equity (164) (4,027) 6.95 7.24 -3.79 1.08% (61.01) TM US Equity 372 (5,442) 115.49 107.59 8.06 0.85% (37.45) TMO US Equity 8,194 10,218 63.59 114.58 80.90 0.99% 156.99 TOT US Equity 1,204 6,885 60.09 70.59 22.69 0.77% 122.44 TRP CN Equity (17) (720) 45.78 46.84 -3.61 0.64% (10.07) TRV US Equity 631 8,793 84.62 90.69 12.59 0.57% 110.84 TSCO LN Equity 556 (6,286) 5.60 5.10 8.67 1.02% (32.08) TWC US Equity 894 5,234 120.22 140.75 18.06 0.95% 8.10 EFTA00288748 TWX US Equity (64) 4,244 65.73 64.76 -1.68 0.90% (17.21) TXN US Equity 3,872 12,205 34.93 46.01 28.00 1.13% 91.65 TYC US Equity 9,773 24,080 29.17 41.00 49.09 0.83% 179.02 UBS US Equity 362 5,489 19.43 20.72 7.07 0.93% 101.66 UBSN VX Equity 300 5,158 19.51 20.64 6.47 0.90% 52.93 UCG IM Equity 3,326 5,391 5.58 9.03 51.09 1.21% 96.96 ULVR LN Equity 180 6,329 42.99 44.21 3.28 0.87% 50.24 UNA NA Equity 112 5,283 41.53 42.41 2.75 0.77% 31.86 UNH US Equity 1,732 10,191 64.28 75.21 19.93 0.85% (108.68) UNP US Equity 1,743 12,014 165.36 189.36 19.87 0.73% 96.87 UPS US Equity 3,414 14,806 79.87 98.29 45.55 0.51% 56.34 USB US Equity 2,361 14,238 34.71 40.47 25.20 0.66% 143.43 UTX US Equity 6,624 15,190 82.05 117.83 52.99 0.82% 86.91 V US Equity 179 2,163 187.49 202.99 7.05 1.17% 29.31 VALE US Equity 273 (2,664) 14.92 13.39 6.45 1.59% (39.05) VALE3 BZ Equity 329 (2,939) 15.07 13.38 6.91 1.62% (32.13) VIAB US Equity 3,570 9,272 60.42 83.67 44.32 0.87% (3.47) VIV FP Equity 76 2,668 26.19 26.94 3.76 0.76% (2.87) VMW US Equity 45 4,785 89.16 89.99 0.58 1.62% (33.26) VOD LN Equity 113 (3,581) 3.85 3.73 3.56 0.88% (59.68) VOD US Equity 89 (3,458) 38.42 37.43 3.03 0.85% (68.94) VOW3 GR Equity 99 3,208 259.69 267.72 2.95 1.05% (15.84) VRX CN Equity 699 1,611 92.95 133.27 24.08 1.80% (5.45) VRX US Equity 803 1,880 93.20 133.04 23.24 1.84% (7.45) VTI US Equity 607 5,134 86.91 97.19 21.11 0.56% 46.34 VWO US Equity (21) (3,940) 40.84 41.05 0.64 0.82% (56.43) VZ US Equity 230 (6,492) 48.44 46.72 6.54 0.54% (35.03) WBC AU Equity 546 7,708 30.76 32.94 10.22 0.69% (55.26) WES AU Equity 279 11,339 39.08 40.05 3.76 0.66% (160.37) WFC US Equity 3,187 11,582 38.70 49.34 46.44 0.59% 127.30 WLP US Equity 2,960 10,369 74.31 95.53 29.36 0.97% 65.44 WMT US Equity 410 8,812 76.15 79.69 9.92 0.47% 2.94 WOW AU Equity 233 7,134 34.33 35.45 3.76 0.87% 23.18 XOM US Equity 1,667 14,589 91.42 101.87 21.48 0.53% 157.87 XTA LN Equity XN/A N/A YHOO US Equity (4) 798 35.34 35.17 A.29 1.71% 22.08 YUM US Equity 324 7,151 73.86 77.21 5.04 0.90% (37.62) ZURN VX Equity (167) 7,208 293.61 286.95 -3.22 0.72% 12.72 Current Portfolio - Global Macro Portfolio Current Price P/1 in Vol 30P Realized Change on Day Security MTM Gain/(Loss) Exp. # Cost Avg. Price (In USD) Days Vol (in USD) SPX Index 18,079 62,272 1,455.70 1,878.33 46.55 0.62% 382.54 NDX Index 9,799 37,348 2,831.19 3,573.99 26.91 0.97% 385.22 RTY Index 5,570 19,170 868.48 1,120.83 30.20 0.96% 83.50 EFTA00288749 SPTSX Index 1,000 28,839 12,859.70 13,305.76 7.51 0.46% MEXBOL Index 263 (20,915) 3,142.45 3,103.00 1.74 0.72% IBOV Index 17 7,531 23,232.67 23,283.60 0.17 1.30% MERVAL Index (381) (2,163) 725.60 853.24 44.48 1.21% UKK Index 4,276 39,964 10,288.22 11,389.02 19.16 0.56% DAX Index 9,076 36,674 10,610.77 13,236.63 30.27 0.82% CAC Index 2,121 24,884 5,723.77 6,211.75 13.30 0.64% IBEX Index 9,923 39,643 11,555.29 14,447.69 32.04 0.78% SMI Index 7,088 44,753 8,236.84 9,541.47 32.62 0.49% FTSEMIB Index 7,905 25,266 23,118.94 30,352.22 29.88 1.05% P5120 Index 6,801 24,289 8,026.78 10,274.38 31.84 0.88% ISEQ Index 23,547 40,099 4,246.25 6,739.77 66.99 0.88% ICEXI Index 4,224 37,337 6.63 7.38 23.08 0.49% AEX Index 5,766 42,697 484.85 550.33 26.42 0.51% BEL20 Index 8,447 44,681 3,619.60 4,303.88 34.93 0.54% LUXXX Index 10,599 41,304 1,669.35 2,097.72 45.72 0.56% KFX Index 11,074 38,048 100.82 130.16 34.83 0.84% HEX Index 7,846 40,933 8,513.93 10,145.88 22.80 0.84% OMX Index 2,122 23,118 191.41 208.98 10.73 0.86% ATX Index 218 9,226 3,409.58 3,490.03 2.43 0.97% ASE Index 5,553 19,369 1,282.88 1,650.69 22.18 1.29% OSEBX Index 3,110 24,683 85.16 95.89 18.18 0.69% INDEXCF Index 1,629 (21,271) 39.64 36.60 5.13 1.49% TOP40 Index 1,559 30,530 3,953.94 4,155.89 6.33 0.81% SENSEX Index 797 34,586 364.78 373.18 4.06 0.57% NKY Index (102) 10,616 #N/A N/A -1.02 0.95% HSI Index (181) 29,992 2,913.49 2,896.04 M.80 0.75% SHCOMP Index 1,701 (26,960) 344.53 322.79 8.06 0.78% KOSPI Index 985 29,082 1.85 1.91 5.46 0.62% AS51 Index 869 21,983 4,890.10 5,083.31 5.87 0.67% STBCNZL Index 35,494 73,231 444.47 659.90 97.96 0.49% EEM US Equity (6) (3,879) 41.34 41.41 0.21 0.78% IYR US Equity 19 5,558 69.18 69.41 0.67 0.51% MDY US Equity 4,742 14,269 184.03 245.18 44.72 0.74% INK US Equity 10 8,156 41.27 41.32 0.80 0.15% XLF US Equity 5,556 13,610 15.57 21.93 63.16 0.65% XLU US Equity 1,038 10,399 39.23 43.14 18.53 0.54% XLK US Equity 2,313 12,860 30.80 36.34 21.50 0.84% XLI US Equity 6,120 16,147 38.20 52.68 54.75 0.69% XLP US Equity 584 10,839 41.85 44.10 13.85 0.39% XLY US Equity 1,180 5,441 52.24 63.57 25.28 0.86% XLE US Equity 756 9,734 87.06 93.82 11.62 0.67% XLB US Equity 3,861 14,930 37.57 47.29 32.92 0.79% XLV US Equity 12,028 24,346 38.87 58.07 57.63 0.86% SXXP Index 7,203 43,407 400.51 466.98 28.01 0.59% SXAP Index 10,704 28,526 520.28 715.52 31.30 1.20% SXKP Index 4,741 37,626 366.14 412.27 18.41 0.68% 309.38 (335.87) 85.98 (9.59) I 513.75 546.52 154.13 542.22 95.53 625.81 271.14 419.66 (311.81) 455.92 4.25 (6.06) 325.34 720.51 197.08 153.49 (38.77) 437.21 (245.87) 20.26 • 431.68 (226.32) 68.08 (165.13) 688.08 (36.82) 3.22 66.14 (1.98) 185.31 (47.52) 105.11 59.33 (49.00) 30.34 48.30 132.05 214.22 471.21 220.88 a 678.63 EFTA00288750 SX6P Index 6,790 37,653 357.87 422.41 33.12 0.54% 402.04 SXEP Index 4,091 45,842 452.16 492.51 14.89 0.60% 1,089.18 SXIP Index 12,233 28,923 222.31 316.33 56.06 0.75% 613.35 SXNP Index 4,858 28,384 482.69 565.30 23.66 0.72% (96.95) SX3P Index 1,211 24,010 670.96 704.79 9.94 0.51% 164.25 SXDP Index 26,542 61,074 609.16 873.89 71.49 0.61% 333.77 SX4P Index 3,882 25,840 917.36 1,055.16 20.98 0.72% 261.81 SX8P Index 1,996 17,778 343.07 381.58 13.58 0.83% 233.18 SXOP Index 12,684 41,808 382.78 498.91 36.40 0.83% 902.62 SXQP Index 910 34,762 799.27 820.19 5.08 0.51% 79.44 SXRP Index 147 16,765 432.46 436.25 1.52 0.58% 97.66 SXMP Index 6,484 22,890 261.12 335.08 43.27 0.65% 90.01 ■ SXTP Index 21,989 39,247 172.05 268.44 64.53 0.87% 475.79 SX7E Index 6,531 18,886 159.85 215.12 29.55 1.17% 496.24 SXSE Index 7,818 40,148 3,709.25 4,431.51 26.96 0.72% 522.68 SPGSCITR Index (18) 19,077 5,061.77 5,056.98 0.22 0.44% 118.62 XAG Curncy 1,332 (15,640) 21.28 19.46 13.09 0.65% 116.83 CO1 Comdty (15) (19,698) 108.90 108.98 0.11 0.66% (156.56) CL1 Comdty 584 30,849 99.40 101.28 2.98 0.63% 137.15 NG1 Comdty 4,738 18,950 3.86 4.83 16.65 1.50% 177.85 XAU Comdty (75) (23,727) 92.59 92.88 -0.51 0.62% L (390.88) IBOXHY Index 3,227 53,418 220.12 233.42 100.12 0.06% 9.22 US_TSY CREDIT (23) 31,223 762.37 761.80 -0.72 0.10% (28.23) CA_TSY CREDIT 2,657 (72,133) 1,245.64 1,199.75 13.11 0.28% (341.29) MX_TSY CREDIT (12) (4,412) 213.84 214.40 -0.72 0.36% (11.52) AU TSY CREDIT 274 52,225 1,495.06 1,502.90 1.54 0.34% 7.34 JP_TSY CREDIT 334 (22,684) 821.88 809.77 5.72 0.26% (9.95) MY_TSY CREDIT (26) (7,874) 167.76 168.31 -1.15 0.28% (25.73) SG_TSY CREDIT (49) 12,730 220.87 220.02 -1.65 0.24% (6.34) AT_TSY CREDIT 4,032 77,381 357.33 375.95 19.82 0.26% (172.87) BE_TSY CREDIT 5,116 78,588 477.27 508.34 25.18 0.26% (216.79) FI_TSY CREDIT 3,764 80,881 348.62 364.85 19.57 0.24% (136.66) FR_TSY CREDIT 4,428 79,196 1,680.58 1,774.54 22.25 0.25% (168.37) DE_TSY CREDIT 3,210 80,183 1,244.62 1,294.45 15.67 0.26% (162.68) IE_TSY CREDIT 32,694 78,270 336.92 477.66 208.26 0.20% (113.71) IT_TSY CREDIT 9,068 54,986 1,616.07 1,882.59 72.17 0.23% (123.27) NL_TSY CREDIT 3,881 79,461 1,327.94 1,392.81 19.25 0.25% (157.08) ES_TSY CREDIT 11,332 50,187 392.28 480.86 102.06 0.22% (132.77) DK_TSY CREDIT 3,252 67,396 729.23 764.42 15.72 0.31% (188.96) NO_TSY CREDIT (89) (29,231) 341.94 342.98 -1.00 0.31% (92.05) PL_TSY CREDIT 1,169 31,505 426.98 442.82 14.33 0.26% 3.69 ZA_TSY CREDIT 31 (11,615) 83.22 83.00 0.37 0.74% (87.65) SE_TSY CREDIT (14) (55,416) 464.03 464.15 -0.07 0.34% 155.92 CH_TSY CREDIT 3,636 68,798 1,007.78 1,061.04 20.98 0.25% (291.69) GB_TSY CREDIT 1,855 75,587 1,500.30 1,537.12 9.22 0.27% 60.00 EFTA00288751