EFTA00288752.pdf

Atorus, LLC 5/1/2014 Current Date: Total Return since 1/1/12: 712M Return: T9O Day Return: T3O Day Return: Current Long Exposure @ Cost: Current Short Exposure @ Cost: Net Exposure: Starting Capital: Current NAV: 5/2/2014 86.35% 29.46% 11.82% 0.35% 5,030,922 (512,119) 4,518,803 1,000,000 1,863,530 Change on Day: MSCI World Change on Day No of Positions (+MTM) on Day No of Positions (-MTM) on Day Current No. of Positions: Current Leverage (Gross Exposures): 0.05% -0.12% 163 167 437 2.97 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: Historical Sharpe & Notes: Historically 2.25X • 3.25X, depending on measurement Interval 40% - 50% historically 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 2,800,000.00 1,800,000.00 1,600,000.00 1,400,000.00 1,200,000.00 1,000,000.00 800.000.00 C00,000.00 l 'V 'V 'V 'V 'V t• e e eeee 171 eeeeeeee AtV 'V 'V #1, „Q. , 'V 'V 4 l <, 4% 4'1 4' is. 4 s 0)\ is. 4 4' —Series1 EFTA00288752 Atorus, LLC 5/1/2014 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 TGT US Equity (8,574) 941 HK Equity (9,455) 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) MY_TSY CREDIT (32,331) CA_TSY CREDIT (36,066) SE_TSY CREDIT (55,416) SPX Index 62,272 DK_TSY CREDIT 67,396 CH_TSY CREDIT 69,328 STBCNZL Index 73,207 IE_TSY CREDIT 78,270 AT_TSY CREDIT 79,056 BE_TSY CREDIT 79,771 FR_TSY CREDIT 79,806 NL_TSY CREDIT 81,163 GB_TSY CREDIT 81,211 DE_TSY CREDIT 81,920 Fl TSY CREDIT 82,613 NAV Impact of MTM by Category & Exposure Listed Equity Long 0.029% Listed Equity Short -0.044% EquityCom Long -0.102% EquityCom Short -0.059% G20 Rates Long 0.072% G20 Rates Short -0.007% % of Total Notional Security MTM Gain % Total NAV 21.81% 45 Positions 26.19% 0.15% AEX Index 6,043 0.32% 0.17% HON US Equity 6,133 0.33% 0.28% XLI US Equity 6,179 0.33% 0.36% SX7E Index 6,247 0.34% 0.38% ROG VX Equity 6,287 0.34% 0.38% UTX US Equity 6,390 0.34% 0.41% SX6P Index 6,484 0.35% 0.43% MAERSKB DC Equity 6,513 0.35% 0.49% ASE Index 6,590 0.35% 0.58% DAI GR Equity 6,762 0.36% 0.65% SXMP Index 6,793 0.36% 1.00% NOVN VX Equity 6,873 0.37% 1.12% ACA FP Equity 7,070 0.38% 1.22% AZN SS Equity 7,205 0.39% 1.25% P5120 Index 7,305 0.39% 1.32% SXXP Index 7,342 0.39% 1.41% SMI Index 7,455 0.40% 1.43% SXSE Index 7,537 0.40% 1.44% MDT US Equity 7,545 0.40% 1.44% FTSEMIB Index 7,737 0.42% 1.46% AZN US Equity 7,830 0.42% 1.47% AZN LN Equity 7,950 0.43% 1.48% HEX Index 8,113 0.44% 1.49% TMO US Equity 8,216 0.44% BEL20 Index 8,299 0.45% PRO LN Equity 8,528 0.46% DAX Index 9,117 0.49% IT_TSY CREDIT 9,549 0.51% MMM US Equity 9,614 0.52% TYC US Equity 9,692 0.52% NDX Index 9,979 0.54% IBEX Index 10,178 0.55% SXAP Index 10,323 0.55% LW= Index 11,112 0.60% KFX Index 11,182 0.60% ES_TSY CREDIT 11,768 0.63% XLV US Equity 11,827 0.63% SXIP Index 12,095 0.65% SXOP Index 12,611 0.68% SPX Index 18,199 0.98% EFTA00288753 SXTP Index 22,888 1.23% ISEQ Index 24,411 1.31% SXDP Index 27,201 1.46% IE_TSY CREDIT 33,363 1.79% STBCNZL Index 37,492 2.01% APAC Lon 22 APAC Short 24 EMEA Long 76 EMEA Short 12 AMER Long 177 AMER Short 31 E • ultyCom Lon 64 EquityCom Short 8 G20 Rates Lon 16 G20 Rates Short 7 Total Long 355 Total Short 82 Current Exposure by Geography (Listed Equl les) & Macro (Equity Indices & Commodlites, G20 Gov. Credit) $2,000,000 i $1,500,000 51,000,000 $500,000 $ $(500,000) ■ APAC Long ■ APAC Short ■ EMEA Long ■ EMEA Short ■ AMER Long ■ AMER Short ■ EquityCom Long ■ EquityCom Short ■ G20 Rates Long ■ G20 Rates Short EFTA00288754 Atorus, LLC 5/1/2014 Historical Net Exposure by Geography (Listed Equities) & Macro (Equity Indices & Comrnodlltes, G20 Gov. Credit) —APAC — EMEA —AMER — EquityCom —G20 Rates , ,NexEposule RIG 2.000,000 1.500,000 5,000.000 4,0003)00 3,000.000 2,000.000 1,000,000 0 M i n e ) (2,000,003) 1000000 Nr O O G 4 1 . G ' I . \ \ el. GGG O ‘ e l , G c l O 1 O ' . V O . • S r 4S, ?No \ C 9 0 4 4 e l O S l • c • c • % S S \ a t m ) (1,000,003) (3,0(0,000) Historical Gross Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodlites, G20 Gov. Credit) le,pe le le 6 19,40 4> e 09 49 cLe le" ,ce* • a 4 IN 4 4 0) 4' N 4' 1 1),‘. APAC AMER EcpityCe — G20 Rates EFTA00288755 Atorus, LIC 5/1/2014 Current Gross Notional Risk by Category 242,942 ;36,990 1,239,9 • 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 o.;), Off~ O1ry O% O1 ry 4, 'II •)) $ 11, '19 4 1 ON Orb 4\ A.c.k eP ,s0 c‘‘ AC" c l? eb A‘ A 0 6\ „.„ —Series' —Serits2 Rolling 30 Day Realized Volatility - EFTA00288756 Atorus, LLC 5/1/2014 Percentile Distribution of Current MTM Gains in Vol Days by Position (ex-99pct & ex-1st percentiles) 7000 WOO 9100 40.00 3000 20.00 1000 °CO Of .10)3%), 71 1.1 11 1 its q PS) tt) 4s) CO 4 ) "143 CbC) q q APR Vol Days by Position Percentile No. Vol Days 4 0.00.:, -15.32 5.00% -3.19 10.00% -1.24 15.00% 4.45 20.00% 0.12 25.00% 1.00 30.00% 2.27 35.00% 3.03 40.00% 4.21 45.00% 6.16 50.00% 7.86 55.00% 10.68 60.00% 13.58 65.00% 16.41 70.00% 21.06 75.00% 23.85 80.00% 27.06 85.00% 34.69 90.00% 41.84 95.00% 57.20 100.00% 238.15 MTM Gains(Losses)% of NAV "Signficant" (<7 Vol Days) MTM GaIns(Losses)% of NAV "Signficant" (>7 Vol Days) 1.07% EFTA00288757 Atorus, LLC Current Portfolio -Listed Equity Portfolio Current Price PA in Vol 30P Realized Change on Day Security MTM Gain/(Loss) Exp. @ Cost Avg. Price (in USD) Days Vol (in USD) 5/1/2014 000270 KS Equity 40 (2,475) 55.84 54.94 1.59 1.02% 005380 KS Equity (72) 3,149 224.27 219.26 -2.24 1.02% 005490 KS Equity (251) (3,011) 272.57 295.33 -7.40 1.13% 005930 KS Equity (28) (2,053) 1,294.61 1,312.47 -1.52 0.91% 012330 KS Equity 869 5,584 247.00 285.47 16.51 0.94% 1 HK Equity 810 12,607 16.18 17.22 8.89 0.72% 1299 HK Equity 179 5,954 4.79 4.93 2.98 1.01% 13 HK Equity 2,666 12,243 11.40 13.89 26.50 0.82% 16 HK Equity 12.61 27 HK Equity (4) 25 9.40 8.02 -9.53 1.80% 2914.1P Equity (18) (3,020) 32.46 32.66 -0.60 1.01% (16.15) 33821P Equity 67 1,928 38.25 39.59 3.63 0.96% (3.44) 40631P Equity (49) 1,406 60.26 58.23 -2.93 1.19% 17.29 4502.1P Equity (20) (788) 44.14 45.24 -3.01 0.83% 1.41 4689 JP Equity (15) (1,461) 4.50 4.54 -0.48 2.18% (42.01) 5 HK Equity (11) (3,197) 10.17 10.20 -0.43 0.77% 5108 JP Equity 1 3,462 36.12 36.12 0.02 0.96% 16.89 5401.1P Equity 310 (4,850) 2.84 2.66 6.03 1.06% (8.16) 6301.1P Equity 21.91 67521P Equity 10.93 6902.1P Equity 45.14 69541P Equity 727 6,629 6,392.98 175.73 10.95 1.00% (62.01) 7201.1P Equity 76 (2,999) (3,742.97) 8.63 2.85 0.89% 15.49 72031P Equity 88 (4,207) (5,259.85) 54.91 2.28 0.92% (7.29) 7267 JP Equity 193 (4,675) (4,885.01) 33.88 3.75 1.10% (58.21) 762 HK Equity (260) (3,143) (5,161.69) 1.49 -5.55 1.49% 7751 JP Equity (42) (4,119) (6,865.02) 31.76 -1.41 033% (16.74) 8031 JP Equity (49) (3,821) (4,775.88) 14.28 -1.58 0.82% 3.69 80581P Equity 5 (690) (4,383.01) 18.13 0.83 0.83% (0.41) 81061P Equity 90 (3,668) (4,603.66) 5.49 1.72 1.44% (65.27) 83161P Equity 7 (1,984) (2,000.57) 41.02 0.24 1.35% (23.01) 84111P Equity (18) (1,077) 1.99 -2.39 0.71% (2.46) 8604 JP Equity 184 (3,335) (3,504.39) 6.12 4.18 1.32% (20.84) 8801.1P Equity 25 2,660 30.48 30.76 0.70 1.34% 52.77 8802 JP Equity 110 (4,920) 24.34 23.80 1.51 1.49% (150.31) 9020 JP Equity 222 (5,379) 75.21 72.10 3.89 1.06% 15.35 941 HK Equity 782 (9,455) 10.19 9.35 6.59 1.25% 94321P Equity 347 6,077 53.19 56.23 5.65 1.01% (15.21) 94331P Equity 54.88 94371P Equity (175) (6,149) 15.59 16.04 -2.95 0.97% (61.98) 99831P Equity 118 (3,406) 323.49 312.31 2.55 1.36% 6.74 EFTA00288758 9984 JP Equity 8 2,175 75.59 75.85 0.20 1.74% 16.27 AAPL US Equity 898 7,342 527.64 592.20 13.77 0.89% 12.49 ABS US Equity 32 1,332 23.59 24.16 2.84 0.85% 16.69 ABBN VX Equity 62 2,785 23.63 24.15 2.61 0.84% ABBV US Equity 86 2,296 49.39 51.24 2.67 1.41% (19.76) ABEV US Equity (88) 1,738 7.59 7.22 -4.99 1.02% 17.24 ABEV3 BZ Equity (108) 2,486 7.57 7.26 .4.36 1.00% ABI BB Equity 426 8,888 103.14 108.09 6.34 0.76% ABT US Equity (27) 4,097 38.86 38.61 -1.01 0.65% (5.65) ABX CN Equity 293 (3,366) 18.97 17.32 6.39 1.36% (17.85) ABX US Equity 287 (3,243) 18.99 17.31 6.67 1.33% (24.17) ACA FP Equity 7,070 5,408 6.83 15.77 123.42 1.06% ACE US Equity 489 9,744 97.27 102.16 11.87 0.42% 1.78 ACN US Equity 232 10,703 77.97 79.66 2.63 0.83% (61.51) ADP US Equity 111 3,867 75.63 77.79 4.26 0.67% 0.94 AFL US Equity 21. 4,556 62.88 63.18 0.71 0.66% 1.60 AGN US Equity 5,156 9,698 110.56 169.34 26.39 2.01% 73.41 Al FP Equity 513 10,358 136.37 143.12 8.28 0.60% AIG US Equity 374 7,022 49.93 52.59 6.87 0.78% (40.40) AIR FP Equity 91 469 57.15 68.20 20.73 0.93% ALV GR Equity 160 6,336 168.01 172.24 3.51 0.72% ALVG IX Equity 158 5,509 167.40 172.20 3.94 0.73% AMGN US Equity (2) (1,020) 112.34 112.53 -0.14 1.18% (1.67) AMT US Equity 1,552 11,545 76.79 87.12 21.82 0.62% 256.46 AMZN US Equity 12 (2,547) 309.06 307.59 0.25 1.93% 2.41 ANZ AU Equity 818 12,582 29.73 31.66 10.40 0.62% (0.38) APA US Equity (7) 4,376 87.33 87.19 -0.20 0.81% 12.95 APC US Equity 51 2,501 97.78 99.77 1.69 1.20% 15.81 AXP US Equity 2,216 10,373 71.56 86.85 24.67 0.87% (8.69) AZN LN Equity 7,950 12,676 49.80 81.04 38.20 1.64% 245.22 AZN SS Equity 7,205 12,119 50.82 81.03 37.22 1.60% AZN US Equity 7,830 12,812 50.30 81.04 40.89 1.49% 54.01 BA US Equity 150 4,613 125.87 129.97 4.06 0.80% 38.27 BAC US Equity • 795 15.21 15.21 0.00 1.06% 3.95 BARC LN Equity 294 5,219 4.11 4.34 5.46 1.03% 22.19 BAS GR Equity 1,431 7,333 97.30 116.29 21.13 0.92% BATS LN Equity 486 7,532 53.98 57.46 7.86 0.82% (106.71) BAX US Equity 86 4,842 73.52 74.83 1.93 0.92% 50.00 BAYN GR Equity 212 5,769 134.00 138.93 3.69 1.00% BBAS3 BZ Equity (23) (365) 10.07 10.71 -2.99 2.13% BBD US Equity 168 3,222 14.49 15.25 3.08 1.70% 108.60 BBDC4 BZ Equity 156 3,172 14.49 15.21 2.79 1.76% BBL US Equity (48) (1,551) 62.89 64.84 .3.40 0.92% (20.80) BBVA SM Equity 1,214 5,790 10.12 12.24 22.98 0.91% BCE CN Equity 21 5,498 44.37 44.54 0.91 0.42% (4.17) Bcs US Equity 281 4,523 16.37 17.39 6.03 1.03% 18.42 BEN US Equity 24 2,447 52.46 52.98 0.93 1.06% 22.60 EFTA00288759 BG/ LN Equity (732) (4,451) 18.08 21.05 -15.32 1.07% (45.08) BHP AU Equity 29 8,431 34.33 34.45 0.42 0.83% (93.80) BHP US Equity 223 6,839 67.77 69.99 3.52 0.93% 59.09 BOB US Equity 161 1,066 245.93 283.07 8.16 1.85% (19.88) BIL SJ Equity (10) (799) 32.02 32.40 -1.45 0.83% BK US Equity 419 8,609 32.86 34.46 6.82 0.71% 132.21 BLK US Equity 80 3,418 293.93 300.85 2.49 0.95% (1.83) BLT LN Equity (22) (3,193) 32.12 32.34 -0.79 0.85% (24.25) BMO CN Equity 422 11,017 66.19 68.73 8.21 0.47% (5.41) BMW GR Equity 1,303 5,212 99.22 124.02 25.73 0.97% BMY US Equity (13) 2,943 49.83 49.62 -0.36 1.17% 13.46 BN FP Equity (23) 5,498 73.18 72.88 -0.55 0.75% BNP FP Equity 585 3,299 61.78 72.74 16.81 1.06% BNS CN Equity 478 10,072 58.15 60.91 10.53 0.45% 22.70 BP/ LN Equity 867 9,797 7.76 8.45 11.05 0.80% 4.80 BRK/B US Equity 925 13,935 120.41 128.40 14.15 0.47% (45.71) BSBR US Equity 6.67 BUD US Equity 232 9,049 103.62 106.28 3.35 0.77% (34.14) BX US Equity - 471 29.47 29.47 0.00 1.79% (3.08) C US Equity (24) 3,763 48.12 47.81 0.72 0.88% (0.84) CA FP Equity 332 3,932 34.37 37.27 9.02 0.94% CAT US Equity 2,376 14,645 90.43 105.10 22.97 0.71% (5.93) CBA AU Equity 851 15,251 69.23 73.10 10.38 0.54% (8.30) CBS US Equity 7 (1,260) 57.71 57.39 0.47 1.19% 7.49 CCL US Equity 465 6,257 36.20 38.89 7.78 0.96% 16.11 CELG US Equity (4) 1,090 147.95 147.40 -0.23 1.64% (7.64) CFR VX Equity 296 7,019 96.74 100.82 5.50 0.77% CL US Equity 2,644 20,847 59.58 67.13 24.57 0.52% 79.66 CM CN Equity 686 10,989 83.69 88.92 13.47 0.46% 17.41 CMCSA US Equity 181 4,527 50.01 52.01 4.34 0.92% 6.03 CMCSK US Equity 5,003 12,096 36.26 51.26 48.29 0.86% 25.92 CNI US Equity 1,753 12,873 51.38 58.37 19.88 0.69% (28.78) CNQ CN Equity 1,236 10,769 36.73 40.95 15.56 0.74% 66.50 CNR CN Equity 1,715 12,425 51.30 58.38 20.86 0.66% (39.71) COF US Equity 699 7,124 68.86 75.61 14.20 0.69% 168.00 COP US Equity 112 4,333 74.40 76.32 3.56 0.72% 84.60 COST US Equity 130 9,550 114.02 115.57 2.94 0.46% 10.54 COV LN Equity Ma N/A COV US Equity 848 7,080 64.09 71.76 14.03 0.85% 44.53 CRM US Equity (0) (416) 52.60 52.61 -0.01 1.78% (0.05) CS FP Equity 521 1,724 19.39 25.25 30.90 0.98% CSCO US Equity (32) 3,005 23.23 22.99 -1.29 0.83% (6.21) CSX US Equity 1,012 8,914 25.07 27.92 15.17 0.75% 13.10 CVE CN Equity 29.49 CVS US Equity 1,754 11,815 63.98 73.48 23.83 0.62% 88.81 CVX US Equity - 1,122 124.77 124.77 0.00 0.60% (2.05) D US Equity 2,264 13,256 60.80 71.18 31.86 0.54%t (273.311 EFTA00288760 DAI GR Equity 6,762 13,908 62.20 92.45 44.20 1.10% DBK GR Equity (21) 3,267 44.15 43.86 -0.63 1.05% DD US Equity 2,825 12,980 54.99 66.96 37.82 0.58% 23.33 DDAIF US Equity 3,822 8,377 63.20 92.04 35.23 1.30% (84.22) DE US Equity 711 9,783 86.71 93.01 11.13 0.65% (3.85) DELL US Equity #WA WA DG FP Equity 4,601 10,090 51.66 75.21 72.52 0.63% DGE LN Equity (0) 2,332 30.86 30.85 .0.01 0.96% (1.76) DHR US Equity (9) 5,021 73.53 73.40 0.25 0.72% (23.01) DIS US Equity 1,727 9,908 68.36 80.28 19.49 0.89% 106.80 DISCA US Equity 45 (4,082) 77.65 76.79 1.24 0.89% (36.09) DNB NO Equity 167 3,191 16.67 17.54 5.26 0.99% DOW US Equity 2,356 7,396 37.11 48.93 27.55 1.16% (18.34) DPW GR Equity 177 660 29.41 37.30 21.05 1.28% DTE GR Equity 1,011 4,411 13.92 17.12 23.85 0.96% DTV US Equity 3,080 10,622 61.97 79.94 23.33 1.24% (283.79) DUK US Equity (4) 10,185 73.23 73.20 .0.07 0.49% (167.96) DVN US Equity 1,236 11,143 63.30 70.32 13.50 0.82% 70.03 EBAY US Equity (103) 2,671 54.21 52.20 -3.73 1.03% 3.96 Ea US Equity (45) 9,210 105.22 104.70 0.68 0.72% 15.57 EDF FP Equity 5,704 9,189 23.45 38.00 67.66 0.92% EMC US Equity 171 10,986 25.35 25.75 1.92 0.81% 47.43 EMR US Equity 128 8,739 66.80 67.77 2.02 0.72% (14.47) EMI CN Equity 769 11,028 45.29 48.45 13.54 0.51% (52.89) ENEL IM Equity 2,357 8,640 4.46 5.67 38.52 0.71% ENI IM Equity 806 11,929 24.33 25.97 11.49 0.59% EOAN GR Equity (80) 2,996 18.75 18.26 -3.46 0.77% EOG US Equity 1,969 5,841 72.84 97.39 35.14 0.96% (7.19) EPD US Equity 1,968 13,127 63.70 73.25 22.67 0.66% 33.13 ERICB SS Equity (300) 7,934 12.49 12.04 .4.11 0.92% ESRX US Equity 35 3,926 66.69 67.28 0.96 0.92% 49.26 ETN US Equity 40 5,260 72.48 73.04 0.75 1.02% 12.71 F US Equity (209) (2,897) 14.82 15.88 -8.29 0.87% 20.42 F8 US Equity 999 2,630 44.06 60.78 16.06 2.36% (36.78) FCX US Equity 228 5,057 33.25 34.75 4.36 1.04% 73.18 FDX US Equity 244 2,491 124.78 136.99 15.81 0.62% 10.63 FOX US Equity (33) 3,508 32.03 31.73 -0.83 1.12% 24.18 FOXA US Equity (45) 3,236 32.96 32.51 -1.21 1.15% 16.08 FP FP Equity 1,877 13,323 61.94 70.66 19.66 0.72% G IM Equity 347 5,511 21.98 23.36 8.51 0.74% GE US Equity 2,599 13,140 22.32 26.73 39.43 0.50% 1.59 GILD US Equity 46 2,407 76.09 77.53 1.00 1.90% (48.85) GIS US Equity 1,061 20,190 50.10 52.74 11.25 0.47% 20.09 GLE FP Equity 842 3,248 49.51 62.35 23.24 1.12% GLEN LN Equity (94) (3,693) 5.22 5.36 -3.36 0.76% (5.52) GLW US Equity 3,425 11,635 16.25 21.04 34.69 0.85% (28.37) GM US Equity (12) (473) 34.16 35.03 -2.78 0.91% (0.16) EFTA00288761 GOOG US Equity (47) (2,926) 521.13 529.47 -1.13 1.42% (4.24) GS US Equity 159.63 GSK LN Equity 272 5,707 26.22 27.47 4.98 0.96% (37.47) GSZ FP Equity 190 11,150 25.29 25.72 2.18 0.78% HAL US Equity 1,827 6,543 49.74 63.63 25.87 1.08% 96.70 HD US Equity 594 7,619 73.80 79.55 10.39 0.75% 29.86 HMB SS Equity 100 (4,115) 41.29 40.29 3.02 0.80% HON US Equity 6,133 11,930 61.10 92.51 78.93 0.65% 13.11 HPQ US Equity 2,063 7,393 25.45 32.55 25.49 1.09% (61.01) HSBA LN Equity 21 4,565 10.16 10.21 0.76 0.61% (25.11) IBE SM Equity 2,025 7,501 5.56 7.06 43.05 0.63% IBM US Equity 1 (1,753) 192.01 191.93 0.05 0.85% 20.28 IMT LN Equity 2,049 13,136 36.73 42.46 23.26 0.67% (111.93) INTC US Equity 1,147 12,041 24.19 26.50 15.76 0.60% 0.95 ISP IM Equity 4,392 5,699 1.93 3.42 63.23 1.22% ITUB US Equity 337 4,335 15.61 16.83 5.39 1.44% 146.16 ITUB4 BZ Equity 315 3,252 15.40 16.89 6.15 1.58% ITW US Equity 3,646 14,011 67.84 85.49 35.61 0.73% 41.61 ITX SM Equity (47) (3,652) 146.45 148.34 -1.70 0.76% JCI US Equity (12) (1,326) 44.94 45.35 A.71 1.32% (2.33) JNJ US Equity 5,503 17,142 75.17 99.30 54.83 0.59% (243.77) JPM US Equity 3 4,763 55.76 55.80 0.10 0.75% 3.38 KMB US Equity 326 9,903 107.52 111.06 5.97 0.55% (20.29) KMI US Equity 212 (6,775) 33.81 32.75 4.04 0.78% (38.99) KO US Equity 4 5,506 40.79 40.82 0.12 0.56% 38.38 LBTYA US Equity (7) (166) 39.65 41.25 -3.76 1.08% (2.56) LBTYK US Equity (65) (1,779) 38.19 39.59 -3.43 1.07% (24.16) LIN GR Equity 334 8,087 198.03 206.20 6.58 0.63% LLOY LN Equity 438 1,914 1.10 1.35 17.22 1.33% 26.86 LLY US Equity 3 4,953 59.03 59.07 0.09 0.74% (20.02) LMT US Equity 679 2,016 122.48 163.71 38.13 0.88% 5.00 LNKD US Equity 413 (2,461) 183.83 152.96 6.35 2.65% 126.24 LOW US Equity (104) 4,479 48.16 47.06 -2.72 0.86% 65.01 LVS US Equity 1,284 4,085 61.33 80.61 16.56 1.90% 102.12 LYB US Equity 1,289 2,297 59.29 92.55 65.13 0.86% 9.10 MA US Equity (10) 2,363 73.81 73.51 -0.28 1.43% (54.96) MAERSKB DC Equity 6,513 14,148 1,642.52 2,398.60 46.07 1.00% 81.55 MC FP Equity 289 5,711 186.24 195.65 6.73 0.75% MCD US Equity 83 8,779 100.60 101.55 2.15 0.44% 75.89 MCK US Equity 36 2,181 164.92 167.63 1.86 0.88% (2.53) MDIZ US Equity 3,244 13,641 28.68 35.50 41.03 0.58% (23.32) MDT US Equity 7,545 20,811 43.22 58.89 43.52 0.83% (158.00) MET US Equity 1,294 7,556 44.37 51.97 17.56 0.98% 62.35 MFC CN Equity 1,742 3,201 12.38 19.11 63.99 0.85% 26.34 MHS US Equity #WA WA MMM US Equity 9,614 21,331 96.89 140.56 67.84 0.66% 3.13 MO US Equity 956 11,592 36.89 39.94 16.08 0.51% (23.99) EFTA00288762 MON US Equity 661 11,917 106.02 111.90 6.98 0.80% 198.58 MOS US Equity 49.94 - MRK US Equity 1,928 11,769 50.18 58.40 16.83 0.97%I (222.26) MS US Equity 41 2,280 30.40 30.95 1.46 1.24% (15.36) MSFT US Equity 1,028 8,007 35.30 39.83 15.32 0.84% (53.15) MUV2 GR Equity 676 6,116 197.70 219.54 13.51 0.82% NAB AU Equity 242 13,313 31.52 32.09 2.68 0.68% (100.28) NCM AU Equity 9.38 NEE US Equity 5,191 14,972 73.03 98.35 48.15 0.72% (293.53) NEM US Equity 445 (1,819) 32.73 24.73 13.98 1.75% (16.41) NESN VX Equity 1,059 10,048 69.79 77.14 17.86 0.59% NG/ LN Equity 2,442 13,258 11.96 14.17 31.43 0.59% 1.88 NKE US Equity 219 2,940 68.03 73.09 8.48 0.88% 7.46 NOK US Equity 3,880 4,498 3.96 7.38 53.27 1.62% (115.39) NOV US Equity 263 9,753 77.58 79.67 3.04 0.89% 112.96 NOVN VX Equity 6,873 18,291 63.81 87.78 44.50 0.84% NOVOB DC Equity 964 9,444 40.35 44.47 10.71 0.95% 96.50 NSC US Equity 1,563 9,797 80.78 93.67 22.82 0.70% (3.07) NVS US Equity 5,329 15,510 65.07 87.43 43.17 0.80% 134.80 OGXP3 BZ Equity 4,025 (4,107) 4.39 0.09 54.77 1.79% OR FP Equity 269 5,025 163.47 172.22 7.38 0.73% ORA FP Equity 1,698 7,118 13.32 16.50 21.27 1.12% ORCL US Equity 1,730 7,995 33.68 40.97 21.41 1.01% 0.78 OX? US Equity (22) 7,355 95.04 94.75 -0.41 0.74% (33.68) PBR US Equity (35) (443) 13.35 14.40 -3.49 2.27% (19.43) PBR/A US Equity 15.48 - PCLN US Equity 584 2,920 983.89 1,180.64 11.45 1.75% 3.13 PCP US Equity (17) 4,727 255.28 254.38 -0.34 1.06% 5.57 PEP US Equity 327 10,723 83.02 85.55 6.49 0.47% 26.25 PETR3 BZ Equity 7.24 PETR4 BZ Equity 7.78 PFE US Equity 14 5,476 30.70 30.78 0.28 0.93% (67.66) PG US Equity 388 11,013 79.25 82.04 8.06 0.44% (17.32) PHIA NA Equity 31.98 PM US Equity 5 (5,205) 85.47 85.39 0.15 0.59% 17.15 PNC US Equity 988 9,010 76.60 85.01 13.98 0.78% 142.92 POT CN Equity 116 4,291 35.54 36.50 2.86 0.94% 33.13 POT US Equity 77 4,552 35.90 36.50 1.83 0.93% 38.21 PRU LN Equity 8,528 10,521 12.76 23.11 81.71 0.99% (45.73) PSA US Equity 712 13,147 161.95 170.72 11.88 0.46% (323.72) PSX US Equity 1,790 6,269 65.20 83.82 34.56 0.83% (26.92) PX US Equity 2,483 16,340 113.54 130.80 24.07 0.63% 98.53 QCOM US Equity 2,283 12,547 66.83 78.99 25.97 0.70% (18.38) QQQ US Equity 2,236 7,968 68.46 87.67 35.26 0.80% (6.84) RAI US Equity 529 10,690 53.26 55.90 7.21 0.69% 0.86 RDS/A US Equity 673 10,120 74.37 79.32 13.81 0.48% 53.91 RDS/B US Equity 943 9,573 77.56 85.20 17.23 0.57% 58.22 EFTA00288763 RDSA LN Equity 778 8,029 36.10 39.60 16.34 0.59% 0.64 RDSA NA Equity 562 8,543 37.15 39.59 11.32 0.58% RDSB LN Equity 982 9,545 38.58 42.55 15.72 0.65% 4.78 REGN US Equity (166) 6,240 302.57 294.72 -1.35 1.97% (74.84) RIO AU Equity (264) 5,122 59.24 56.34 -5.61 0.92% (15.89) RIO LN Equity (36) 4,819 54.83 54.42 -0.73 1.03% 43.41 RIO US Equity 44 4,934 54.04 54.52 0.82 1.09% 66.67 ROG VX Equity 6,287 17,035 212.78 291.32 52.28 0.71% RY CN Equity 146 8,293 65.48 66.63 3.90 0.45% 1.36 SAB LN Equity 1,192 9,453 48.63 54.76 12.63 1.00% 93.27 SAN FP Equity 29 3,978 107.34 108.12 0.84 0.86% SAN SM Equity 1,406 8,357 8.52 9.95 22.03 0.76% SAN US Equity 1,131 7,021 8.57 9.95 18.83 0.86% (18.06) SAP GR Equity (28) 5,241 80.60 80.17 -0.68 0.78% SAP US Equity (44) 5,649 80.62 80.00 -0.98 0.80% (54.35) SBUX US Equity (1) (114) 70.43 70.90 -0.71 0.93% (0.06) SGO FP Equity 3,044 7,836 44.08 61.21 40.95 0.95% SI US Equity 556 5,671 118.49 130.10 11.17 0.88% (78.55) SIE GR Equity 733 5,345 114.81 130.55 17.28 0.79% SLB US Equity 1,759 8,483 83.83 101.22 29.38 0.71% 27.67 SMSN LI Equity (33) (2,599) 644.63 652.90 -1.17 1.09% (35.45) SO US Equity 104 11,861 44.11 44.50 1.37 0.64% (185.04) SPG US Equity 339 9,229 166.89 173.01 7.85 0.47% 6.87 SREN VX Equity 87.40 STAN LN Equity 41 (2,352) 22.09 21.70 1.83 0.95% 10.54 STL NO Equity 1,713 10,052 26.25 30.72 19.49 0.87% SIT US Equity 11 1,553 65.05 65.50 0.65 1.08% 21.96 SU CN Equity 681 8,181 36.12 39.13 8.37 1.00% 96.66 SU FP Equity 704 8,194 86.04 93.44 8.13 1.06% SU US Equity 624 9,658 36.78 39.16 6.39 1.01% 127.37 SWEDA SS Equity 245 3,653 24.78 26.44 6.82 0.98% SYNN VX Equity (314) (4,132) 359.52 386.86 -11.09 0.69% T US Equity 2 5,190 35.61 35.63 0.06 0.73% 2.67 TD CN Equity 455 10,892 45.74 47.65 9.11 0.46% (37.14) TEF SM Equity 405 6,763 15.95 16.91 9.00 0.67% TEF US Equity 155 6,344 15.95 16.34 3.11 0.78% (209.31) TGT US Equity 194 (8,574) 63.57 62.13 3.48 0.65% (65.53) TJX US Equity 1,476 5,695 46.52 58.58 34.69 0.75% 29.96 TLS AU Equity 436 11,375 4.63 4.80 7.82 0.49% (67.72) TLSN SS Equity (231) (5,268) 7.02 7.33 -4.30 1.02% TM US Equity 261 (5,442) 115.49 109.96 5.82 0.82% (9.03) TMO US Equity 8,216 10,218 63.59 114.72 80.56 1.00% 46.95 TOT US Equity 1,191 7,363 60.68 70.49 24.32 0.67% (24.25) TRP CN Equity (11) (631) 45.78 46.58 -2.78 0.63% 2.06 TRV US Equity 686 10,370 85.50 91.16 12.10 0.55% 58.09 TSCO LN Equity 874 (6,286) 5.60 4.82 12.27 1.13% 25.92 TWC US Equity 950 5,234 120.22 142.04 21.10 0.86% 7.70 EFTA00288764 TWX US Equity 46 4,244 65.75 66.47 1.14 0.96% (24.25) TXN US Equity 3,791 12,205 34.93 45.78 28.13 1.10% 114.52 TYC US Equity 9,692 24,080 29.17 40.91 52.52 0.77% 72.23 UBS US Equity 404 5,489 19.43 20.86 8.27 0.89% (30.12) UBSN VX Equity 382 5,158 19.51 20.95 8.66 0.86% UCG IM Equity 3,267 5,434 5.60 8.97 59.02 1.02% ULVR LN Equity 151 6,329 42.99 44.01 2.64 0.90% (54.20) UNA NA Equity 98 5,283 41.53 42.30 2.23 0.83% UNH US Equity 1,708 10,191 64.28 75.06 24.17 0.69% 22.71 UNP US Equity 1,676 12,014 165.36 188.44 19.34 0.72% (68.80) UPS US Equity 3,488 14,806 79.87 98.69 48.08 0.49% 94.04 USB US Equity 2,363 14,238 34.71 40.47 26.48 0.63% (7.22) UTX US Equity 6,390 15,190 82.05 116.57 49.57 0.85% (135.35) V US Equity 126 3,244 197.20 204.85 3.34 1.16% (18.84) VALE US Equity 252 (2,664) 14.92 13.51 5.51 1.72% (88.76) VALE3 BZ Equity 288 (2,939) 15.07 13.59 5.67 1.73% VIAB US Equity 3,647 9,272 60.42 84.18 43.51 0.90% 81.58 VIV FP Equity 47 2,668 26.19 26.65 2.38 0.74% WNW US Equity 239 4,785 89.16 93.62 3.04 1.64% 51.81 VOD LN Equity 81 (3,581) 3.85 3.76 2.44 0.92% (61.92) VOD US Equity 78 (3,458) 38.42 37.55 2.47 0.92% (40.88) VOWS GR Equity 78 3,208 259.69 265.99 2.37 1.02% VRX CN Equity 754 1,611 92.95 136.45 25.30 1.85% (8.41) VRX US Equity 875 1,880 93.20 136.59 25.05 1.86% (2.94) VTI US Equity 632 5,134 86.91 97.61 22.51 0.55% 6.25 VWO US Equity (31) (3,940) 40.84 41.15 -0.99 0.79% (19.46) VZ US Equity 181 (6,492) 48.44 47.09 5.29 0.53% (14.69) WBC AU Equity 497 11,480 30.81 32.15 6.19 0.70% (43.50) WES AU Equity 252 13,490 39.08 39.81 2.96 0.63% (26.80) WFC US Equity 3,298 11,931 38.95 49.71 53.92 0.51% 23.41 WLP US Equity 3,723 10,369 74.31 100.99 36.04 1.00% 49.29 WMT US Equity 361 9,262 76.31 79.28 8.73 0.45% (26.51) WOW AU Equity (58) 4,117 34.32 33.84 -1.59 0.89% (12.02) XOM US Equity 1,725 15,042 91.71 102.22 22.88 0.50% 91.25 XTA LN Equity #WA N/A YHOO US Equity 51 2,261 35.93 36.75 1.32 1.73% 23.90 YUM US Equity 251 7,151 73.86 76.45 3.92 0.90% 22.90 ZURN VX Equity (169) 7,208 293.61 286.89 -3.21 0.73% Current Portfolio - Global Macro Portfolio Current Price PA in Vol 30P Realized Change on Day Security MTM Gain/(Loss) Exp. CO Cost Avg. Price fin USD) Days Vol (in USD) SPX Index 18,199 62,272 1,455.70 1,881.14 50.91 0.57% (108.51) ND% Index 9,979 37,348 2,831.19 3,587.64 28.78 0.93% (88.46) RTY Index 5,746 19,170 868.48 1,128.80 32.99 0.91% 62.67 EFTA00288765 SPTSX Index 1,315 28,839 12,859.70 13,446.09 10.03 0.45% 147.03 MEXBOL Index (42) (20,915) 3,142.45 3,148.74 -0.30 0.68% IBOV Index 131 6,402 23,409.10 23,886.52 1.54 1.33% MERVAL Index (436) (2,596) #WA N/A -14.03 1.20% UKX Index 4,741 39,964 10,288.22 11,508.74 21.22 0.56% 20.03 DAX Index 9,117 36,674 10,610.77 13,248.47 31.84 0.78% CAC Index 1,987 24,884 5,723.77 6,180.81 13.60 0.59% IBEX Index 10,178 40,254 11,591.12 14,521.85 35.51 0.71% SMI Index 7,455 46,103 8,271.65 9,609.28 33.96 0.48% FTSEMIB Index 7,737 25,266 23,118.94 30,198.56 32.38 0.95% PSI2O Index 7,305 24,289 8,026.78 10,440.77 35.90 0.84% ISEQ Index 24,411 40,099 4,246.25 6,831.25 74.77 0.81% ICEXI Index 4,952 37,337 6.63 7.51 26.24 0.51% AEX Index 6,043 43,612 486.13 553.49 28.30 0.49% BEL20 Index 8,299 45,274 3,627.00 4,291.82 39.07 0.47% LUXXX Index 11,112 41,632 1,672.08 2,118.39 49.13 0.54% KFX Index 11,182 38,340 100.99 130.45 38.89 0.75% 22.39 HEX Index 8,113 40,933 8,513.93 10,201.46 25.54 0.78% OMX Index 2,083 23,118 191.41 208.66 11.67 0.77% ATX Index 256 9,226 3,409.58 3,504.14 3.25 0.85% ME Index 6,590 19,369 1,282.88 1,719.36 27.21 1.25% OSEBX Index 3,765 24,683 85.16 98.15 21.66 0.70% INDEXCF Index 1,731 (21,271) 39.64 36.41 5.51 1.48% TOP40 index 1,976 33,820 3,975.21 4,207.46 7.11 0.82% SENSEX Index 823 36,412 365.13 373.38 4.09 0.55% NKY Index 21. 13,269 141.04 141.27 0.17 0.95% (34.42) HSI Index (436) 29,992 2,912.98 2,871.23 -1.83 0.79% SHCOMP Index 1,628 (26,960) #N/A N/A 7.67 0.79% KOSPI Index 905 29,082 1.85 1.90 5.42 0.57% ASS1 index 845 25,533 4,890.10 5,051.98 5.48 0.60% (26.18) STBCNZL Index 37,492 73,207 444.47 672.10 93.86 0.55% EEM US Equity (25) (3,879) 41.34 41.61 -0.95 0.68% (21.42) IYR US Equity 85 6,384 69.31 70.23 2.81 0.47% (2.76) MDY US Equity 4,924 14,269 184.03 247.53 48.36 0.71% 34.95 JNK US Equity (10) 8,156 41.27 41.22 -0.88 0.14% 7.91 XLF US Equity 5,608 13,610 15.57 21.99 70.13 0.59% (8.74) XLU US Equity 860 10,859 39.38 42.50 14.10 0.56% (240.38) XLK US Equity 2,334 12,860 30.80 36.39 23.36 0.78% (41.64) XLI US Equity 6,179 16,147 38.20 52.82 57.50 0.67% (33.76) XLP US Equky 610 11,341 41.94 44.20 15.02 0.36% XLY US Equity 1,251 5,441 52.24 64.25 27.10 0.85% 16.71 XLE US Equity 745 9,734 87.06 93.72 12.35 0.62% 21.29 XLB US Equity 3,965 14,930 37.57 47.55 35.27 0.75% 71.80 XLV US Equity 11,827 24,346 38.87 57.75 57.12 0.85% (310.50) SXXP Index 7,342 44,817 402.36 468.27 29.81 0.55% (129.04) SXAP Index 10,323 28,526 520.28 708.56 32.43 1.12% (345.71) SXKP Index 5,563 37,626 366.14 420.27 22.14 0.67% I 375.56 EFTA00288766 SX6P Index 6,484 37,653 357.87 419.50 34.93 0.49% (140.69) SXEP Index 4,680 45,842 452.16 498.33 17.38 0.59% 31.84 SXIP Index 12,095 28,923 222.31 315.27 61.17 0.68% (264.53) SXNP Index 5,056 28,384 482.69 568.67 26.87 0.66% (63.35) SX3P Index 1,143 25,762 673.15 703.02 8.81 0.50% (131.31) SXDP Index 27,201 61,074 609.16 880.46 75.04 0.59% (216.82) SX4P Index 3,946 25,840 917.36 1,057.45 21.51 0.71% (117.12) SX8P Index 2,027 17,778 343.07 382.19 14.89 0.77% (70.14) SXOP Index 12,611 42,774 384.79 498.24 39.24 0.75% (37.54) SXQP Index 819 34,762 799.27 818.10 4.59 0.51% (320.40) SXRP Index (139) 16,765 432.43 428.88 -1.46 0.57% (192.32) SXMP Index 6,793 22,890 261.12 338.61 46.26 0.64% (57.08) SXTP Index 22,888 39,247 172.05 272.39 69.69 0.84% 1.09 SX7E Index 6,247 18,886 159.85 212.72 30.45 1.09% (103.50) SXSE Index 7,537 40,565 3,715.50 4,405.83 27.94 0.67% (326.13) SPGSCITR Index (80) 6,100 5,062.10 4,996.35 -2.87 0.46% 21.63 XAG Curncy 1,311 (15,640) 21.28 19.49 11.99 0.70% (403.80) CO1 Comdty 56 (19,698) 108.90 108.59 0.43 0.66% (152.15) CL1 Comdty 112 30,849 99.40 99.76 0.56 0.65% 105.88 NG1 Comdty 3,968 18,950 3.86 4.67 14.33 1.46% 218.55) XAU Comdty (145) (23,727) 92.44 93.00 -1.01 0.60% IBOXHY Index 3,303 53,418 220.12 233.73 125.34 0.05% 21.34 US_TSY CREDIT 133 57,396 763.21 764.97 2.30 0.10% 38.38 CA_TSY CREDIT 1,177 (36,066) 1,245.64 1,204.99 15.40 0.21% (53.86) MX_TSY CREDIT (83) (5,584) 214.16 217.33 -4.48 0.33% (46.21) AU TSY CREDIT 318 52,225 1,495.06 1,504.16 2.05 0.30% 23.41 JP_TSY CREDIT 261 (22,684) 821.88 812.42 4.62 0.25% (17.24) MY_TSY CREDIT (38) (32,331) 168.00 168.20 -0.46 0.26% (44.22) SG_TSY CREDIT 103 47,167 220.94 221.42 1.06 0.21% 89.83 AT_TSY CREDIT 4,670 79,056 357.76 378.89 24.74 0.24% 130.58 BE_TSY CREDIT 5,921 79,771 477.76 513.22 31.04 0.24% 177.36 FI_TSY CREDIT 4,399 82,613 349.00 367.58 24.92 0.21% 149.39 FR_TSY CREDIT 5,147 79,806 1,681.36 1,789.81 28.08 0.23% 125.49 DE_TSY CREDIT 3,744 81,920 1,245.78 1,302.71 19.90 0.23% 109.30 IE_TSY CREDIT 33,363 78,270 336.92 480.54 238.15 0.18% 144.22 IT_TSY CREDIT 9,549 54,986 1,616.07 1,896.72 84.09 0.21% 107.70 NL_TSY CREDIT 4,508 81,163 1,329.42 1,403.26 24.16 0.23% 148.00 ES_TSY CREDIT 11,768 50,187 392.28 484.27 117.84 0.20% 121.78 DK_TSY CREDIT 3,687 67,396 729.23 769.12 19.67 0.28% 100.88 NO_TSY CREDIT (108) (7,308) 341.94 347.00 -5.31 0.28% (0.83) PL_TSY CREDIT 1,338 32,235 427.38 445.11 18.13 0.23% (40.68) ZA_TSY CREDIT (58) (5,807) 83.22 84.05 •1.45 0.68% (19.22) SE_TSY CREDIT (554) (55,416) 464.23 468.87 •3.19 0.31% 52.60 CH_TSY CREDIT 4,055 69,328 1,008.20 1,067.18 25.44 0.23% 6.88 GB_TSY CREDIT 2,256 81,211 1,503.37 1,545.13 11.59 0.24% (94.43) EFTA00288767