EFTA00288768.pdf

Atorus, LLC 5/12/2014 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: 5/12/2014 87.00% 29.00% 7.14% 6.37% 5,292,780 (537,660) 4,755,120 1,000,000 1,870,035 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): 0.68% 300 139 440 3.12 Metrics 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 shame 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 2,000,000.00 1,800,000.00 1,600,000.00 1,400,000.00 1,200,000.00 1,000,000.00 800000.00 COO OCO 00 IV el. 1. 01 eb 1)) A Ai c 9% 19% 'A 4 4? er 'A 4 415‘ 'A 4 —Seriesi EFTA00288768 Atorus, LLC 5/12/2014 Largest Exposures Current Positions 97.5th Percentile 2.5th Percentile (@ cost ex- MTM) Largest MTM Gains Current Posi ions (90th Percentile MTM Gains % NAV) Security Notional % of Total Notional 23 Positions • 20.05% MT US Equity (8,574) 0.15% 941 HK Equity (9,455) 0.16% MEXBOL Index (10,458) 0.18% SPGSCITR Index (15,386) 0.27% XAG Curncy (15,640) 0.27% JP_TSY CREDIT (15,794) 0.27% CO1 Comdty (19,698) 0.34% INDEXCF Index (21,271) 0.37% XAU Comdty (23,727) 0.41% SHCOMP Index (33,248) 0.57% SE TSY CREDIT (44,333) 0.77% DK_TSY CREDIT 67,396 1.16% AU TSY CREDIT 68,895 1.19% CH_TSY CREDIT 69,857 1.21% STBCNZL Index 73,207 1.26% lE_TSY CREDIT 78,270 1.35% BE_TSY CREDIT 79,771 1.38% AT_TSY CREDIT 81,569 1.41% FR_TSY CREDIT 82,246 1.42% NL_TSY CREDIT 82,865 1.43% DE_TSY CREDIT 84,524 1.46% FI_TSY CREDIT 85,645 1.48% GB_TSY CREDIT 89,647 1.55% NAV Impact of MTM by Category & Exposure Listed Equity Long 1.063% Listed Equity Short -0.103% EquityCom Long 0.817% EquityCom Short -0.112% G20 Rates Long -0.072% G20 Rates Short 0.005% Security MTM Gain % Total NAV 45 Positions 26.01% JNJ US Equity 5,878 0.31% ROG VX Equity 6,041 0.32% P5120 Index 6,058 0.32% EDF FP Equity 6,113 0.33% AEX Index 6,126 0.33% DAI GR Equity 6,431 0.34% HON US Equity 6,498 0.35% FTSEMIB Index 6,559 0.35% MAERSKB DC Equity 6,614 0.35% XLI US Equity 6,632 0.35% SXMP Index 6,655 0.36% AZN SS Equity 6,657 0.36% UTX US Equity 6,829 0.37% SX6P Index 6,868 0.37% NOVN VX Equity 7,080 0.38% AZN US Equity 7,177 0.38% AZN LN Equity 7,308 0.39% SXXP Index 7,357 0.39% SMI Index 7,387 0.40% SXSE Index 7,475 0.40% ACA FP Equity 7,489 0.40% MDT US Equity 8,430 0.45% BEL20 Index 8,704 0.47% TMO US Equity 8,723 0.47% HEX Index 8,819 0.47% PRU LN Equity 8,976 0.48% IT_TSY CREDIT 9,168 0.49% DAX Index 9,515 0.51% SXAP Index 9,625 0.51% MMM US Equity 10,094 0.54% IBEX Index 10,115 0.54% NDX Index 10,289 0.55% KFX Index 11,163 0.60% ES_TSY CREDIT 11,305 0.60% TYC US Equity 11,520 0.62% LUXM Index 11,618 0.62% SKIP Index 11,820 0.63% SXOP Index 11,825 0.63% XLV US Equity 12,297 0.66% SPX Index 18,897 1.01% EFTA00288769 ISEQ Index 22,816 1.22% SXTP Index 22,972 1.23% SXDP Index 26,793 1.43% lE_TSY CREDIT 32,719 1.75% STBCNZL Index 36,718 1.96% APAC Lon 27 APAC Short 20 EMEA Long 69 EMEA Short 18 AMER Long 177 AMER Short 34 E • ultyCom Lon 64 EquityCom Short 8 G20 Rates Lon 21 G20 Rates Short 2 Total Long 358 Total Short 82 Current Exposure by Geography (Listed Equl les) & Macro (Equity Indices & Commodiites, G20 Gov. Credit) $2,000,000 i $1,500,000 $1,000,000 $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 EFTA00288770 Atorus, LLC S/12/2014 Historical Net Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodites, G20 Gov. Credit) 6,000,000 5,004000 6,000,C00 3,000.000 2,000.000 1,000,C00 ,. A mc EMEA AMER EquityCom —G20 Rates NexEposure REIS 3.000,000 1500,000 1.000,000 t % (Seat ) CIG 60-rr r~ • sc. I N.c. \ . \ • \ \ \ \ \1` \ \ \ \ (2,000,003) (1,004000) (3,000,000) Historical Gross Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodlites, G20 Gov. Credit) 4,v 4) .4.1. i< % sb 44 44 O O O O O O O O O O O O el. 419 "Lt esile 4t• isc , 41, Q , 'S. 4 5 A\ 4 4 4 4 4 AP 4% 4' 4% 5\ 4esSit APAC —EMEA AMER EqulyCo — G20 Rates EFTA00288771 Atorus, LIC 5/12/2014 Current Gross Notional Risk by Category 244,119 d 600,066 11 1Y • 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 6> 64> 64> 6> 64> 64> 64> 64> 64> 64> 644 0 0 °' 4° '." 4° e we 4° 4° e 401,e 4° 4° 4.e. .—*Series1 —Series2 Rolling 30 Day Realized Volatility - EFTA00288772 Atorus, LLC 5/12/2014 Percentile Distribution of Current MTM Gains in Vol Days by Position (ex-99pct & ex-1st percentiles) 70.00 6000 5000 40.00 ;titian 3000 20.00 10.00 0.110 -10.0p~• IS '1 '1 its q PS) bt) 4 ) CO 4 "14' C14() it3 q q Percentile No. Vol Days 4 0.00,b 14.94 5.00% -2.76 10.00% .1.00 15.00% .0.12 20.00% 0.35 25.00% 1.07 30.00% 2.18 35.00% 3.70 40.00% 4.97 45.00% 6.00 50.00% 7.30 55.00% 10.66 60.00% 12.84 65.00% 16.09 70.00% 20.12 75.00% 24.32 80.00% 28.41 85.00% 33.96 90.00% 43.51 95.00% 60.43 100.00% 183.78 MTM Gains(Losses) % of NAV "Signficant" (<7 Vol Days) MTM Gains(Losses) % of NAV "Signficant" (>7 Vol Days) 1.21% EFTA00288773 Atorus, LLC Current Portfolio -Listed Equity Portfolio Current Price P/L in Vol 30P Realized Change on Day Security NITIVI Gain/(Loss) Exp. ea Cost Avg. Price (in USD) Days Vol (in USD) 5/12/2014 000270 KS Equity 32 (3,094) 55.84 55.27 1.07 0.96% 30.89 005380 KS Equity (23) 3,149 224.38 222.73 0.73 1.00% (40.35) 005490 KS Equity (296) (3,011) 272.57 299.37 -9.35 1.05% (12.74) 005930 KS Equity (57) (1,764) 1,296.86 1,338.96 -3.62 0.90% (42.88) 012330 KS Equity 716 5,584 247.00 278.68 13.69 0.94% (89.00) 1 HK Equity 469 12,607 16.18 16.78 3.82 0.97% 462.26 1299 HK Equity 129 5,954 4.79 4.89 2.14 1.01% 55.71 13 HK Equity 568 4,897 11.40 12.72 12.82 0.90% 63.78 16 HK Equity 12.71 27 HK Equity 3 (2,301) 7.60 7.59 0.07 2.13% (36.50) 2914 JP Equity 33.34 3382 JP Equity 46 2,327 38.42 39.18 2.64 0.75% (6.27) 4063 JP Equity (24) 562 60.23 57.79 -3.96 1.07% (2.21) 4502 JP Equity (22) 2,942 45.05 44.71 0.93 0.81% (2.62) 4689 JP Equity 107 (2,319) 4.51 4.30 2.29 2.01% (1.81) 5 HK Equity (4) (5,158) 10.15 10.16 0.12 0.59% (72.13) 5108 JP Equity (100) 3,466 35.99 34.98 -2.87 1.01% (106.08) 54011P Equity 330 (6,999) 2.81 2.68 4.44 1.06% (112.76) 63011P Equity (5) 429 21.69 21.44 -1.12 1.04% (2.26) 6752 JP Equity 10.40 - 6902 JP Equity 42.34 - 6954 JP Equity 357 6,629 6,392.98 166.87 5.58 0.96% (38.40) 72011P Equity 131 (3,749) (3,742.97) 8.55 3.73 0.93% (7.32) 7203 JP Equity 181. (5,259) (5,259.85) 54.16 4.15 0.83% 18.98 7267 JP Equity 453 (5,844) (4,885.01) 32.60 6.57 1.18% 11.82 762 HK Equity • 515 (5,161.69) 1.60 0.00 1.62% 0.26 7751 JP Equity (48) (2,197) (6,865.02) 32.13 4.09 0.71% (6.18) 80311P Equity (300) (4,776) (4,775.88) 14.98 -7.32 0.86% 38.06 8058 JP Equity 15 2,568 (4,383.01) 19.19 0.65 0.90% 6.83 8106 JP Equity 73 (4,585) (4,603.66) 5.54 1.22 1.30% (26.98) 8316 JP Equity 37 (2,480) (2,000.57) 40.53 1.21 1.24% (9.19) 84111P Equity (8) 3,174 1.96 -0.43 0.61% (8.84) 8604 JP Equity 367 (4,169) (3,504.39) 5.90 6.50 1.35% (3.08) 88011P Equity 20 2,660 30.48 30.71 0.56 1.35% (10.94) 8802 JP Equity 232 (6,150) 24.34 23.42 2.78 1.36% 135.00 9020 JP Equity 79 (6,724) 75.21 74.32 1.31 0.90% (42.83) 941 HK Equity 600 (11,819) 10.19 9.68 5.15 0.99% (45.60) 9432 JP Equity 361 6,077 53.19 56.35 6.71 0.89% (25.63) 9433 JP Equity 18 2,844 55.34 55.70 0.54 1.20% 1.03 9437 JP Equity (256) (7,686) 15.59 16.11 -3.91 0.85% 6.87 9983 JP Equity 194 (4,257) 323.49 308.71 3.22 1.42% (0.81) EFTA00288774 9984 JP Equity (30) 435 75.22 70.30 4.17 1.68% (5.86) AAPL US Equity 884 7,342 527.64 591.17 13.07 0.92% 113.27 ABB US Equity 23.79 - ABBN VX Equity (47) (3,727) 23.43 23.72 -1.43 0.88% (85.76) ABBV US Equity 142 3,330 50.23 52.38 3.05 1.40% 40.70 ABEV US Equity (56) (3,956) 7.37 7.47 -1.42 1.00% (55.59) ABEV3 BZ Equity (42) (3,006) 7.40 7.51 -1.27 1.09% (40.85) ABI BB Equity 574 8,888 103.14 109.81 8.24 0.78% 92.16 ABT US Equity 36 4,097 38.87 39.21 1.31 0.67% 41.57 ABX CN Equity 347 (4,701) 18.78 17.39 6.56 1.13% (48.71) ABX US Equity 335 (4,765) 18.71 17.40 6.26 1.12% (50.24) ACA FP Equity 7,568 5,408 6.83 16.40 121.88 1.15% 27.83 ACE US Equity 577 10,054 97.41 103.00 16.16 0.36% 63.22 ACN US Equity 139 8,563 77.97 79.23 2.73 0.59% 80.21 ADP US Equity 165 4,447 76.04 78.86 5.83 0.64% 56.06 AFL US Equity 24 4,556 62.88 63.21 0.73 0.71% 22.59 AGN US Equity 4,305 9,698 110.56 159.64 23.43 1.89% (171.95) Al FP Equity 679 11,677 137.16 145.13 10.32 0.56% 107.34 AIG US Equity 461 7,022 49.93 53.21 7.32 0.90% 157.93 AIR FP Equity (14) (3,971) 67.47 67.70 -0.32 1.08% (45.68) ALV GR Equity (89) 8,815 169.19 167.50 -1.36 0.74% 42.46 ALVG IX Equity (51) 7,162 168.61 167.43 -0.97 0.72% 26.70 AMGN US Equity 23 (4,127) 112.50 111.86 0.52 1.07% (51.43) AMT US Equity 1,734 11,678 76.91 88.33 24.86 0.60% (12.73) AMZN US Equity 77 (3,623) 306.51 299.98 1.08 1.97% (138.09) ANZ AU Equity 361 12,947 29.78 30.61 3.69 0.76% (35.13) APA US Equity 130 4,994 87.41 89.69 3.18 0.82% 47.46 APC US Equity 92 2,501 97.78 101.36 2.67 1.37% 31.72 AXP US Equity 2,626 10,373 71.56 89.68 29.27 0.87% 157.74 AZN LN Equity 7,133 12,676 49.80 77.83 32.96 1.71% (42.01) AZN SS Equity 6,440 12,119 50.82 77.82 30.85 1.72% (61.42) AZN US Equity 7,027 12,812 50.30 77.89 33.29 1.65% 301.89 BA US Equity 284 8,072 128.04 132.54 4.22 0.83% 111.02 BAC US Equity (1) (3,980) 14.98 14.98 -0.02 1.08% (59.69) BARC LN Equity 275 5,219 4.11 4.32 3.77 1.40% (118.93) BAS GR Equity 1,295 7,333 97.30 114.48 18.91 0.93% 100.37 BATS LN Equity 620 7,532 53.98 58.42 11.16 0.74% 102.75 BAX US Equity 121 4,842 73.52 75.36 4.70 0.53% 38.34 BAYN GR Equity 318 7,767 135.04 140.57 4.50 0.91% 156.59 BBAS3 BZ Equity (11) 450 10.99 10.72 -1.44 1.74% (0.59) BBD US Equity 269 3,749 14.64 15.69 5.04 1.42% 33.78 BBDC4 BZ Equity 258 3,172 14.49 15.67 5.62 1.45% 27.25 BBL US Equity (22) (496) 62.89 65.72 -4.95 0.91% (11.38) BBVA SM Equity 1,272 5,841 10.13 12.34 27.04 0.81% 18.67 BCE CN Equity 109 5,498 44.37 45.25 4.93 0.40% 35.94 BCS US Equity 269 5,457 16.46 17.28 3.62 1.36% (78.81) BEN US Equity 132 2,447 52.49 55.33 5.04 1.07% 32.94 EFTA00288775 BG/ LN Equity (805) (5,919) 18.76 21.32 -14.60 0.93% (3.29) BHP AU Equity 82 8,431 34.33 34.66 1.20 0.81% (59.95) BHP US Equity 303 6,839 67.77 70.77 4.68 0.94% 137.52 BBB US Equity 223 1,066 245.93 297.42 12.52 1.67% 60.80 BIL Si Equity (3) (704) 32.63 32.74 -0.46 0.77% (11.03) BK US Equity 472 8,609 32.86 34.66 6.75 0.81% 175.66 BLK US Equity 101 3,418 296.18 304.91 3.43 0.86% 45.88 BLT IN Equity (35) (1,918) 32.17 32.75 -2.28 0.80% (37.59) BMO CN Equity 508 12,606 66.54 69.23 9.70 0.42% 50.16 BMW GR Equity 1,189 5,212 99.22 121.85 30.20 0.76% 33.00 BMY US Equity 167 3,908 49.86 52.00 4.04 1.06% 90.53 BN FP Equity (7) (755) 71.77 72.44 -1.33 0.70% (7.00) BNP FP Equity 1 (3,333) 73.12 73.09 0.04 0.95% (0.52) BNS CN Equity 552 10,438 58.26 61.34 12.09 0.44% 14.14 BP/ LN Equity 892 9,797 7.76 8.47 12.31 0.74% 39.27 BRK/B US Equity 792 14,233 120.53 127.23 11.24 0.49% 46.90 BSBR US Equity 19 2,143 6.67 6.73 0.65 1.38% 12.28 BUD US Equity 547 9,049 103.62 109.88 8.49 0.71% 84.66 BX US Equity (1) (2,042) 29.10 29.11 -0.02 1.83% (41.02) C US Equity (20) 3,766 47.52 47.27 -0.69 0.78% 24.95 CA FP Equity 281 3,932 34.37 36.82 7.00 1.02% 33.47 CAT US Equity 2,548 14,645 90.43 106.17 26.31 0.66% 210.47 CBA AU Equity 1,136 15,737 69.34 74.35 13.59 0.53% 49.59 CBS US Equity 5 (3,501) 57.39 57.31 0.11 1.19% (66.73) CCL US Equity 611 6,257 36.20 39.74 11.80 0.83% 119.08 CELG US Equity 41 2,632 147.09 149.36 1.04 1.48% 69.54 CFR VX Equity 152 7,019 96.74 98.84 3.38 0.64% 3.09 CL US Equity 2,627 20,847 59.70 67.22 26.75 0.47% (117.85) CM CN Equity 695 11,908 84.09 89.00 14.04 0.42% 23.61 CMCSA US Equity 69 4,527 50.01 50.77 1.73 0.89% 11.92 CMCSK US Equity 4,629 12,096 36.26 50.14 46.60 0.82% 32.62 CNI US Equity 2,045 12,873 51.38 59.54 25.01 0.64% 115.93 CNQ CN Equity 965 10,769 36.73 40.03 10.66 0.84% 186.28 CNR CN Equity 2,002 12,425 51.30 59.56 25.54 0.63% 118.57 COF US Equity 904 7,124 68.86 77.59 20.89 0.61% 126.29 COP US Equity 217 4,333 74.40 78.13 6.78 0.74% 47.88 COST US Equity 200 9,550 114.02 116.41 3.89 0.54% 98.60 COV LN Equity #N/A N/A COV US Equity 901 7,080 64.09 72.24 18.95 0.67% 55.94 CRM US Equity (19) (1,440) 52.22 52.90 -0.65 2.02% (80.10) CS FP Equity 14 (2,040) 24.10 23.93 0.73 0.97% 6.38 CSCO US Equity (25) (1,735) 22.86 23.19 -2.11 0.68% (13.88) CSX US Equity 1,409 8,914 25.07 29.04 23.49 0.67% 185.23 CVE CN Equity 28.75 - CVS US Equity 2,383 12,029 64.17 76.88 33.65 0.59% 157.01 CVX US Equity (16) 5,738 125.37 125.01 -0.50 0.57% (1.52) D US Equity 1,901 13,256 60.80 69.52 24.36 0.59% (144.37) EFTA00288776 DAI GR Equity 6,144 13,908 62.20 89.69 40.01 1.10% 205.69 D8K GR Equity (2) (1,551) 42.53 42.58 .0.12 1.01% (3.84) DD US Equity 3,114 13,266 55.21 68.17 43.34 0.54% 102.12 DDAIF US Equity 3,540 8,377 63.20 89.91 34.72 1.22% 149.81 DE US Equity 809 10,094 86.88 93.84 15.30 0.52% (42.46) DELL US Equity //WA WA DG FP Equity 4,602 10,090 51.66 75.22 69.03 0.66% 43.67 DGE LN Equity 35 2,332 30.86 31.33 1.78 0.85% 16.32 DHR US Equity 70 4,764 73.82 74.90 2.07 0.71% 84.58 DIS US Equity 2,055 9,908 68.36 82.54 25.13 0.83% 154.09 DISCA US Equity 273 (7,183) 76.47 73.56 3.68 1.03% (36.33) DNB NO Equity 305 3,670 16.86 18.26 7.66 1.08% 18.66 DOW US Equity 2,555 7,396 37.11 49.93 35.36 0.98% 148.56 DPW GR Equity 185 660 29.41 37.64 24.93 1.12% 4.20 DTE GR Equity 1,164 6,712 14.87 17.45 19.39 0.89% 66.80 DTV US Equity 4,331 10,622 61.97 87.24 35.26 1.16% 64.21 DUK US Equity (40) 2,037 73.20 71.80 .4.09 0.48% (12.42) DVN US Equity 1,344 11,143 63.30 70.94 13.47 0.90% 72.95 EBAY US Equity (22) (3,819) 50.75 51.04 .0.53 1.09% (35.27) ECL US Equity 15 9,210 105.22 105.39 0.28 0.60% 62.99 EDF FP Equity 6,114 9,189 23.45 39.05 72.35 0.92% 147.80 EMC US Equity 100 10,986 25.35 25.58 1.21 0.75% 119.97 EMR US Equity 174 8,739 66.80 68.13 3.00 0.66% 159.85 ENS CN Equity 653 12,231 45.61 48.04 10.25 0.52% (27.78) ENEL IM Equity 2,637 8,902 4.48 5.81 37.52 0.79% 71.53 ENI IM Equity 870 11,929 24.33 26.10 12.58 0.58% (24.18) EOAN GR Equity (23) 2,996 18.77 18.62 .0.95 0.81% 18.01 EOG US Equity 2,437 5,841 72.84 103.23 34.67 1.20% 137.57 EPD US Equity 1,948 13,127 63.70 73.15 20.22 0.73% 38.91 ERICB SS Equity (184) 7,934 12.50 12.22 -2.15 1.07% 90.34 ESRX US Equity (68) (3,192) 67.05 68.48 -2.27 0.94% (50.47) ETN US Equity 38 5,260 72.48 73.00 0.77 0.93% 108.85 F US Equity (251) (3,621) 14.82 15.84 -7.69 0.90% (8.98) F8 US Equity 898 2,630 44.06 59.09 14.65 2.33% 130.34 FCX US Equity 244 5,057 33.25 34.85 5.09 0.95% 160.00 FDX US Equity 299 2,491 124.78 139.77 18.01 0.67% 59.73 FOX US Equity 263 4,034 32.32 34.43 5.02 1.30% 165.35 FOXA US Equity 223 3,236 32.97 35.24 5.13 1.34% 134.76 FP FP Equity 2,147 14,528 62.63 71.89 21.21 0.70% (7.58) G IM Equity 229 5,607 21.99 22.89 5.78 0.71% 5.69 GE US Equity 2,599 13,140 22.32 26.73 37.73 0.52% 204.16 GILD US Equity 148 3,845 77.25 80.21 2.50 1.54% 49.18 GIS US Equity 1,699 20,833 50.19 54.28 17.94 0.45% 94.04 GLE FP Equity 750 3,248 49.51 60.95 20.09 1.15% 2.86 GLEN LN Equity (238) (3,693) 5.22 5.56 -10.48 0.61% (42.98) GLW US Equity 3,609 11,635 16.25 21.29 37.47 0.83% 411.06 GM US Equity (4) 4,771 34.81 34.78 .0.08 0.96% 57.50 EFTA00288777 GOOG US Equity (23) (2,194) 521.13 526.52 .0.72 1.44% (55.89) GS US Equity (11) (469) 155.63 159.31 (7.04) GSK LN Equity 229 5,707 26.22 27.27 4.58 0.87% 19.57 GSZ FP Equity 653 11,150 25.29 26.77 7.30 0.80% 149.19 HAL US Equity 1,866 7,135 50.67 63.92 26.95 0.97% 76.91 HD US Equity 455 7,619 73.80 78.21 7.49 0.80% 82.65 HMB SS Equity 12 (3,087) 41.29 41.13 0.60 0.65% (34.06) HON US Equity 6,459 11,930 61.10 94.18 92.08 0.59% 297.69 HPO. US Equity 2,119 7,393 25.45 32.75 27.87 1.03% 146.56 HSBA LN Equity 15 3,654 10.18 10.22 0.68 0.60% 75.19 IBE SM Equity 2,140 7,531 5.56 7.14 45.34 0.63% 54.06 IBM US Equity (26) (5,040) 191.43 192.41 .0.67 0.76% (69.87) IMT LN Equity 2,722 13,136 36.73 44.34 29.70 0.70% 217.97 INTC US Equity 1,101 12,041 24.19 26.41 16.27 0.56% 55.38 ISP IM Equity 4,054 5,699 1.93 3.30 55.71 1.28% (69.79) ITUB US Equity 340 5,163 15.78 16.82 5.24 1.25% 87.61 ITUB4 BZ Equity 311 4,601 15.79 16.86 5.20 1.30% 74.88 ITW US Equity 3,996 14,011 67.84 87.18 43.39 0.66% 258.06 ITX SM Equity (49) (4,565) 146.45 148.03 -1.95 0.55% (27.49) JO US Equity (13) (1,700) 44.93 45.27 .0.60 1.30% (28.77) JNJ US Equity 5,795 17,142 75.17 100.58 72.59 0.47% (52.01) JPM US Equity (10) (1,999) 54.23 54.49 -0.61 0.81% (19.98) KMB US Equity 272 9,903 107.52 110.47 4.96 0.55% (33.04) KMI US Equity 372 (8,469) 33.81 32.32 5.90 0.74% (20.26) KO US Equity 2 5,506 40.80 40.82 0.06 0.54% (2.59) LBTYA US Equity 31 3,024 43.04 43.48 0.97 1.06% 37.12 LBTYK US Equity 21. 2,944 41.20 41.49 0.68 1.02% 23.34 LIN GR Equity 256 8,087 198.03 204.30 5.05 0.63% 81.71 LLOY LN Equity 339 2,488 1.14 1.30 11.15 1.22% 7.43 LLY US Equity 32 4,953 59.03 59.41 0.94 0.70% 34.41 LMT US Equity 728 2,016 122.48 166.71 47.47 0.76% 34.00 LNKD US Equity 545 (3,076) 183.83 151.28 6.73 2.63% (81.86) LOW US Equity (28) 717 48.11 46.27 -3.91 1.01% 13.65 LVS US Equity 798 3,268 61.33 76.30 13.53 1.80% 75.06 LYB US Equity 1,433 2,297 59.29 96.28 78.54 0.79% 55.38 MA US Equity 44 3,476 73.94 74.88 0.98 1.31% 37.77 MAERSKB DC Equity 6,580 14,148 1,642.52 2,406.41 46.62 1.00% 443.07 MC FP Equity 317 5,711 186.24 196.60 8.05 0.69% 42.61 MCD US Equity 218 9,603 100.64 102.92 5.19 0.44% 30.13 MCK US Equity 115 2,181 164.92 173.64 6.00 0.88% 58.36 MDIZ US Equity 4,245 13,641 28.68 37.61 41.02 0.76% (61.75) MDT US Equity 8,524 20,811 43.22 60.93 59.85 0.68% 449.85 MET US Equity 1,283 7,556 44.37 51.90 16.13 1.05% 112.46 MFC CN Equity 1,648 3,201 12.38 18.74 60.24 0.85% 16.30 MHS US Equity PWA WA MMM US Equity 10,075 21,331 96.89 142.66 79.20 0.60% 380.97 MO US Equity 1,098 12,281 37.05 40.37 20.27 0.44% 76.94 EFTA00288778 MON US Equity 1,126 11,917 106.02 116.03 11.44 0.83% 65.94 MOS US Equity 48.74 - MRK US Equity 1,177 11,769 50.18 55.20 11.16 0.90% 51.75 MS US Equity (12) 2,280 30.40 30.24 -0.39 1.36% 53.29 MSFT US Equity 1,049 8,007 35.30 39.93 16.42 0.80% 83.14 MUV2 GR Equity 553 6,116 197.70 215.59 10.82 0.84% 11.13 NAB AU Equity 262 13,313 31.52 32.14 2.90 0.68% 25.60 NCM AU Equity 9.54 - NEE US Equity 4,736 14,972 73.03 96.13 46.11 0.69% (290.07) NEM US Equity 570 (2,273) 32.73 24.53 15.66 1.60% (70.44) NESN VX Equity 1,216 10,957 70.38 78.20 20.64 0.54% 80.96 NG/ IN Equity 2,690 13,258 11.96 14.39 39.43 0.51% 60.96 NKE US Equity 272 2,940 68.03 74.32 11.66 0.79% 45.73 NOK US Equity 3,891 4,498 3.96 7.39 55.39 1.56% 199.96 NOV US Equity 354 9,753 77.58 80.39 4.63 0.78% 50.45 NOVN VX Equity 7,130 18,291 63.81 88.68 50.05 0.78% 135.45 NOVOB DC Equity 771 9,444 40.35 43.64 8.46 0.97% 132.18 NSC US Equity 1,922 10,005 81.05 96.62 28.25 0.68% 163.22 NVS US Equity 5,604 15,992 65.59 88.58 58.40 0.60% 39.74 OGXP3 BZ Equity 5,039 (5,134) 4.39 0.08 52.59 1.87% 62.26 OR FP Equity 370 8,826 167.38 174.40 6.01 0.70% 48.87 ORA FP Equity 1,818 7,941 13.61 16.72 22.07 1.04% 66.70 ORCL US Equity 1,934 7,995 33.68 41.83 28.76 0.84% 209.63 OXY US Equity 108 7,355 95.04 96.44 2.18 0.68% 41.61 PBR US Equity 1 1,216 15.26 15.28 0.05 2.18% 6.19 PBR/A US Equity (1) 1,851 16.20 16.20 -0.02 2.20% 5.11 PCLN US Equity 209 1,752 1,036.35 1,160.06 7.10 1.68% 57.33 PCP US Equity 6 4,727 255.28 255.59 0.13 0.93% 16.34 PEP US Equity 508 11,505 83.28 86.96 10.31 0.43% 13.84 PETR3 BZ Equity 16 1,902 7.58 7.65 0.38 2.13% 14.94 PETR4 BZ Equity (5) 1,792 8.11 8.09 -0.11 2.30% 1.39 PFE US Equity (5) (1,733) 29.05 29.14 -0.29 1.05% (9.94) PG US Equity 367 11,013 79.25 81.89 7.14 0.47% (87.15) PHIA NA Equity 32.20 - PM US Equity 86.23 - PNC US Equity 1,031 9,010 76.60 85.37 14.95 0.77% 180.53 POT CN Equity 87 4,291 35.54 36.26 2.31 0.87% 27.19 POT US Equity 45 4,552 35.90 36.25 1.16 0.86% 29.21 PRU LN Equity 8,631 10,521 12.76 23.23 81.70 1.00% 131.23 PSA US Equity 803 13,406 162.12 171.83 14.09 0.43% 43.41 PSX US Equity 1,764 6,461 65.64 83.56 28.98 0.94% 194.55 PX US Equity 2,520 16,340 113.54 131.05 29.27 0.53% 149.36 QCOM US Equity 2,461 12,547 66.83 79.94 27.07 0.72% 145.54 QQQ US Equity 2,265 7,968 68.46 87.92 36.50 0.78% 177.85 RAI US Equity 899 10,690 53.26 57.75 11.41 0.74% 311.34 RDS/A US Equity 748 11,546 75.02 79.88 13.74 0.47% 15.64 RDS/B US Equity 1,150 11,174 78.68 86.77 19.12 0.54% 34.46 EFTA00288779 RDSA LN Equity 846 9,744 36.73 39.92 15.99 0.54% 5.31 RDSA NA Equity 643 10,849 37.69 39.93 10.99 0.54% 17.84 RDSB LN Equity 1,187 10,889 39.07 43.33 18.88 0.58% 19.29 REGN US Equity (274) 6,240 302.20 289.49 -2.21 1.98% 205.63 RIO AU Equity (220) 5,122 59.29 56.84 -4.70 0.92% (17.39) RIO LN Equity 98 4,819 54.83 55.94 2.26 0.90% 170.34 RIO US Equity 220 4,934 54.04 56.45 4.21 1.06% 226.08 ROG VX Equity 6,003 17,035 212.78 287.77 57.93 0.61% 62.34 RY CN Equity 248 9,881 65.78 67.42 5.69 0.44% 60.17 SAS LN Equity 1,026 10,137 48.95 53.90 12.85 0.79% (8.92) SAN FP Equity (75) 3,445 107.68 105.39 -2.74 0.79% (79.56) SAN SM Equity 1,427 8,738 8.57 9.97 22.03 0.74% 4.08 SAN US Equity 1,174 7,240 8.61 10.01 21.94 0.74% 26.40 SAP GR Equity (209) 4,193 80.41 76.60 -5.86 0.85% 61.70 SAP US Equity (216) 4,519 80.44 76.78 -5.62 0.85% 72.53 SBUX US Equity (25) (1,576) 69.81 70.93 -1.95 0.83% (21.44) SGO FP Equity 2,641 7,836 44.08 58.94 33.23 1.01% 41.98 SI US Equity 803 5,671 118.49 135.26 17.73 0.80% 97.30 SIE GR Equity 938 5,345 114.81 134.96 21.79 0.81% 83.55 SLB US Equity 1,669 8,679 84.17 100.35 34.85 0.55% 23.30 SMSN LI Equity (85) (1,949) 644.63 672.79 .4.62 0.95% (61.51) SO US Equity (192) 11,861 44.10 43.40 -2.48 0.65% (160.02) SPG US Equity 529 11,595 168.40 176.09 11.92 0.38% 32.11 SREN VX Equity 88.41 - STAN LN Equity 43 (2,940) 22.09 21.76 1.60 0.92% 1.34 STL NO Equity 1,844 11,306 26.71 31.07 20.15 0.81% (86.40) STT US Equity 27 2,641 65.00 65.67 1.01 1.02% 45.22 SU CN Equity 670 9,935 36.68 39.16 7.00 0.96% 163.50 SU FP Equity 951 8,613 86.36 95.90 12.27 0.90% 170.39 SU US Equity 620 9,658 36.78 39.15 6.52 0.98% 163.51 SWEDA SS Equity 25.39 SYNN VX Equity (430) (5,164) 359.52 389.48 -14.94 0.56% (4.99) T US Equity 138 5,618 35.62 36.49 3.43 0.72% 23.52 TD CN Equity 521 10,892 45.74 47.93 10.26 0.47% 22.90 TEF SM Equity 89 7,580 16.07 16.26 1.38 0.86% 73.93 TEF US Equity 111 6,344 15.95 16.22 2.07 0.84% 92.09 TGT US Equity 676 (10,717) 63.57 59.56 7.31 0.86% (124.51) T1X US Equity 663 3,143 49.32 59.72 26.65 0.79% 99.94 TLS AU Equity 621 13,319 4.66 4.88 9.26 0.50% (11.43) TLSN SS Equity (325) (6,584) 7.02 7.37 -5.12 0.96% 3.57 TM US Equity 383 (6,802) 115.49 108.99 7.19 0.78% (1.14) TMO US Equity 8,805 10,218 63.59 118.38 97.40 0.88% 371.76 TOT US Equity 1,351 7,801 61.19 71.79 23.60 0.73% 7.69 TRP CN Equity (10) (1,550) 46.35 46.66 -1.10 0.61% (8.18) TRV US Equity 833 10,896 85.73 92.29 13.43 0.57% 149.63 TSCO LN Equity 894 (7,858) 5.60 4.96 10.65 1.07% 48.80 TWC US Equity 801 5,234 120.22 138.62 18.71 0.82% 21.85 EFTA00288780 TWX US Equity 274 6,790 66.71 69.40 4.54 0.89% 128.40 TXN US Equity 4,177 12,205 34.93 46.88 30.48 1.12% 382.41 TYC US Equity 11,220 24,080 29.17 42.76 57.03 0.82% UBS US Equity 296 5,489 19.43 20.48 6.83 0.79% (20.43) UBSN VX Equity 239 5,158 19.51 20.41 5.33 0.87% (36.86) UCG IM Equity 3,081 5,500 5.62 8.77 46.38 1.21% 138.44 ULVR LN Equity 221. 6,329 42.99 44.49 4.73 0.74% 26.02 UNA NA Equity 185 5,283 41.53 42.98 4.96 0.70% 42.25 UNH US Equity 2,138 10,191 64.28 77.77 30.02 0.70% 130.82 UNP US Equity 1,884 12,014 165.36 191.30 23.81 0.66% 185.22 UPS US Equity 3,937 14,806 79.87 101.11 44.00 0.60% 291.73 USB US Equity 2,364 14,238 34.71 40.48 32.09 0.52% 84.30 UTX US Equity 6,749 15,190 82.05 118.50 62.17 0.71% 325.88 V US Equity 300 5,407 200.68 211.81 5.34 1.04% 57.86 VALE US Equity 284 (3,330) 14.92 13.65 5.17 1.65% (102.50) VALE3 BZ Equity 340 (3,674) 15.07 13.67 5.48 1.69% (124.48) VIAB US Equity 3,686 9,272 60.42 84.43 45.70 0.87% 179.80 VIV FP Equity (2) 2,668 26.19 26.17 A.11 0.74% 10.79 VMW US Equity 301 4,785 89.16 94.78 3.94 1.60% 94.57 VOD LN Equity 65 (4,476) 3.85 3.79 1.62 0.90% 22.62 VOD US Equity 62 (4,322) 38.42 37.86 1.53 0.94% 11.69 VOW3 GR Equity 44 3,208 259.69 263.26 1.44 0.96% 7.48 VRX CN Equity 636 1,611 92.95 129.62 24.83 1.59% (11.31) VRX US Equity 732 1,880 93.20 129.51 24.21 1.61% (13.88) VTI US Equity 660 5,134 86.91 98.08 24.26 0.53% 72.66 VWO US Equity • 1,129 41.90 41.90 0.00 0.72% 13.89 VZ US Equity 18 (4,869) 48.44 48.26 0.65 0.57% 22.45 WBC AU Equity 691 11,844 30.87 32.67 8.40 0.69% 3.61 WES AU Equity 353 13,490 39.08 40.10 3.74 0.70% 26.32 WFC US Equity 3,289 12,761 39.49 49.67 53.97 0.48% 200.84 WLP US Equity 4,476 10,369 74.31 106.39 41.76 1.03% 350.29 WMT US Equity 327 9,262 76.31 79.00 8.04 0.44% (1.20) WOW AU Equity 1 1,890 34.30 34.33 0.07 0.92% (1.01) XOM US Equity 1,690 15,723 92.14 102.04 23.66 0.45% 48.32 XTA LN Equity #N/A N/A YHOO US Equity (22) 488 35.91 34.33 •2.53 1.82% 7.71 YUM US Equity 221 7,151 73.86 76.14 4.29 0.72% 12.62 ZURN VX Equity (106) 7,208 293.71 289.44 •2.27 0.65% 5.54 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 18,863 62,272 1,455.70 1,896.65 54.09 0.56% 784.79 NDX Index 10,310 37,348 2,831.19 3,612.73 30.63 0.90% 764.37 RTY Index 1,171 5,950 947.28 1,133.65 20.61 0.95% 169.98 EFTA00288781 SPTSX Index 1,352 33,065 12,929.76 13,458.48 9.28 0.44% MEXBOL Index (526) (15,687) 3,142.45 3,247.82 •4.92 0.68% IBOV Index 305 9,415 23,590.66 24,355.83 2.97 1.09% MERVAL Index (2) 4,311 854.91 854.54 0.04 1.14% UKK Index 4,938 43,063 10,369.13 11,558.22 21.62 0.53% DAX Index 9,460 36,674 10,610.77 13,347.67 35.17 0.73% CAC Index 1,992 24,884 5,723.77 6,181.91 13.86 0.58% IBEX Index 10,230 41,170 11,643.70 14,537.02 33.65 0.74% SMI Index 7,547 48,298 8,324.23 9,625.05 37.06 0.42% FTSEMIB Index 7,049 25,266 23,118.94 29,568.84 25.64 1.09% P5120 Index 6,409 24,476 8,041.34 10,147.05 27.00 0.97% ISEQ Index 23,510 40,099 4,246.25 6,735.87 70.94 0.83% ICEXI Index 4,139 37,337 6.63 7.36 19.92 0.56% AEX Index 6,227 44,526 487.32 555.48 27.76 0.50% BEL20 Index 9,060 46,481 3,642.19 4,352.10 39.20 0.50% LUXXX Index 11,321 41,632 1,672.08 2,126.79 47.50 0.57% KFX Index 11,457 39,508 101.67 131.15 39.94 0.73% HEX Index 8,490 41,358 8,528.98 10,279.90 30.29 0.68% OMX Index 1,972 23,118 191.41 207.74 11.18 0.76% ATX Index 42 7,381 3,409.58 3,429.18 0.71 0.81% ME Index 2,892 11,622 1,282.88 1,602.13 18.09 1.38% OSEBX Index 4,501 26,592 86.02 100.58 24.41 0.69% INDEXCF Index 302 (26,589) 39.64 39.19 0.75 1.51% TOP40 index 2,415 33,820 3,975.21 4,259.05 9.10 0.78% SENSEX Index 3,002 36,412 365.13 395.23 11.50 0.72% NKY Index (88) 5,095 140.94 138.56 -1.86 0.92% HSI Index (430) 29,992 2,912.99 2,871.80 -1.90 0.76% SHCOMP Index 1,858 (41,560) 344.53 329.13 6.61 0.68% KOSPI Index 1,153 30,952 1.85 1.92 7.22 0.52% AS51 Index 1,095 28,806 4,915.15 5,101.92 6.41 0.59% STBCNZL Index 35,975 73,207 444.47 662.89 98.34 0.50% EEM US Equity (64) (2,912) 41.41 42.32 -3.51 0.62% IYR US Equity 200 9,689 69.78 71.22 5.04 0.41% MDY US Equity 5,133 14,269 184.03 250.23 52.67 0.68% JNK US Equity 18 8,156 41.27 41.36 1.53 0.14% XLF US Equity 5,748 13,610 15.57 22.15 67.76 0.62% XLU US Equity 686 10,859 39.38 41.87 9.33 0.68% XLK US Equity 2,514 12,860 30.80 36.82 26.13 0.75% XLI US Equity 6,594 16,147 38.20 53.80 65.10 0.63% XLP US Equity 707 12,093 42.09 44.55 16.26 0.36% XLY US Equity 1,291 5,441 52.24 64.64 29.44 0.81% XLE US Equity 813 9,734 87.06 94.33 13.32 0.63% XLB US Equity 4,286 14,930 37.57 48.36 41.97 0.68% XLV US Equity 12,241 24,346 38.87 58.41 64.18 0.78% SXXP Index 7,433 45,756 403.51 469.06 31.84 0.51% SXAP Index 9,443 28,526 520.28 692.51 32.17 1.03% SXKP Index 5,725 37,626 366.14 421.84 22.97 0.66% 311.75 (166.89) 178.82 (4.22) 324.92 579.25 96.31 387.35 152.11 154.09 291.78 240.01 (267.26) 229.90 343.44 327.40 635.39 357.65 151.85 30.68 (331.20) 268.05 379.06 1,140.63 (32.32) • 538.59 (837.08) 164.67 (39.20) 226.12 (47.90) 20.87 291.19 13.86 194.20 (106.55) 207.36 338.89 11.50 84.37 74.31 245.49 373.33 376.32 187.50 74.74 EFTA00288782 SX6P Index 7,176 38,499 359.08 426.01 38.06 0.49% 277.14 SXEP Index 4,993 51,146 456.85 501.46 17.43 0.56% 154.99 SXIP Index 11,923 28,923 222.31 313.95 64.09 0.64% 240.08 SXNP Index 5,257 28,384 482.69 572.08 28.65 0.65% 446.75 SX3P Index 1,548 29,704 677.44 712.75 14.25 0.37% 209.66 SXDP Index 26,811 61,074 609.16 876.57 86.30 0.51% 102.70 SX4P Index 4,170 25,840 917.36 1,065.40 25.35 0.64% 375.26 SX8P Index 1,603 14,222 343.07 381.73 13.54 0.83% 327.75 SXOP Index 11,981 43,418 386.09 492.62 36.65 0.75% 716.83 SXQP Index 1,170 34,762 799.27 826.18 7.05 0.48% 229.21 SXRP Index 12 16,765 432.46 432.77 0.14 0.49% 58.72 SXMP Index 6,696 22,890 261.12 337.50 48.50 0.60% 107.99 SXTP Index 23,394 39,247 172.05 274.60 71.94 0.83% 616.58 SX7E Index 5,869 18,886 159.85 209.52 27.38 1.14% 122.35 SXSE Index 7,602 40,565 3,715.50 4,411.83 29.86 0.63% 342.59 SPGSCITR Index (11) (19,232) 4,989.44 4,992.23 A.12 0.46% (57.77) XAG Curncy 1,592 (19,550) 21.28 19.54 11.47 0.71% (411.17) CO1 Comdty 111 (24,622) 108.90 108.41 0.62 0.72% (119.21) CL1 Comdty 370 30,849 99.40 100.59 1.92 0.62% 187.33 NG1 Comdty 2,792 18,950 3.86 4.43 10.83 1.36% (465.44) XAU Comdty (91) (29,659) 90.35 90.63 A.58 0.53% (413.52) IBOXHY Index 3,514 53,418 220.12 234.60 132.28 0.05% 51.66 US_TSY CREDIT 64 57,396 763.21 764.06 1.10 0.10% (69.10) CA_TSY CREDIT (86) 53,521 1,212.39 1,210.44 -0.78 0.21% (63.49) MX_TSY CREDIT 21. 35,390 219.65 219.78 0.16 0.37% 83.98 AU TSY CREDIT 1,115 68,895 1,502.12 1,526.43 6.30 0.26% 59.68 JP_TSY CREDIT 136 (19,742) 819.02 813.38 2.77 0.25% 87.83 MY_TSY CREDIT (38) 23,334 169.58 169.30 -0.68 0.24% (80.90) SG_TSY CREDIT 265 57,396 221.20 222.22 2.17 0.21% (134.61) AT_TSY CREDIT 3,937 81,569 358.40 375.70 17.62 0.27% (79.58) BE_TSY CREDIT 5,242 79,771 477.76 509.15 24.29 0.27% (130.04) FI_TSY CREDIT 3,595 85,645 349.64 364.32 16.77 0.25% (85.65) FR_TSY CREDIT 4,503 82,246 1,684.51 1,776.74 20.94 0.26% (101.92) DE_TSY CREDIT 2,933 84,524 1,247.55 1,290.85 13.11 0.26% (44.02) IE_TSY CREDIT 33,019 78,270 336.92 479.06 183.78 0.23% (51.08) IT_TSY CREDIT 9,289 54,986 1,616.07 1,889.08 68.32 0.25% (86.31) NL_TSY CREDIT 3,703 82,865 1,330.92 1,390.40 17.00 0.26% (74.03) ES_TSY CREDIT 11,446 50,187 392.28 481.75 94.29 0.24% (74.11) DK_TSY CREDIT 2,979 67,396 729.23 761.46 14.13 0.31% (62.79) NO_TSY CREDIT (95) 50,177 349.03 348.37 A.68 0.28% (48.83) PL_TSY CREDIT 1,392 35,151 429.04 446.03 15.74 0.25% (31.92) ZA_TSY CREDIT 32 16,433 86.08 86.25 0.29 0.66% (26.68) SE_TSY CREDIT (245) (55,416) 464.03 466.09 -1.36 0.33% 5.92 CH_TSY CREDIT 3,443 69,857 1,008.81 1,058.53 17.63 0.28% (104.41) GB_TSY CREDIT 1,772 89,647 1,507.67 1,537.47 8.06 0.25% (111.06) EFTA00288783