EFTA00288784.pdf

Atorus, LLC 5/13/2014 Current Date: 5/13/2014 Change on Day: Total Return since 1/1/12: 86.94% MSCI World Change on 712M Return: 27.22% Day 0.18% T9O Day Return: 6.86% No of Positions T3O Day Return: 6.33% (+MTM) on Day 243 Current Long Exposure @ Cost: 5,369,727 No of Positions (-MTM) Current Short Exposure @ Cost: (423,459) on Day 198 Net Exposure: 4,946,267 Current No. of Starting Capital: 1,000,000 Positions: 442 Current NAV: 1,869,373 Current Leverage (Gross Exposures): 3.10 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 2,000,000.00 1,800,000.00 1600,000.00 1,400,000.00 1,200,000.00 1000,000.00 800.000.00 600 000 00 sci• 441. / 1. 4.4, 4rb ()) O 4.4, 4 4 4 4 NIk 1\1ci9 c5' 6) IP 15' c5' c5) ci5) c5' c5> ci5) c5) 15' 0, 4P 4 # 4 se —Series]. EFTA00288784 Atorus, LLC 5/13/2014 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 24 Positions 20.17% KMI US Equity (6,775) 0.12% TGT 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 0.299% Listed Equity Short -0.063% EquityCom Long -0.070% EquityCom Short -0.031% G20 Rates Long -0.022% G20 Rates Short -0.007% Security MTM Gain % Total NAV 45 Positions 26.01% 1N1 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% WM 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% EFTA00288785 ISEQ Index 22,816 1.22% SXTP Index 22,972 1.23% SXDP Index 26,793 1.43% IE_TSY CREDIT 32,719 1.75% STBCNZL Index 36,718 1.96% APAC Lon 28 APAC Short 20 EMEA Long 70 EMEA Short 18 AMER Long 178 AMER Short 33 E • ultyCom Lon 64 EquityCom Short 8 G20 Rates Lon 21 G20 Rates Short 2 Total Long 361 Total Short 81 Current Exposure by Geography (Listed Equl les) & Macro (Eq ity Indices & Commodiites, G20 Gov. Credit) $2,000,000 $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 EFTA00288786 Atorus, LLC 5/13/2014 Historical Net Exposure by Geography (Listed Equities) & Maao (Equity Indices & Commodites, G20 Gov. Credit) 4) 3) e e ,p, Q. ,(s• \ .0 .0 l°0 40 i° ,iP lP i? dit,11,(0' \ \ \ \ \ \ - \„- \," \ c>? % li I, Historical Gross Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodlites, G20 Gov. Credit) 1~1c le le cle le le O S> cif 199 clO> 199 c P' e ce 4" 1P1 IN 1 frk EFTA00288787 Atorus, LIC 5/13/2014 Current Gross Notional Risk by Category 244,119 Ai y fr 6;0,066 1,401,7S_ , • 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 scsv,t9ec9ecove:„.e.cvse,:eteces)://4*c,sto%N Series' —Series2 Rolling 30 Day Realized Volatility - EFTA00288788 Atorus, LLC 5/13/2014 Percentile Distribution of Current MTM Gains in Vol Days by Position (ex-99pct & ex-lst percentiles) 50.00 50.00 4000 30.00 2000 10.00 OM (.). ..• ' 5» 4. . 4 4 . e»• .3. . 0»• IX Percentile No. Vol Da 0.00% -16.18 5.00% -3.36 10.00% -1.07 15.00% -0.34 20.00% 0.45 25.00% 1.36 30.00% 2.49 35.00% 3.70 40.00% 4.91 45.00% 5.78 50.00% 7.47 55.00% 10.14 60.00% 12.70 65.00% 15.75 70.00% 19.36 75.00% 24.64 80.00% 28.91 85.00% 33.96 90.00% 43.08 95.00% 60.49 100.00% 182.12 MTM Gains(Losses) % of NAV "Signficant" (<7 Vol Days) 1.16% MTM Gains(Losses) % of NAV "Signficant" (>7 Vol Days) 44.61% EFTA00288789 Atorus, LLC Current Portfolio •Listed Equity Portfolio Current Price P/L in Vol 30P Realized Change on Day Security MTM Gain/(Loss) Exp. @ Cost Avg. Price (in USD) Days Vol (in USD) 000270 KS Equity (11) (2,475) 55.84 56.08 -0.45 0.96% (36.23) 005380 KS Equity 36 3,149 224.39 226.92 1.12 1.00% 59.84 005490 KS Equity (249) (2,258) 272.57 302.60 -10.48 1.05% (21.65) 005930 KS Equity (72) (1,176) 1,296.86 1,376.34 -6.83 0.90% (30.82) 012330 KS Equity 808 5,584 247.00 282.74 15.45 0.94% 93.03 1 HK Equity 657 12,607 16.18 17.02 5.35 0.97% 190.88 1299 HK Equity 188 5,954 4.79 4.94 3.13 1.01% 59.63 13 HK Equity 588 4,897 11.40 12.77 13.27 0.90% 20.04 16 HK Equity 12.74 27 HK Equity (11) (1,841) 7.60 7.65 -0.27 2.13% (13.18) 2914 JP Equity - 950 33.71 33.71 0.00 0.89% 10.52 3382 JP Equity 60 2,327 38.42 39.42 3.47 0.75% 14.54 4063 JP Equity (14) 1,261 59.48 58.81 -1.06 1.07% 22.03 4502 JP Equity (17) 3,925 44.99 44.80 -0.52 0.81% 7.80 4689 JP Equity 96 (1,855) 4.51 4.27 2.56 2.01% 10.98 5 HK Equity (17) (4,127) 10.15 10.19 -0.72 0.59% (14.40) 5108 JP Equity (177) 3,466 35.93 34.18 -5.07 1.01% (75.00) 5401 JP Equity 213 (5,599) 2.81 2.71 3.58 1.06% (55.53) 6301 JP Equity 6 1,264 21.90 22.02 0.49 1.04% 34.39 6752 JP Equity 10.58 - 6902 JP Equity 42.69 6954 JP Equity 450 6,629 6,392.98 169.10 7.04 0.96% 94.58 7201 JP Equity (26) (2,999) (3,742.97) 8.93 -0.91 0.93% (133.62) 7203 JP Equity 84 (4,207) (5,259.85) 54.97 2.41 0.83% (64.30) 7267 JP Equity 258 (4,675) (4,885.01) 3338 4.69 1.18% (118.56) 762 HK Equity (6) 1,286 (5,161.69) 1.58 -0.28 1.62% (9.70) 7751 JP Equity (29) (1,098) (6,865.02) 32.26 -3.67 0.71% (4.38) 8031 JP Equity (280) (3,821) (4,775.88) 15.13 -8.53 0.86% (34.60) 8058 JP Equity 32 3,225 (4,383.01) 19.31 1.09 0.90% 20.88 8306 JP Equity (6) (3,668) (4,603.66) 5.64 -0.13 1.30% (65.32) 8316 JP Equity 5 (1,984) (2,000.57) 41.05 0.20 1.24% (25.21) 8411 JP Equity 8 4,324 1.97 0.29 0.61% 21.83 8604 JP Equity 241 (3,335) (3,504.39) 6.00 5.35 1.35% (61.14) 8801 JP Equity 143 2,660 30.48 32.11 3.99 1.35% 128.35 8802 JP Equity 99 (4,920) 24.34 23.85 1.49 1.36% (91.77) 9020 JP Equity (1) (5,379) 75.21 75.23 -0.03 0.90% (65.54) 941 HK Equity 485 (9,455) 10.19 9.67 5.20 0.99% 4.93 9432 JP Equity 388 6,077 53.19 56.58 7.20 0.89% 26.54 9433 JP Equity 82 3,581 55.66 56.93 1.91 1.20% 81.17 9437 JP Equity (262) (6,149) 15.59 16.26 -5.01 0.85% (53.17) 9983 JP Equity 55 (3,406) 323.49 318.23 1.14 1.42% (106.71) 5/13/2014 EFTA00288790 9984 JP Equity (25) 435 75.35 71.31 -3.37 1.68% 5.91 AAPL US Equity 909 7,342 527.64 592.97 13.44 0.92% 25.12 ABB US Equity 23.62 - ABBN VX Equity (39) (2,982) 23.43 23.73 -1.47 0.88% (0.91) ABBV US Equity 131 3,330 50.23 52.21 2.81 1.40% (11.24) ABEV US Equity (52) (3,165) 7.37 7.49 -1.64 1.00% (7.00) ABEV3 BZ Equity (49) (2,405) 7.40 7.55 -1.88 1.09% (15.29) ABI BB Equity 540 8,888 103.14 109.41 7.75 0.78% (34.08) ABT US Equity 82 4,097 38.87 39.64 2.99 0.67% 46.55 ABX CN Equity 289 (3,761) 18.78 17.34 6.81 1.13% 12.71 ABX US Equity 280 (3,812) 18.71 17.34 6.54 1.12% 14.21 ACA FP Equity 7,489 5,408 6.83 16.30 120.62 1.15% (77.86) ACE US Equity 606 10,287 97.54 103.28 16.58 0.36% 29.50 ACN US Equity 193 8,563 77.97 79.72 3.80 0.59% 54.61 ADP US Equity 169 5,027 76.36 78.92 5.26 0.64% 3.64 AFL US Equity 56 4,556 62.88 63.65 1.72 0.71% 32.43 AGN US Equity 4,479 9,698 110.56 161.62 24.37 1.89% 176.31 Al FP Equity 631 12,073 137.39 144.57 9.28 0.56% (49.44) AIG US Equity 537 7,022 49.93 53.75 8.53 0.90% 76.71 AIR FP Equity (181) (2,978) 67.47 71.57 -5.64 1.08% (159.90) ALV GR Equity (87) 8,815 169.19 167.54 -1.33 0.74% 2.14 ALVG IX Equity (45) 7,162 168.61 167.55 -0.87 0.72% 5.24 AMGN US Equity 38 (3,302) 112.50 111.20 1.07 1.07% 19.74 AMT US Equity 1,765 11,811 77.02 88.53 25.02 0.60% 31.34 AMZN US Equity 25 (2,898) 306.51 303.88 0.44 1.97% (37.93) ANZ AU Equity 425 12,947 29.78 30.75 4.34 0.76% 63.96 APA US Equity 152 4,994 87.41 90.07 3.71 0.82% 21.82 APC US Equity 86 2,501 97.78 101.13 2.50 1.37% (6.04) AXP US Equity 2,582 10,373 71.56 89.37 28.77 0.87% (44.59) AZN LN Equity 7,308 12,676 49.80 78.51 33.77 1.71% 176.46 AZN SS Equity 6,657 12,119 50.82 78.73 31.89 1.72% 219.82 AZN US Equity 7,177 12,812 50.30 78.48 34.00 1.65% 150.96 BA US Equity 344 8,072 128.04 133.50 5.12 0.83% 60.59 BAC US Equity (12) (3,184) 14.98 15.03 -0.35 1.08% (11.26) BARC LN Equity 216 5,219 4.11 4.28 2.97 1.40% (57.68) BAS GR Equity 1,322 7,333 97.30 114.84 19.31 0.93% 27.29 BATS LN Equity 576 7,532 53.98 58.10 10.36 0.74% (44.42) BAX US Equity 133 4,842 73.52 75.54 5.16 0.53% 11.80 BAYN GR Equity 327 7,767 135.04 140.72 4.63 0.91% 8.71 BBAS3 BZ Equity (8) 884 10.89 10.79 -0.55 1.74% 5.65 BBD US Equity 273 4,012 14.70 15.70 4.78 1.42% 4.29 BBDC4 BZ Equity 266 3,436 14.58 15.71 5.36 1.45% 8.83 BBL US Equity (17) (331) 62.89 66.08 -5.57 0.91% (1.70) BBVA SM Equity 1,251 5,891 10.15 12.30 26.38 0.81% (20.61) BCE CN Equity 134 5,498 44.37 45.46 6.06 0.40% 25.12 BCS US Equity 227 5,457 16.46 17.15 3.05 1.36% (41.82) BEN US Equity 149 2,447 52.49 55.68 5.67 1.07% 16.60 EFTA00288791 BG/ IN Equity (633) (4,735) 18.76 21.27 .14.35 0.93% 8.49 BHP AU Equity 296 8,431 34.33 35.53 4.33 0.81% 219.43 BHP US Equity 363 6,839 67.77 71.37 5.62 0.94% 60.90 BBB US Equity 225 1,066 245.93 297.79 12.61 1.67% 1.58 BIL Si Equity (8) (469) 32.63 33.22 .2.33 0.77% (6.65) BK US Equity 517 8,609 32.86 34.84 7.40 0.81% 45.50 BLK US Equity 87 3,418 296.18 303.68 2.95 0.86% (14.08) BLT IN Equity (40) (1,279) 32.17 33.17 4.91 0.80% (15.87) BMO CN Equity 522 13,003 66.63 69.30 9.66 0.42% 14.01 BMW GR Equity 1,221 5,212 99.22 122.46 31.02 0.76% 32.50 BMY US Equity 186 3,908 49.86 52.24 4.49 1.06% 18.69 BN FP Equity (15) (566) 71.77 73.73 .3.89 0.70% (9.83) BNP FP Equity 25 (2,667) 73.12 72.43 0.99 0.95% 24.49 BNS CN Equity 548 10,804 58.36 61.31 11.58 0.44% (4.89) BP/ LN Equity 824 9,797 7.76 8.42 11.37 0.74% (67.35) BRK/B US Equity 830 14,233 120.53 127.56 11.79 0.49% 38.94 BSBR US Equity 26 2,143 6.67 6.75 0.89 1.38% 7.19 BUD US Equity 532 9,049 103.62 109.72 8.27 0.71% (14.51) BX US Equity (24) (1,532) 29.10 29.56 M.86 1.83% (23.19) C US Equity (10) 3,768 47.52 47.39 M.34 0.78% 10.28 CA FP Equity 251 3,932 34.37 36.56 6.24 1.02% (30.49) CAT US Equity 2,661 14,645 90.43 106.86 27.48 0.66% 113.88 CBA AU Equity 1,222 15,737 69.34 74.73 14.63 0.53% 86.56 CBS US Equity 21 (2,800) 57.39 56.95 0.64 1.19% 17.75 CCL US Equity 557 6,257 36.20 39.43 10.76 0.83% (53.41) CELG US Equity 67 2,632 147.09 150.85 1.72 1.48% 26.93 CFR VX Equity 80 7,019 96.74 97.84 1.77 0.64% (71.53) CL US Equity 2,618 20,847 59.70 67.20 26.65 0.47% (9.60) CM CN Equity 699 11,908 84.09 89.02 14.11 0.42% 3.40 CMCSA US Equity 22 4,527 50.01 50.24 0.54 0.89% (47.22) CMCSK US Equity 4,463 12,096 36.26 49.64 44.93 0.82% (164.37) CNI US Equity 2,052 12,873 51.38 59.56 25.09 0.64% 6.57 CNQ CN Equity 1,059 10,769 36.73 40.35 11.70 0.84% 94.92 CNR CN Equity 2,014 12,610 51.40 59.61 25.32 0.63% 12.45 COF US Equity 895 7,124 68.86 77.51 20.69 0.61% (8.95) COP US Equity 242 4,959 74.90 78.56 6.61 0.74% 28.64 COST US Equity 190 9,550 114.02 116.29 3.70 0.54% (9.87) COV LN Equity Ma N/A COV US Equity 894 7,080 64.09 72.18 18.80 0.67% (7.11) CRM US Equity (10) (960) 52.22 52.74 M.49 2.02% 2.93 CS FP Equity (4) (1,632) 24.10 24.15 M.24 0.97% (15.26) CSCO US Equity (2) (1,388) 22.86 22.90 M.23 0.68% 17.58 CSX US Equity 1,557 9,051 25.13 29.45 25.57 0.67% 152.38 CVE CN Equity 28.94 .. CVS US Equity 2,335 12,136 64.26 76.62 32.68 0.59% (48.60) CVX US Equity 11 5,738 125.37 125.62 0.35 0.57% 27.93 D US Equity 1,943 13,256 60.80 69.71 24.90 0.59% 42.07 EFTA00288792 DAI GR Equity 6,431 13,908 62.20 90.97 41.88 1.10% 290.72 DBK GR Equity (10) (1,240) 42.53 42.86 -0.77 1.01% (8.12) DD US Equity 3,001 13,266 55.21 67.71 41.78 0.54% (111.32) DDAIF US Equity 3,686 8,377 63.20 91.02 36.15 1.22% 147.71 DE US Equity 773 10,094 86.88 93.53 14.61 0.52% (36.21) DELL US Equity #WA N/A DG FP Equity 4,501 10,090 51.66 74.70 67.51 0.66% (100.66) DGE LN Equity 47 2,332 30.86 31.48 2.36 0.85% 11.54 DHR US Equity 116 5,021 73.91 75.61 3.26 0.71% 48.89 DIS US Equity 2,001 10,085 68.57 82.17 24.05 0.83% (54.30) DISCA US Equity 259 (5,746) 76.47 73.03 4.36 1.03% 43.69 DNB NO Equity 311 4,148 17.01 18.29 6.92 1.08% 7.50 DOW US Equity 2,575 7,396 37.11 50.04 35.64 0.98% 20.59 DPW GR Equity 190 660 29.41 37.87 25.63 1.12% 5.19 DTE GR Equity 1,224 6,712 14.87 17.59 20.39 0.89% 60.43 DTV US Equity 4,394 10,622 61.97 87.61 35.77 1.16% 62.42 DUK US Equity (40) 2,037 73.20 71.80 -4.09 0.48% 0.01 DVN US Equity 1,580 11,143 63.30 72.28 15.83 0.90% 240.69 EBAY US Equity (48) (3,055) 50.75 51.55 •1.45 1.09% (30.09) Ea US Equity 55 9,210 105.22 105.84 0.99 0.60% 39.31 EDF FP Equity 6,113 9,189 23.45 39.04 72.33 0.92% (1.37) EMC US Equity 118 10,986 25.35 25.63 1.43 0.75% 17.97 EMR US Equity 207 8,739 66.80 68.38 3.57 0.66% 33.24 EMI CN Equity 549 12,231 45.61 47.65 8.61 0.52% (103.56) ENEL IM Equity 2,543 8,902 4.48 5.76 36.18 0.79% (92.77) ENI IM Equity 816 11,929 24.33 25.99 11.79 0.58% (54.39) EOAN GR Equity (64) 2,996 18.76 18.37 -2.64 0.81% (40.16) EOG US Equity 2,580 5,841 72.84 105.02 36.71 1.20% 145.97 EPD US Equity 1,905 13,127 63.70 72.94 19.77 0.73% (43.01) ERICB SS Equity (70) 7,934 12.51 12.40 -0.82 1.07% 115.45 ESRX US Equity (54) (2,394) 67.05 68.58 -2.43 0.94% (3.39) ETN US Equity 74 5,260 72.48 73.50 1.50 0.93% 35.95 F US Equity (199) (2,897) 14.82 15.83 -7.59 0.90% 2.20 F8 US Equity 958 2,630 44.06 60.10 15.63 2.33% 61.30 FCX US Equity 342 5,057 33.25 35.50 7.13 0.95% 99.97 FDX US Equity 311 2,865 126.61 140.35 16.26 0.67% 13.15 FOX US Equity 232 4,560 32.53 34.18 3.92 1.30% (34.17) FOXA US Equity 201 3,721 33.22 35.02 4.03 1.34% (24.32) FP FP Equity 1,961 14,528 62.63 71.09 19.38 0.70% (183.49) G IM Equity 171 5,607 21.99 22.67 4.33 0.71% (56.72) GE US Equity 2,685 13,140 22.32 26.88 38.97 0.52% 86.14 GILD US Equity 156 4,205 77.50 80.38 2.42 1.54% 9.24 GIS US Equity 1,737 21,315 50.27 54.37 17.92 0.45% 38.65 GLE FP Equity 711 3,248 49.51 60.35 19.03 1.15% (39.12) GLEN LN Equity (204) (2,770) 5.22 5.61 -11.99 0.61% (22.29) GLW US Equity 3,695 11,635 16.25 21.41 38.37 0.83% 86.32 GM US Equity 23 4,771 34.81 34.97 0.49 0.96% 26.45 EFTA00288793 GOOG US Equity (33) (1,463) 521.13 532.87 -1.56 1.44% (17.25) GS US Equity 160.27 - GSK LN Equity 264 5,707 26.22 27.43 5.30 0.87% 36.02 GSZ FP Equity 623 11,150 25.29 26.70 6.95 0.80% (30.52) HAL US Equity 1,916 7,135 50.67 64.28 27.67 0.97% 50.36 HD US Equity 385 7,619 73.80 77.52 6.33 0.80% (69.84) HMB SS Equity (12) (2,058) 41.29 41.52 .0.87 0.65% (19.69) HON US Equity 6,498 11,930 61.10 94.38 92.64 0.59% 39.55 HPO. US Equity 2,235 7,393 25.45 33.15 29.38 1.03% 116.81 HSBA LN Equity 26 4,569 10.19 10.25 0.96 0.60% 14.26 IBE SM Equity 2,077 7,531 5.56 7.09 44.00 0.63% (62.83) IBM US Equity (19) (4,032) 191.43 192.33 -0.62 0.76% 1.53 IMT LN Equity 2,801 13,136 36.73 44.56 30.55 0.70% 79.00 INTC US Equity 1,122 12,041 24.19 26.45 16.59 0.56% 21.29 ISP IM Equity 3,849 5,699 1.93 3.23 52.89 1.28% (200.66) ITUB US Equity 342 5,439 15.83 16.83 5.01 1.25% 2.44 ITUB4 BZ Equity 321 4,601 15.79 16.89 5.37 1.30% 10.16 ITW US Equity 3,974 14,011 67.84 87.08 43.16 0.66% (21.72) ITX SM Equity (26) (3,652) 146.45 147.49 -1.28 0.55% 13.28 JO US Equity (8) (1,133) 44.93 45.23 -0.52 1.30% 1.07 JNJ US Equity 5,878 17,142 75.17 100.95 73.63 0.47% 83.65 JPM US Equity (13) (1,599) 54.23 54.68 -1.02 0.81% (5.27) KMB US Equity 321 9,903 107.52 111.01 5.86 0.55% 49.56 KMI US Equity 282 (6,775) 33.81 32.40 5.60 0.74% (16.81) KO US Equity 42 5,506 40.80 41.11 1.41 0.54% 40.12 LBTYA US Equity 62 3,592 43.18 43.93 1.64 1.06% 37.48 LBTYK US Equity 49 3,530 41.31 41.88 1.35 1.02% 33.96 LIN GR Equity 319 8,087 198.03 205.84 6.29 0.63% 63.52 LLOY LN Equity 329 2,488 1.14 1.29 10.82 1.22% (10.00) LLY US Equity 74 4,953 59.03 59.90 2.12 0.70% 41.51 LMT US Equity 741 2,016 122.48 167.48 48.30 0.76% 12.85 LNKD US Equity 468 (2,461) 183.83 148.86 7.23 2.63% 46.81 LOW US Equity (35) 717 48.07 45.85 .4.79 1.01% (6.31) LVS US Equity 783 3,268 61.33 76.03 13.29 1.80% (14.20) LYB US Equity 1,439 2,297 59.29 96.42 78.84 0.79% 5.41 MA US Equity 45 3,476 73.94 74.90 0.99 1.31% 0.74 MAERSKB DC Equity 6,614 14,148 1,642.52 2,410.40 46.86 1.00% 34.36 MC FP Equity 299 5,711 186.24 195.98 7.58 0.69% (18.75) MCD US Equity 242 9,603 100.64 103.18 5.77 0.44% 24.45 MCK US Equity 196 2,181 164.92 179.71 10.18 0.88% 83.09 MDIZ US Equity 4,382 13,641 28.68 37.90 42.35 0.76% 138.02 MDT US Equity 8,430 20,811 43.22 60.73 59.19 0.68% (93.16) MET US Equity 1,291 7,556 44.37 51.95 16.23 1.05% 7.77 MFC CN Equity 1,656 3,201 12.38 18.78 60.56 0.85% 8.94 MHS US Equity KWA WA MMM US Equity 10,094 21,331 96.89 142.75 79.35 0.60% 19.30 MO US Equity 1,146 12,469 37.10 40.51 20.84 0.44% 48.67 EFTA00288794 MON US Equity 1,211 11,917 106.02 116.79 12.31 0.83% 86.06 MOS US Equity 49.25 - MRK US Equity 1,315 11,769 50.18 55.79 12.47 0.90% 139.51 MS US Equity 1 2,280 30.40 30.42 0.04 1.36% 13.41 MSFT US Equity 1,142 8,007 35.30 40.34 17.88 0.80% 93.93 MUV2 GR Equity 542 6,116 197.70 215.22 10.59 0.84% (11.49) NAB AU Equity 329 13,313 31.52 32.30 3.64 0.68% 67.49 NCM AU Equity 9.68 NEE US Equity 4,731 14,972 73.03 96.10 46.06 0.69% (5.43) NEM US Equity 443 (1,819) 32.73 24.76 15.22 1.60% (21.24) NESN VX Equity 1,207 10,957 70.38 78.13 20.48 0.54% (9.40) NG/ LN Equity 2,599 13,258 11.96 14.31 38.11 0.51% (89.80) NKE US Equity 293 2,940 68.03 74.80 12.54 0.79% 20.86 NOK US Equity 3,906 4,498 3.96 7.41 55.61 1.56% 15.12 NOV US Equity 442 9,753 77.58 81.09 5.78 0.78% 89.07 NOVN VX Equity 7,080 18,291 63.81 88.50 49.70 0.78% (50.38) NOVOB DC Equity 753 9,444 40.35 43.56 8.25 0.97% (18.60) NSC US Equity 2,049 10,109 81.19 97.65 29.80 0.68% 129.44 NVS US Equity 5,577 16,173 65.78 88.47 57.48 0.60% (26.27) OGXP3 BZ Equity 4,032 (4,107) 4.39 0.08 52.60 1.87% 100.23 OR FP Equity 300 8,826 167.38 173.07 4.88 0.70% (69.30) ORA FP Equity 1,813 7,941 13.61 16.71 22.00 1.04% (5.25) ORCL US Equity 1,947 7,995 33.68 41.88 28.95 0.84% 12.91 OXY US Equity 190 7,355 95.04 97.49 3.82 0.68% 82.28 PBR US Equity 20 1,607 15.32 15.51 0.56 2.18% 24.46 PBR/A US Equity 22 1,851 16.20 16.40 0.54 2.20% 23.02 PCLN US Equity 214 2,336 1,065.36 1,163.02 5.45 1.68% 6.50 PCP US Equity (15) 4,727 255.28 254.48 -0.34 0.93% (20.46) PEP US Equity 543 11,895 83.40 87.21 10.65 0.43% 36.03 PETR3 BZ Equity 44 1,902 7.58 7.76 1.08 2.13% 28.71 PETR4 BZ Equity 18 1,792 8.11 8.19 0.45 2.30% 23.29 PFE US Equity (6) (1,386) 29.05 29.19 -0.43 1.05% (2.04) PG US Equity 337 11,013 79.25 81.67 6.55 0.47% (29.92) PHIA NA Equity 32.33 PM US Equity • 1,126 85.90 85.90 0.00 0.47% (4.31) PNC US Equity 997 9,010 76.60 85.08 14.46 0.77% (33.78) POT CN Equity 130 4,291 35.54 36.62 3.47 0.87% 43.84 POT US Equity 96 4,552 35.90 36.65 2.46 0.86% 51.10 PRU LN Equity 8,976 10,521 12.76 23.65 84.96 1.00% 350.80 PSA US Equity 753 13,406 162.12 171.22 13.21 0.43% (49.96) PSX US Equity 1,830 6,461 65.64 84.23 30.07 0.94% 66.93 PX US Equity 2,526 16,340 113.54 131.09 29.33 0.53% 5.72 QCOM US Equity 2,501 12,547 66.83 80.15 27.50 0.72% 39.15 MO US Equity 2,312 7,968 68.46 88.32 37.26 0.78% 46.91 RAI US Equity 842 10,690 53.26 57.46 10.69 0.74% (57.09) RDS/A US Equity 739 11,546 75.02 79.82 13.57 0.47% (9.57) RDS/B US Equity 1,181 11,427 78.85 87.00 19.21 0.54% 32.26 EFTA00288795 RDSA LN Equity 837 9,744 36.73 39.89 15.81 0.54% (9.38) RDSA NA Equity 609 11,195 37.76 39.81 10.09 0.54% (34.35) RDSB IN Equity 1,212 10,889 39.07 43.42 19.28 0.58% 24.99 REGN US Equity (354) 6,240 301.81 285.61 -2.86 1.98% (78.95) RIO AU Equity (50) 5,122 59.39 58.82 -1.07 0.92% 176.01 RIO LN Equity 117 4,819 54.83 56.16 2.70 0.90% 19.28 RIO US Equity 183 4,934 54.04 56.04 3.50 1.06% (36.78) ROG VX Equity 6,041 17,035 212.78 288.24 58.29 0.61% 38.22 RY CN Equity 243 10,411 65.86 67.39 5.30 0.44% (4.87) SAS LN Equity 980 10,479 49.09 53.68 11.87 0.79% (46.79) SAN FP Equity (84) 3,445 107.67 105.11 .3.07 0.79% (9.00) SAN SM Equity 1,460 8,738 8.57 10.01 22.55 0.74% 33.75 SAN US Equity 1,214 7,350 8.63 10.05 22.35 0.74% 40.39 SAP GR Equity (200) 4,193 80.42 76.76 .5.63 0.85% 8.45 SAP US Equity (228) 4,519 80.42 76.56 .5.93 0.85% (11.91) SBUX US Equity (19) (1,051) 69.81 71.08 .2.21 0.83% (2.19) SGO FP Equity 2,620 7,836 44.08 58.82 32.96 1.01% (21.00) SI US Equity 860 5,671 118.49 136.46 18.99 0.80% 57.70 SIE GR Equity 1,010 5,345 114.81 136.52 23.47 0.81% 73.31 SLB US Equity 1,662 8,679 84.17 100.29 34.71 0.55% (6.79) SMSN LI Equity (71) (1,300) 644.63 680.09 .5.82 0.95% (13.32) SO US Equity (221) 11,861 44.10 43.29 .2.86 0.65% (29.40) SPG US Equity 465 11,989 168.62 175.16 10.14 0.38% (65.43) SREN VX Equity 88.02 STAN LN Equity 14 (2,352) 22.09 21.95 0.66 0.92% (20.71) STL NO Equity 1,860 11,306 26.71 31.11 20.32 0.81% 16.36 STT US Equity 31 3,417 65.17 65.77 0.90 1.02% 5.51 SU CN Equity 747 9,935 36.68 39.44 7.79 0.96% 77.06 SU FP Equity 965 8,613 86.36 96.04 12.44 0.90% 13.45 SU US Equity 704 9,658 36.78 39.46 7.40 0.98% 84.30 SWEDA SS Equity • 944 25.76 25.76 0.00 0.89% 13.71 SYNN VX Equity (373) (4,132) 359.52 391.96 -16.18 0.56% (23.90) T US Equity 84 5,618 35.62 36.15 2.09 0.72% (53.56) TD CN Equity 515 10,892 45.74 47.91 10.14 0.47% (6.33) TEF SM Equity 109 7,580 16.07 16.30 1.68 0.86% 19.44 TEF US Equity 133 6,344 15.95 16.28 2.49 0.84% 22.56 TGT US Equity 566 (8,574) 63.57 59.37 7.66 0.86% 28.99 TJX US Equity 635 3,143 49.32 59.28 25.52 0.79% (28.06) TLS AU Equity 667 13,319 4.66 4.89 9.94 0.50% 45.89 TLSN SS Equity (281) (5,268) 7.02 7.39 .5.53 0.96% (18.82) TM US Equity 210 (5,442) 115.49 111.02 4.93 0.78% (105.77) TMO US Equity 8,723 10,218 63.59 117.87 96.49 0.88% (81.58) TOT US Equity 1,269 7,801 61.19 71.15 22.17 0.73% (81.23) TRP CN Equity (11) (1,163) 46.35 46.79 .1.59 0.61% (3.41) TRV US Equity 897 10,896 85.73 92.79 14.46 0.57% 64.06 TSCO LN Equity 699 (6,286) 5.60 4.97 10.40 1.07% (20.43) TWC US Equity 707 5,234 120.22 136.47 16.52 0.82% (92.26) EFTA00288796 TWX US Equity 291 7,427 66.94 69.56 4.41 0.89% 18.44 TXN US Equity 4,016 12,205 34.93 46.42 29.31 1.12% (159.30) TYC US Equity 11,520 24,080 29.17 43.12 58.56 0.82% 302.49 UBS US Equity 281 5,489 19.43 20.43 6.48 0.79% (15.07) UBSN VX Equity 239 5,158 19.51 20.41 5.33 0.87% (0.08) UCG IM Equity 2,943 5,500 5.62 8.63 44.30 1.21% (136.07) ULVR LN Equity 232 6,329 42.99 44.56 4.95 0.74% 10.26 UNA NA Equity 190 5,283 41.53 43.02 5.11 0.70% 5.56 UNH US Equity 2,178 10,191 64.28 78.02 30.59 0.70% 40.48 UNP US Equity 2,008 12,014 165.36 193.00 25.38 0.66% 124.88 UPS US Equity 4,174 14,806 79.87 102.39 46.65 0.60% 240.02 US8 US Equity 2,391 14,238 34.71 40.54 32.46 0.52% 26.79 UTX US Equity 6,829 15,190 82.05 118.94 62.91 0.71% 80.75 V US Equity 304 5,407 200.68 211.98 5.42 1.04% 4.48 VALE US Equity 183 (2,664) 14.92 13.90 4.17 1.65% (51.69) VALE3 BZ Equity 231 (2,939) 15.07 13.89 4.66 1.69% (48.70) VIAB US Equity 3,597 9,272 60.42 83.85 44.59 0.87% (88.80) VIV FP Equity (21) 2,668 26.19 25.98 -1.07 0.74% (18.73) VMW US Equity 279 4,785 89.16 94.36 3.65 1.60% (21.98) VOD LN Equity 134 (3,581) 3.85 3.71 4.13 0.90% 85.95 VOD US Equity 129 (3,458) 38.42 36.98 3.97 0.94% 83.34 VOW3 GR Equity 44 3,208 259.69 263.25 1.43 0.96% (0.23) VRX CN Equity 650 1,611 92.95 130.46 25.39 1.59% 14.54 VRX US Equity 750 1,880 93.20 130.41 24.81 1.61% 18.18 VII US Equity 672 5,134 86.91 98.29 24.70 0.53% 12.15 VWO US Equity 8 2,181 42.06 42.21 0.50 0.72% 16.26 VZ US Equity 44 (3,895) 48.44 47.89 1.97 0.57% 29.90 WBC AU Equity 780 11,844 30.87 32.90 9.49 0.69% 90.47 WES AU Equity 462 13,490 39.08 40.42 4.89 0.70% 109.96 WFC US Equity 3,342 12,761 39.49 49.83 54.84 0.48% 53.37 WLP US Equity 4,542 10,369 74.31 106.86 42.37 1.03% 66.57 WMT US Equity 342 9,262 76.31 79.13 8.43 0.44% 15.85 WOW AU Equity 8 1,890 34.30 34.45 0.47 0.92% 6.95 XOM US Equity 1,747 15,723 92.14 102.38 24.46 0.45% 57.30 XTA LN Equity ON/A N/A YHOO US Equity (21) 976 35.18 34.43 -1.19 1.82% 2.75 YUM US Equity 262 7,151 73.86 76.57 5.10 0.72% 41.66 ZURN VX Equity (111) 7,208 293.70 289.25 -2.37 0.65% (4.68) 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 18,897 62,272 1,455.70 1,897.45 54.19 0.56% 34.24 NDX Index 10,289 37,348 2,831.19 3,611.13 30.57 0.90% (21.03) RTY Index 1,092 8,066 987.45 1,121.16 14.18 0.95% (100.86) EFTA00288797 SPTSX Index 1,360 34,474 12,950.67 13,461.54 8.96 0.44% MEXBOL Index (416) (10,458) 3,142.45 3,267.33 -5.83 0.68% IBOV Index 319 9,415 23,590.66 24,389.21 3.10 1.09% MERVAL Index 4 6,688 855.23 855.80 0.06 1.14% UKK Index 4,991 43,063 10,369.13 11,570.83 21.85 0.53% DAX Index 9,515 36,674 10,610.77 13,363.57 35.37 0.73% CAC Index 1,948 24,884 5,723.77 6,171.88 13.56 0.58% IBEX Index 10,115 41,170 11,643.70 14,504.46 33.27 0.74% SMI Index 7,387 48,804 8,335.70 9,597.37 35.90 0.42% FTSEMIB Index 6,559 25,266 23,118.94 29,120.71 23.86 1.09% PS(20 Index 6,058 24,476 8,041.34 10,031.52 25.52 0.97% ISEQ Index 22,816 40,099 4,246.25 6,662.30 68.85 0.83% ICEXI Index 4,053 37,337 6.63 7.35 19.50 0.56% AEX Index 6,126 44,526 487.32 554.37 27.31 0.50% BEL20 Index 8,704 46,481 3,642.19 4,324.24 37.66 0.50% LUXXX Index 11,618 41,632 1,672.08 2,138.68 48.74 0.57% KFX Index 11,163 39,508 101.67 130.39 38.92 0.73% HEX Index 8,819 41,358 8,528.98 10,347.73 31.46 0.68% OMX Index 2,200 23,118 191.41 209.63 12.47 0.76% ATX Index (31) 7,381 3,409.52 3,395.39 -0.51 0.81% ASE Index 2,785 11,622 1,282.88 1,590.31 17.42 1.38% OSEBX Index 4,476 26,592 86.02 100.50 24.28 0.69% INDEXCF Index (69) (21,271) 39.64 39.77 0.22 1.51% TOP40 index 2,544 33,820 3,975.21 4,274.22 9.59 0.78% SENSEX Index 3,666 36,412 365.13 401.90 14.05 0.72% NKY Index 3 7,749 141.02 141.08 0.05 0.92% HSI Index (309) 29,992 2,913.28 2,883.55 -1.37 0.76% SHCOMP Index 1,463 (33,248) 344.53 329.38 6.50 0.68% KOSPI Index 1,497 32,821 1.85 1.94 8.84 0.52% AS51 Index 1,361 30,442 4,927.10 5,147.41 7.55 0.59% STBCNZL Index 36,718 73,207 444.47 667.40 100.37 0.50% EEM US Equity (50) (1,941) 41.41 42.48 -4.13 0.62% IYR US Equity 142 9,689 69.78 70.80 3.57 0.41% MDY US Equity 5,038 14,269 184.03 249.00 51.69 0.68% JNK US Equity 22 8,156 41.27 41.38 1.87 0.14% XLF US Equity 5,730 13,610 15.57 22.13 67.55 0.62% XLU US Equity 714 10,859 39.38 41.97 9.70 0.68% XLK US Equity 2,522 12,860 30.80 36.84 26.21 0.75% XLI US Equity 6,632 16,147 38.20 53.89 65.48 0.63% XLP US Equity 733 12,093 42.09 44.64 16.85 0.36% XLY US Equity 1,273 5,441 52.24 64.46 29.02 0.81% XLE US Equity 852 9,734 87.06 94.68 13.96 0.63% XLB US Equity 4,302 14,930 37.57 48.40 42.12 0.68% XLV US Equity 12,297 24,346 38.87 58.50 64.48 0.78% SXXP Index 7,357 45,756 403.51 468.39 31.51 0.51% SXAP Index 9,625 28,526 520.28 695.84 32.79 1.03% SXKP Index 5,372 37,626 366.14 418.41 21.55 0.66% 8.14 (60.35) 13.34 9.87 52.44 55.00 I- (43.56) (114.86) (161.59) (482.33) (347.64) (687.16) (85.51) (101.19) (353.21) 297.83 (291.46) 331.08 229.72 (72.42) (106.26) (25.00) (313.50) 129.58 675.58 141.13 121.41 r (26.15) 367.06 283.57 (7.15) (57.97) (94.90) 3.95 (17.46) 27.64 8.36 38.10 25.91 (18.70) 39.28 15.91 56.46 S (75.79) 183.07 (349.91) EFTA00288798 SX6P Index 6,868 38,710 359.38 423.14 36.22 0.49% SXEP Index 4,592 51,146 456.85 497.87 16.03 0.56% SXIP Index 11,820 28,923 222.31 313.15 63.54 0.64% SXNP Index 5,428 28,384 482.69 574.99 29.58 0.65% SX3P Index 1,507 30,361 678.15 711.81 13.57 0.37% SXDP Index 26,793 61,074 609.16 876.39 86.24 0.51% SX4P Index 4,084 25,840 917.36 1,062.35 24.83 0.64% SX8P Index 1,584 14,222 343.07 381.28 13.39 0.83% SXOP Index 11,825 43,418 386.09 491.24 36.18 0.75% SXQP Index 1,189 36,027 800.20 826.62 6.91 0.48% SXRP Index 13 16,765 432.46 432.80 0.16 0.49% SXMP Index 6,655 22,890 261.12 337.03 48.20 0.60% SXTP Index 22,972 39,247 172.05 272.75 70.64 0.83% SX7E Index 5,747 18,886 159.85 208.49 26.81 1.14% SXSE Index 7,475 40,565 3,715.50 4,400.14 29.36 0.63% SPGSCITR Index (88) (15,386) 4,989.44 5,017.98 -1.24 0.46% XAG Curncy 1,276 (15,640) 21.28 19.54 11.48 0.71% CO1 Comdty (62) (19,698) 108.90 109.24 -0.43 0.72% CL1 Comdty 714 30,849 99.40 101.70 3.71 0.62% NG1 Comdty 2,419 18,950 3.86 4.36 9.38 1.36% XAU Comdty (33) (23,727) 90.26 90.39 -0.26 0.53% IBOXHY Index 3,570 53,418 220.12 234.83 134.40 0.05% US_TSY CREDIT 167 57,396 763.21 765.43 2.87 0.10% CA_TSY CREDIT (7) 65,318 1,212.36 1,212.24 -0.05 0.21% MX_TSY CREDIT 295 44,333 220.02 221.48 1.80 0.37% AU TSY CREDIT 1,097 68,895 1,502.12 1,526.04 6.20 0.26% JP_TSY CREDIT 126 (15,794) 819.02 812.49 3.21 0.25% MY_TSY CREDIT (35) 35,152 169.49 169.32 -0.42 0.24% SG_TSY CREDIT 226 57,396 221.20 222.07 1.85 0.21% AT_TSY CREDIT 3,855 81,569 358.40 375.34 17.25 0.27% BE_TSY CREDIT 5,116 79,771 477.76 508.40 23.71 0.27% FI_TSY CREDIT 3,467 85,645 349.64 363.80 16.18 0.25% FR_TSY CREDIT 4,398 82,246 1,684.51 1,774.59 20.45 0.26% DE_TSY CREDIT 2,856 84,524 1,247.55 1,289.71 12.77 0.26% IE_TSY CREDIT 32,719 78,270 336.92 477.77 182.12 0.23% IT_TSY CREDIT 9,168 54,986 1,616.07 1,885.53 67.43 0.25% NL_TSY CREDIT 3,612 82,865 1,330.92 1,388.94 16.58 0.26% ES_TSY CREDIT 11,305 50,187 392.28 480.65 93.13 0.24% DK_TSY CREDIT 2,947 67,396 729.23 761.11 13.97 0.31% NO_TSY CREDIT (94) 50,177 349.03 348.38 -a67 0.28% PL_TSY CREDIT 1,376 35,151 429.04 445.84 15.56 0.25% ZA_TSY CREDIT 186 20,844 86.29 87.06 1.34 0.66% SE_TSY CREDIT (339) (44,333) 464.03 467.58 -2.34 0.33% CH_TSY CREDIT 3,361 69,857 1,008.64 1,057.16 17.21 0.28% GB_TSY CREDIT 1,971 89,647 1,507.67 1,540.82 8.97 0.25% I (307.57) (398.45) (103.03) 171.64 (41.99) (17.99) (85.51) (18.41) (155.15) 19.83 1.13 (40.86) (419.21) (121.40) (127.29) (78.91) 2.08 (150.34) 348.30 (366.27) 62.75 56.23 103.21 97.12 345.19 (17.88) 17.42 4.15 (38.89) (81.85) (125.04) (127.19) (104.85) (77.17) (298.87) (120.56) (90.81) (140.41) (32.33) 1.44 (15.56) 197.50 (140.64) (94.76) 199.63 EFTA00288799