EFTA00288800.pdf

Atorus, LLC 5/14/2014 Current Date: 5/14/2014 Change on Day: .0.21% Total Return since 1/1/12: 86.63% MSCI World Change on 712M Return: 25.55% Day -0.19% T9O Day Return: 5.27% No of Positions T3O Day Return: 7.75% (+MTM) on Day 211 Current Long Exposure @ Cost: 5 413 657 No of Positions (•MTM) Current Short Exposure @ Cost: (409,312) on Day 228 Net Exposure: 5,004,345 Current No. of Starting Capital: 1,000 000 Positions: 442 Current NAV: 1,866,324 Current Leverage (Gross Exposures): 3.12 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 2.2SX • 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 x,000,000.00 1,800,800.00 1,600,000.00 1,400,800.00 L200/100.00 1,000,000.00 800,000.00 600 000 00 09 *if e en. „Q. „Kt? „Attic, ea, et„i„ Oda O1a 1 0, 4 ' A\t" 4 4' 4" 4" 4 AV'' cft# 0, 4 —Series]. EFTA00288800 Atorus, LLC 5/14/2014 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 • 19.95% DISCA US Equity (6,296) 0.11% KMI US Equity (6,775) 0.12% TGT US Equity (8,574) 0.15% 941 MK Equity (9,455) 0.16% CO1 Comdty (14,773) 0.25% SPGSCITR Index (15,386) 0.26% XAG Curncy (15,640) 0.27% JP_TSY CREDIT (18,3O4) 0.31% INDEXCF Index (21,271) 0.37% XAU Comdty (23,727) 0.41% SHCOMP Index (33,248) 0.57% SE_TSY CREDIT (44,333) 0.76% DK_TSY CREDIT 67,396 1.16% AU TSY CREDIT 68,895 1.18% CH_TSY CREDIT 69,857 1.20% STBCNZL Index 73,207 1.26% lE_TSY CREDIT 78,270 1.34% BE_TSY CREDIT 79,771 1.37% AT_TSY CREDIT 81,569 1.40% FR_TSY CREDIT 82,246 1.41% NL_TSY CREDIT 82,865 1.42% DE_TSY CREDIT 84,524 1.45% FI_TSY CREDIT 85,645 1.47% GB_TSY CREDIT 89,647 1.54% NAV Impact of MTM by Category & Exposure Listed Equity Long -0.227% Listed Equity Short -0.019% EquityCom Long -0.050% EquityCom Short -0.038% G20 Rates Long 0.240% G20 Rates Short -0.007% Security MTM Gain % Total NAV 45 Positions 25.92% XIS US Equity 5,591 0.30% NVS US Equity 5,793 0.31% 1N1 US Equity 5,870 0.31% AEX Index 5,990 0.32% EDF FP Equity 6,202 0.33% HON US Equity 6,284 0.34% XLI US Equity 6,463 0.35% FTSEMIB Index 6,471 0.35% ROG VX Equity 6,489 0.35% DAI GR Equity 6,543 0.35% AZN SS Equky 6,577 0.35% UTX US Equity 6,618 0.35% MAERSKB DC Equity 6,832 0.37% SX6P Index 6,842 0.37% AZN US Equity 7,093 0.38% AZN LN Equity 7,206 0.39% NOVN VX Equity 7,257 0.39% ACA FP Equity 7,304 0.39% SXXP Index 7,341 0.39% SXSE Index 7,482 0.40% SMI Index 7,841 0.42% MDT US Equity 8,445 0.45% TMO US Equity 8,568 0.46% HEX Index 8,637 0.46% BEL20 Index 8,756 0.47% PRU LN Equity 8,966 0.48% IT_TSY CREDIT 9,257 0.50% DAX Index 9,541 0.51% SXAP Index 9,658 0.52% MMM US Equity 9,904 0.53% NDX Index 10,053 0.54% IBEX Index 10,274 0.55% KFX Index 11,176 0.60% TYC US Equity 11,306 0.61% ES_TSY CREDIT 11,450 0.61% SXOP Index 11,583 0.62% SW Index 11,737 0.63% LW= Index 11,759 0.63% XLV US Equity 12,322 0.66% SPX Index 18,516 0.99% EFTA00288801 ISEQ Index 22,232 1.19% SXTP Index 22,858 1.22% SXDP Index 27,133 1.45% IE_TSY CREDIT 32,824 1.76% STBCNZL Index 36,718 1.97% APAC Lon 28 APAC Short 19 EMEA Long 70 EMEA Short 18 AMER Long 179 AMER Short 33 E • ultyCom Lon 64 EquityCom Short 8 G20 Rates Lon 21. G20 Rates Short 2 Total Long 362 Total Short 80 Current Exposure by Geography (Listed Equl les) & Macro (Equity Indices & Commodiites, G20 Gov. Credit) $2,000,000 $1,500,000 $1,000,000 $500,000 $(500,000) 1 ■ APAC Long ■ APAC Short ■ EMEA Long ■ EMEA Short ■ AMER Long ■ AMER Short ■ EquityCom Long ■ EquityCom Short ■ G20 Rates Long ■ G20 Rates Short EFTA00288802 Atorus, LLC 5/14/2014 Historical Net Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodites, G20 Gov. Credit) 6.000.030 4,000.030 L030.030 2,000.000 1,000.000 APAC DMA —AMER EquityCom 7.000,000 1.500,000 t 5,000.000 1,001,000 —G20 Rates , NexEposure MIS (*. 03 iStc (S cli, \N.c \ 4,1" 15;4> ettcPsycP le .153 4 09", 4 Sb 19 44 te \ ( 000.000) (2,000,003) (1,000,000) (3,000,000) Historical Gross Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodlites, G20 Gov. Credit) EFTA00288803 Atorus, LLC 5/14/2014 Current Gross Notional Risk by Category 245,643 599,879 1,422,78 ! F ill ■ APAC ■ EMEA ■ AMER ■ EquityCom ■ G20 Rates Performance Vs. PAM World Index 2.15 1.95 1.75 1.55 1.35 1.15 0.95 0.75 $ Qs. Si) O.Q• o3/4" O•~~11 4:5 4, 4. 4, 4. et9 4,\\ o A\ 00000 'N.C\ 4 ‘ 4 \ '50 ttiti .—*Serits1 —Serits2 Rolling 30 Day Realized Volatility - A EFTA00288804 Atorus, LLC 5/14/2014 Percentile Distribution of Current MTM Gains in Vol Days by Position (ex-99pct & ex-Ist percentiles) WOO 50.00 40.00 3000 20.00 10.00 0.410 SY 4> ntr 4:r ifr <Sr 4fr 4)* & 4;:r 4fr c&r 42. CP 4 2. Vol Days by Position Percentile No. Vol Da 0.00% -15.41 5.00% -2.81 10.00% -1.24 15.00% -0.13 20.00% 0.39 25.00% 1.42 30.00% 2.41 35.00% 3.68 40.00% 4.80 45.00% 5.71 50.00% 7.38 55.00% 9.94 60.00% 12.65 65.00% 15.25 70.00% 19.38 75.00% 24.43 80.00% 27.75 85.00% 33.69 90.00% 43.49 95.00% 60.91 100.00% 182.80 MTM Gains(Losses) % of NAV "Signficant" (<7 Vol Days) 1.17% MTM Gains(Losses) % of NAV "Signficant" (>7 Vol Days) 44.49% EFTA00288805 Atorus, LLC Current Portfolio -Listed Equity Portfolio Current Price P/L in Vol 301, Realized Change on Day Security MTM Gain/(Loss) Exp. # Cost Avg. Price (in USD) Days Vol (in USD) 000270 KS Equity (47) (1,856) 55.84 57.24 -2.48 1.01% (37.42) 005380 KS Equity 57 3,149 224.39 228.43 1.81 0.99% 21.29 005490 KS Equity (170) (1,505) 272.57 303.31 -11.32 1.00% (3.14) 005930 KS Equity (34) (588) 1,296.86 1,371.04 -6.48 0.88% 2.13 012330 KS Equity 968 5,584 247.00 289.85 17.34 1.00% 164.76 1 HK Equity 808 12,607 16.18 17.22 6.55 0.98% 153.20 1299 HK Equity 172 5,954 4.79 4.93 2.96 0.98% (15.75) 13 FM Equity 653 4,897 11.40 12.92 14.44 0.92% 66.54 16 HK Equity 12.97 - 27 HK Equity 13 (2,232) 7.61 7.57 0.31 1.97% 24.07 2914 JP Equity 3 1,952 33.76 33.81 0.17 0.88% 5.77 3382 JP Equity 79 2,327 38.42 39.74 4.76 0.72% 19.23 40631P Equity (11) 1,959 59.30 58.98 -0.53 1.02% 5.71 4502 JP Equity (6) 4,908 44.98 44.92 -0.15 0.81% 13.28 4689 JP Equity 104 (1,855) 4.51 4.25 3.19 1.77% 9.81 5 HK Equity (59) (4,127) 10.15 10.30 -2.35 0.61% (41.09) 5108 JP Equity (112) 2,599 35.96 34.47 -4.16 1.04% 21.07 54011P Equity 206 (5,599) 2.81 2.71 3.64 1.01% (7.51) 63011P Equity 18 2,098 22.03 22.22 0.83 1.06% 19.90 67521P Equity 10.72 - 69021P Equity 43.91 . 69541P Equity 427 6,629 6,392.98 168.56 6.77 0.95% (22.70) 72011P Equity (58) (2,999) (3,742.97) 9.03 -1.98 0.97% (31.22) 7203 JP Equity 36 (4,207) (5,259.85) 55.62 1.01 0.84% (49.74) 7267 JP Equity 204 (4,675) (4,885.01) 33.80 3.67 1.19% (60.71) 762 HK Equity (14) 1,808 (5,161.69) 1.57 -0.48 1.61% (11.32) 77511P Equity (6,865.02) 32.54 - 80311P Equity (261) (2,866) (4,775.88) 15.38 -10.01 0.91% (43.24) 80581P Equity 63 3,882 (4,383.01) 19.49 1.76 0.92% 37.82 83061P Equity 2 (3,668) (4,603.66) 5.63 0.04 1.24% 8.20 83161P Equity 4 (1,984) (2,000.57) 41.08 0.16 1.17% (1.32) 84111P Equity 58 5,474 2.00 1.62 0.65% 63.88 8604 JP Equity 181 (3,335) (3,504.39) 6.12 3.97 1.37% (68.88) 88011P Equity 165 2,660 30.48 32.37 4.63 1.34% 22.66 8802 JP Equity (23) (4,920) 24.34 24.46 -0.34 1.36% (123.98) 90201P Equity 19 (5,379) 75.21 74.94 0.41 0.87% 20.52 941 HK Equity 396 (9,455) 10.19 9.77 4.32 0.97% (97.38) 94321P Equity 480 6,077 53.19 57.39 8.58 0.92% 93.27 94331P Equity (48) 3,581 55.65 54.91 -1.03 1.30% (125.28) 94371P Equity (356) (6,149) 15.59 16.50 -6.74 0.86% (85.20) 9983 JP Equity 19 (2,554) 323.49 321.13 0.54 1.36% (23.42) 5/14/2014 EFTA00288806 9984 JP Equity 506 70.88 70.88 0.00 1.67% (3.07) AAPL US Equity 933 7,342 527.64 594.68 13.79 0.92% 23.91 ABB US Equity 23.76 - ABBN VX Equity (47) (2,982) 23.43 23.79 -1.86 0.84% (7.94) ABBV US Equity 166 3,674 50.46 52.74 3.25 1.39% 39.11 ABEV US Equity (54) (3,165) 7.37 7.49 -1.74 0.99% (2.16) ABEV3 BZ Equity (49) (3,012) 7.43 7.55 -1.54 1.06% - ABI BB Equity 556 8,888 103.14 109.59 8.58 0.73% 15.74 ABT US Equity 108 4,097 38.87 39.90 3.85 0.69% 26.80 ABX CN Equity 252 (3,958) 18.70 17.51 5.48 1.16% (42.79) ABX US Equity 247 (4,002) 18.64 17.49 5.37 1.15% (38.19) ACA FP Equity 7,304 5,408 6.83 16.06 115.34 1.17% (183.12) ACE US Equity 539 10,287 97.54 102.65 14.06 0.37% (66.66) ACN US Equity 103 8,563 77.97 78.90 1.93 0.62% (88.99) ADP US Equity 130 5,607 76.56 78.34 3.53 0.66% (42.41) AFL US Equity 8 4,556 62.88 62.99 0.24 0.73% (47.26) AGN US Equity 4,348 9,698 110.56 160.13 23.37 1.92% (130.13) Al FP Equity 666 12,469 137.62 144.97 9.69 0.55% 37.15 AIG US Equity 489 7,022 49.93 53.41 7.69 0.91% (47.44) AIR FP Equity (113) (1,985) 67.47 71.30 -5.24 1.09% 6.90 ALV GR Equity (51) 8,815 169.20 168.22 -0.78 0.75% 35.37 ALVG IX Equity (16) 7,162 168.62 168.25 -0.30 0.73% 29.50 AMGN US Equity 16 (3,302) 112.50 111.94 0.47 1.05% (22.14) AMT US Equity 1,840 11,945 77.14 89.02 26.23 0.59% 75.92 AMZN US Equity 59 (2,898) 306.51 300.28 1.03 1.98% 35.01 ANZ AU Equity 531 12,947 29.78 31.00 5.47 0.75% 106.89 APA US Equity 151 4,994 87.41 90.05 3.77 0.80% (1.43) APC US Equity 98 2,501 97.78 101.60 2.88 1.36% 12.26 AXP US Equity 2,477 10,373 71.56 88.65 27.14 0.88% (103.91) AZN LN Equity 7,206 12,676 49.80 78.11 33.45 1.70% (101.65) AZN SS Equity 6,577 12,119 50.82 78.40 31.85 1.70% (79.76) AZN US Equity 7,093 12,812 50.30 78.15 33.73 1.64% (83.98) BA US Equity 333 8,072 128.04 133.32 5.26 0.78% (10.80) BAC US Equity 21. (3,184) 14.98 14.88 0.60 1.08% 32.61 BARC LN Equity 147 5,219 4.11 4.22 1.98 1.42% (68.34) BAS GR Equity 1,286 7,333 97.30 114.36 19.52 0.90% (36.11) BATS LN Equity 542 7,532 53.98 57.86 9.93 0.72% (33.71) BAX US Equity 126 4,842 73.52 75.43 4.88 0.53% (6.76) BAYN GR Equity 373 7,767 135.04 141.52 5.52 0.87% 45.77 BBAS3 BZ Equity (1) 1,317 10.89 10.88 -0.05 1.74% 10.83 BBD US Equity 315 4,276 14.77 15.86 5.13 1.43% 45.25 BBDC4 BZ Equity 309 3,699 14.67 15.89 5.79 1.44% 45.71 BBL US Equity (10) (165) 62.89 66.76 -6.95 0.88% (1.59) BBVA SM Equity 1,268 5,942 10.16 12.33 27.86 0.77% 16.82 BCE CN Equity 158 6,323 44.53 45.65 6.09 0.41% 27.29 Bcs US Equity 117 5,457 16.46 16.82 1.55 1.38% (107.91) BEN US Equity 158 2,814 52.91 55.88 5.24 1.07% 10.56 EFTA00288807 BG/ LN Equity (574) (4,735) 18.76 21.04 .12.80 0.95% 46.19 BHP AU Equity 375 8,431 34.33 35.86 5.35 0.83% 79.83 BHP US Equity 442 6,839 67.77 72.15 7.03 0.92% 79.81 BBB US Equity 225 1,066 245.93 297.74 13.06 1.61% (0.20) BIL SJ Equity (5) (235) 32.63 33.34 .2.93 0.75% (0.86) BK US Equity 382 8,609 32.86 34.32 5.18 0.86% (133.00) BLK US Equity 71 3,418 296.18 302.36 2.40 0.87% (15.23) BLT IN Equity (23) (639) 32.17 33.31 4.40 0.81% (2.58) BMO CN Equity 545 13,003 66.63 69.42 10.15 0.41% 22.93 BMW GR Equity 1,221 5,212 99.22 122.46 33.47 0.70% (0.13) BMY US Equity 173 3,908 49.86 52.07 4.20 1.06% (12.84) BN FP Equity (16) (377) 71.77 74.83 .5.85 0.73% (5.35) BNP FP Equity 19 (3,355) 72.97 72.55 0.61 0.95% (5.91) BNS CN Equity 581 11,170 58.45 61.49 12.34 0.42% 34.13 BP/ LN Equity 835 9,797 7.76 8.42 12.64 0.67% 11.37 BRK/B US Equity 849 14,233 120.53 127.72 12.10 0.49% 18.42 BSBR US Equity 37 2,143 6.67 6.79 1.27 1.38% 11.11 BUD US Equity 512 9,049 103.62 109.48 8.20 0.69% (20.79) BX US Equity (16) (1,021) 29.10 29.55 0.88 1.78% 0.12 C US Equity (30) 3,768 47.52 47.15 •1.02 0.77% (19.67) CA FP Equity 229 3,932 34.37 36.36 5.86 0.99% (21.75) CAT US Equity 2,611 14,645 90.43 106.56 26.75 0.67% (49.62) CBA AU Equity 1,408 15,737 69.34 75.55 16.54 0.54% 188.57 CBS US Equity 55 (2,800) 57.39 56.25 1.70 1.16% 35.14 CCL US Equity 502 6,257 36.20 39.11 9.96 0.81% (54.68) CELG US Equity 77 2,632 147.09 151.37 2.11 1.38% 9.35 CFR VX Equity 97 7,019 96.74 98.08 2.14 0.65% 17.47 CL US Equity 2,590 21,171 59.79 67.10 26.88 0.46% (33.06) CM CN Equity 734 11,908 84.09 89.27 14.79 0.42% 35.99 CMCSA US Equity (5) 4,527 50.01 49.95 0.13 0.89% (26.70) CMCSK US Equity 4,385 12,096 36.26 49.41 43.51 0.83% (78.18) CNI US Equity 2,013 12,873 51.38 59.41 24.93 0.63% (38.46) CNQ CN Equity 1,197 10,769 36.73 40.82 13.02 0.85% 139.63 CNR CN Equity 1,974 12,795 51.50 59.45 24.75 0.62% (40.01) COF US Equity 790 7,124 68.86 76.49 17.33 0.64% (103.72) COP US Equity 244 5,584 75.30 78.58 5.94 0.73% 1.97 COST US Equity 98 9,550 114.02 115.19 1.82 0.56% (91.56) COV LN Equity MO N/A COV US Equity 898 7,080 64.09 72.21 19.81 0.64% 3.91 CRM US Equity (2) (1,152) 52.22 52.32 0.10 1.94% 9.10 CS FP Equity (3) (2,152) 24.11 24.15 0.15 0.94% 0.58 CSCO US Equity (18) (2,304) 22.87 23.06 .1.25 0.64% (16.12) CSX US Equity 1,534 9,187 25.18 29.39 24.90 0.67% (23.52) CVE CN Equity 29.06 .. CVS US Equity 2,241 12,136 64.26 76.13 31.34 0.59% (93.05) CVX US Equity 46 5,738 125.37 126.38 1.38 0.58% 34.78 D US Equity 2,121 13,256 60.80 70.52 26.43 0.61%1 179.60 EFTA00288808 DAI GR Equity 6,543 13,908 62.20 91.47 44.70 1.05% 112.88 DU GR Equity (11) (1,902) 42.64 42.88 -0.59 0.97% (1.24) DD US Equity 3,029 13,319 55.25 67.82 43.82 0.52% 27.74 DDAIF US Equity 3,737 8,377 63.20 91.40 37.77 1.18% 51.00 DE US Equity 570 10,094 86.88 91.78 10.56 0.53% (199.09) DELL US Equity KN/A N/A DG FP Equity 4,444 10,090 51.66 74.41 67.47 0.65% (56.42) DGE LN Equity 47 2,332 30.86 31.48 2.46 0.82% 0.02 DHR US Equity 118 5,021 73.91 75.64 3.35 0.70% 1.90 DIS US Equity 1,859 10,263 68.75 81.20 22.29 0.81% (143.13) DISCA US Equity 315 (6,296) 76.16 72.34 4.85 1.03% 62.21 DNB NO Equity 350 4,627 17.15 18.45 7.20 1.05% 43.38 DOW US Equity 2,605 7,396 37.11 50.18 37.89 0.93% 29.56 DPW GR Equity 190 660 29.41 37.88 27.06 1.07% 0.25 DTE GR Equity 1,246 7,143 15.02 17.64 20.47 0.85% 23.66 DTV US Equity 4,069 10,622 61.97 85.71 32.13 1.19%[ (317.67) DUK US Equity - 1,130 71.30 71.30 0.00 0.49% (7.83) DVN US Equity 1,527 11,143 63.30 71.98 15.79 0.87% (53.04) EBAY US Equity (50) (2,291) 50.75 51.85 -2.00 1.09% (12.91) Ea US Equity 91 9,210 105.22 106.25 1.66 0.59% 36.22 EDF FP Equity 6,202 9,189 23.45 39.27 74.09 0.91% 89.44 EMC US Equity 187 10,986 25.35 25.78 2.26 0.75% 68.80 EMR US Equity 89 8,739 66.80 67.47 1.46 0.69% (117.07) EMI CN Equity 581 12,231 45.61 47.77 9.84 0.48% 32.37 ENEL IM Equity 2,412 8,902 4.48 5.70 34.41 0.79% (129.75) ENI IM Equity 770 11,929 24.33 25.90 11.49 0.56% (45.19) EOAN GR Equity (88) 2,996 18.75 18.22 -3.75 0.78% (23.85) EOG US Equity 2,544 5,841 72.84 104.57 36.66 1.19% (35.56) EPD US Equity 1,930 13,127 63.70 73.06 21.41 0.69% 24.71 ERICB SS Equity (78) 7,934 12.51 12.39 -0.92 1.07% (8.36) ESRX US Equity (46) (2,553) 67.05 68.25 -1.93 0.93% 11.70 ETN US Equity 33 5,260 72.48 72.93 0.65 0.95% (40.69) F US Equity (190) (2,897) 14.82 15.79 -8.46 0.78% 7.27 F8 US Equity 942 2,630 44.06 59.84 15.66 2.29% (15.49) FCX US Equity 354 5,380 33.38 35.58 6.99 0.94% 13.34 FDX US Equity 290 3,238 127.97 139.41 13.56 0.66% (23.70) FOX US Equity 154 5,086 32.64 33.63 2.37 1.28% (85.31) FOXA US Equity 139 4,207 33.36 34.46 2.51 1.31% (69.16) FP FP Equity 1,966 14,528 62.63 71.11 19.88 0.68% 4.36 G IM Equity 156 5,607 21.99 22.61 4.09 0.68% (15.18) GE US Equity 2,651 13,140 22.32 26.82 38.53 0.52% (33.49) GILD US Equity 175 4,205 77.50 80.74 2.95 1.42% 19.29 GIS US Equity 1,646 21,798 50.35 54.16 16.48 0.46% (92.36) GLE FP Equity 645 3,248 49.51 59.35 16.89 1.18% (64.46) GLEN LN Equity (142) (2,955) 5.22 5.47 -7.19 0.67% 67.12 GLW US Equity 3,566 11,635 16.25 21.23 36.57 0.84% (127.92) GM US Equity 16 4,771 34.81 34.92 0.35 0.94% (6.91) EFTA00288809 GOOG US Equity (10) (731) 521.13 528.46 -0.97 1.44% 5.96 GS US Equity - 823 159.83 159.83 0.00 1.03% (2.23) GSK LN Equity 218 5,707 26.22 27.22 4.42 0.87% (45.51) GSZ FP Equity 672 11,150 25.29 26.81 7.73 0.78% 49.11 HAL US Equity 1,899 7,135 50.67 64.16 27.42 0.97% (16.42) HD US Equity 285 7,619 73.80 76.56 4.59 0.81% (98.80) HMB SS Equity (10) (1,029) 41.29 41.68 -1.56 0.60% (3.72) HON US Equity 6,284 11,930 61.10 93.28 86.89 0.61% (211.43) HPQ US Equity 2,213 7,473 25.51 33.07 30.69 0.96% (22.09) HSBA LN Equity 62 4,576 10.19 10.33 2.18 0.62% 35.75 IBE SM Equity 2,100 7,531 5.56 7.11 47.78 0.58% 22.53 IBM US Equity 44 (4,032) 191.43 189.32 1.41 0.78% 63.78 IMT LN Equity 2,831 13,278 36.80 44.65 30.53 0.70% 30.91 INTC US Equity 1,107 12,041 24.19 26.42 16.28 0.56% (15.21) ISP IM Equity 3,758 5,699 1.93 3.20 56.20 1.17% (90.97) ITUB US Equity 359 5,715 15.88 16.88 5.08 1.24% 17.72 ITUB4 BZ Equity 337 4,601 15.79 16.94 5.60 1.31% 15.81 ITW US Equity 3,837 14,011 67.84 86.41 41.44 0.66% (136.40) ITX SM Equity (30) (3,652) 146.45 147.63 -1.47 0.55% (3.46) JCI US Equity (5) (567) 44.93 45.29 0.65 1.25% (0.75) JNJ US Equity 5,870 17,142 75.17 100.91 74.77 0.46% (7.86) JPM US Equity (2) (2,410) 54.38 54.42 M.10 0.83% 11.25 KMB US Equity 329 9,903 107.52 111.09 6.22 0.53% 8.13 KMI US Equity 144 (6,775) 33.81 33.09 2.71 0.78% (147.54) KO US Equity 25 5,506 40.80 40.99 0.86 0.53% (16.51) LBTYA US Equity 60 3,592 43.18 43.90 1.58 1.06% (2.22) LBTYK US Equity 49 4,117 41.39 41.88 1.17 1.01% (0.06) LIN GR Equity 345 8,087 198.03 206.48 7.03 0.61% 25.97 LLOY LN Equity 331 2,488 1.14 1.29 11.22 1.18% 1.75 LLY US Equity 93 4,953 59.03 60.14 2.69 0.70% 19.45 LMT US Equity 715 2,016 122.48 165.89 45.25 0.78% (25.99) LNKD US Equity 506 (2,461) 183.83 146.02 7.70 2.67% 56.75 LOW US Equity (33) 537 48.01 45.26 -5.95 1.02% (6.45) LVS US Equity 543 2,614 61.33 74.06 11.59 1.79% (81.61) LYB US Equity 1,444 2,297 59.29 96.57 79.84 0.79% 5.68 MA US Equity 18 3,476 73.94 74.31 0.39 1.32% (27.19) MAERSKB DC Equity 6,832 14,148 1,642.52 2,435.71 51.27 0.94% 220.36 MC FP Equity 276 5,711 186.24 195.23 7.08 0.68% (22.92) MCD US Equity 219 9,603 100.64 102.93 5.13 0.44% (23.60) MCK US Equity 178 2,181 164.92 178.38 9.26 0.88% (17.45) MDIZ US Equity 4,270 13,641 28.68 37.66 40.22 0.78% (111.12) MDT US Equity 8,445 20,811 43.22 60.76 60.92 0.67% 15.37 MET US Equity 1,124 7,556 44.37 50.97 13.80 1.08% (164.20) MFC CN Equity 1,644 3,201 12.38 18.73 62.49 0.82% (12.77) MHS US Equity PWA WA MMM US Equity 9,904 21,331 96.89 141.88 77.69 0.60% (189.08) MO US Equity 1,090 12,658 37.15 40.34 19.06 0.45% (57.01) EFTA00288810 MON US Equity 1,229 11,917 106.02 116.95 12.53 0.82% 17.51 MOS US Equity 50.04 - MRK US Equity 1,440 11,769 50.18 56.33 13.42 0.91% 126.71 MS US Equity (15) 2,280 30.40 30.19 -0.49 1.39% (16.55) MSFT US Equity 1,124 8,007 35.30 40.26 17.81 0.79% (17.70) MUV2 GR Equity 552 6,116 197.70 215.54 10.92 0.83% 10.02 NAB AU Equity (25) 13,313 31.52 31.46 -0.26 0.73% (345.27) NCM AU Equity 9.68 NEE US Equity 4,849 14,972 73.03 96.68 47.61 0.68% 119.15 NEM US Equity 446 (1,819) 32.73 24.71 15.33 1.60% 4.48 NESN VX Equity 1,271 10,957 70.38 78.55 21.15 0.55% 64.86 NG/ IN Equity 2,684 13,258 11.96 14.39 38.26 0.53% 85.34 NKE US Equity 257 2,940 68.03 73.97 10.86 0.81% (35.26) NOK US Equity 3,829 4,498 3.96 7.34 56.03 1.52% (76.01) NOV US Equity NOVN VX Equity 436 7,257 9,753 18,291 77.58 63.81 81.05 89.12 5.72 51.12 0.78% 0.78% (5.47) I 178.17 NOVOB DC Equity 615 9,444 40.35 42.98 6.84 0.95% (135.84) NSC US Equity 2,010 10,109 81.19 97.33 29.30 0.68% (38.66) NVS US Equity 5,793 16,354 65.98 89.35 57.91 0.61% 219.24 OGXP3 BZ Equity 4,034 (4,107) 4.39 0.08 53.01 1.85% 182.71 OR FP Equity 339 8,826 167.38 173.81 5.73 0.67% 39.16 ORA FP Equity 1,863 8,065 13.64 16.80 23.99 0.96% 50.73 ORCL US Equity 1,946 8,081 33.75 41.87 31.21 0.77% (1.46) OXY US Equity 170 7,355 95.04 97.24 3.50 0.66% (19.44) PBR US Equity 17 1,998 15.36 15.49 0.40 2.18% (2.68) PBR/A US Equity 24 1,851 16.20 16.41 0.59 2.20% 2.09 PCLN US Equity 194 2,920 1,081.92 1,153.65 4.10 1.62% (25.08) PCP US Equity (85) 4,727 255.20 250.67 -1.98 0.91% (69.35) PEP US Equity 521 12,286 83.51 87.05 10.23 0.41% (22.66) PETR3 BZ Equity 51 2,182 7.61 7.79 1.13 2.08% 8.58 PETR4 BZ Equity 27 1,792 8.11 8.23 0.67 2.25% 8.89 PFE US Equity (0) (2,034) 29.10 29.10 -0.02 1.05% 5.89 PG US Equity 292 11,013 79.25 81.35 5.54 0.48% (44.97) PHIA NA Equity 32.19 PM US Equity (0) 2,070 85.89 85.87 -0.03 0.46% (0.61) PNC US Equity 829 9,010 76.60 83.65 11.23 0.82% (164.99) POT CN Equity 202 4,291 35.54 37.22 5.44 0.87% 73.35 POT US Equity 159 4,552 35.90 37.15 4.15 0.84% 64.03 PRU LN Equity 8,966 10,521 12.76 23.64 88.13 0.97% (9.97) PSA US Equity 768 13,406 162.12 171.41 13.41 0.43% 15.44 PSX US Equity 1,780 6,461 65.64 83.73 30.77 0.90% (49.57) PX US Equity 2,559 16,340 113.54 131.33 29.77 0.53% 33.45 QCOM US Equity 2,594 12,547 66.83 80.64 28.84 0.72% 93.93 QQQ US Equity 2,277 7,968 68.46 88.02 37.76 0.76% (34.59) RAI US Equity 731 10,690 53.26 56.91 9.01 0.76% (110.25) RDS/A US Equity 566 11,546 75.02 78.70 9.53 0.51% (170.35) RDS/B US Equity 996 11,427 78.85 85.72 15.10 0.58% (181.97) EFTA00288811 RDSA LN Equity 691 9,744 36.73 39.34 12.66 0.56% (143.57) RDSA NA Equity 479 11,195 37.76 39.37 7.75 0.55% (128.84) RDSB LN Equity 1,061 10,889 39.07 42.88 16.65 0.59% (148.94) REGN US Equity (305) 6,240 302.06 287.98 -2.53 1.93% 49.30 RIO AU Equity (58) 5,122 59.39 58.73 -1.23 0.92% (7.28) RIO IN Equity 145 4,819 54.83 56.48 3.46 0.87% 28.19 RIO US Equity 238 4,934 54.04 56.65 4.52 1.07% 56.25 ROG VX Equity 6,489 17,035 212.78 293.84 58.89 0.65%..__ 456.41 RY CN Equity 266 10,940 65.94 67.54 5.66 0.43% 24.23 SAB LN Equity 1,030 10,821 49.23 53.92 13.16 0.72% 51.66 SAN FP Equity (38) 2,296 107.71 105.97 -2.07 0.79% 18.56 SAN SM Equity 1,522 8,833 8.59 10.07 24.68 0.70% 63.14 SAN US Equity 1,261 7,459 8.65 10.11 24.10 0.70% 47.44 SAP GR Equity (190) 4,193 80.44 76.94 -5.45 0.83% 9.69 SAP US Equity (203) 4,519 80.47 77.00 -5.26 0.86% 24.53 SBUX US Equity (5) (525) 69.81 70.46 -1.13 0.83% 4.59 SGO FP Equity 2,615 7,836 44.08 58.80 33.40 1.00% (5.13) SI US Equity 775 5,671 118.49 134.69 16.39 0.83% (83.56) SIE GR Equity 941 5,345 114.81 135.03 21.98 0.80% (68.71) SLB US Equity 1,716 8,679 84.17 100.81 34.79 0.57% 54.04 SMSN LI Equity (40) (650) 644.63 684.20 -6.50 0.94% (3.69) SO US Equity (99) 11,861 44.11 43.74 -1.25 0.67% 123.88 SPG US Equity 389 12,383 168.79 174.09 7.88 0.40% (77.96) SREN VX Equity 87.94 STAN LN Equity 38 (2,352) 22.09 21.73 1.80 0.89% 23.74 STL NO Equity 1,972 11,476 26.77 31.38 21.68 0.79% 114.82 STY US Equity (3) 3,883 65.17 65.12 -0.06 1.06% (38.38) SU CN Equity 792 10,520 36.83 39.61 7.76 0.97% 48.19 SU FP Equity 671 8,613 86.36 93.09 7.90 0.99% (284.42) SU US Equity 733 9,658 36.78 39.58 7.74 0.98% 29.49 SWEDA SS Equity 5 1,881 25.83 25.90 0.30 0.90% 10.33 SYNN VX Equity (355) (4,132) 359.52 390.43 -15.41 0.56% 14.70 T US Equity 117 5,618 35.62 36.36 2.94 0.71% 33.46 TD CN Equity 549 10,892 45.74 48.05 10.92 0.46% 34.25 TEF SM Equity 216 7,580 16.07 16.52 3.44 0.83% 108.89 TEF US Equity 229 6,344 15.95 16.52 4.04 0.89% 97.10 TGT US Equity 578 (8,574) 63.57 59.29 7.83 0.86% 13.29 TJX US Equity 642 3,143 49.32 59.39 26.54 0.77% 7.20 TLS AU Equity 801 13,319 4.66 4.94 11.26 0.53% 135.67 TLSN SS Equity (308) (5,268) 7.02 7.43 -6.03 0.97% (24.08) TM US Equity 222 (5,442) 115.49 110.78 5.21 0.78% 12.66 TMO US Equity 8,568 10,218 63.59 116.91 95.74 0.88% (153.37) TOT US Equity 1,249 7,801 61.19 70.99 21.99 0.73% (20.25) TRP CN Equity (11) (775) 46.35 47.02 -2.51 0.58% (3.68) TRV US Equity 883 11,290 85.96 92.68 13.94 0.56% (14.73) TSCO LN Equity 710 (6,286) 5.60 4.96 11.58 0.98% 14.21 TWC US Equity 669 5,234 120.22 135.59 15.34 0.83% (37.79) EFTA00288812 TWX US Equity 249 7,427 66.94 69.19 3.86 0.87% (41.04) TXN US Equity 3,816 12,205 34.93 45.85 27.22 1.15% (197.31) TYC US Equity 11,306 24,080 29.17 42.86 58.69 0.80% (212.87) UBS US Equity 294 5,489 19.43 20.48 7.29 0.74% 12.79 UBSN VX Equity 258 5,158 19.51 20.48 5.71 0.87% 19.18 UCG IM Equity 2,816 5,500 5.62 8.50 42.53 1.20% (124.66) ULVR LN Equity 219 6,329 42.99 44.47 5.14 0.67% (12.65) UNA NA Equity 198 5,283 41.53 43.09 5.80 0.65% 8.13 UNH US Equity 2,051 10,191 64.28 77.22 27.58 0.73% (125.66) UNP US Equity 1,955 12,202 165.72 192.27 23.91 0.67% (53.28) UPS US Equity 4,073 14,806 79.87 101.84 44.41 0.62% (100.82) USB US Equity 2,322 14,238 34.71 40.37 31.37 0.52% (68.25) UTX US Equity 6,618 15,190 82.05 117.80 60.74 0.72% (208.94) V US Equity 266 5,407 200.76 210.63 4.71 1.04% (35.96) VALE US Equity 144 (2,664) 14.92 14.11 3.23 1.67% (44.01) VALE3 BZ Equity 176 (2,939) 15.07 14.16 3.46 1.74% (62.48) VIAB US Equity 3,480 9,272 60.42 83.09 43.75 0.86% (115.48) VIV FP Equity (18) 2,134 26.19 25.96 4.27 0.68% (1.60) VMW US Equity 248 4,785 89.16 93.78 3.35 1.55% (31.38) VOD LN Equity 133 (3,581) 3.85 3.71 4.22 0.88% (1.20) VOD US Equity 118 (3,458) 38.42 37.10 3.63 0.94% (11.65) VOWS GR Equity 2 3,208 259.69 259.89 0.08 0.93% (40.98) VRX CN Equity 603 1,611 92.95 127.74 23.55 1.59% (46.14) VRX US Equity 695 1,880 93.20 127.67 23.03 1.61% (54.1S) Vii US Equity 649 5,134 86.91 97.90 24.19 0.52% (22.81) VWO US Equity 21 3,307 42.20 42.46 0.87 0.72% 19.65 VZ US Equity 30 (3,895) 48.44 48.06 1.33 0.58% (14.02) WBC AU Equity 479 11,844 30.87 32.12 5.38 0.75% (294.13) WES AU Equity 463 13,490 39.08 40.42 4.91 0.70% 1.35 WFC US Equity 3,187 12,761 39.49 49.35 49.20 0.51% (153.11) WLP US Equity 4,367 10,369 74.31 105.61 39.37 1.07% (172.74) WMT US Equity 294 9,262 76.31 78.73 7.23 0.44% (48.39) WOW AU Equity 12 2,834 34.38 34.53 0.48 0.90% 6.09 XOM US Equity 1,748 15,723 92.14 102.38 25.13 0.44% 1.04 XTA LN Equity #N/A N/A YHOO US Equity (18) 390 35.91 34.31 .2.58 1.80% (1.29) YUM US Equity 203 7,151 73.86 75.96 4.01 0.71% (58.37) ZURN VX Equity (91) 7,208 293.72 290.05 4.96 0.65% 19.69 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 18,516 62,272 1,455.70 1,888.53 53.84 0.55% (379.78) NDX Index 10,053 37,348 2,831.19 3,593.25 31.32 0.86% (234.73) RTY Index 783 4,760 947.28 1,103.14 17.07 0.96% (89.12) EFTA00288813 SPTSX Index 1,431 35,883 12,970.96 13,488.12 9.24 0.43% 73.69 MEXBOL Index (215) (5,229) 3,142.45 3,271.58 -6.10 0.67% (6.52) IBOV Index 419 9,415 23,590.66 24,640.01 4.02 1.11% 101.12 MERVAL Index 29 9,066 856.20 858.94 0.29 1.12% 33.41 UKX Index 4,863 43,063 10,369.13 11,540.04 21.73 0.52% (127.52) DAX Index 9,541 36,674 10,610.77 13,371.32 37.94 0.69% 26.80 CAC Index 1,940 24,884 5,723.77 6,170.03 14.12 0.55% (8.05) IBEX Index 10,274 41,170 11,643.70 14,549.53 35.42 0.70% 159.86 SMI Index 7,841 49,310 8,347.57 9,674.98 36.91 0.43% IIIIIII,62.16 FTSEMIB Index 6,471 25,266 23,118.94 29,039.85 24.52 1.04% (88.12) P5120 Index 5,052 24,476 8,041.34 9,700.99 19.63 1.05% (972.92) ISEQ Index 22,232 40,099 4,246.25 6,600.54 65.97 0.84% (577.79) ICEXI Index 4,231 37,337 6.63 7.38 20.63 0.55% 178.21 AEX Index 5,990 44,526 487.32 552.88 27.78 0.48% (135.39) BEL20 Index 8,756 46,481 3,642.19 4,328.31 39.63 0.48% 52.05 LUXXX Index 11,759 41,632 1,672.08 2,144.37 49.61 0.57% 141.86 KFX Index 11,176 39,508 101.67 130.42 41.60 0.68% 12.15 HEX Index 8,637 41,358 8,528.98 10,310.14 31.85 0.66% (181.62) OMX Index 2,223 23,118 191.41 209.82 12.57 0.76% 22.88 ATX Index (42) 5,536 3,409.38 3,383.83 0.95 0.79% (18.71) ASE Index 3,008 11,622 1,282.88 1,614.97 18.59 1.39% 226.83 OSEBX Index 4,588 26,592 86.02 100.86 25.03 0.69% 112.51 INDUCE Index (260) (21,271) 39.64 40.13 -0.87 1.41% (188.23) TOP40 Index 2,955 33,820 3,975.21 4,322.60 11.14 0.78% U. 416.20y SENSEX Index 3,526 37,780 366.30 400.49 13.03 0.72% (144.91) NKY Index 29 10,403 141.15 141.55 0.30 0.93% 34.91 HSI Index (3) 29,992 2,913.59 2,913.30 -0.01 0.78% 309. SHCOMP Index 1,522 (33,248) 344.53 328.76 6.77 0.68% 64.51 KOSPI Index 1,803 34,691 1.86 1.96 9.54 0.54% AS51 Index 1,412 32,079 4,938.27 5,155.71 7.47 0.59% 54.03 STEtCNZL Index 36,718 73,207 #N/A N/A 100.37 0.50% EEM US Equity (32) (971) 41.41 42.78 •5.43 0.61% (6.63) IYR US Equity 167 9,689 69.78 70.98 4.34 0.40% 25.06 MDY US Equity 4,884 14,269 184.03 247.01 50.39 0.68% (153.06) INK US Equity 26 8,156 41.27 41.40 2.43 0.13% 3.95 XLF US Equity 5,591 13,610 15.57 21.97 64.04 0.64% (138.82) XLU US Equity 771 10,859 39.38 42.18 10.59 0.67% 58.20 XLK US Equity 2,451 12,860 30.80 36.67 26.32 0.72% (70.65) XLI US Equity 6,463 16,147 38.20 53.49 63.69 0.63% (167.82) XLP US Equity 664 12,093 42.09 44.40 14.75 0.37% (68.59) XLY US Equity 1,198 5,441 52.24 63.74 27.62 0.80% (74.15) XLE US Equity 857 10,089 87.31 94.72 13.95 0.61% 4.62 XLB US Equity 4,306 14,930 37.57 48.41 43.28 0.67% 3.97 XLV US Equity 12,322 24,346 38.87 58.54 66.17 0.76% 25.07 SXXP Index 7,341 45,756 403.51 468.25 32.02 0.50% (15.62) SXAP Index 9,658 28,526 520.28 696.43 32.90 1.03% 32.83 SXKP Index 5,515 37,626 366.14 419.81 22.35 0.66% 143.92 EFTA00288814 SX6P Index 6,842 38,710 359.38 422.91 36.87 0.48% (25.05) SXEP Index 4,514 51,146 456.85 497.18 15.68 0.56% (77.84) SXIP Index 11,737 28,923 222.31 312.51 63.63 0.64% (83.05) SXNP Index 5,340 28,384 482.69 573.50 28.97 0.65% (87.24) SX3P Index 1,621 31,018 678.88 714.35 14.08 0.37% 116.49 SXDP Index 27,133 61,074 609.16 879.78 87.74 0.51% 341.24 SX4P Index 4,177 25,840 917.36 1,065.65 25.07 0.64% 93.06 SX8P Index 1,530 14,222 343.07 379.97 13.03 0.83% (54.23) SXOP Index 11,583 43,418 386.09 489.09 35.78 0.75% (241.08) SXQP Index 1,173 37,292 801.05 826.25 6.56 0.48% (17.09) SXRP Index (36) 16,765 432.46 431.53 -0.43 0.50% (49.05) SXMP Index 5,038 18,312 261.12 332.95 44.21 0.62% (282.67) SXTP Index 22,858 39,247 172.05 272.25 70.37 0.83% (113.55) SX7E Index 5,590 18,886 159.85 207.16 26.46 1.12% (156.29) SXSE Index 7,482 40,565 3,715.50 4,400.84 29.69 0.62% 7.70 SPGSCITR Index (164) (15,386) 4,989.44 5,042.63 -2.44 0.44% (74.77) XAG Curncy 1,090 (15,640) 21.28 19.79 9.72 0.72% (216.53) CO1 Comdty (175) (14,773) 108.90 110.19 -1.73 0.69% (126.95) CL1 Comdty 922 30,849 99.40 102.37 4.66 0.64% 209.31 NG1 Comdty 2,463 18,950 3.86 4.37 10.01 1.30% 44.22 XAU Comdty (260) (23,727) 89.98 90.96 -2.04 0.54% (147.99) IBOXHY Index 3,615 53,418 220.12 235.02 131.94 0.05% 44.47 US_TSY CREDIT 344 57,396 763.21 767.78 5.73 0.10% 177.27 CA_TSY CREDIT 251 65,318 1,212.36 1,217.02 1.84 0.21% 258.55 MX_TSY CREDIT 434 51,040 220.30 222.17 2.39 0.36% 160.36 AU TSY CREDIT 1,304 68,895 1,502.12 1,530.55 7.29 0.26% 207.46 JP_TSY CREDIT 44 (18,304) 818.12 816.14 0.94 0.26% (82.43) MY_TSY CREDIT 197 46,970 169.73 170.44 1.67 0.25% 312.00 SG_TSY CREDIT 462 57,396 221.20 222.98 3.70 0.22% 237.09 AT_TSY CREDIT 4,189 81,569 358.40 376.81 18.81 0.27% 335.87 BE_TSY CREDIT 5,516 79,771 477.76 510.79 25.13 0.28% 400.94 FI_TSY CREDIT 3,754 85,645 349.64 364.97 17.58 0.25% 287.51 FR_TSY CREDIT 4,772 82,246 1,684.51 1,782.25 22.01 0.26% 375.61 DE_TSY CREDIT 3,127 84,524 1,247.55 1,293.71 14.19 0.26% 271.85 IE_TSY CREDIT 32,824 78,270 336.92 478.22 182.80 0.23% 104.64 IT_TSY CREDIT 9,257 54,986 1,616.07 1,888.15 69.53 0.24% 89.27 NL_TSY CREDIT 3,940 82,865 1,330.92 1,394.20 18.13 0.26% 328.74 ES_TSY CREDIT 11,450 50,187 392.28 481.78 94.69 0.24% 144.91 DK_TSY CREDIT 3,140 67,396 729.23 763.20 14.95 0.31% 193.69 NO_TSY CREDIT 23 50,177 349.03 349.19 0.16 0.29% 116.72 PL_TSY CREDIT 1,411 35,151 429.04 446.27 16.03 0.25% 35.26 ZA_TSY CREDIT 256 20,844 86.29 87.35 1.87 0.66% 70.29 SE_TSY CREDIT (393) (44,333) 464.03 468.15 -2.83 0.31% (53.56) CH_TSY CREDIT 3,501 69,857 1,008.64 1,059.18 18.27 0.27% 140.17 GB_TSY CREDIT 2,207 89,647 1,507.67 1,544.79 9.94 0.25% 236.67 EFTA00288815