EFTA00288816.pdf

Atorus, LLC 5/15/2010 Current Date: 5/15/2014 Change on Day: -1.78% Total Return since 1/1/12: 83.13% MSCI World Change on 712M Return: 22.97% Day .0.74% T9O Day Return: 2.31% No of Positions T3O Day Return: 5.65% (+MTM) on Day 138 Current Long Exposure @ Cost: 5,426,115 No of Positions (•MTM) Current Short Exposure @ Cost: (402,562) on Day 295 Net Exposure: 5,023,553 Current No. of Starting Capital: 1,000,000 Positions: 436 Current NAV: 1,831,342 Current Leverage (Gross Exposures): 3.18 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 -0.91% 50.00% 50.00% 10.00% 2X We implement leverage of 2X, in other words at Inception we upsize our positions by a factor two times greater than our volatility adjusted position sizing. Leverage levels can be customized to eac h investor. Historical sharpe ratio is in excess of 2.0X (backtest from 1995, see Investor Presentation). Our sharpe ratio increases materially during market downturns in excess of 20 days of realized volatility. Since we generate positive returns in these environments, the variance in our downside volatility is materially less than broader markets. Recessions, which generally result in market directionality in excess of 20 days of volatility are significant alpha capture opportunities for us. Additionally, by never dollar cost averaging and concurrently adding to our winners we have an inherent assymetry in our volatility profile. NAV 2,000,000.00 1,800,030.00 1,600,030.00 1,400,030.00 1,200,030.00 1,000/100.00 600,000.00 600,000 00 'V % 1- 'V 0, eb 0, • • tx 0' 0' 0 cils 0 0' Or 010 O19 0' O19 0' 0 0 0 % 0~1\ry n n 4. n Al. 0. et. n• iv 1. n n V , 19 . 9 t9 . 9 111 1 4 4 4 4 4 4 4' 4) 4 ,4 4.' 4.' (ott % '). —Series1 EFTA00288816 Atorus, LLC Largest Exposures Current Positions 97.5th Percentile 2.5th Percentile (@ cost ex- MTM) Security Notional % of Total Notional 24 Positions • 19.85% DISCA US Equity (6,841) 0.12% MEXBOL Index (8,366) 0.14% TGT US Equity (8,574) 0.15% 941 HK Equity (9,455) 0.16% CO1 Comdty (9,849) 0.17% JP_TSY CREDIT (13,728) 0.24% SPGSCITR Index (15,386) 0.26% XAG Curncy (15,640) 0.27% INDEXCF Index (21,271) 0.36% 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% CH_TSY CREDIT 69,857 1.20% AU TSY CREDIT 71,396 1.22% 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 -0.965% Listed Equity Short 0.081% EquityCom Long -1.088% EquityCom Short 0.075% G20 Rates Long 0.100% G20 Rates Short -0.007% 5/15/2014 Largest MTM Gains Current Posi ions (90th Percentile MTM Gains % NAV) • Security MTM Gain % Total NAV 45 Positions 25.48% XLF US Equity 5,372 0.29% AEX Index 5,601 0.31% BE_TSY CREDIT 5,804 0.32% JNJ US Equity 5,805 0.32% NVS US Equity 5,861 0.32% HON US Equity 5,904 0.32% EDF FP Equity 6,238 0.34% XLI US Equity 6,264 0.34% UTX US Equity 6,264 0.34% SX6P Index 6,324 0.35% DAI GR Equity 6,483 0.35% AZN SS Equity 6,660 0.36% MAERSKB DC Equity 6,727 0.37% SXSE Index 6,773 0.37% ROG VX Equity 6,819 0.37% SXXP Index 6,857 0.37% ACA FP Equity 6,859 0.37% NOVN VX Equity 7,395 0.40% AZN US Equity 7,422 0.41% AZN LN Equity 7,424 0.41% BEL20 Index 7,956 0.43% SMI Index 8,028 0.44% MDT US Equity 8,085 0.44% HEX Index 8,172 0.45% TMO US Equity 8,333 0.46% IT_TSY CREDIT 8,744 0.48% PRU LN Equity 8,786 0.48% IBEX Index 9,064 0.49% SXAP Index 9,064 0.49% DAX Index 9,072 0.50% MMM US Equity 9,628 0.53% NDX Index 9,683 0.53% SXOP Index 10,206 0.56% KFX Index 10,752 0.59% TYC US Equity 10,849 0.59% ES_TSY CREDIT 11,115 0.61% LUXXX Index 11,159 0.61% SXIP Index 11,192 0.61% XLV US Equity 11,953 0.65% SPX Index 17,759 0.97% EFTA00288817 ISEQ Index 20,342 1.11% SXTP Index 21,271 1.16% SXDP Index 27,283 1.49% lE_TSY CREDIT 32,619 1.78% STBCNZL Index 36,718 2.00% APAC Lon 28 APAC Short 19 EMEA Long 70 EMEA Short 14 AMER Long 177 AMER Short 34 E • ultyCom Lon 64 EquityCom Short 7 G20 Rates Lon 21 G20 Rates Short 2 Total Long 360 Total Short 76 Current Exposure by Geography (Listed Eqult es) & 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 EFTA00288818 Atorus, LLC 5/1S/2014 Historical Net Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodlites, G20 Gov. Credit) 6,000.000 5,000,000 0,000,000 " 0X ° 2,000,000 1,000,000 —APAC (MCA —AMER — EquityCom —G20 Rates NexEposule RIG 2,000,000 1.500.000 1,000,000 I 500,000 19% (501. of N _ le elt \_, \ \ eCt. 1§ 9 .0 9 ..Q.(54',./.‘19 vvvv 1,9% \ 10 " \ 1.4444 \ 1 9.44 19%ts \ (1,000,000) (2,000,003) (1,000,000) (3,000,0E0) Historical Gross Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodlites, G20 Gov. Credit) le le ce le le ce,ste 410> 404' 4,te ce le 4' ')N 4 $:" 4 0, lN N, 4 4" EFTA00288819 Atorus, LIC 5/15/2014 Current Gross Notional Risk by Category 249,629 Ai lr fr 59 0o 7,700 1,439,23 • 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 e °41 9tete iCI:pe,"te sCbt 6;beetee st s)." 9/ 1 ?" °41 •—•Serits1 —Serits2 Rolling 30 Day Realized Volatility - A EFTA00288820 Mortis, LLC 5/15/2014 Percentile Distribution of Current MTM Gains in Vol Days by Position (ex-99pct & ex-1st percentiles) 70.00 WOO 50.00 40.00 30.00 20.00 10.00 0.00 -10%. 4 4 A 'A P.," pii v I0'pbv Position Percentile No. Vol Days DOLL:, 14.82 5.00% -3.01 10.00% .1.30 15.00% .0.31 20.00% 0.33 25.00% 1.14 30.00% 2.25 35.00% 3.32 40.00% 4.37 45.00% 5.80 50.00% 7.67 55.00% 9.44 60.00% 11.91 65.00% 15.07 70.00% 19.32 75.00% 22.53 80.00% 26.45 85.00% 32.11 90.00% 40.73 95.00% 59.20 100.00% 181.66 MTM Gains(Losses) % of NAV "Signficant" (<7 Vol Days) MTM Gains(Losses) % of NAV "Signficant" (>7 Vol Days) 1.13% EFTA00288821 Atorus, LLC Current Portfolio -Listed Equity Portfolio Current Price P/L in Vol 3017 Realized Change on Day Security MTM Gain/(Loss) Exp. @ Cost Avg. Price (in USD) Days Vol (in USD) 5/15/2014 000270 KS Equity (44) (1,238) 55.84 57.83 -3.51 1.01% (12.20) 005380 KS Equity 106 3,149 224.39 231.97 3.40 0.99% 50.52 005490 KS Equity (83) (753) 272.57 302.74 •11.11 1.00% 1.26 005930 KS Equity 1,374.32 012330 KS Equity 1,056 5,584 247.00 293.71 18.91 1.00% 88.52 1 HK Equity 856 12,607 16.18 17.28 6.94 0.98% 48.25 1299 HK Equity 166 5,954 4.79 4.92 2.85 0.98% (6.09) 13 HK Equity 724 4,897 11.40 13.09 16.01 0.92% 71.77 16 HK Equity 13.14 27 HK Equity 29 (2,232) 7.61 7.51 0.67 1.97% 16.17 2914 JP Equity (13) 2,888 33.68 33.53 -0.52 0.88% (24.10) 3382 JP Equity 31 2,327 38.42 38.93 1.85 0.72% (47.66) 4063 JP Equity (16) 1,008 59.47 58.52 -1.60 1.02% (7.83) 4502 JP Equity (53) 4,908 44.97 44.49 -1.31 0.81% (46.13) 4689 JP Equity 117 (2,118) 4.47 4.23 3.12 1.77% 13.50 5 HK Equity (81) (4,127) 10.15 10.35 -3.22 0.61% (21.18) 5108 JP Equity (89) 3,469 35.68 34.78 -2.49 1.04% 30.51 54011P Equity 158 (5,599) 2.81 2.73 2.79 1.01% (51.44) 63011P Equity 17 2,933 22.08 22.21 0.55 1.06% (1.95) 6752 JP Equity 10.64 - 6902 JP Equity 43.73 6954 JP Equity 470 6,629 6,392.98 169.58 7.45 0.95% 43.10 7201 JP Equity (38) (2,999) (3,742.97) 8.97 -1.29 0.97% 19.49 7203 JP Equity 69 (4,207) (5,259.85) 55.17 1.96 0.84% 34.11 7267 JP Equity 276 (4,675) (4,885.01) 33.25 4.98 1.19% 80.54 762 HK Equity (55) 2,330 (5,161.69) 1.54 .1.47 1.61% (52.30) 7751 JP Equity 1,127 (6,865.02) 32.56 0.00 0.73% 0.65 80311P Equity (169) (1,910) (4,775.88) 15.34 •9.70 0.91% 4.44 8058 JP Equity 66 4,540 (4,383.01) 19.51 1.57 0.92% 3.26 81061P Equity (20) (3,668) (4,603.66) 5.66 -0.45 1.24% (22.05) 83161P Equity 63 (1,984) (2,000.57) 39.84 2.73 1.17% 61.67 8411 JP Equity 72 5,474 2.00 2.02 0.65% 14.44 8604 JP Equity 234 (3,335) (3,504.39) 6.02 5.13 1.37% 59.88 8801 JP Equity 220 3,059 30.78 33.00 5.36 1.34% 63.68 8802 JP Equity (53) (4,920) 24.34 24.61 0.79 1.36% (29.55) 9020 JP Equity 32 (5,379) 75.21 74.77 0.68 0.87% 12.66 941 HK Equity 392 (9,455) 10.19 9.77 4.27 0.97% (4.44) 94321P Equity 501 6,468 53.44 57.58 8.43 0.92% 22.88 94331P Equity (53) 3,581 55.65 54.83 •1.15 1.30% (5.34) 94371P Equity (359) (6,149) 15.59 16.50 •6.80 0.86% (2.81) 99831P Equity 72 (2,724) 323.49 314.90 1.95 1.36% 54.24 EFTA00288822 9984 JP Equity 3 (341) 70.88 70.29 0.49 1.67% 2.84 AAPL US Equity 885 7,342 527.64 591.24 13.09 0.92% (47.63) ABB US Equity 23.56 - ABBN VX Equity (37) (2,982) 23.43 23.71 -1.45 0.84% 10.00 ABBV US Equity 168 4,019 50.65 52.77 3.00 1.39% 1.88 ABEV US Equity (1) (3,165) 7.37 7.37 -0.03 0.99% 52.65 ABEV3 BZ Equity 10 (3,012) 7.43 7.41 0.32 1.06% 58.53 ABI BB Equity 514 8,888 103.14 109.10 7.93 0.73% (41.91) ABT US Equity 48 4,097 38.87 39.33 1.72 0.69% (59.15) ABX CN Equity 369 (3,958) 18.70 16.96 8.02 1.16% 136.50 ABX US Equity 375 (4,194) 18.59 16.92 7.78 1.15% 148.03 ACA FP Equity 6,859 5,408 6.83 15.50 108.32 1.17% (428.85) ACE US Equity 492 10,287 97.54 102.21 12.84 0.37% (46.23) ACN US Equity 61 8,563 77.97 78.52 1.14 0.62% (41.74) ADP US Equity 22 5,607 76.56 76.86 0.60 0.66% (105.97) MI US Equity (65) 3,645 62.86 61.75 -2.45 0.73% (70.36) AGN US Equity 4,208 9,698 110.56 158.54 22.63 1.92% (137.82) Al FP Equity 771 12,864 137.87 146.12 10.86 0.55% 108.02 AIG US Equity 405 7,022 49.93 52.82 6.37 0.91% (83.08) AIR FP Equity (40) (993) 67.47 70.20 -3.73 1.09% 14.74 ALV GR Equity (23) 8,815 169.20 168.76 -0.35 0.75% 28.41 ALVG IX Equity 14 7,162 168.62 168.95 0.27 0.73% 30.20 AMGN US Equity 58 (3,302) 112.50 110.52 1.68 1.05% 42.84 AMT US Equity 1,719 12,078 77.25 88.24 24.23 0.59% (121.03) AMZN US Equity 119 (2,898) 306.51 293.95 2.07 1.98% 63.54 ANZ AU Equity 500 12,947 29.78 30.93 5.15 0.75% (31.15) AM US Equity 84 4,994 87.41 88.88 2.10 0.80% (65.93) APC US Equity 38 2,501 97.78 99.27 1.12 1.36% (58.24) AXP US Equity 2,324 10,373 71.56 87.59 25.46 0.88% (151.41) AZN LN Equity 7,424 12,676 49.80 78.97 34.47 1.70% 220.50 AZN SS Equity 6,660 12,119 50.82 78.75 32.25 1.70% 83.57 AZN US Equity 7,422 12,812 50.30 79.44 35.29 1.64% 334.38 BA US Equity 212 8,072 128.04 131.40 3.34 0.78% (119.86) BAC US Equity 94 (3,184) 14.98 14.54 2.72 1.08% 75.95 BARC LN Equity 73 5,219 4.11 4.17 0.98 1.42% (73.15) BAS GR Equity 1,289 7,333 97.30 114.40 19.56 0.90% 3.25 BATS LN Equity 576 7,532 53.98 58.10 10.56 0.72% 34.42 BAX US Equity 70 4,842 73.52 74.57 2.69 0.53% (56.01) BAYN GR Equity 379 7,767 135.04 141.63 5.62 0.87% 6.53 BBAS3 BZ Equity (9) 707 10.89 10.75 -0.73 1.74% (7.86) BOO US Equity 262 4,539 14.82 15.67 4.02 1.43% (55.49) BBOC4 BZ Equity 250 3,963 14.73 15.66 4.37 1.44% (61.74) BBL US Equity 66.81 BBVA SM Equity 1,135 5,993 10.18 12.11 24.73 0.77% (131.36) BCE CN Equity 166 7,148 44.67 45.70 5.66 0.41% 9.10 BCS US Equity 29 5,457 16.46 16.55 0.39 1.38% (86.61) BEN US Equity 87 2,814 52.91 54.56 2.90 1.07% (68.66) EFTA00288823 BG/ IN Equity (586) (4,735) 18.76 21.09 -13.09 0.95% (10.04) BHP AU Equity 361 8,969 34.41 35.80 4.84 0.83% (15.04) BHP US Equity 392 7,278 68.00 71.66 5.87 0.92% (52.17) BBB US Equity 191 1,066 245.93 289.91 11.09 1.61% (33.03) BIL SJ Equity 33.29 - BK US Equity 171 8,609 32.86 33.52 2.32 0.86% (206.09) BUC US Equity 8 2,735 296.18 297.03 0.33 0.87% (48.36) BLT IN Equity 33.46 - BMO CN Equity 451 13,003 66.63 68.94 8.41 0.41% (92.90) BMW GR Equity 1,194 5,212 99.22 121.96 32.75 0.70% (26.37) BMT US Equity (59) 3,126 49.84 48.92 -1.78 1.06% (185.46) BN FP Equity (9) (189) 71.77 75.07 -6.32 0.73% (0.60) BNP FP Equity 65 (3,355) 72.97 71.56 2.03 0.95% 46.67 BNS CN Equity 674 11,536 58.56 61.98 13.87 0.42% 96.98 BP/ LN Equity 865 9,797 7.76 8.45 13.08 0.67% 29.36 BRK/B US Equity 705 14,233 120.53 126.50 10.05 0.49% (142.75) BSBR US Equity 6 2,143 6.67 6.69 0.20 1.38% (31.03) BUD US Equity 428 9,049 103.62 108.52 6.87 0.69% (82.73) BX US Equity 10 (1,225) 29.10 28.87 0.45 1.78% 28.70 C US Equity (69) 3,015 47.50 46.44 -2.94 0.77% (44.21) CA FP Equity 203 3,932 34.37 36.14 5.20 0.99% (25.50) CAT US Equity 2,356 14,645 90.43 104.98 24.14 0.67% (251.36) CBA AU Equity 1,448 16,101 69.48 75.72 16.62 0.54% 40.23 CBS US Equity 72 (2,800) 57.39 55.90 2.22 1.16% 17.78 CCL US Equity 393 6,257 36.20 38.48 7.79 0.81% (107.19) CELG US Equity 43 2,632 147.09 149.50 1.19 1.38% (32.94) CFR VX Equity 398 7,019 96.74 102.22 8.73 0.65% 313.14 CL US Equity 2,407 21,171 59.80 66.59 24.97 0.46% (178.29) CM CN Equity 723 11,908 84.09 89.19 14.57 0.42% (11.08) CMCSA US Equity (17) 4,527 50.01 49.82 -0.42 0.89% (11.67) CMCSK US Equity 4,304 12,096 36.26 49.17 42.71 0.83% (80.26) CNI US Equity 1,865 12,873 51.38 58.82 23.09 0.63% (146.90) CNQ CN Equity 990 10,769 36.73 40.11 10.77 0.85% (203.25) CNR CN Equity 1,818 12,795 51.50 58.82 22.80 0.62% (154.32) COF US Equity 733 7,124 68.86 75.94 16.08 0.64% (56.65) COP US Equity 202 6,210 75.56 78.02 4.43 0.73% (45.90) COST US Equity 6 9,550 114.02 114.08 0.10 0.56% (91.54) COV LN Equity #N/A N/A COV US Equity 795 7,080 64.09 71.28 17.54 0.64% (101.33) CRM US Equity 31 (1,529) 52.24 51.20 1.03 1.94% 33.42 CS FP Equity 62 (2,672) 24.12 23.56 2.46 0.94% 66.65 CSCO US Equity (116) (1,728) 22.87 24.40 -10.39 0.64% (94.12) CSX US Equity 1,397 9,324 25.23 29.01 22.34 0.67% (136.95) CVE CN Equity 28.76 CVS US Equity 2,086 12,136 64.26 75.30 29.17 0.59% (154.11) CVX US Equity (47) 4,590 125.36 124.08 -1.77 0.58% (82.62) D US Equity 2,039 13,256 60.80 70.15 25.41 0.61% (80.94) EFTA00288824 DAI GR Equity 6,483 13,908 62.20 91.20 44.29 1.05% (60.35) DU GR Equity 23 (2,563) 42.70 42.31 0.94 0.97% 34.48 DD US Equity 2,789 13,319 55.25 66.83 40.35 0.52% (236.21) DDAIF US Equity 3,611 8,377 63.20 90.45 36.49 1.18% (124.54) DE US Equity 492 10,094 86.88 91.11 9.12 0.53% (77.23) DELL US Equity MO WA DG FP Equity 4,220 10,090 51.66 73.26 64.07 0.65% (220.70) DGE LN Equity 80 2,332 30.86 31.92 4.22 0.82% 34.06 DHR US Equity 51 5,021 73.91 74.65 1.45 0.70% (65.83) DIS US Equity 1,667 10,263 68.75 79.92 19.99 0.81% (188.44) DISCA US Equity 315 (6,841) 75.84 72.34 4.46 1.03% (0.19) DNB NO Equity 362 5,106 17.27 18.49 6.75 1.05% 13.34 DOW US Equity 2,328 7,396 37.11 48.79 33.86 0.93% (269.49) DPW GR Equity 158 660 29.41 36.45 22.49 1.07% (30.89) DTE GR Equity 1,377 7,575 15.16 17.91 21.33 0.85% 139.33 DTV US Equity 3,890 10,622 61.97 84.67 30.72 1.19% (176.32) DUK US Equity (5) (895) 71.30 71.68 -1.10 0.49% (4.76) DVN US Equity 1,296 11,143 63.30 70.66 13.40 0.87% (227.20) EBAY US Equity (18) (2,444) 50.75 51.12 -0.67 1.09% 34.18 Ea US Equity 41 9,210 105.22 105.68 0.75 0.59% (49.54) EDF FP Equity 6,238 9,189 23.45 39.36 74.53 0.91% 36.50 EMC US Equity 195 10,986 25.35 25.80 2.37 0.75% 8.54 EMR US Equity (54) 8,739 66.79 66.38 -0.89 0.69% (140.58) ENB CN Equity 583 12,231 45.61 47.78 9.86 0.48% 1.64 ENEL IM Equity 2,187 8,902 4.48 5.58 31.19 0.79% (221.08) ENI IM Equity 648 11,929 24.33 25.65 9.67 0.56% (121.16) EOAN GR Equity (109) 2,397 18.73 17.91 -5.83 0.78% (38.20) EOG US Equity 2,379 5,841 72.84 102.51 34.27 1.19% (162.11) EPD US Equity 1,907 13,127 63.70 72.95 21.17 0.69% (22.20) ERICB SS Equity (27) 7,934 12.51 12.47 -0.32 1.07% 51.71 ESRX US Equity (37) (3,365) 67.34 68.08 -1.18 0.93% 8.63 ETN US Equity (28) 5,260 72.48 72.10 -0.55 0.95% (59.59) F US Equity (159) (2,897) 14.82 15.63 -7.07 0.78% 27.85 F8 US Equity 841 2,630 44.06 58.14 13.98 2.29% (98.30) FCX US Equity 287 5,704 33.48 35.16 5.35 0.94% (69.95) FDX US Equity 266 3,612 128.98 138.47 11.16 0.66% (25.97) FOX US Equity 48 5,613 32.67 32.95 0.67 1.28% (114.42) FOXA US Equity 60 4,207 33.36 33.84 1.10 1.31% (76.91) FP FP Equity 1,817 14,528 62.63 70.47 18.38 0.68% (147.15) G IM Equity 178 5,607 21.99 22.69 4.65 0.68% 21.49 GE US Equity 2,478 13,140 22.32 26.52 36.00 0.52% (171.96) GILD US Equity 145 4,205 77.50 80.17 2.43 1.42% (30.52) GIS US Equity 1,371 21,798 50.35 53.52 13.72 0.46% (272.47) GLE FP Equity 440 2,598 49.51 57.90 14.41 1.18% (74.15) GLEN LN Equity (166) (2,955) 5.22 5.52 -8.41 0.67% (21.60) GLW US Equity 3,370 11,635 16.25 20.96 34.56 0.84% (192.72) GM US Equity (70) 4,771 34.80 34.30 -1.56 0.94% (83.65) EFTA00288825 GOOG US Equity 1 (1,170) 521.13 520.75 0.05 1.44% 17.10 GS US Equity 13 (681) 159.83 156.68 1.92 1.03% 13.69 GSK LN Equity 284 5,707 26.22 27.52 5.75 0.87% 66.29 GSZ FP Equity 621 11,150 25.29 26.70 7.15 0.78% (49.88) HAL US Equity 1,609 7,135 50.67 62.10 23.23 0.97% (281.48) HD US Equity 172 6,095 73.80 75.88 3.46 0.81% (55.59) HMB SS Equity 42.87 - HON US Equity 5,904 11,930 61.10 91.33 81.63 0.61% (372.78) HPQ US Equity 2,055 7,473 25.51 32.53 28.50 0.96% (155.01) HSBA LN Equity 130 4,576 10.19 10.48 4.58 0.62% 69.35 IBE SM Equity 2,005 7,531 5.56 7.04 45.63 0.58% (93.60) IBM US Equity 93 (4,032) 191.43 187.00 2.97 0.78% 50.72 IMT LN Equity 2,825 13,420 36.87 44.63 30.13 0.70% (6.51) INTC US Equity 957 12,041 24.19 26.12 14.08 0.56% (147.90) ISP IM Equity 3,513 5,699 1.93 3.12 52.54 1.17% (238.50) ITUB US Equity 289 5,715 15.88 16.68 4.09 1.24% (68.92) ITUB4 BZ Equity 270 4,601 15.79 16.71 4.49 1.31% (65.97) ITW US Equity 3,645 14,011 67.84 85.48 39.37 0.66% (189.77) ITX SM Equity (6) (3,652) 146.45 146.68 -0.29 0.55% 23.37 JCI US Equity 4 (907) 44.93 44.72 0.36 1.25% 11.46 JNJ US Equity 5,805 17,142 75.17 100.63 73.95 0.46% (64.47) JPM US Equity 45 (3,218) 54.39 53.63 1.68 0.83% 47.45 KMB US Equity 307 9,903 107.52 110.86 5.81 0.53% (21.52) KMI US Equity 81 (6,775) 33.81 33.40 1.52 0.78% (64.96) KO US Equity (14) 4,404 40.80 40.67 -0.61 0.53% (34.28) LBTYA US Equity 11 3,592 43.18 43.31 0.30 1.06% (48.03) LBTYK US Equity 9 4,703 41.40 41.48 0.19 1.01% (44.77) LIN GR Equity 447 8,087 198.03 208.97 9.11 0.61% 103.00 LLOY LN Equity 248 2,488 1.14 1.25 8.41 1.18% (80.24) LLY US Equity (37) 4,953 59.02 58.59 -1.07 0.70% (126.42) LMT US Equity 679 2,016 122.48 163.72 42.98 0.78% (35.26) LNKD US Equity 495 (2,461) 183.83 146.87 7.53 2.67% (17.29) LOW US Equity (28) 358 47.89 44.42 -7.67 1.02% (6.15) LVS US Equity 366 1,961 61.33 72.76 10.40 1.79% (40.95) LYB US Equity 1,386 2,297 59.29 95.06 76.60 0.79% (57.61) MA US Equity (33) 3,476 73.93 73.24 -0.71 1.32% (49.58) MAERSKB DC Equity 6,727 14,148 1,642.52 2,423.41 50.47 0.94% (105.45) MC FP Equity 322 5,711 186.24 196.74 8.27 0.68% 46.61 MCD US Equity 175 9,603 100.64 102.47 4.09 0.44% (43.88) MCK US Equity 160 2,181 164.92 177.03 8.33 0.88% (17.74) MDIZ US Equity 4,074 13,641 28.68 37.25 38.37 0.78% (194.22) MDT US Equity 8,085 20,811 43.22 60.02 58.32 0.67% (355.81) MET US Equity 877 7,556 44.37 49.52 10.77 1.08% (239.53) MFC CN Equity 1,547 3,201 12.38 18.36 58.82 0.82% (94.63) MHS US Equity PWA WA MMM US Equity 9,628 21,331 96.89 140.63 75.53 0.60% (272.93) MO US Equity 1,002 12,846 37.19 40.09 17.28 0.45% (88.18) EFTA00288826 MON US Equity 1,069 11,917 106.02 115.53 10.90 0.82% (157.89) MOS US Equity 49.28 MRK US Equity 1,321. 11,769 50.18 55.82 12.30 0.91% (118.68) MS US Equity (61) 2,280 30.38 29.58 -1.94 1.39% (44.99) MSFT US Equity 988 8,007 35.30 39.66 15.65 0.79% (134.62) MUV2 GR Equity 529 6,116 197.70 214.79 10.46 0.83% (23.20) NAB AU Equity (68) 13,313 31.52 31.36 .0.70 0.73% (42.65) NCM AU Equity 9.65 NEE US Equity 4,827 14,972 73.03 96.57 47.39 0.68% (22.46) NEM US Equity 469 (1,819) 32.73 24.29 16.15 1.60% 39.40 NESN VX Equity 1,411 10,957 70.38 79.45 23.48 0.55% 141.22 NG/ IN Equity 2,752 13,258 11.96 14.45 39.22 0.53% 67.66 NKE US Equity 206 2,940 68.03 72.79 8.70 0.81% (50.25) NOK US Equity 3,708 4,498 3.96 7.23 54.26 1.52% (119.00) NOV US Equity 344 9,753 77.58 80.32 4.51 0.78% (91.25) NOVN VX Equity 7,395 18,576 64.09 89.60 51.30 0.78% 140.52 NOVOB DC Equity 490 9,444 40.35 42.44 5.45 0.95% (123.33) NSC US Equity 1,876 10,109 81.19 96.26 27.34 0.68% (132.64) NVS US Equity 5,861 16,535 66.17 89.62 57.95 0.61% 68.63 OGXP3 BZ Equity 4,034 (4,107) 4.39 0.08 53.02 1.85% 83.08 OR FP Equity 399 8,826 167.38 174.95 6.75 0.67% 60.46 ORA FP Equity 1,902 8,188 13.68 16.86 24.12 0.96% 39.65 ORCL US Equity 1,949 8,168 33.82 41.89 30.92 0.77% 3.14 OXY US Equity 134 7,355 95.04 96.77 2.76 0.66% (36.03) PBR US Equity (6) 1,998 15.36 15.31 -0.14 2.18% (23.10) PBR/A US Equity 4 1,851 16.20 16.24 0.11 2.20% (19.49) PCLN US Equity 114 1,869 1,065.36 1,130.06 3.76 1.62% (40.53) PCP US Equity (164) 3,781 254.80 244.22 -4.75 0.91% (93.17) PEP US Equity 382 12,677 83.59 86.11 7.27 0.41% (141.71) PETR3 BZ Equity 15 2,462 7.62 7.66 0.30 2.08% (39.95) PETR4 BZ Equity 1 1,792 8.11 8.11 0.03 2.25% (25.45) PFE US Equity 8 (2,679) 29.10 29.02 0.27 1.05% 7.99 PG US Equity 212 11,013 79.25 80.78 4.03 0.48% (78.79) PHIA NA Equity 32.02 - PM US Equity (8) 3,200 85.77 85.55 -0.56 0.46% (12.19) PNC US Equity 671 9,010 76.60 82.31 9.09 0.82% (155.72) POT CN Equity 144 4,291 35.54 36.73 3.87 0.87% (57.40) POT US Equity 107 4,552 35.90 36.74 2.79 0.84% (51.70) PRU LN Equity 8,786 10,521 12.76 23.42 86.37 0.97% (177.66) PSA US Equity 659 13,406 162.12 170.09 11.52 0.43% (107.61) PSX US Equity 1,605 6,461 65.64 81.95 27.74 0.90% (171.58) PX US Equity 2,420 16,340 113.54 130.36 28.15 0.53% (137.97) QCOM US Equity 2,423 12,547 66.83 79.73 26.94 0.72% (168.73) QQQ US Equity 2,173 7,968 68.46 87.13 36.04 0.76% (102.99) RAI US Equity 623 10,690 53.26 56.37 7.68 0.76% (107.09) RDS/A US Equity 582 11,546 75.02 78.80 9.80 0.51% 16.06 RDS/B US Equity 1,038 11,427 78.85 86.01 15.74 0.58% 42.11 EFTA00288827 RDSA LN Equity 725 9,744 36.73 39.47 13.28 0.56% 34.06 RDSA NA Equity 512 11,195 37.76 39.48 8.28 0.55% 32.68 RDSB LN Equity 1,116 10,889 39.07 43.08 17.51 0.59% 55.40 REGN US Equity (331) 6,240 301.93 286.74 .2.74 1.93% (25.56) RIO AU Equity (70) 5,122 59.39 58.59 .1.49 0.92% (12.35) RIO LN Equity 163 4,819 54.83 56.68 3.88 0.87% 17.67 RIO US Equity 241 4,934 54.04 56.68 4.56 1.07% 2.33 ROG VX Equity 6,819 17,035 212.78 297.97 61.89 0.65% IF 335.26 RY CN Equity 212 10,940 65.94 67.22 4.52 0.43% (53.22) SAB LN Equity 1,038 11,163 49.36 53.95 12.85 0.72% 7.94 SAN FP Equity (27) 1,148 107.67 105.18 .3.00 0.79% (8.39) SAN SM Equity 1,346 8,929 8.60 9.89 21.58 0.70% (175.46) SAN US Equity 1,052 7,569 8.66 9.87 19.82 0.70% (206.54) SAP GR Equity (218) 4,193 80.39 76.41 .6.24 0.83% (27.41) SAP US Equity (215) 3,615 80.34 75.83 .6.95 0.86% (51.56) SBUX US Equity 1 (840) 69.81 69.70 0.18 0.83% 9.00 SGO FP Equity 2,480 7,836 44.08 58.04 31.67 1.00% (133.02) SI US Equity 775 5,671 8N/A N/A 16.39 0.83% SIE GR Equity 857 5,345 114.81 133.21 20.01 0.80% (83.24) SLB US Equity 1,551 8,679 84.17 99.21 31.45 0.57% (162.04) SMSN LI Equity 681.83 SO US Equity (131) 11,861 44.11 43.62 .1.66 0.67% (32.53) SPG US Equity 390 12,383 168.79 174.11 7.90 0.40% 1.09 SREN VX Equity 87.37 - STAN LN Equity 12 (2,352) 22.09 21.97 0.59 0.89% (25.72) STL NO Equity 1,473 11,476 26.77 30.21 16.19 0.79% (480.51) STT US Equity (80) 2,734 65.12 63.28 .2.75 1.06% (75.24) SU CN Equity 705 11,105 36.96 39.30 6.54 0.97% (91.15) SU FP Equity 491 8,613 86.36 91.29 5.78 0.99% (176.76) SU US Equity 652 9,658 36.78 39.27 6.88 0.98% (80.57) SWEDA SS Equity 10 2,841 25.87 25.97 0.39 0.90% 7.33 SYNN VX Equity (342) (4,132) 359.52 389.25 .14.82 0.56% 11.44 T US Equity 137 5,618 35.62 36.49 3.45 0.71% 20.34 TD CN Equity 471 10,892 45.74 47.72 9.37 0.46% (77.70) TEF SM Equity 208 7,580 16.07 16.51 3.31 0.83% (8.15) TEF US Equity 173 6,344 15.95 16.38 3.05 0.89% (55.58) TGT US Equity 741 (8,574) 63.57 58.08 10.05 0.86% 190.06 TJX US Equity 559 3,143 49.32 58.09 23.13 0.77% (80.63) TLS AU Equity 763 13,319 4.66 4.93 10.73 0.53% (37.92) TLSN SS Equity (339) (5,268) 7.02 7.47 .6.64 0.97% (27.39) TM US Equity 283 (5,442) 115.49 109.49 6.63 0.78% 66.49 TMO US Equity 8,333 10,218 63.59 115.45 93.11 0.88% (231.95) TOT US Equity 1,151 7,801 61.19 70.22 20.27 0.73% (96.33) TRP CN Equity (5) (388) 46.35 46.92 .2.14 0.58% 0.81 TRV US Equity 826 11,685 86.16 92.25 12.61 0.56% (58.32) TSCO LN Equity 603 (6,286) 5.60 5.06 9.83 0.98% (132.71) TWC US Equity 664 5,234 120.22 135.48 15.23 0.83% (4.87) EFTA00288828 TWX US Equity 147 7,427 66.94 68.27 2.28 0.87% (100.82) TXN US Equity 3,521 12,205 34.93 45.00 25.11 1.15% (290.33) TYC US Equity 10,849 24,080 29.17 42.31 56.32 0.80% (450.35) UBS US Equity 147 5,489 19.43 19.95 3.64 0.74% (143.29) UBSN VX Equity 158 5,158 19.51 20.11 3.50 0.87% (97.93) UCG IM Equity 2,536 5,500 5.62 8.22 38.31 1.20% (270.23) ULVR LN Equity 290 6,329 42.99 44.96 6.80 0.67% 71.92 UNA NA Equity 262 5,283 41.53 43.59 7.66 0.65% 64.09 UNH US Equity 1,947 10,191 64.28 76.56 26.18 0.73% (103.59) UNP US Equity 1,862 12,389 166.05 191.02 22.43 0.67% (93.08) UPS US Equity 3,830 14,806 79.87 100.53 41.77 0.62% (239.66) USB US Equity 2,315 14,238 34.71 40.36 31.27 0.52% (7.22) UTX US Equity 6,264 15,190 82.05 115.89 57.49 0.72% (347.99) V US Equity 182 5,407 200.76 207.53 3.23 1.04% (82.31) VALE US Equity 168 (2,664) 14.92 13.98 3.78 1.67% 27.41 VALE3 BZ Equity 210 (2,939) 15.07 13.99 4.13 1.74% 38.85 VIAB US Equity 3,421 9,272 60.42 82.70 43.00 0.86% (59.24) VIV FP Equity (20) 1,601 26.19 25.86 -1.85 0.68% (6.30) VMW US Equity 215 4,785 89.16 93.16 2.90 1.55% (32.56) VOD LN Equity 189 (3,581) 3.85 3.65 6.00 0.88% 61.20 VOD US Equity 193 (3,458) 38.42 36.27 5.93 0.94% 81.80 VOW3 GR Equity (8) 3,208 259.69 259.02 0.28 0.93% (10.64) VRX CN Equity 544 1,611 92.95 124.31 21.23 1.59% (57.82) VRX US Equity 625 1,880 93.20 124.20 20.71 1.61% (68.00) VTI US Equity 573 5,134 86.91 96.61 21.36 0.52% (74.98) VWO US Equity (11) 4,433 42.16 42.06 -0.34 0.72% (41.89) VZ US Equity 33 (3,895) 48.44 48.03 1.45 0.58% 2.69 WBC AU Equity 469 11,844 30.87 32.09 5.28 0.75% (9.62) WES AU Equity 413 13,490 39.08 40.28 4.37 0.70% (50.49) WFC US Equity 3,058 12,761 39.49 48.95 47.21 0.51% (128.09) WLP US Equity 4,262 10,369 74.31 104.86 38.42 1.07% (104.84) WMT US Equity 65 9,262 76.31 76.85 1.60 0.44% (223.31) WOW AU Equity 29 3,779 34.46 34.73 0.85 0.90% 22.45 XOM US Equity 1,509 15,723 92.14 100.99 21.70 0.44% (235.13) XTA LN Equity #WA N/A YHOO US Equity (19) 293 35.84 33.68 -3.55 1.80% (5.00) YUM US Equity 84 7,151 73.86 74.73 1.66 0.71% (116.99) ZURN VX Equity (68) 7,208 293.74 291.01 -1.45 0.65% 23.60 Current Portfolio - Global Macro Portfolio Current Price PA in Vol 30P Realized Change on Day Security MTM Gain/(Loss) Exp. # Cost Avg. Price (in USD) Days Vol (in USD) SPX Index 17,759 62,272 1,455.70 1,870.85 51.64 0.55% L (749.23) NDX Index 9,683 37,348 2,831.19 3,565.17 30.16 0.86% (367.46) RTY Index 560 3,570 947.28 1,095.99 16.29 0.96% (26.78) EFTA00288829 SPTSX Index 1,208 35,883 12,970.96 13,407.67 7.80 0.43% MEXBOL Index (173) (8,366) 3,142.45 3,207.38 4.07 0.67% IBOV Index 259 9,415 23,590.66 24,239.60 2.49 1.11% MERVAL Index (85) 5,351 855.01 841.59 4.42 1.12% UKX Index 4,629 43,063 10,369.13 11,483.80 20.68 0.52% DAX Index 9,072 36,674 10,610.77 13,235.55 36.08 0.69% CAC Index 1,604 24,884 5,723.77 6,092.67 11.67 0.55% IBEX Index 9,064 41,170 11,643.70 14,207.31 31.25 0.70% SMI Index 8,028 49,310 8,347.57 9,706.65 37.79 0.43% FTSEMIB Index 5,323 25,266 23,118.94 27,989.17 20.16 1.04% P5120 Index 4,268 24,476 8,041.34 9,443.51 16.58 1.05% ISEQ Index 20,342 40,099 4,246.25 6,400.40 60.36 0.84% ICEXI Index 4,284 37,337 6.63 7.39 20.89 0.55% AEX Index 5,601 44,526 487.32 548.62 25.98 0.48% BEL20 Index 7,956 46,820 3,646.05 4,265.62 35.75 0.48% LUXXX Index 11,159 41,632 1,672.08 2,120.24 47.08 0.57% KFX Index 10,752 39,508 101.67 129.33 40.02 0.68% HEX Index 8,172 41,358 8,528.98 10,214.29 30.14 0.66% OMX Index 2,341 23,118 191.41 210.80 13.24 0.76% ATX Index (111) 3,690 3,406.52 3,307.47 •3.77 0.79% ASE Index 1,864 9,297 1,282.88 1,540.15 14.40 1.39% OSEBX Index 4,361 26,592 86.02 100.13 23.80 0.69% INDEXCF Index (59) (21,271) 39.64 39.75 0.19 1.41% TOP40 index 2,447 33,820 3,975.21 4,262.81 9.22 0.78% SENSEX Index 3,641 39,149 367.43 401.61 12.99 0.72% NKY Index (29) 13,057 141.07 140.76 -0.24 0.93% HSI Index 193 29,992 2,913.59 2,932.30 0.82 0.78% SHCOMP Index 1,891 (33,248) 344.53 324.94 8.41 0.68% KOSPI Index 1,791 36,560 1.86 1.96 8.99 0.54% AS51 Index 1,389 33,715 4,948.24 5,152.08 6.99 0.59% STEtCNZL Index 36,718 73,207 #N/A N/A 100.37 0.50% EEM US Equity 42.38 IYR US Equity 150 9,689 69.78 70.86 3.90 0.40% MDY US Equity 4,722 14,269 184.03 244.93 48.72 0.68% JNK US Equity 20 8,156 41.27 41.37 1.87 0.13% XLF US Equity 5,372 13,610 15.57 21.72 61.54 0.64% XLU US Equity 725 10,859 39.38 42.01 9.95 0.67% XLK US Equity 2,359 12,860 30.80 36.45 25.34 0.72% XLI US Equity 6,264 16,147 38.20 53.02 61.73 0.63% XLP US Equity 552 12,093 42.09 44.01 12.27 0.37% XLY US Equity 1,150 5,441 52.24 63.28 26.51 0.80% XLE US Equity 732 10,089 87.31 93.64 11.91 0.61% XLB US Equity 4,036 14,930 37.57 47.73 40.56 0.67% XLV US Equity 11,953 24,346 38.87 57.95 64.19 0.76% SXXP Index 6,857 45,756 403.51 463.98 29.90 0.50% SXAP Index 9,064 28,526 520.28 685.61 30.88 1.03% SXKP Index 5,021 37,626 366.14 414.99 20.34 0.66% (221.23) 160.79 (157.20) (106.37) (232.44) (464.50) (332.11) (1,181.59) 187.67 a— (1,106.71) 6 (762.91) (1,832.66) 53.30 (386.42) (793.44) (593.83) (420.19) (460.47) 119.01 (80.79) (517.12) (224.86) 198.86 (501.62) 119.64 (73.08) 196.76 409.15 (12.74) (24.72) (16.63) (159.92) (5.92) (216.00) (46.69) (91.31) (196.91) (111.07) (47.57) (123.38) (266.41) (365.84) (479.74) (584.26) (489.07) EFTA00288830 SX6P Index 6,324 38,710 359.38 418.09 34.08 0.48% (512.70) SXEP Index 3,950 51,146 456.85 492.14 13.72 0.56% (558.45) SXIP Index 11,192 28,923 222.31 308.33 60.68 0.64% (537.80) SXNP Index 4,818 28,384 482.69 564.62 26.14 0.65% (514.25) SX3P Index 1,824 31,675 679.66 718.81 15.52 0.37% 209.03 SXDP Index 27,283 61,074 609.16 881.28 88.22 0.51% 150.49 SX4P Index 4,102 25,840 917.36 1,062.99 24.62 0.64% (74.59) SX8P Index 1,064 11,378 343.07 375.16 11.33 0.83% (157.55) SXOP Index 10,206 43,418 386.09 476.84 31.53 0.75% (1,342.95) SXQP Index 1,298 38,557 801.94 828.93 7.02 0.48% 129.32 SXRP Index 15 16,765 432.46 432.84 0.17 0.50% 51.01 SXMP Index 3,495 13,734 261.12 327.57 40.90 0.62% (278.59) SXTP Index 21,271 39,247 172.05 265.30 65.48 0.83%.._ (1,546.13) SX7E Index 3,767 15,109 159.85 199.70 22.29 (679.57) SXSE Index 6,773 40,565 3,715.50 4,335.83 26.87 0.62%` 1.12% (699.36) SPGSCITR Index (88) (15,386) 4,989.44 5,018.12 -1.31 0.44% 74.35 XAG Curncy 1,301 (15,640) 21.28 19.51 11.60 0.72% 246.25 CO1 Comdty (139) (9,849) 108.90 110.44 -2.06 0.69% (22.03) CL1 Comdty 652 30,849 99.40 101.50 3.30 0.64% (267.71) NG1 Comdty 2,963 18,950 3.86 4.47 12.04 1.30% XAU Comdty (81) (23,727) 89.38 89.68 A.63 0.54% IBOXHY Index 3,595 53,418 220.12 234.93 131.21 0.05% (19.92) US_TSY CREDIT 432 57,396 763.21 768.95 7.19 0.10% 88.12 CA_TSY CREDIT 510 65,318 1,212.36 1,221.84 3.74 0.21% tyn= ! MX_TSY CREDIT 276 57,747 220.44 221.49 1.34 0.36% (177.59) AU TSY CREDIT 1,282 71,396 1,503.08 1,530.08 6.92 0.26% (22.32) JP_TSY CREDIT (7) (13,728) 818.12 818.51 -0.19 0.26% (39.85) MY_TSY CREDIT 128 58,788 169.82 170.19 0.87 0.25% (86.42) SG_TSY CREDIT 483 57,396 221.20 223.06 3.87 0.22% 20.77 AT_TSY CREDIT 4,572 81,569 358.40 378.49 20.53 0.27% l imilmal 84. BE_TSY CREDIT 5,804 79,771 477.76 512.52 26.45 0.28% 289.84 FI_TSY CREDIT 4,075 85,645 349.64 366.28 19.08 0.25% 322.03 FR_TSY CREDIT 5,077 82,246 1,684.51 1,788.50 23.42 0.26% 306.23 DE_TSY CREDIT 3,560 84,524 1,247.55 1,300.10 16.16 0.26% 435.01 lE_TSY CREDIT 32,619 78,270 336.92 477.34 181.66 0.23% (204.05) IT_TSY CREDIT 8,744 54,986 1,616.07 1,873.07 65.68 0.24% (508.99) NL_TSY CREDIT 4,321 82,865 1,330.92 1,400.32 19.89 0.26% IL 382.711 ES_TSY CREDIT 11,115 50,187 392.28 479.16 91.92 0.24% (333.37) DK_TSY CREDIT 3,521 67,396 729.23 767.33 16.77 0.31%. 383.771 NO_TSY CREDIT (86) 50,177 349.03 348.43 -0.60 0.29% (109.02) PL_TSY CREDIT 1,455 35,151 428.08 445.80 16.52 0.25% (38.55) ZA_TSY CREDIT 87 20,844 86.49 86.85 0.64 0.66% (119.81) SE_TSY CREDIT (491) (44,333) 464.03 469.17 -3.53 0.31% (95.52) CH_TSY CREDIT 3,566 69,857 1,008.64 1,060.13 18.62 0.27% 65.86 GELTSY CREDIT 2,725 89,647 1,507.67 1,553.51 12.28 0.25% 521.42 EFTA00288831