EFTA00288832.pdf

Atorus, LLC 5/16/2014 Current Date: 5/16/2014 Change on Day: Total Return since 1/1/12: 83.29% MSCI World Change on 712M Return: 23.93% Day 0.08% T90 Day Return: 2.50% No of Positions T30 Day Return: 3.18% (+MTM) on Day 236 Current Long Exposure @ Cost: 5,439,449 No of Positions (..MTM) Current Short Exposure @ Cost: (399,097) on Day 198 Net Exposure: 5,040,352 Current No. of Starting Capital: 1,000,000 Positions: 439 Current NAV: 1,832,867 Current Leverage (Gross Exposures): 3.19 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 UlocOnoo UmAoloo Lisoopnw Moopnoo UNIAmoo 000coom mum® wow® 6> 6> 6> 6> 6> 6> 6> 6> 6> 6> 6> 6> 6> 6> is14, ‘. 1.441.•04‘. C# NO% \\41. e" 4 41. e t. nt —Series]. EFTA00288832 Atorus, LLC 5/16/2014 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 • 19.90%l KMI US Equity (6,775) 0.12% DISCA US Equity (6,841) 0.12% TGT US Equity (8,574) 0.15% 1P_TSY CREDIT (9,152) 0.16% 941 HK Equity (9,455) 0.16% CO1 Comdty (11,819) 0.20% 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% CH_TSY CREDIT 69,857 1.20% STBCNZL Index 73,207 1.25% AU TSY CREDIT 73,896 1.27% CA_TSY CREDIT 74,166 1.27% 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 0.102% Listed Equity Short 0.030% EquityCom Long 0.080% EquityCom Short 0.008% G20 Rates Long .0.074% G20 Rates Short 0.006% Security MTM Gain % Total NAV 45 Positions 25.23% AEX Index 5,496 0.30% BE_TSY CREDIT 5,571 0.30% FTSEMIB Index 5,654 0.31% 1N1 US Equity 5,775 0.32% HON US Equity 5,850 0.32% NVS US Equity 5,890 0.32% DAI GR Equity 6,083 0.33% UTX US Equity 6,089 0.33% EDF FP Equity 6,175 0.34% XLI US Equity 6,294 0.34% SX6P Index 6,678 0.36% MAERSKB DC Equity 6,727 0.37% ACA FP Equity 6,746 0.37% SXSE Index 6,897 0.38% SXXP Index 6,914 0.38% ROG VX Equity 7,060 0.39% AZN SS Equky 7,126 0.39% NOVN VX Equity 7,450 0.41% BEL20 Index 7,692 0.42% AZN US Equity 7,738 0.42% HEX Index 7,874 0.43% AZN UN Equity 7,886 0.43% MDT US Equity 8,163 0.45% SMI Index 8,234 0.45% TMO US Equity 8,537 0.47% SXAP Index 8,549 0.47% 1T_TSY CREDIT 8,747 0.48% PRU LN Equity 8,887 0.48% DAX Index 8,928 0.49% SEX Index 9,597 0.52% MMM US Equity 9,628 0.53% NDX Index 9,973 0.54% SXOP Index 10,023 0.55% LUXXX Index 10,041 0.55% KFX Index 10,752 0.59% TYC US Equity 10,999 0.60% SKIP Index 11,088 0.60% ES_TSY CREDIT 11,170 0.61% XLV US Equity 12,078 0.66% ISEQ Index 16,097 0.88% EFTA00288833 SPX Index 18,059 0.99% SXTP Index 20,468 1.12% SXDP Index 27,721 1.51% IE_TSY CREDIT 32,582 1.78% STBCNZL Index 36,451 1.99% No. Names by Canoe= APAC Long 29 APAC Short 18 EMEA Long 74 EMEA Short 12 AMER Long 178 AMER Short 33 EquityCom Long 65 EquityCom Short 7 G20 Rates Long 21 G20 Rates Short 2 Total Long 367 Total Short 72 Current Exposure by Geography (Listed Equl les) & Macro (Equity Indices & Commodiites, G20 Gov. Credit) a 1 ■ APAC Long ■ APAC Short ■ EMEA Long ■ EMEA Short ■ AMER Long ■ AMER Short ■ EquityCom Long ■ EquityCom Short ■ G20 Rates Long ■ G20 Rates Short EFTA00288834 Atorus, LLC 5/16/2014 Historical Net Exposure by Geography (Listed Equities) & Macro (Equity Indices & Comrnodlites, G20 Gov. Credit) 5) 3) 2) Li ce l e \ \ 'Cl. O4" . O.' ON' ON' O . \is', N‘1 , \ \ \ O ty• \ la• \ to, \ t. „ Historical Gross Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodlites, G20 Gov. Credit) EFTA00288835 Atorus, LIC 5/16/2014 Current Gross Notional Risk by Category 254,199 600,003 1,461,32 1 4 1 1 ■ APAC ■ EMEA ■ AMER ■ EquityCom ■ G20 Rates Performance Vs. MSCI World Index 115 1.95 1.75 1.55 1.35 1.15 0.95 0.75 csv O•y% O4), O•s, O•~'~ <P #1t," P)1:" O•'A tete te op c- e 9 et° ce „e "9 e /9 .—*Serits1 —Serits2 Rolling 30 Day Realized Volatility - EFTA00288836 Atorus, LLC 5/16/2014 Percentile Distribution of Current MTM Gains in Vol Days by Position (ex-99pct & ex-1st percentiles) Percentile No. Vol Days 0.00,:, 14./1 5.00% -2.95 10.00% .1.12 15.00% .0.21 20.00% 0.32 25.00% 1.02 30.00% 2.02 35.00% 3.18 40.00% 4.68 45.00% 5.72 50.00% 7.23 55.00% 9.19 60.00% 11.97 65.00% 14.33 70.00% 17.83 75.00% 22.39 80.00% 25.78 85.00% 31.64 90.00% 39.78 95.00% 56.99 100.00% 192.68 MTM Gains(Losses) % of NAV "Signficant" (<7 Vol Days) MTM Gains(Losses) % of NAV "Signficant" (>7 Vol Days) 1.21% EFTA00288837 Atorus, LLC Current Portfolio •Usted 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 (30) (1,485) 55.84 56.96 -1.90 1.05% 21.93 005380 KS Equity 59 3,149 224.39 228.59 1.83 1.02% (46.82) 005490 KS Equity 302.93 • 005930 KS Equity - 996 1,384.45 1,384.45 0.00 0.86% 7.34 012330 KS Equity 977 5,584 247.00 290.22 17.02 1.03% (77.92) 1 HK Equity 873 12,607 16.18 17.30 7.14 0.97% 16.54 1299 HK Equity 162 5,954 4.79 4.92 2.86 0.95% (3.48) 13 HK Equity 749 4,897 11.40 13.15 16.01 0.95% 24.50 16 HK Equity 13.07 27 HK Equity 35 (2,232) 7.61 7.49 0.82 1.89% 5.52 2914 JP Equity (55) 1,548 33.72 32.57 -3.73 0.95% (42.85) 3382 JP Equity (25) 2,327 38.42 38.01 -1.30 0.84% (54.82) 4063 JP Equity (8) 756 59.48 58.84 -L08 1.01% 4.06 4502 JP Equity (56) 4,908 44.97 44.46 -1.41 0.81% (3.73) 4689 JP Equity 144 (2,380) 4.45 4.18 3.52 1.71% 30.08 5 HK Equity (127) (4,127) 10.15 10.46 -4.73 0.65% (43.05) 5108 JP Equity (98) 2,079 35.94 34.33 -4.50 1.05% (26.04) 5401 JP Equity 166 (5,599) 2.81 2.73 3.17 0.94% 9.07 6301 JP Equity 22 3,767 22.12 22.24 0.58 0.99% 5.94 6752 JP Equity 10.42 6902 JP Equity 43.60 6954 JP Equity 352 6,629 6,392.98 166.76 5.31 1.00% (115.99) 7201 JP Equity 21 (2,999) (3,742.97) 8.79 0.72 0.98% 58.37 7203 JP Equity 135 (4,207) (5,259.85) 54.29 3.70 0.87% 69.60 7267 JP Equity 313 (4,675) (4,885.01) 32.97 5.62 1.19% 41.46 762 HK Equity (44) 2,853 (5,161.69) 1.55 -0.96 1.61% 13.69 7751 JP Equity (3) 2,482 (6,865.02) 32.48 -0.18 0.70% (5.73) 8031 JP Equity (199) (2,292) (4,775.88) 15.32 -10.32 0.84% 2.66 8058 JP Equity 44 5,197 (4,383.01) 19.42 0.99 0.86% (24.61) 8306 JP Equity 56 (3,668) (4,603.66) 5.54 1.24 1.23% 76.93 8316 JP Equity 115 (1,984) (2,000.57) 38.76 4.71 1.23% 56.91 8411 JP Equity 10 5,474 1.98 0.29 0.62% (61.62) 8604 JP Equity 264 (3,335) (3,504.39) 5.96 5.72 1.38% 34.56 8801 JP Equity 174 3,458 30.97 32.53 3.74 1.35% (51.41) 8802 JP Equity 32 (4,920) 24.34 24.19 0.48 1.36% 84.49 9020 JP Equity 141 (5,379) 75.21 73.23 3.16 0.83% 113.24 941 HK Equity 352 (9,455) 10.19 9.81 4.21 0.89% (43.06) 9432 JP Equity 442 6,858 53.63 57.09 7.32 0.88% (61.66) 9433 JP Equity (140) 3,581 55.57 53.48 -3.07 1.28% (84.49) 9437 JP Equity (270) (6,149) 15.59 16.28 -5.46 0.80% 80.51 9983 JP Equity 114 (2,724) 323.49 309.96 2.98 1.40% 44.51 5/16/2014 EFTA00288838 9984 JP Equity 24 (753) 70.56 68.30 1.91 1.68% 22.05 AAPL US Equity 886 7,342 527.64 591.33 13.23 0.91% 1.35 ABB US Equity 23.55 ABBN VX Equity (21) (2,982) 23.43 23.59 -0.88 0.80% 15.31 ABBV US Equity 165 4,019 50.65 52.72 3.15 1.30% (3.44) ABEV US Equity (12) (3,165) 7.37 7.39 -0.39 0.96% (10.87) ABEV3 BZ Equity (7) (3,012) 7.43 7.45 -0.19 1.12% (16.71) ABI BB Equity 586 8,888 103.14 109.95 9.01 0.73% 73.33 ABT US Equity 28 4,097 38.87 39.13 0.93 0.74% (20.25) ABX CN Equity 439 (4,152) 18.61 16.65 9.19 1.15% 85.28 ABX US Equity 438 (4,194) 18.59 16.64 9.19 1.14% 76.96 ACA FP Equity 6,746 5,408 6.83 15.36 106.02 1.18% (112.42) ACE US Equity 497 10,287 97.54 102.25 12.61 0.38% 4.51 ACN US Equity 126 8,563 77.97 79.11 2.36 0.62% 65.15 ADP US Equity 54 5,607 76.56 77.30 1.35 0.71% 31.95 AFL US Equity (66) 2,734 62.85 61.36 -3.08 0.79% (16.95) AGN US Equity 4,243 9,698 110.56 158.94 22.73 1.92% 34.94 Al FP Equity 564 12,864 137.87 143.91 7.23 0.61% (203.51) AIG US Equity 348 7,022 49.93 52.41 5.31 0.93% (56.76) AIR FP Equity 68.80 ALV GR Equity (148) 8,815 169.16 166.37 -2.16 0.78% (122.89) ALVG IX Equity (87) 7,162 168.60 166.57 -1.60 0.76% (99.90) AMGN US Equity 36 (3,302) 112.50 111.28 1.03 1.05% (22.93) AMT US Equity 1,800 12,212 77.36 88.76 24.16 0.61% 82.96 AMZN US Equity 105 (2,898) 306.51 295.44 1.85 1.95% (15.17) ANZ AU Equity 469 12,947 29.78 30.86 5.09 0.71% (30.58) APA US Equity 67 4,994 87.41 88.58 1.68 0.79% (17.18) APC US Equity 34 2,852 97.94 99.12 1.13 1.06% (4.53) AXP US Equity 2,293 10,373 71.56 87.38 24.65 0.90% (30.81) AZN LN Equity 7,886 12,676 49.80 80.78 35.01 1.78% 472.64 AZN SS Equity 7,126 12,119 50.82 80.70 33.00 1.78% 477.42 AZN US Equity 7,738 12,812 50.30 80.68 35.71 1.69% 320.55 BA US Equity 173 8,072 128.04 130.79 2.63 0.82% (38.04) BAC US Equity 112 (3,184) 14.98 14.45 3.10 1.14% 19.57 BARC LN Equity (44) 5,219 4.11 4.07 -0.58 1.47% (114.64) BAS GR Equity 1,177 7,333 97.30 112.92 17.79 0.90% (110.46) BATS LN Equity 692 7,532 53.98 58.93 12.32 0.75% 117.06 BAX US Equity 78 4,842 73.52 74.71 2.86 0.56% 8.79 BAYN GR Equity 374 7,767 135.04 141.54 5.64 0.85% (4.97) BBAS3 BZ Equity (1) 1,140 10.88 10.87 -0.06 1.73% 12.73 BBD US Equity 304 4,539 14.82 15.81 4.80 1.39% 42.14 BBDC4 BZ Equity 297 4,226 14.79 15.83 4.78 1.47% 50.06 BBL US Equity - 969 65.53 65.53 0.00 0.89% (18.50) BBVA SM Equity 1,156 6,043 10.19 12.14 24.96 0.77% 21.71 BCE CN Equity 188 7,973 44.78 45.84 6.20 0.38% 24.19 BCS US Equity (58) 5,457 16.46 16.29 -0.76 1.40% (85.53) BEN US Equity 61 2,814 52.91 54.06 1.91 1.14% (26.17) EFTA00288839 BG/ LN Equity (653) (4,735) 18.76 21.35 -14.44 0.96% (51.22) BHP AU Equity 350 9,507 34.49 35.76 4.75 0.78% (11.12) BHP US Equity 289 7,278 68.00 70.70 4.23 0.94% (101.46) BBB US Equity 186 1,066 245.93 288.75 10.85 1.60% (5.05) BIL S.I Equity • 1,147 32.89 32.89 0.00 0.73% (13.81) BK US Equity 265 8,609 32.86 33.87 3.20 0.96% 94.74 BLK US Equity 5 2,051 296.18 296.89 0.28 0.84% (0.92) BLT LN Equity • 1,098 32.88 32.88 0.00 0.78% (19.09) BMO CN Equity 420 13,003 66.63 68.78 7.67 0.42% (31.52) BMW GR Equity 1,000 5,212 99.22 118.25 24.52 0.78% (188.68) BMY US Equity (47) 2,345 49.84 48.87 .1.65 1.21% (2.68) BN FP Equity 75.59 - BNP FP Equity 59 (3,355) 72.97 71.70 1.96 0.90% (6.30) BNS CN Equity 639 11,902 58.65 61.80 12.16 0.44% (35.65) BP/ LN Equity 953 9,797 7.76 8.52 13.80 0.70% 88.96 BRK/B US Equity 699 14,233 120.53 126.45 9.65 0.51% (5.69) BSBR US Equity 25 2,143 6.67 6.75 0.84 1.36% 18.70 BUD US Equity 597 9,049 103.62 110.45 8.69 0.76% 171.62 BX US Equity (4) (1,606) 29.04 29.12 -0.14 1.83% (13.89) C US Equity (52) 2,261 47.49 46.42 -2.94 0.79% (0.98) CA FP Equity 225 3,932 34.37 36.33 5.75 0.99% 21.76 CAT US Equity 2,449 14,645 90.43 105.55 25.84 0.65% 93.33 CBA AU Equity 1,370 16,465 69.60 75.39 16.70 0.50% (79.16) CBS US Equity 37 (2,800) 57.39 56.63 1.13 1.17% (36.78) CCL US Equity 324 6,257 36.20 38.08 6.06 0.85% (68.56) CELG US Equity (2) 2,632 147.09 146.99 -0.05 1.36% (44.14) CFR VX Equity 353 7,019 96.74 101.61 6.83 0.74% (44.35) CL US Equity 2,478 21,171 59.75 66.74 24.15 0.48% 52.20 CM CN Equity 673 11,908 84.09 88.84 14.02 0.40% (49.75) CMCSA US Equity 6 4,527 50.01 50.08 0.17 0.84% 23.35 CMCSK US Equity 4,419 12,096 36.26 49.51 46.50 0.79% 115.18 CNI US Equity 1,912 12,873 51.38 59.01 23.21 0.64% 47.31 CNQ CN Equity 913 10,769 36.73 39.85 9.80 0.86% (77.29) CNR CN Equity 1,863 12,795 51.50 59.00 22.94 0.63% 44.91 COF US Equity 706 7,124 68.86 75.68 15.19 0.65% (27.19) COP US Equity 184 6,835 75.76 77.80 3.64 0.74% (19.39) COST US Equity 101 9,550 114.02 115.23 1.78 0.60% 96.86 COV LN Equity BN/A N/A COV US Equity 789 7,080 64.09 71.23 16.66 0.67% (5.84) CRM US Equity 28 (1,882) 52.04 51.28 0.78 1.90% (2.92) CS FP Equity 93 (3,180) 24.03 23.32 2.86 1.03% 32.94 CSCO US Equity (70) (1,152) 22.87 24.26 -7.32 0.83% 6.43 CSX US Equity 1,446 9,460 25.28 29.15 22.05 0.69% 49.81 CVE CN Equity 28.93 - CVS US Equity 2,256 12,136 64.26 76.20 29.29 0.63% 172.44 CVX US Equity (54) 3,443 125.34 123.42 -2.38 0.66% (18.03) D US Equity 2,039 13,256 60.80 70.15 25.76 0.60% 0.02 EFTA00288840 DAI GR Equity 6,083 13,908 62.20 89.41 41.11 1.06%I (391.62) DBK GR Equity 55 (3,216) 42.62 41.90 1.79 0.95% 32.30 DD US Equity 2,791 13,319 55.25 66.83 38.18 0.55% 1.95 DDAIF US Equity 3,456 8,377 63.20 89.28 33.37 1.24% (152.87) DE US Equity 534 10,094 86.88 91.47 9.59 0.55% 41.81 DELL US Equity #WA WA DG FP Equity 4,129 10,090 51.66 72.79 58.92 0.69% (90.58) DGE LN Equity 132 2,332 30.86 32.61 6.45 0.88% 52.78 DHR US Equity 82 5,021 73.91 75.12 2.22 0.74% 31.53 DIS US Equity 1,677 10,263 68.75 79.98 19.28 0.85% 9.46 DISCA US Equity 242 (6,841) 75.84 73.15 3.48 1.02% (79.18) DNB NO Equity 373 5,584 17.37 18.53 6.53 1.02% 11.34 DOW US Equity 2,340 7,396 37.11 48.86 31.59 1.00% 12.49 DPW GR Equity 155 660 29.41 36.30 19.89 1.18% (3.46) DTE GR Equity 1,025 7,575 15.16 17.21 13.46 1.01% (337.94) DTV US Equity 4,104 10,622 61.97 85.92 31.30 1.23% 216.88 DUK US Equity 4 (1,787) 71.50 71.35 0.40 0.50% 8.29 DVN US Equity 1,279 11,143 63.30 70.57 13.33 0.86% (16.63) EBAY US Equity (42) (1,833) 50.75 51.92 -2.07 1.12% (28.06) Ea US Equity 37 9,210 105.22 105.64 0.69 0.59% (3.54) EDF FP Equity 6,175 9,189 23.45 39.20 85.53 0.79% (63.19) EMC US Equity 339 10,986 25.35 26.13 4.04 0.77% 145.81 EMR US Equity (37) 8,739 66.79 66.51 -0.59 0.72% 17.32 ENB CN Equity 587 12,532 45.66 47.80 10.81 0.43% 4.70 ENEL IM Equity 2,025 8,902 4.48 5.50 25.81 0.88% (158.90) ENI IM Equity 555 11,929 24.33 25.46 7.93 0.59% (92.91) EOAN GR Equity (85) 1,798 18.72 17.88 -5.92 0.80% (2.82) EOG US Equity 2,371 5,841 72.84 102.41 33.94 1.20% (7.92) EPD US Equity 1,952 13,127 63.70 73.17 21.91 0.68% 44.36 ERICB SS Equity (42) 7,934 12.51 12.44 -0.52 1.03% (15.51) ESRX US Equity (48) (2,524) 67.34 68.62 -2.04 0.93% (19.73) ETN US Equity (26) 5,260 72.48 72.12 A.55 0.91% 1.39 F US Equity (186) (2,897) 14.82 15.77 -8.00 0.80% (23.90) FB US Equity 820 2,630 44.06 57.80 14.13 2.21% (20.57) FCX US Equity 233 6,027 33.55 34.85 4.05 0.95% (56.53) FDX US Equity 269 3,986 129.82 138.59 10.49 0.64% 3.59 FOX US Equity 61. 5,613 32.67 33.02 0.87 1.25% 12.88 FOXA US Equity 66 4,207 33.36 33.88 1.23 1.27% 5.09 FP FP Equity 1,941 14,528 62.63 71.00 18.55 0.72% 125.09 G IM Equity 116 5,607 21.99 22.45 2.91 0.71% (61.13) GE US Equity 2,503 13,140 22.32 26.57 36.21 0.53% 25.83 GILD US Equity 146 4,205 77.50 80.19 2.54 1.37% 1.26 GIS US Equity 1,417 21,798 50.35 53.63 13.41 0.48% 46.63 GLE FP Equity 291 1,949 49.51 56.90 12.91 1.16% (38.73) GLEN LN Equity (132) (2,955) 5.22 5.46 -6.51 0.69% 30.50 GLW US Equity 3,369 11,635 16.25 20.96 36.80 0.79% (1.50) GM US Equity (97) 4,771 34.79 34.10 •2.12 0.96% (27.73) EFTA00288841 GOOG US Equity 7 (1,683) 521.01 518.81 0.29 1.45% 6.29 GS US Equity 18 (1,302) 158.25 156.01 1.33 1.06% 5.62 GSK LN Equity 298 5,707 26.22 27.59 6.23 0.84% 14.01 GSZ FP Equity 564 11,150 25.29 26.57 6.31 0.80% (57.13) HAL US Equity 1,662 7,135 50.67 62.48 21.94 1.06% 53.80 HD US Equity 266 7,619 74.42 77.02 4.11 0.85% 119.08 HMB SS Equity - 1,147 42.95 42.95 0.00 0.65% 2.14 HON US Equity 5,850 11,930 61.10 91.06 75.46 0.65% (53.19) HPO. US Equity 2,019 7,473 25.51 32.41 27.79 0.97% (35.42) HSBA LN Equity 192 4,576 10.19 10.62 5.93 0.71% 62.37 IBE SM Equity 2,023 7,531 5.56 7.05 43.27 0.62% 17.50 IBM US Equity 101 (4,032) 191.43 186.62 3.12 0.80% 8.27 IMT LN Equity 2,848 13,562 36.93 44.69 30.63 0.69% 23.57 INTC US Equity 824 12,041 24.19 25.85 12.25 0.56% (131.91) ISP IM Equity 3,280 5,699 1.93 3.04 48.62 1.18% (227.13) ITUB US Equity 350 5,715 15.88 16.85 5.02 1.22% 61.70 ITUB4 BZ Equity 331 4,601 15.79 16.92 5.44 1.32% 61.39 ITW US Equity 3,667 14,011 67.84 85.59 41.20 0.64% 22.38 ITX SM Equity 2 (3,652) 146.45 146.38 0.09 0.55% 7.63 JO US Equity 8 (1,407) 44.85 44.60 0.46 1.22% 3.72 1N1 US Equity 5,775 17,142 75.17 100.50 72.85 0.46% (30.27) JPM US Equity 75 (4,014) 54.24 53.22 2.12 0.88% 31.16 KMB US Equity 295 9,903 107.52 110.73 5.58 0.53% (11.96) KMI US Equity 55 (6,775) 33.81 33.53 1.00 0.81% (26.48) KO US Equity (7) 3,303 40.80 40.71 -0.43 0.53% 3.37 LBTYA US Equity 19 3,592 43.18 43.41 0.48 1.10% 7.69 LBTYK US Equity 10 5,290 41.41 41.49 0.19 1.03% 1.09 LIN GR Equity 463 8,607 198.68 209.38 8.37 0.64% 17.73 LLOY LN Equity 164 1,991 1.14 1.24 6.46 1.28% (33.66) LLY US Equity (70) 4,953 59.02 58.19 -1.80 0.79% (33.32) LMT US Equity 660 2,016 122.48 162.56 39.46 0.83% (18.97) LNKD US Equity 509 (2,461) 183.83 145.81 8.03 2.57% 21.52 LOW US Equity (11) 179 47.99 45.13 -5.83 1.09% 2.67 LVS US Equity 245 1,307 61.33 72.83 10.33 1.82% 1.53 LYB US Equity 1,412 2,297 59.29 95.72 76.45 0.80% 25.93 MA US Equity (34) 3,476 73.93 73.21 -0.72 1.36% (1.48) MAERSKB DC Equity 6,727 14,148 MO WA 54.48 0.87% MC FP Equity 313 5,711 186.24 196.44 8.33 0.66% (9.13) MCD US Equity 224 9,603 100.64 102.98 5.03 0.46% 49.40 MCK US Equity 161 2,181 164.92 177.07 8.51 0.87% 0.50 MDIZ US Equity 4,147 13,641 28.68 37.40 38.68 0.79% 73.78 MDT US Equity 8,163 20,811 43.22 60.18 56.90 0.69% 78.11 MET US Equity 852 7,556 44.37 49.37 9.65 1.17% (25.27) MFC CN Equity 1,539 3,201 12.38 18.32 55.17 0.87% (8.24) MHS US Equity //WA WA MMM US Equity 9,628 21,331 96.89 140.63 74.21 0.61% (0.11) MO US Equity 1,136 12,846 37.19 40.47 18.16 0.49% 135.40 EFTA00288842 MON US Equity 1,093 11,917 106.02 115.74 11.93 0.77% 24.19 MOS US Equity 49.19 - MRK US Equity 1,335 11,769 50.18 55.88 12.10 0.94% 13.99 MS US Equity (35) 2,280 30.39 29.94 -1.06 1.42% 27.06 MSFT US Equity 973 8,007 35.30 39.59 14.98 0.81% (14.45) MUV2 GR Equity 502 6,116 197.70 213.91 9.74 0.84% (26.96) NAB AU Equity (72) 13,313 31.52 31.35 -0.79 0.68% (3.63) NCM AU Equity 9.59 - NEE US Equity 4,808 14,972 73.03 96.48 51.22 0.63% (18.66) NEM US Equity 487 (1,819) 32.73 23.97 17.04 1.57% 30.22 NESN VX Equity 1,534 11,128 70.52 80.24 24.26 0.57% 125.90 NG/ IN Equity 2,930 13,258 11.96 14.61 38.24 0.58% 180.85 NKE US Equity 232 2,940 68.03 73.39 9.21 0.86% 26.23 NOK US Equity 3,689 4,498 3.96 7.21 53.62 1.53% (19.25) NOV US Equity 475 9,753 77.58 81.36 5.90 0.83% 132.32 NOVN VX Equity 7,450 18,860 64.37 89.79 57.76 0.68% 55.41 NOVOB DC Equity 490 9,444 #N/A N/A 5.27 0.98% NSC US Equity 1,961 10,109 81.19 96.94 27.04 0.72% 85.19 NVS US Equity 5,890 16,716 66.36 89.74 60.38 0.58% 29.41 OGXP3 BZ Equity 4,035 (4,107) 4.39 0.08 53.47 1.84% 52.46 OR FP Equity 482 8,826 167.38 176.52 7.86 0.69% 83.21 ORA FP Equity 1,965 8,312 13.72 16.97 24.75 0.96% 64.42 ORCL US Equity 1,876 8,254 33.88 41.59 31.78 0.72% (72.85) OX? US Equity 80 7,355 95.04 96.07 1.68 0.65% (53.84) PBR US Equity (9) 1,998 15.36 15.29 -0.23 1.96% (3.25) PBR/A US Equity 13 1,851 16.20 16.32 0.38 1.91% 9.06 PCLN US Equity 88 1,402 1,065.36 1,131.87 4.01 1.56% 2.39 PCP US Equity (169) 2,836 254.37 240.03 -5.80 1.03% (45.69) PEP US Equity 398 12,677 83.59 86.21 7.06 0.44% 15.85 PETR3 BZ Equity 19 2,742 7.62 7.67 0.33 2.11% 4.25 PETR4 BZ Equity 15 1,792 8.11 8.17 0.36 2.27% 13.38 PFE US Equity (14) (3,322) 29.08 29.20 A.39 1.03% (21.06) PG US Equity 144 11,013 79.25 80.28 2.58 0.51% (68.23) PHIA NA Equity 31.48 - PM US Equity (1) 4,329 85.76 85.73 -0.07 0.46% 9.08 PNC US Equity 701 9,010 76.60 82.56 9.10 0.85% 30.14 POT CN Equity 174 4,940 35.72 36.98 4.15 0.85% 34.30 POT US Equity 133 5,241 36.03 36.95 3.11 0.82% 30.57 PRU LN Equity 8,887 10,521 12.76 23.54 92.47 0.91% 100.85 PSA US Equity 794 13,406 162.12 171.72 12.88 0.46% 135.56 PSX US Equity 1,599 6,461 65.64 81.88 27.63 0.90% (6.44) PX US Equity 2,468 16,340 113.54 130.69 27.89 0.54% 47.57 QCOM US Equity 2,324 12,547 66.83 79.21 25.07 0.74% (98.27) QQQ US Equity 2,178 7,968 68.46 87.17 36.27 0.75% 4.98 RAI US Equity 800 10,690 53.26 57.25 9.27 0.81% 180.65 RDS/A US Equity 604 11,546 75.02 78.94 10.21 0.51% 21.80 RDS/B US Equity 1,097 11,427 78.85 86.42 16.26 0.59% 58.91 EFTA00288843 RDSA LN Equity 745 9,744 36.73 39.54 13.69 0.56% 19.59 RDSA NA Equity 511 11,195 37.76 39.48 8.41 0.54% (0.30) RDSB LN Equity 1,151 10,889 39.07 43.20 18.36 0.58% 34.43 REGN US Equity (220) 6,240 302.41 292.12 .1.84 1.91% 113.06 RIO AU Equity (97) 5,122 59.38 58.28 .2.10 0.90% (26.46) RIO IN Equity 53 4,819 54.83 55.44 1.19 0.93% (106.89) RIO US Equity 101 4,934 54.04 55.15 1.89 1.08% (136.05) ROG VX Equity 7,060 17,035 212.78 300.97 58.92 0.70% 243.05 RY CN Equity 182 10,940 65.94 67.04 3.87 0.43% (30.00) SAS LN Equity 1,150 11,163 49.36 54.45 14.39 0.72% 113.48 SAN FP Equity - 1,098 105.63 105.63 0.00 0.78% 4.67 SAN SM Equity 1,355 9,024 8.61 9.90 23.86 0.63% 9.44 SAN US Equity 1,181 7,569 8.66 10.02 20.87 0.75% 131.16 SAP GR Equity (206) 3,354 80.30 75.65 -7.27 0.85% (31.48) SAP US Equity (168) 2,711 80.32 75.62 -7.01 0.89% (7.00) SBUX US Equity (6) (630) 69.81 70.47 .1.10 0.86% (6.85) SGO FP Equity 2,254 7,836 44.08 56.77 28.99 0.99% (220.84) SI US Equity 775 5,671 #WA N/A 16.39 0.83% SIE GR Equity 786 5,345 114.81 131.69 17.04 0.86% (69.93) SLB US Equity 1,578 8,679 84.17 99.47 29.83 0.61% 26.87 SMSN LI Equity • 910 691.56 691.56 0.00 0.95% 12.98 SO US Equity (178) 11,861 44.10 43.45 -2.24 0.67% (46.12) SPG US Equity 481 12,383 168.79 175.34 9.20 0.42% 90.93 SREN VX Equity 87.50 - STAN LN Equity (22) (1,764) 22.09 22.35 -1.28 0.96% (30.62) STL NO Equity 1,416 11,476 26.77 30.08 13.45 0.92% (57.57) STT US Equity (65) 2,050 65.11 63.11 -2.76 1.15% (5.24) SU CN Equity 580 11,105 36.96 38.89 5.32 0.98% (124.09) SU FP Equity 424 8,613 86.36 90.61 4.67 1.05% (66.79) SU US Equity 567 9,658 36.78 38.95 6.04 0.97% (83.69) SWEDA SS Equity 27 3,788 25.93 26.12 0.89 0.81% 23.06 SYNN VX Equity (337) (4,132) 359.52 388.89 -14.71 0.56% 3.55 T US Equity 168 5,618 35.62 36.68 4.38 0.68% 30.62 TD CN Equity 420 10,892 45.74 47.51 8.00 0.48% (50.56) TEF SM Equity 213 7,580 16.07 16.52 3.52 0.80% 4.48 TEF US Equity 244 6,344 15.95 16.56 4.19 0.92% 72.32 TGT US Equity 686 (8,574) 63.57 58.49 8.86 0.90% (65.22) TJX US Equity 580 3,143 49.32 58.42 23.15 0.80% 21.03 TLS AU Equity 834 13,319 4.66 4.95 12.45 0.50% 70.68 TLSN SS Equity (322) (5,268) 7.02 7.45 -6.61 0.93% 14.36 TM US Equity 293 (5,442) 115.49 109.26 6.57 0.82% 12.01 TMO US Equity 8,537 10,218 63.59 116.71 91.20 0.92% 205.92 TOT US Equity 1,262 7,801 61.19 71.09 20.21 0.80% 111.87 TRP CN Equity 46.92 • TRV US Equity 812 11,685 86.16 92.14 12.24 0.57% (14.18) TSCO LN Equity 454 (6,286) 5.60 5.19 6.76 1.07% (176.95) TWC US Equity 696 5,234 120.22 136.22 17.51 0.76% 32.30 EFTA00288844 TWX US Equity 173 7,427 66.94 68.50 2.66 0.87% 25.40 TXN US Equity 3,538 12,205 34.93 45.05 24.30 1.19% 16.97 TYC US Equity 10,999 24,080 29.17 42.49 54.03 0.85% 149.91 UBS US Equity 96 4,391 19.43 19.86 2.71 0.81% (21.07) UBSN VX Equity 66 4,126 19.51 19.82 1.82 0.87% (59.93) UCG IM Equity 2,315 5,500 5.62 7.99 32.49 1.30% (215.42) ULVR LN Equity 378 6,329 42.99 45.55 8.82 0.68% 88.97 UNA NA Equity 311 5,283 41.53 43.97 8.76 0.67% 49.38 UNH US Equity 1,915 10,191 64.28 76.36 25.81 0.73% (31.91) UNP US Equity 2,109 12,389 166.05 194.33 23.82 0.71% 251.27 UPS US Equity 3,929 14,806 79.87 101.06 41.46 0.64% 99.18 USB US Equity 2,460 14,238 34.71 40.71 32.09 0.54% 146.51 UTX US Equity 6,089 15,190 82.05 114.94 54.28 0.74% (173.39) V US Equity 217 5,407 200.69 208.73 3.67 1.09% 32.48 VALE US Equity 209 (2,664) 14.92 13.75 4.77 1.64% 46.74 VALE3 BZ Equity 250 (2,939) 15.07 13.79 4.91 1.73% 45.61 VIAB US Equity 3,512 9,272 60.42 83.30 44.34 0.85% 91.94 VIV FP Equity (29) 1,067 26.17 25.48 -3.74 0.72% (15.22) VMW US Equity 272 4,785 89.16 94.23 3.74 1.52% 57.73 VOD LN Equity 201 (3,581) 3.85 3.63 6.08 0.92% 13.48 VOD US Equity 182 (3,458) 38.42 36.40 5.40 0.97% (12.43) VOW3 GR Equity (21) 3,208 259.68 258.01 -0.73 0.88% (12.43) VRX CN Equity 431 1,289 92.95 124.05 21.00 1.59% (3.54) VRX US Equity 623 1,880 93.20 124.09 20.57 1.61% (2.31) VTI US Equity 584 5,134 86.91 96.79 20.67 0.55% 10.71 VWO US Equity 33 5,559 42.23 42.48 0.79 0.75% 55.03 VZ US Equity (35) (2,921) 48.44 49.01 -1.92 0.62% (59.17) WBC AU Equity 471 11,844 30.87 32.10 5.72 0.70% 1.53 WES AU Equity 500 13,490 39.08 40.53 5.28 0.70% 87.87 WFC US Equity 3,067 12,761 39.49 48.98 45.07 0.53% 8.60 WLP US Equity 4,260 10,369 74.31 104.84 39.63 1.04% (1.84) WMT US Equity 86 9,262 76.31 77.02 1.85 0.50% 21.36 WOW AU Equity 32 4,724 34.52 34.75 0.77 0.88% 3.53 XOM US Equity 1,450 15,723 92.14 100.64 19.32 0.48% (58.65) XTA LN Equity #N/A N/A YHOO US Equity (14) 195 35.79 33.35 -4.04 1.81% (1.77) YUM US Equity 86 7,151 73.86 74.75 1.70 0.71% 1.82 ZURN VX Equity (12) 7,208 293.77 293.28 -0.27 0.62% 55.95 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 18,059 62,272 1,455.70 1,877.86 49.77 0.58% 301.00 NDX Index 9,973 37,348 2,831.19 3,587.20 30.57 0.87% 292.34 RTY Index 391 2,380 947.28 1,102.91 17.07 0.96% 17.49 EFTA00288845 SPTSX Index 1,047 35,883 12,970.96 13,349.34 6.78 0.43% (160.66) MEXBOL Index (204) (6,275) 3,142.45 3,244.40 -4.47 0.73% (70.08) IBOV Index 324 9,415 23,590.66 24,403.54 3.08 1.12% 65.87 MERVAL Index (10) 4,013 855.22 853.17 -0.20 1.20% 55.06 UKK Index 4,856 43,063 10,369.13 11,538.33 21.28 0.53% 227.53 DAX Index 8,928 36,674 10,610.77 13,193.79 34.74 0.70% (143.86) CAC Index 1,662 24,884 5,723.77 6,105.99 11.97 0.56% 58.08 IBEX Index 9,597 41,170 11,643.70 14,357.92 30.51 0.76% 538.17 SMI Index 8,234 49,310 8,347.57 9,741.55 41.07 0.41% 206.94 FTSEMIB Index 5,654 25,266 23,118.94 28,292.70 19.87 1.13% 335.31 P5120 Index 4,292 24,476 8,041.34 9,451.37 16.52 1.06% 23.94 ISEQ Index 16,097 32,079 4,246.25 6,377.03 56.82 0.88% (175.89) ICEXI Index 4,295 37,337 6.63 7.39 21.83 0.53% 10.65 AEX Index 5,496 44,526 487.32 547.48 26.03 0.47% (104.45) BEL20 Index 7,692 47,159 3,649.75 4,245.09 32.84 0.50% (264.04) LUXXX Index 10,041 41,632 1,672.08 2,075.36 36.40 0.66% IP - (1,093.77) KFX Index 10,752 39,508 #WA N/A 40.35 0.67% HEX Index 7,874 41,358 8,528.98 10,152.69 30.89 0.62% (296.92) OMX Index 2,315 23,118 191.41 210.58 14.54 0.69% (26.16) ATX Index (67) 1,845 3,405.02 3,284.99 -4.67 0.78% (12.09) ME Index 1,132 6,973 1,282.88 1,491.12 10.11 1.60% (257.99) OSEBX Index 4,315 26,592 86.02 99.98 23.14 0.70% (46.20) INDEXCF Index (227) (21,271) 39.64 40.06 -0.75 1.41% (165.66) TOP40 index 2,425 33,820 3,975.21 4,260.27 9.12 0.79% (21.58) SENSEX Index 4,752 40,518 368.78 412.03 15.37 0.76% 1,174 , NKY Index (131) 8,323 141.12 138.94 -1.66 0.94% (105.96) HSI Index 168 29,992 2,913.59 2,929.90 0.74 0.76% (24.59) SHCOMP Index 1,878 (33,248) 344.53 325.07 8.44 0.67% (14.13) KOSPI Index 2,005 38,430 1.87 1.97 10.23 0.51% 226.40 AS51 Index 1,254 33,715 4,948.24 5,132.22 6.56 0.57% (134.82) STBCNZL Index 36,451 73,207 444.47 665.78 107.83 0.46% EEM US Equity - 1,147 42.94 42.94 0.00 0.66% 15.15 IYR US Equity 222 9,689 69.78 71.38 5.53 0.41% 72.73 MDY US Equity 4,824 14,269 184.03 246.24 48.35 0.70% 102.12 JNK US Equity 32 8,156 41.27 41.43 2.85 0.14% 11.88 XLF US Equity 5,394 13,610 15.57 21.75 59.17 0.67% 21.87 XLU US Equity 760 10,859 39.38 42.14 10.31 0.68% 35.96 XLK US Equity 2,455 12,860 30.80 36.68 25.56 0.75% 96.64 XLI US Equity 6,294 16,147 38.20 53.09 61.51 0.63% 29.63 XLP US Equity 630 12,093 42.09 44.28 12.57 0.41% 78.05 XLY US Equity 1,199 5,441 52.24 63.75 27.29 0.81% 49.32 XLE US Equity 704 10,089 87.31 93.40 11.22 0.62% (27.66) XLB US Equity 4,104 14,930 37.57 47.90 39.46 0.70% 67.79 XLV US Equity 12,078 24,346 38.87 58.15 62.99 0.79% 125.71 SXXP Index 6,914 45,756 403.51 464.48 29.84 0.51% 57.00 SXAP Index 8,549 28,526 520.28 676.21 28.41 1.05% (508.48) SXKP Index 4,999 37,626 366.14 414.79 19.17 0.69% (21.18) EFTA00288846 SX6P Index 6,678 38,710 359.38 421.38 34.57 0.50% 356.81 SXEP Index 4,382 51,146 456.85 496.00 14.18 0.60% 435.82 SXIP Index 11,088 28,923 222.31 307.53 60.23 0.64% (103.50) SXNP Index 4,549 28,384 482.69 560.04 23.33 0.69% (266.95) SX3P Index 2,122 31,675 679.66 725.19 16.11 0.42% 300.13 SXDP Index 27,721. 61,074 609.16 885.64 87.20 0.52% 439.77 SX4P Index 3,956 25,840 917.36 1,057.79 23.20 0.66% (145.68) SX8P Index 738 8,533 343.07 372.72 10.25 0.84% (60.27) SXOP Index 10,023 43,418 386.09 475.21 30.02 0.77% (182.27) SXQP Index 1,541 39,821 802.92 833.99 7.89 0.49% 252.24 SXRP Index 142 16,765 432.46 436.12 1.64 0.51% 128.17 SXMP Index 2,331 9,156 261.12 327.59 38.56 0.66% 0.62 SXTP Index 20,468 39,247 172.05 261.78 56.82 0.92% C192.1Bli SX7E Index 3,994 15,109 159.85 202.10 22.76 1.16% 230.28 SXSE Index 6,897 40,565 3,715.50 4,347.26 26.55 0.64% 125.18 SPGSCITR Index (108) (15,386) 4,989.44 5,024.37 -1.71 0.41% (19.03) XAG Curncy 1,400 (15,640) 21.28 19.37 11.97 0.75% 116.71 CO1 Comdty (92) (11,819) 108.90 109.75 -1.21 0.65% 73.26 CL1 Comdty 814 30,849 99.40 102.02 4.15 0.64% 162.21 NG1 Comdty 2,689 18,950 3.86 4.41 10.80 1.31% (271.15) XAU Comdty (31) (23,727) 88.74 88.86 A.25 0.52% 216.67 IBOXHY Index 3,580 53,418 220.12 234.87 131.81 0.05% (14.44) US_TSY CREDIT 397 66,005 763.89 768.48 5.99 0.10% (40.59) CA_TSY CREDIT 504 74,166 1,213.47 1,221.72 3.51 0.19% (7.33) MX_TSY CREDIT 449 64,454 220.61 222.15 2.11 0.33% 193.40 AU TSY CREDIT 1,533 73,896 1,503.96 1,535.16 8.64 0.24% 250.43 JP_TSY CREDIT (19) (9,152) 818.12 819.84 0.84 0.25% (14.84) MY_TSY CREDIT (14) 58,788 169.82 169.78 .0.10 0.25% (141.59) SG_TSY CREDIT 605 57,396 221.20 223.53 4.94 0.21% 122.21 AT_TSY CREDIT 4,342 81,569 358.40 377.48 18.98 0.28% (229.25) BE_TSY CREDIT 5,571 79,771 477.76 511.12 25.18 0.28% (233.12) FI_TSY CREDIT 3,871 85,645 349.64 365.45 17.85 0.25% (202.85) FR_TSY CREDIT 4,826 82,246 1,684.51 1,783.35 21.90 0.27% (250.72) DE_TSY CREDIT 3,320 84,524 1,247.55 1,296.56 14.42 0.27% (239.19) IE_TSY CREDIT 32,582 78,270 336.92 477.18 192.68 0.22% (37.16) IT_TSY CREDIT 8,747 54,986 1,616.07 1,873.15 62.04 0.26% 2.72 NL_TSY CREDIT 4,083 82,865 1,330.92 1,396.50 18.30 0.27% (237.19) ES_TSY CREDIT 11,170 50,187 392.28 479.59 89.12 0.25% 55.06 DK_TSY CREDIT 3,463 67,396 729.23 766.70 16.39 0.31% (58.18) NO_TSY CREDIT (68) 50,177 349.03 348.56 -0.50 0.27% 18.70 PL_TSY CREDIT 1,383 35,151 429.04 445.92 15.52 0.25% 9.83 ZA_TSY CREDIT 123 20,844 86.29 86.80 0.94 0.63% (12.07) SE_TSY CREDIT (364) (44,333) 464.03 467.84 -2.69 0.30% 124.64 CH_TSY CREDIT 3,297 69,857 1,008.64 1,056.24 17.52 0.27% (268.43) GB_TSY CREDIT 2,675 89,647 1,507.67 1,552.67 12.01 0.25% (49.92) EFTA00288847