EFTA00288864.pdf

Atorus, LLC 5/20/2014 Current Date: 5/20/2014 Change on Day: -1.10% Total Return since 1/1/12: 81.48% MSCI World Change on 712M Return: 20.69% Day •0.47% T9O Day Return: 0.37% No of Positions T3O Day Return: 0.90% (+MTM) on Day 152 Current Long Exposure @ Cost: 5,465,755 No of Positions (•ATM) Current Short Exposure @ Cost: (383,843) on Day 269 Net Exposure: 5,081,912 Current No. of Starting Capital: 1,0000,000 Positions: 441 Current NAV: 1,814,833 Current Leverage (Gross Exposures): 3.22 Profit Factor: Win Ratio: T24M (+) NAV Days T24M Avg. Daily NAV (+) Change T24M Avg. Daily NAV (.) Change Target Vo!adj. Risk Listed Equities Target Vol-Adj. Risk Global Macro Targeted Max Loss (ex•Leverage) Leverage Target At Inception: Notes on Leverage: T24M Sharpe Ratio: Historical Sharpe & Notes: Historically 2.25X • 3.25X, depending on measurement Interval 40% - 50% historically We implement leverage of 2X, in other words at inception we upsize our positions by a factor two times greater than our volatility adjusted position sizing. Leverage levels can be customized to eac h investor. Historical sharpe ratio is in excess of 2.0X (backtest from 1995, see Investor Presentation). Our shame ratio increases materially during market downturns in excess of 20 days of realized volatility. Since we generate positive returns in these environments, the variance in our downside volatility is materially less than broader markets. Recessions, which generally result in market directionality in excess of 20 days of volatility are significant alpha capture opportunities for us. Additionally, by never dollar cost averaging and concurrently adding to our winners we have an inherent assymetry in our volatility profile. NAV 2,000,060.00 1,600,000.00 1,600,001100 1,400,000.00 1,200,000.00 1,000,00,100 600,000.00 6000[000 11, 1, • "V "V "1, eb eb Deb Deb 'b b 9% or 10.% ,I0.% et 19% ?tee' n ,19.% (19^, c9% ,19.% NON 40 4 4 A\ 4 .„49- .),‘ 49- 4'1 4 4 4 — SerieS1 EFTA00288864 Atorus, LLC 5/20/2014 Largest Exposures Current Positions 97.5th Percentile 2.5th Percentile (@ cost ex- MTM) Largest MTM Gains Current Posi ions (90th Percentile MTM Gains % NAV) Security Notional % of Total Notional 24 Positions • 20.47% TSCO LN Equity (6,286) 0.11% KMI US Equity (6,775) 0.12% DISCA US Equity (6,841) 0.12% 941 HK Equity (7,092) 0.12% TGT US Equity (8,574) 0.15% 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% MX_TSY CREDIT 77,867 1.33% lE_TSY CREDIT 78,270 1.34% AU TSY CREDIT 78,897 1.35% BE_TSY CREDIT 79,771 1.36% AT_TSY CREDIT 81,569 1.39% FR_TSY CREDIT 82,246 1.41% NL_TSY CREDIT 82,865 1.42% US_TSY CREDIT 83,224 1.42% DE_TSY CREDIT 84,524 1.44% FI_TSY CREDIT 85,645 1.46% GB_TSY CREDIT 89,647 1.53% CA_TSY CREDIT 91,863 1.57% NAV Impact of MTM by Category & Exposure Listed Equity Long -0.375% Listed Equity Short 0.032% EquityCom Long -0.229% EquityCom Short -0.010% G20 Rates Long -0.360% G20 Rates Short 0.000% Security MTM Gain % Total NAV 45 Positions 25.00% FTSEMIB Index 5,223 0.29% BE_TSY CREDIT 5,247 0.29% XLF US Equity 5,381 0.30% AZN US Equity 5,546 0.31% AZN LN Equity 5,560 0.31% AEX Index 5,604 0.31% NVS US Equity 5,709 0.31% 1N1 US Equity 5,732 0.32% HON US Equity 5,760 0.32% UTX US Equity 5,804 0.32% XLI US Equity 6,082 0.34% EDF FP Equity 6,295 0.35% DAI GR Equity 6,450 0.36% ACA FP Equity 6,542 0.36% SXSE Index 6,721 0.37% SXXP Index 6,760 0.37% ROG VX Equity 6,892 0.38% MAERSKB DC Equity 6,917 0.38% SX6P Index 6,924 0.38% NOVN VX Equity 7,267 0.40% MDT US Equity 7,722 0.43% BEL20 Index 7,768 0.43% SMI Index 7,846 0.43% IT TSY CREDIT 7,939 0.44% TMO US Equity 8,351 0.46% HEX Index 8,447 0.47% PRO LN Equity 8,860 0.49% DAX Index 8,932 0.49% SXAP Index 9,262 0.51% IBEX Index 9,428 0.52% MMM US Equity 9,617 0.53% NDX Index 10,146 0.56% LUXM Index 10,250 0.56% SXOP Index 10,260 0.57% ES_TSY CREDIT 10,664 0.59% KFX Index 10,898 0.60% SKIP Index 11,094 0.61% TYC US Equity 11,282 0.62% XLV US Equity 12,072 0.67% ISEQ Index 17,220 0.95% EFTA00288865 SPX Index 17,844 0.98% SXTP Index 21,866 1.20% SXDP Index 26,260 1.45% lE_TSY CREDIT 31,699 1.75% STBCNZL Index 35,531 1.96% APAC Lon 29 APAC Short 19 EMEA Long 73 EMEA Short 15 AMER Long 178 AMER Short 33 E • ultyCom Lon 64 EquityCom Short 8 G20 Rates Lon 21 G20 Rates Short 1 Total Long 365 Total Short 76 Current Exposure by Geography (Listed Equl les) & Macro (Equity Indices & Commodiites, G20 Gov. Credit) 1 ■ APAC Long ■ APAC Short ■ EMEA Long ■ EMEA Short ■ AMER Long ■ AMER Short ■ EquityCom Long ■ EquityCom Short ■ G20 Rates Long ■ G20 Rates Short EFTA00288866 Atorus, LLC 5/20/2014 Historical Net Exposure by Geography (Listed Equities) & Maao (Equity Indices & Commodites, G20 Gov. Credit) 6 ,000,000 5,000,000 0,000,000 34"° 2,000,000 1,000,000 —AMA —(MCA —AMER — EquityCom —G20 Rates NexEposute REG 2.000.000 1,500,000 1.000.000 ► ff 500.000 Ott \ \ G \ \ \ \ \ "t? \ tat \ v1 tat \ i1/4..1:0 0 (2,000,000) 3,000,000) (1,000,000) ( Historical Gross Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodlites, G20 Gov. Credit) EFTA00288867 Atorus, LIC 5/20/2014 Current Gross Notional Risk by Category 2S1,788 1 ,4,312 411 • 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 te.e 4)10 1•46C1:09./ seet, 4199/ b/ 4199/ 411, n, 45 A c5 4, 4 A .:5 4, .—*Serits1 —Serits2 Rolling 30 Day Realized Volatility - Atorus EFTA00288868 Atorus, LLC 5/20/2014 Percentile Distribution of Current MTM Gains in Vol Days by Position (ex-99pct & ex-1st percentiles) 60.00 50.00 40.00 3000 20.00 10.00 0.00 4). 4r O. 4r 4. 4r it?' 4r 4s. 4r PA Vol Days by Position Percentile No. Vol Days 0.00:L -14.70 5.00% -2.96 10.00% -1.56 15.00% 43.78 20.00% 0.23 25.00% 1.12 30.00% 1.78 35.00% 2.50 40.00% 3.82 45.00% 5.10 50.00% 7.18 55.00% 9.43 60.00% 11.80 65.00% 14.12 70.00% 17.31 75.00% 21.56 80.00% 26.35 85.00% 31.37 90.00% 41.64 95.00% 58.46 100.00% 182.54 MTM Gains(Losses)% of NAV "Signficant" (<7 Vol Days) MTM Gains(Losses) % of NAV "Signficant" (>7 Vol Days) 0.89% EFTA00288869 Atorus, LLC Current Portfolio -Listed Equity Portfolio Current Price P/L in Vol 30P Realized Change on Day Security MTM Gain/(Loss) Exp. CO Cost Avg. Price (in USD) Days Vol (in USD) 5/20/2014 000270 KS Equity (22) (1,188) 55.84 56.88 -1.82 1.02% 10.52 005380 KS Equity (4) 3,149 224.39 224.10 -0.12 1.07% (41.59) 005490 KS Equity (51) (1,264) 286.65 298.31 .4.44 0.92% 9.89 005930 KS Equity 18 2,290 1,401.45 1,412.48 0.96 0.82% 3.20 012330 KS Equity 909 5,584 247.00 287.22 15.82 1.03% (24.83) 1 HK Equity 978 12,607 16.18 17.44 8.59 0.90% 137.74 1299 HK Equity 183 5,954 4.79 4.94 3.35 0.92% 37.53 13 HK Equity 876 4,897 11.40 13.44 18.52 0.97% 72.36 16 HK Equity 13.02 27 HK Equity (42) (1,889) 7.60 7.77 -1.24 1.79% (62.71) 2914 JP Equity (39) 774 33.68 32.07 -5.19 0.97% (8.27) 3382 JP Equity 49 2,327 38.42 39.24 2.31 0.92% 36.00 4063 JP Equity (3) 252 59.48 58.85 -1.08 0.99% 0.12 4502 JP Equity (54) 4,908 44.97 44.48 -1.41 0.78% 7.64 4689 JP Equity (50) (1,979) 4.42 4.53 -1.22 2.07% (208.69) 5 HK Equity (191) (4,127) 10.15 10.62 -6.85 0.67% (22.93) 5108 JP Equity (71) 1,040 35.86 33.57 -6.38 1.07% (10.29) 5401.1P Equity 242 (5,599) 2.81 2.69 4.78 0.90% 33.89 6301.1P Equity 3 4,173 22.14 22.16 0.08 0.96% (39.02) 6752 JP Equity 10.28 6902 JP Equity 42.51 - 6954 JP Equity 377 6,629 6,392.98 167.36 5.85 0.97% 2.45 7201.1P Equity (10) (2,999) (3,742.97) 8.89 -0.34 0.96% (37.34) 7203 JP Equity 142 (4,207) (5,259.85) 54.19 4.05 0.84% (3.69) 7267 JP Equity 215 (4,675) (4,885.01) 33.71 3.81 1.21% (60.88) 762 HK Equity (88) 1,398 (5,161.69) 1.48 -3.62 1.73% (34.14) 7751 JP Equity 40 4,775 (6,865.02) 32.97 1.15 0.73% 24.80 8031.1P Equity (149) (2,292) (4,775.88) 15.01 -7.71 0.84% 35.26 8058 JP Equity 50 5,854 (4,383.01) 19.44 1.02 0.84% 3.40 8106 JP Equity 125 (3,668) (4,603.66) 5.44 2.77 1.23% 28.81 8316 JP Equity 135 (2,264) (2,000.57) 38.39 5.10 1.17% 17.52 8411 JP Equity (33) 5,474 1.96 -1.06 0.58% (31.67) 8604 JP Equity 166 (3,335) (3,504.39) 6.15 3.49 1.43% (39.85) 8801 JP Equity 172 4,256 31.23 32.50 3.13 1.29% 26.11 8802 JP Equity 17 (4,920) 24.34 24.26 0.26 1.30% (40.25) 9020 JP Equity 78 (5,379) 75.21 74.12 1.72 0.85% (0.57) 941 HK Equity 75 (7,092) 10.19 10.09 1.12 0.94% (153.12) 9432 JP Equity 432 7,638 53.97 57.02 6.48 0.87% (29.61) 9433 JP Equity (124) 3,581 55.59 53.73 -2.73 1.27% 32.31 9437 JP Equity (254) (6,149) 15.59 16.24 -5.05 0.82% 32.68 9983 JP Equity 62 (2,043) 323.49 313.67 2.25 1.35% (8.88) EFTA00288870 9984 JP Equity 42 (1,545) 69.21 67.35 1.62 1.66% 6.67 AAPL US Equity 1,063 7,342 527.64 604.07 16.11 0.90% (5.91) ABB US Equity 23.67 - ABBN VX Equity (36) (2,236) 23.43 23.80 -1.93 0.83% (20.85) ABBV US Equity 227 4,019 50.65 53.50 4.57 1.23% (26.71) ABEV US Equity (12) (3,165) 7.37 7.40 -0.42 0.91% 0.90 ABEV3 BZ Equity 0 (3,012) 7.43 7.43 0.01 1.05% 5.42 ABI BB Equity 596 8,888 103.14 110.06 9.43 0.71% (7.62) ABT US Equity 67 4,097 38.87 39.50 2.34 0.70% (16.81) ABX CN Equity 442 (4,342) 18.52 16.63 9.50 1.07% ABX US Equity 442 (4,194) 18.59 16.63 9.79 1.08% (34.80) ACA FP Equity 6,542 5,408 6.83 15.10 99.54 1.22% (102.38) ACE US Equity 538 10,287 97.54 102.64 14.12 0.37% (12.56) ACN US Equity 72 8,563 77.97 78.62 1.30 0.65% (82.14) ADP US Equity 86 5,607 76.56 77.73 2.31 0.66% (16.82) AFL US Equity (48) 2,187 62.85 61.49 -2.95 0.75% (15.38) AGN US Equity 4,485 9,698 110.56 161.69 24.57 1.88% 178.23 Al FP Equity 590 12,864 137.87 144.19 7.37 0.62% (54.88) AIG US Equity 366 7,022 49.93 52.54 5.98 0.87% (20.94) AIR FP Equity (1) 1,507 69.62 69.55 -0.08 1.20% (2.78) ALV GR Equity (134) 7,052 169.15 166.00 -2.42 0.78% 14.96 ALVG IX Equity (87) 5,730 168.58 166.06 -1.95 0.78% 17.76 AMGN US Equity 4 (1,651) 112.50 112.23 0.26 0.92% (1.76) AMT US Equity 1,658 12,212 77.36 87.86 22.47 0.60% (24.24) AMZN US Equity 52 (2,898) 306.51 300.98 0.97 1.87% (44.05) ANZ AU Equity 220 12,947 29.78 30.28 2.23 0.76% (105.67) APA US Equity 131 4,994 87.41 89.70 3.47 0.76% 51.12 APC US Equity 35 3,555 98.25 99.21 1.27 0.77% (21.69) AXP US Equity 2,283 10,373 71.56 87.31 27.46 0.80% (83.16) AZN LN Equity 5,560 12,676 49.80 71.65 20.36 2.15% 124.29 AZN SS Equity 4,997 12,119 50.82 71.77 19.37 2.13% 56.15 AZN US Equity 5,546 12,812 50.30 72.07 21.29 2.03% 117.64 BA US Equity 124 8,072 128.04 130.01 1.90 0.81% (90.64) BAC US Equity 86 (4,100) 14.88 14.56 1.99 1.05% 11.21 BARC LN Equity (125) 5,219 4.11 4.01 -1.66 1.44% 13.24 BAS GR Equity 1,146 7,333 97.30 112.51 18.14 0.86% (28.28) BATS LN Equity 697 7,532 53.98 58.97 12.13 0.76% (53.27) BAX US Equity 48 4,842 73.52 74.25 1.78 0.55% (23.17) BAYN GR Equity 322 7,767 135.04 140.63 4.99 0.83% (27.17) BBAS3 BZ Equity 9 2,007 10.88 10.93 0.27 1.67% 19.27 BBD US Equity 213 4,539 14.82 15.52 3.59 1.31% (49.85) BBDC4 BZ Equity 174 4,490 14.84 15.42 2.65 1.46% (85.31) BBL US Equity 32 (1,773) 65.35 64.18 2.04 0.88% 27.33 BBVA SM Equity 1,193 6,043 10.19 12.20 26.37 0.75% 81.18 BCE CN Equity 156 8,797 44.87 45.66 4.70 0.38% BCS US Equity (134) 5,457 16.45 16.06 -1.84 1.34% (11.31) BEN US Equity 66 2,814 52.91 54.15 2.15 1.09% (37.53) EFTA00288871 BG/ LN Equity (548) (3,788) 18.76 21.48 .14.10 1.03% 32.87 BHP AU Equity 20 9,507 34.49 34.56 0.25 0.83% (125.60) BHP US Equity 81 7,278 68.00 68.75 1.14 0.97% (122.86) BOB US Equity 194 1,066 245.93 290.64 11.93 1.52% (1.22) BIL S1 Equity 26 (2,007) 32.75 32.32 1.79 0.72% 17.34 BK US Equity 299 8,609 32.86 34.00 4.03 0.86% (16.55) BLK US Equity 4 1,641 296.18 296.87 0.29 0.79% (10.64) BLT IN Equity 21. (1,876) 32.72 32.35 1.42 0.78% 11.78 BMO CN Equity 342 13,003 66.63 68.38 6.43 0.41% BMW GR Equity 1,127 5,212 99.22 120.67 26.40 0.82% 39.40 BMY US Equity (39) 1,876 49.84 48.82 -1.73 1.20% (9.56) BN FP Equity (19) 2,246 75.04 74.40 -1.11 0.78% (37.67) BNP FP Equity 143 (4,374) 72.65 70.26 3.57 0.92% 76.70 BNS CN Equity 615 11,902 58.65 61.69 12.15 0.43% BP/ LN Equity 941 9,797 7.76 8.51 13.50 0.71% (56.00) BRK/B US Equity 673 14,233 120.53 126.23 9.45 0.50% (70.95) BSBR US Equity 11. 2,143 6.67 6.70 0.40 1.23% 3.77 BUD US Equity 569 9,049 103.62 110.14 8.48 0.74% 2.34 BX US Equity (28) (803) 29.04 30.04 .1.98 1.73% (12.51) C US Equity (15) 754 47.50 46.59 .2.67 0.73% 0.26 CA FP Equity 261 3,932 34.37 36.65 6.72 0.99% (8.17) CAT US Equity 1,939 14,645 90.43 102.41 19.00 0.70% (432.18) CBA AU Equity 967 16,830 69.70 73.70 10.25 0.56% (165.43) CBS US Equity 14 (2,800) 57.39 57.10 0.47 1.08% 10.16 CCL US Equity 535 6,257 36.20 39.30 9.29 0.92% 132.19 CELG US Equity 20 2,632 147.09 148.20 0.61 1.25% 15.28 CFR VX Equity 491 7,019 96.74 103.51 8.99 0.78% 133.07 CL US Equity 2,420 21,171 59.80 66.64 24.62 0.46% 14.49 CM CN Equity 632 11,908 84.09 88.55 13.44 0.40% CMCSA US Equity 57 4,527 50.01 50.63 1.65 0.76% (0.47) CMCSK US Equity 4,625 12,096 36.26 50.13 53.85 0.71% 23.75 CNI US Equity 1,927 12,873 51.38 59.07 23.77 0.63% (88.42) CNQ CN Equity 884 10,769 36.73 39.75 9.91 0.83% CNR CN Equity 1,882 12,795 51.50 59.08 23.10 0.64% COF US Equity 707 7,124 68.86 75.69 16.63 0.60% (23.58) COP US Equity 243 7,461 75.97 78.44 4.45 0.73% 12.19 COST US Equity 119 9,550 114.02 115.44 2.04 0.61% (54.68) COV LN Equity #WA N/A COV US Equity 740 7,080 64.09 70.78 16.17 0.65% (82.65) CRM US Equity (21) (941) 52.04 53.19 .1.16 1.90% (3.56) CS FP Equity 36 (3,180) 24.03 23.76 1.08 1.04% (58.94) CSCO US Equity 24.17 CSX US Equity 1,445 9,460 25.28 29.14 23.04 0.66% (44.72) CVE CN Equity 28.80 CVS US Equity 2,247 12,136 64.26 76.16 31.29 0.59% (28.61) CVX US Equity (25) 1,148 125.31 122.63 .3.42 0.64% (4.18) D US Equity 1,795 13,256 60.80 69.03 21.72 0.62% (57.71) EFTA00288872 DAI GR Equity 6,450 13,908 62.20 91.05 41.69 1.11% 254.64 DBK GR Equity 90 (3,216) 42.62 41.43 3.10 0.91% (5.47) DD US Equity 2,772 13,319 55.25 66.75 38.87 0.54% (109.41) DDAIF US Equity 3,662 8,377 63.20 90.83 36.11 1.21% 37.32 DE US Equity 389 10,094 86.88 90.23 7.01 0.55% (56.33) DELL US Equity KN/A N/A DG FP Equity 4,247 10,090 51.66 73.40 61.49 0.68% 52.22 DGE LN Equity 91 2,332 30.86 32.07 4.35 0.90% (27.17) DHR US Equity 75 5,021 73.91 75.01 2.14 0.70% (52.12) DIS US Equity 1,845 10,441 68.93 81.11 22.03 0.80% 10.51 DISCA US Equity 206 (6,841) 75.84 73.56 3.18 0.94% 25.85 DNB NO Equity 309 5,584 17.37 18.33 5.53 1.00% (32.93) DOW US Equity 2,545 7,396 37.11 49.88 35.59 0.97% 99.47 DPW GR Equity 162 660 29.41 36.62 23.44 1.05% 4.27 DTE GR Equity 923 7,575 15.16 17.00 12.19 1.00% (57.83) DTV US Equity 3,698 10,622 61.97 83.55 27.82 1.25% (214.56) DUK US Equity SO (3,568) 71.16 70.16 2.76 0.51% 7.81 DVN US Equity 1,595 11,143 63.30 72.36 16.14 0.89% 193.23 EBAY US Equity (14) (611) 50.75 51.92 .2.17 1.06% 3.17 Ea US Equity 138 9,210 105.22 106.79 2.72 0.55% (27.74) EDF FP Equity 6,295 9,189 23.45 39.51 91.33 0.75% 101.22 EMC US Equity 355 10,986 25.35 26.17 4.62 0.70% (45.62) EMR US Equity (149) 8,739 66.78 65.65 -2.37 0.72% (134.44) EMI CN Equity 568 12,532 45.66 47.73 10.49 0.43% ENEL IM Equity 1,893 8,902 4.48 5.44 24.41 0.87% (16.65) ENI IM Equity 172 11,929 24.33 24.68 2.16 0.67% (57.78) EOAN GR Equity (35) 2,606 18.59 18.34 -1.62 0.84% 28.23 EOG US Equity 2,341 5,841 72.84 102.03 35.10 1.14% (43.77) EPD US Equity 1,926 13,127 63.70 73.04 22.69 0.65% 10.37 ERICB SS Equity (89) 7,934 12.51 12.37 -1.08 1.04% 4.89 ESRX US Equity (21) (841) 67.34 69.02 -2.93 0.86% (1.87) ETN US Equity (31) 5,260 72.48 72.05 -0.74 0.80% (38.16) F US Equity (196) (2,897) 14.82 15.82 -8.99 0.75% 9.97 F8 US Equity 896 2,630 44.06 59.06 16.62 2.05% 19.95 FCX US Equity 160 6,027 33.55 34.44 2.63 1.01% (112.36) FDX US Equity 248 4,359 130.52 137.95 9.36 0.61% (15.80) FOX US Equity 111 6,139 32.72 33.31 1.61 1.12% 25.64 FOXA US Equity 102 4,207 33.36 34.17 2.18 1.12% 10.90 FP FP Equity 1,842 14,528 62.63 70.57 16.67 0.76% (172.60) G IM Equity (46) 3,364 21.99 21.69 .1.88 0.72% (10.70) GE US Equity 2,369 13,140 22.32 26.34 34.15 0.53% (152.40) GILD US Equity 220 4,205 77.50 81.56 3.81 1.37% (10.33) GIS US Equity 1,343 21,798 50.35 53.45 13.95 0.44% (89.22) GLE FP Equity 93 650 49.51 56.62 11.94 1.20% 8.73 GLEN LN Equity (167) (2,955) 5.22 5.52 .8.50 0.67% (8.16) GLW US Equity 3,432 11,635 16.25 21.04 39.41 0.75% (32.50) GM US Equity (156) 3,817 34.75 33.39 -4.34 0.94% (76.56) EFTA00288873 GOOG US Equity (16) (841) 521.01 531.14 -1.49 1.30% (7.44) GS US Equity 7 (651) 158.25 156.51 1.12 0.99% 4.25 GSK LN Equity 234 5,707 26.22 27.29 4.86 0.84% 1.68 GSZ FP Equity 770 11,150 25.29 27.03 8.49 0.81% 65.40 HAL US Equity 1,720 7,135 50.67 62.89 24.13 1.00% (23.28) HD US Equity 365 7,619 74.42 77.99 5.75 0.83% 134.37 HMB SS Equity (11) 2,767 42.78 42.61 -0.64 0.64% (9.56) HON US Equity 5,760 11,930 61.10 90.60 75.79 0.64% (197.16) HPQ US Equity 2,170 7,473 25.51 32.92 29.38 0.99% (8.22) HSBA LN Equity 172 5,949 10.28 10.58 4.10 0.71% (23.51) IBE SM Equity 2,052 7,531 5.56 7.08 42.95 0.63% 52.70 IBM US Equity 128 (4,032) 191.43 185.37 3.94 0.80% 30.05 IMT LN Equity 2,839 13,847 37.07 44.67 29.20 0.70% (78.19) INTC US Equity 899 12,041 24.19 26.00 13.68 0.55% 30.63 ISP IM Equity 3,436 5,699 1.93 3.09 47.52 1.27%11 214.00 ITUB US Equity 312 5,715 15.88 16.74 4.82 1.13% (30.01) ITUB4 BZ Equity 277 4,601 15.79 16.74 4.74 1.27% (54.09) ITW US Equity 3,627 14,011 67.84 85.39 44.44 0.58% (133.40) ITX SM Equity 117 (3,652) 146.45 141.76 5.26 0.61% 88.72 JCI US Equity (27) (703) 44.85 46.56 -3.14 1.21% (2.82) JNJ US Equity 5,732 17,409 75.46 100.31 77.40 0.43% (41.91) JPM US Equity 40 (4,014) 54.24 53.70 1.17 0.84% (9.12) KMB US Equity 213 9,903 107.52 109.84 4.00 0.54% 6.54 KMI US Equity 113 (6,775) 33.81 33.24 2.26 0.74% 14.78 KO US Equity (2) 1,101 40.80 40.72 -0.41 0.50% 2.69 LBTYA US Equity 43 3,592 43.18 43.69 1.25 0.95% (26.40) LBTYK US Equity 60 5,290 41.41 41.88 1.30 0.87% (17.53) LIN GR Equity 547 9,647 199.93 211.26 8.57 0.66% 34.24 LLOY LN Equity 152 1,876 1.16 1.26 6.40 1.27% 36.62 LLY US Equity (31) 4,953 59.03 58.65 -0.79 0.81% 3.94 LMT US Equity 632 2,016 122.48 160.88 41.64 0.75% (25.10) LNKD US Equity 456 (2,461) 183.83 149.79 7.75 2.39% 7.44 LOW US Equity 5 1,725 45.53 45.66 0.30 0.99% 10.34 LVS US Equity - 525 72.72 72.72 0.00 1.63% (6.38) LYB US Equity 1,466 2,297 59.29 97.14 84.89 0.75% (2.89) MA US Equity (2) 3,476 73.94 73.90 -0.04 1.22% 1.16 MAERSKB DC Equity 6,917 14,263 1,646.82 2,445.51 58.32 0.83%U 173.42 MC FP Equity 262 5,711 186.24 194.79 7.02 0.65% (11.75) MCD US Equity 103 9,603 100.64 101.72 2.28 0.47% (36.32) MCK US Equity 199 2,181 164.92 179.93 10.95 0.83% (6.82) MDIZ US Equity 4,122 13,641 28.68 37.35 40.48 0.75% (45.35) MDT US Equity 7,722 20,811 43.22 59.26 49.38 0.75% lin75.4 MET US Equity 883 7,556 44.37 49.55 10.97 1.07% (31.66) MFC CN Equity 1,195 2,561 12.38 18.15 51.87 0.90% MHS US Equity #WA WA MMM US Equity 9,617 21,331 96.89 140.58 75.18 0.60% (204.91) MO US Equity 993 12,846 37.19 40.06 15.43 0.50% (53.10) EFTA00288874 MON US Equity 1,148 11,917 106.02 116.23 14.51 0.66% (1.94) MOS US Equity 49.72 - MRK US Equity 1,358 11,769 50.18 55.98 12.79 0.90% (53.39) MS US Equity (48) 2,280 30.38 29.76 -1.56 1.34% (29.90) MSFT US Equity 986 8,007 35.30 39.65 16.65 0.74% (5.40) MUV2 GR Equity 506 6,116 197.70 214.05 9.40 0.88% 57.68 NAB AU Equity (458) 13,313 31.48 30.43 -4.58 0.75% (196.39) NCM AU Equity 9.23 - NEE US Equity 4,651 14,972 73.03 95.71 48.39 0.64% 99.07 NEM US Equity 510 (1,819) 32.73 23.56 17.78 1.58% (7.55) NESN VX Equity 1,377 11,468 70.75 79.24 21.50 0.56% (49.43) NG/ LN Equity 3,256 13,258 11.96 14.90 40.35 0.61% 19.64 NKE US Equity 236 2,940 68.03 73.48 10.05 0.80% (31.19) NOK US Equity 3,756 4,498 3.96 7.27 60.02 1.39% 49.09 NOV US Equity 579 9,753 77.58 82.19 7.46 0.80% (2.00) NOVN VX Equity 7,267 19,429 64.89 89.17 56.18 0.67% 11.02 NOVOB DC Equity 469 9,444 40.35 42.35 5.10 0.97% (19.06) NSC US Equity 2,078 10,109 81.19 97.87 28.74 0.72% 48.90 NVS US Equity 5,709 16,897 66.54 89.02 58.46 0.58% (90.77) OGXP3 BZ Equity 4,035 (4,107) 4.39 0.08 62.20 1.58% 83.94 OR FP Equity 431 8,826 167.38 175.56 7.10 0.69% (48.87) ORA FP Equity 2,074 8,559 13.80 17.15 24.80 0.98% 13.35 ORCL US Equity 1,910 8,428 34.02 41.73 33.52 0.68% (68.66) OXY US Equity 42 7,355 95.04 95.58 0.98 0.58% (33.50) PBR US Equity (34) 1,598 15.35 15.03 -1.18 1.79% (12.68) PBR/A US Equity (9) 1,481 16.20 16.10 -0.37 1.70% (11.70) PCLN US Equity 120 2,570 1,103.99 1,155.73 3.31 1.41% 7.11 PCP US Equity (44) 945 254.74 243.53 -4.62 1.00% 1.78 PEP US Equity 321 12,677 83.59 85.71 5.88 0.43% (32.51) PETR3 BZ Equity (33) 2,193 7.62 7.51 -0.78 1.94% (31.20) PETR4 BZ Equity (17) 1,434 8.11 8.01 -0.60 2.00% (21.13) PFE US Equity (32) (3,322) 29.08 29.36 -0.99 0.96% 14.45 PG US Equity 142 11,013 79.25 80.27 2.50 0.52% 53.65 PHIA NA Equity 31.77 - PM US Equity (22) 3,463 85.75 85.22 -1.37 0.46% (16.45) PNC US Equity 714 9,010 76.60 82.67 9.78 0.81% (51.08) POT CN Equity 196 5,589 35.88 37.14 4.10 0.86% POT US Equity 165 6,619 36.24 37.14 3.26 0.76% 28.19 PRU LN Equity 8,860 10,521 12.76 23.51 95.72 0.88% 32.12 PSA US Equity 726 13,406 162.12 170.90 11.80 0.46% (70.52) PSX US Equity 1,652 6,461 65.64 82.43 29.91 0.86% (25.59) PX US Equity 2,433 16,340 113.54 130.45 29.80 0.50% (136.09) QCOM US Equity 2,473 12,547 66.83 80.00 29.18 0.68% 35.29 QQQ US Equity 2,286 7,968 68.46 88.10 42.64 0.67% (5.00) RAI US Equity 798 10,690 53.26 57.24 9.32 0.80% (35.07) RDS/A US Equity 581. 11,546 75.02 78.80 9.77 0.52% (40.89) RDS/B US Equity 1,043 11,427 78.85 86.05 13.99 0.65% (188.07) EFTA00288875 RDSA LN Equity 724 9,744 36.73 39.46 13.34 0.56% (41.03) RDSA NA Equity 493 11,195 37.76 39.42 8.03 0.55% (52.27) RDSB LN Equity 1,131 10,889 39.07 43.13 16.68 0.62% (138.99) REGN US Equity (156) 6,240 302.59 295.20 -1.32 1.89% (79.66) RIO AU Equity (267) 4,097 59.15 55.52 -6.38 1.02% (58.74) RIO LN Equity (74) 4,819 54.82 54.00 -1.66 0.92% (20.14) RIO US Equity (42) 4,934 54.04 53.58 .0.77 1.12% (55.04) ROG VX Equity 6,892 17,035 212.78 298.88 58.51 0.69% (145.26) RY CN Equity 199 10,940 65.94 67.14 4.41 0.41% SAS LN Equity 1,185 11,163 49.36 54.60 15.64 0.68% (45.42) SAN FP Equity (3) (1,815) 105.60 105.79 0.24 0.76% (3.80) SAN SM Equity 1,482 9,215 8.63 10.02 24.94 0.64% 105.18 SAN US Equity 1,195 7,569 8.66 10.03 20.12 0.78% 68.15 SAP GR Equity (114) 1,677 80.23 75.11 .8.07 0.84% (1.52) SAP US Equity (65) 904 80.21 74.83 .8.24 0.87% (2.39) SBUX US Equity (1) (210) 69.81 70.13 -0.59 0.78% 2.03 SGO FP Equity 2,295 7,836 44.08 56.99 30.88 0.95% 25.98 SI US Equity 775 5,671 #WA N/A 16.39 0.83% SIE GR Equity 704 5,345 114.81 129.93 14.95 0.88% (59.30) SLB US Equity 1,679 8,679 84.17 100.45 31.71 0.61% 44.55 SMSN LI Equity 32 2,474 698.82 707.99 1.42 0.92% 32.02 SO US Equity (355) 11,861 44.07 42.79 -4.55 0.66% (55.36) SPG US Equity 482 12,778 168.98 175.36 10.43 0.36% (3.06) SREN VX Equity 87.83 - STAN LN Equity (12) (588) 22.09 22.55 .2.26 0.93% (3.67) STL NO Equity 1,379 11,476 26.77 29.99 13.09 0.92% (95.09) STT US Equity (20) 683 65.12 63.29 .2.64 1.09% (5.11) SU CN Equity 530 11,105 36.96 38.72 5.09 0.94% SU FP Equity 535 8,613 86.36 91.73 5.61 1.11% (29.80) SU US Equity 510 9,658 36.78 38.73 5.74 0.92% (34.88) SWEDA SS Equity 47 4,735 25.97 26.23 1.26 0.80% 22.17 SYNN VX Equity (335) (4,132) 359.52 388.68 .14.70 0.55% (2.37) T US Equity 17 4,494 35.62 35.75 0.51 0.76% (50.99) TD CN Equity 355 10,892 45.74 47.23 6.75 0.48% TEF SM Equity 188 7,580 16.07 16.46 3.11 0.80% (38.40) TEF US Equity 183 6,344 15.95 16.41 3.17 0.91% (51.83) TGT US Equity 892 (8,574) 63.57 56.96 11.08 0.94% 210.38 TJX US Equity 276 2,515 49.32 54.72 11.88 0.92% (166.00) TLS AU Equity 698 13,319 4.66 4.90 10.06 0.52% (50.71) TLSN SS Equity (384) (5,268) 7.02 7.53 .10.80 0.68% (13.78) TM US Equity 354 (5,442) 115.49 107.97 8.02 0.81% 26.25 TMO US Equity 8,351 10,218 63.59 115.56 83.22 0.98% TOT US Equity 1,183 7,801 61.19 70.47 19.31 0.79% (96.72) TRP CN Equity • 1,144 46.89 46.89 0.00 0.52% TRV US Equity 879 12,473 86.54 92.64 12.82 0.55% (3.14) TSCO LN Equity 493 (6,286) 5.60 5.16 7.28 1.08% 97.21 TWC US Equity 769 5,234 120.22 137.89 21.34 0.69% 17.10 EFTA00288876 TWX US Equity 258 7,427 66.94 69.27 3.97 0.88% (85.81) TXN US Equity 3,737 12,205 34.93 45.62 26.63 1.15% 8.50 TYC US Equity 11,282 24,080 29.17 42.83 57.80 0.81% (211.08) UBS US Equity 35 2,195 19.43 19.74 2.09 0.75% 0.85 UBSN VX Equity 30 2,063 19.51 19.79 1.61 0.91% 17.10 UCG IM Equity 2,240 5,500 5.62 7.91 31.37 1.30% 42.78 ULVR LN Equity 361 6,329 42.99 45.44 8.1.7 0.70% (57.66) UNA NA Equity 254 6,749 42.01 43.60 5.41 0.70% (80.71) UNH US Equity 1,987 10,191 64.28 76.82 26.68 0.73% (32.71) UNP US Equity 2,104 12,576 166.41 194.25 23.73 0.70% (77.74) UPS US Equity 3,847 14,806 79.87 100.62 40.70 0.64% (123.60) USB US Equity 2,639 14,238 34.71 41.15 35.90 0.52% (17.29) UTX US Equity 5,804 15,190 82.05 113.40 53.94 0.71% (301.59) V US Equity 208 5,407 200.61 208.32 3.99 0.96% (45.10) VALE US Equity 316 (2,664) 14.92 13.15 7.18 1.65% 58.02 VALE3 BZ Equity 377 (2,939) 15.07 13.14 7.25 1.77% 74.95 VIAB US Equity 3,547 9,272 60.42 83.53 50.10 0.76% (104.65) VIV FP Equity • 1,144 25.77 25.77 0.00 0.72% 0.52 VMW US Equity 226 4,785 89.16 93.38 3.16 1.50% (87.53) VOD LN Equity 333 (3,581) 3.85 3.49 9.45 0.98% 142.84 VOD US Equity 351 (3,458) 38.42 34.52 9.08 1.12% 184.63 VOW3 GR Equity 12 3,208 259.69 260.68 0.44 0.88% 21.37 VRX CN Equity 505 1,843 101.54 129.36 16.98 1.61% VRX US Equity 744 1,880 93.20 130.08 26.05 1.52% 68.06 VTI US Equity 600 5,134 86.91 97.06 22.63 0.52% (24.12) VWO US Equity 13 5,559 42.23 42.33 0.34 0.70% (39.00) VZ US Equity (10) (974) 48.44 48.91 -1.54 0.64% 6.56 WBC AU Equity 107 11,844 30.87 31.15 1.18 0.77% (186.07) WES AU Equity 117 13,490 39.08 39.42 1.14 0.76% (169.04) WFC US Equity 3,110 12,761 39.49 49.11 48.27 0.50% (91.44) WLP US Equity 4,471 10,369 74.31 106.35 42.38 1.02% 44.90 WMT US Equity (55) 9,262 76.31 75.86 -1.10 0.54% (100.77) WOW AU Equity (12) 2,267 34.46 34.28 A.60 0.91% (20.46) XOM US Equity 1,465 15,723 92.14 100.73 20.80 0.45% (22.46) XTA LN Equity #N/A N/A YHOO US Equity (5) 585 34.41 34.12 A.53 1.63% 6.37 YUM US Equity 83 7,151 73.86 74.72 1.74 0.67% 20.20 ZURN VX Equity 69 7,208 293.77 296.56 1.51 0.63% 29.14 Current Portfolio - Global Macro Portfolio Current Price PA in Vol 30P Realized Change on Day Security NUM Gain/(Loss) Exp. # Cost Avg. Price (In USD) Days Vol (in USD) SPX Index 17,844 62,272 1,455.70 1,872.83 53.11 0.54% (520.62) NDX Index 10,146 37,348 2,831.19 3,600.31 34.21 0.79% (201.10) RTY Index 303 1,904 947.28 1,097.90 17.33 0.92% (32.74) EFTA00288877 SPTSX Index 985 35,883 12,970.96 13,327.09 6.53 0.42% MEXBOL Index (58) (2,092) 3,142.45 3,229.32 .3.98 0.69% 11.51 IBOV Index 19 7,532 23,590.66 23,651.23 0.23 1.11% (172.81) MERVAL Index 209 8,768 874.64 895.44 1.92 1.24% 74.92 UKK Index 4,511 43,063 10,369.13 11,455.25 19.45 0.54% (222.64) DAX Index 8,932 36,674 10,610.77 13,194.94 34.05 0.72% (165.60) CAC Index 1,613 24,884 5,723.77 6,094.82 11.17 0.58% (143.64) IBEX Index 9,428 41,170 11,643.70 14,310.21 31.36 0.73% 59.63 SMI Index 7,846 49,310 8,347.57 9,675.75 38.67 0.41% (100.79) FTSEMIB Index 5,223 25,266 23,118.94 27,897.98 18.70 1.11% 45.27 PSI20 Index 4,258 24,476 8,041.34 9,440.21 16.79 1.04% (58.82) ISEQ Index 17,220 32,079 4,246.25 6,525.60 56.17 0.96% (174.13) ICEXI Index 3,149 29,869 6.63 7.33 20.49 0.51% (236.11) AEX Index 5,604 44,526 487.32 548.66 26.35 0.48% (106.75) BEL20 Index 7,768 47,159 3,649.75 4,250.93 33.74 0.49% (84.32) LUXXX Index 10,250 41,632 1,672.08 2,083.74 37.63 0.65% 4.62 KFX Index 10,898 39,508 101.67 129.71 40.10 0.69% r 350.46 HEX Index 8,447 41,358 8,528.98 10,270.92 32.11 0.64% 281.71 OMX Index 2,192 23,118 191.41 209.56 14.54 0.65% 30.91 ATX Index 22 (3,336) 3,297.15 3,275.46 0.82 0.80% 22.08 ASE Index 452 2,324 1,282.88 1,532.21 11.25 1.73% 132.86 OSEBX Index 4,131 26,592 86.02 99.38 21.56 0.72% (234.57) INDEXCF Index (888) (21,271) 39.64 41.30 •2.96 1.41% (186.07) TOP40 index 2,449 33,820 3,975.21 4,263.09 8.88 0.82% (245.15) SENSEX Index 5,194 43,256 371.48 416.09 15.07 0.80% (119.78) NKY Index (95) 8,896 140.49 139.00 4.15 0.93% 44.98 HSI Index 326 29,992 2,913.59 2,945.27 1.51 0.72% 169.51 SHCOMP Index 2,186 (33,248) 344.53 321.88 9.90 0.66% (46.18) KOSPI Index 1,910 38,430 1.87 1.96 9.53 0.52% (198.66) AS51 Index 428 33,715 4,948.24 5,011.12 2.00 0.64% (254.43) STBCNZL Index 35,531 73,207 444.47 660.19 100.26 0.48% EEM US Equity (17) 3,191 42.81 42.59 0.78 0.67% (25.87) IYR US Equity 156 9,689 69.78 70.90 3.82 0.42% (30.45) MDY US Equity 4,718 14,269 184.03 244.87 51.41 0.64% (199.48) INK US Equity 30 8,156 41.27 41.42 2.82 0.13% (3.95) XLF US Equity 5,381 13,610 15.57 21.73 63.42 0.62% (112.94) XLU US Equity 581 10,859 39.38 41.49 7.57 0.71% XLK US Equity 2,468 12,860 30.80 36.71 27.49 0.70% (87.19) XLI US Equity 6,082 16,147 38.20 52.59 62.22 0.61% I (296.11) XLP US Equity 558 12,093 42.09 44.03 11.01 0.42% (45.81) XLY US Equity 1,169 5,441 52.24 63.46 29.32 0.73% (59.86) XLE US Equity 706 10,089 87.31 93.42 12.20 0.57% (31.11) XLB US Equity 4,080 14,930 37.57 47.84 42.87 0.64% (102.76) XLV US Equity 12,072 24,346 38.87 58.14 66.95 0.74% (230.29) SXXP Index 6,760 45,756 403.51 463.13 29.95 0.49% (109.88) SXAP Index 9,262 28,526 520.28 689.21 30.45 1.07% 218.40 SXKP Index 4,603 37,626 366.14 410.93 17.31 0.71% I (541.01) EFTA00288878 SX6P Index 6,924 38,710 359.38 423.66 35.87 0.50% 48.18 SXEP Index 3,939 51,146 456.85 492.04 12.61 0.61% (492.94) SXIP Index 11,094 28,923 222.31 307.58 60.48 0.63% 97.60 SXNP Index 4,558 28,384 482.69 560.21 23.79 0.67% (103.42) SX3P Index 1,802 31,675 679.66 718.32 13.33 0.43% (229.32) SXDP Index 26,260 61,074 609.16 871.07 77.13 0.56% (221.39) SX4P Index 3,946 25,840 917.36 1,057.43 23.19 0.66% (115.15) SX8P Index 258 2,844 343.07 374.15 10.92 0.83% 4.57 SXOP Index 10,260 43,418 386.09 477.32 32.87 0.72% (29.91) SXQP Index 1,568 41,086 803.87 834.55 7.97 0.48% (26.88) SXRP Index 33 16,765 432.46 433.31 0.37 0.53% (126.85) SXMP Index 1,271 6,565 279.50 333.60 27.30 0.71% 65.16 SXTP Index 21,866 39,247 172.05 267.91 58.47 0.95% 333.38 SX7E Index 3,115 12,087 159.85 201.04 22.48 1.15% 101.76 SXSE Index 6,721 40,565 3,715.50 4,331.10 26.60 0.62% (161.35) SPGSCITR Index (136) (15,386) 4,989.44 5,033.49 -2.28 0.39% (5.52) XAG Curncy 1,363 (15,640) 21.28 19.42 12.16 0.72% (52.60) CO1 Comdty (86) (11,819) 108.90 109.69 -1.17 0.62% (34.33) CL1 Comdty 944 30,849 99.40 102.44 5.39 0.57% (52.67) NG1 Comdty 3,370 18,950 3.86 4.55 13.20 1.35% 409.45 XAU Comdty (47) (23,727) 88.51 88.68 -0.41 0.48% 111.63 IBOXHY Index 3,648 53,418 220.12 235.15 133.57 0.05% 37.69 US_TSY CREDIT 450 83,224 764.85 768.99 5.49 0.10% 93.68 CA_TSY CREDIT 346 91,863 1,215.16 1,219.74 1.92 0.20% (384.69) MX_TSY CREDIT 264 77,867 220.85 221.60 1.06 0.32% (288.05) AU TSY CREDIT 791 78,897 1,505.67 1,520.77 4.05 0.25% IU (797.84) JP_TSY CREDIT 820.82 MY_TSY CREDIT 83 58,788 169.82 170.06 0.61 0.23% (182.91) SG_TSY CREDIT 303 66,005 221.48 222.50 2.26 0.20% (267.13) AT_TSY CREDIT BE_TSY CREDIT 4,087 5,247 81,569 79,771 358.40 477.76 376.36 509.18 18.34 23.68 0.27% 0.28% (306.15) • (352.51) FIJSY CREDIT 3,673 85,645 349.64 364.64 17.40 0.25% (273.50) FR_TSY CREDIT 4,532 82,246 1,684.51 1,777.34 20.89 0.26% (324.93) DE_TSY CREDIT 3,162 84,524 1,247.55 1,294.22 14.29 0.26% (246.60) lE_TSY CREDIT 31,699 78,270 336.92 473.38 182.54 0.22% r r(M9.85) IT_TSY CREDIT 7,939 54,986 1,616.07 1,849.40 51.06 0.28% (564.79) NL_TSY CREDIT 3,837 82,865 1,330.92 1,392.55 17.57 0.26% (305.87) ES_TSY CREDIT 10,664 50,187 392.28 475.64 82.10 0.26% (404.13) DK_TSY CREDIT 3,184 67,396 728.94 763.38 15.46 0.31% (296.46) NO_TSY CREDIT (127) 40,142 349.03 347.93 -1.15 0.27% (174.05) PL_TSY CREDIT 1,235 35,151 429.04 444.12 14.48 0.24% (171.24) ZA_TSY CREDIT (145) 20,844 86.29 85.69 -1.10 0.63% (314.03) SE_TSY CREDIT (275) (44,333) 464.03 466.91 -2.20 0.28% CH_TSY CREDIT 3,104 69,857 1,008.64 1,053.46 18.33 0.24% (136.88) GELTSY CREDIT 2,422 89,647 1,507.67 1,548.40 11.87 0.23% (157.30) EFTA00288879