EFTA00292799.pdf

Atorus, LLC Current Date: 712M Return: Total Return since 1/1/12: Current Long Exposure @ Cost: Current Short Exposure @ Cost: Net Exposure: Current No. of Positions: Starting Capital: Current NAV: Current Leverage (Gross Exposures): 2/4/2014 26.31% 60.55% 4,128,500 (1,293,455) 2,835,045 462 1,000,000 1,605,516 3.38 2/4/2014 Change on Day: 14 1 -0.0 MSCI World Change on Day 0.13% 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 50% 1.03% -0.88% 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. 1.001 Historical sharpe ratio is in excess of 2.0X (backtest from 1995, see Investor Presentation). Our sharpe ratio increases materially during market downturns in excess of 20 days of realized volatility. Since we generate positive returns in these environments, the variance in our downside volatility is materially less than broader markets. Recessions, which generally result in market directionality in excess of 20 days of volatility are significant alpha capture opportunities for us. Additionally, by never dollar cost averaging and concurrently adding to our winners we have an inherent assymetry in our volatility profile. NAV 2,000,000.00 1,800,000.00 1,600,000.00 1,400,000.00 1,200,000.00 1,000,000.00 800,000.00 600,000.00 sb i? p teG 4) -t 9% *iz:9 4.44 ts. 4.v -N\ 4 ts. 4 A‘ c5Cv 419 -NAV EFTA00292799 Atorus, LLC 2/4/2014 Largest Exposures 99th Percentile 1st Percentile (@ cost ex-MTM) Largest MTM Gains (95th Percentile MTM Gains % NAV) Security Notional % of Total Notional Security MTM Gain % Total NAV 22 Positions 24.41% 53 Positions 29.11% MEXBOL Index (26,084) 0.48% PFE US Equity 4,470 0.28% NO_TSY CREDIT (27,323) 0.50% XLI US Equity 4,502 0.28% SHCOMP Index (27,652) 0.51% MAERSKB DC Equity 4,642 0.29% ZA_TSY CREDIT (33,074) 0.61% HEX Index 4,710 0.29% SPGSCITR Index (33,402) 0.62% QQQ US Equity 4,739 0.30% XAU Comdty (41,314) 0.76% VIAB US Equity 4,788 0.30% DE_TSY CREDIT 56,280 1.04% NKY Index 4,881 0.30% CH_TSY CREDIT 59,180 1.09% ROG VX Equity 4,890 0.30% JP_TSY CREDIT (59,545) 1.10% UTX US Equity 4,944 0.31% SXDP Index 60,941 1.12% OGXP3 BZ Equity 4,988 0.31% SPX Index 62,139 1.15% BMY US Equity 5,034 0.31% FR_TSY CREDIT 62,352 1.15% MDT US Equity 5,049 0.31% AT_TSY CREDIT 64,221 1.18% ACA FP Equity 5,053 0.31% NL_TSY CREDIT 65,241 1.20% SXOP Index 5,061 0.32% FI_TSY CREDIT 66,407 1.22% IT_TSY CREDIT 5,245 0.33% BETSY CREDIT 67,474 1.24% CMCSA US Equity 5,378 0.33% STBCNZL Index 73,226 1.35% HON US Equity 5,482 0.34% lE_TSY CREDIT 78,098 1.44% ME Index 5,574 0.35% AU_TSY CREDIT (78,952) 1.46% KFX Index 5,627 0.35% MY_TSY CREDIT (88,241) 1.63% IBEX Index 5,664 0.35% SG_TSY CREDIT (95,530) 1.76% ICEXI Index 5,737 0.36% CA_TSY CREDIT (97,045) 1.79% XAU Comdty 5,862 0.37% DAX Index 5,970 0.37% PRU LN Equity 6,060 0.38% GS US Equity 6,165 0.38% AMGN US Equity 6,185 0.39% SXAP Index 6,219 0.39% CA_TSY CREDIT 6,396 0.40% MMM US Equity 6,451 0.40% LUXXX Index 6,487 0.40% XLY US Equity 6,683 0.42% NG1 Comdty 7,070 0.44% ES_TSY CREDIT 7,587 0.47% CMCSK US Equity 7,743 0.48% TMO US Equity 7,953 0.50% BAYN GR Equity 8,153 0.51% TYC US Equity 8,712 0.54% BAC US Equity 9,309 0.58% BA US Equity 9,459 0.59% SXIP Index 9,545 0.59% EFTA00292800 SXMP Index 9,590 0.60% XLV US Equity 10,356 0.65% NDX Index 10,523 0.66% RTY Index 10,754 0.67% MA US Equity 10,917 0.68% CELG US Equity 11,697 0.73% SPX Index 12,785 0.80% SXTP Index 18,263 1.14% SXDP Index 18,521 1.15% ISEQ Index 19,447 1.21% lE_TSY CREDIT 26,598 1.66% ST8CN2L Index 30,230 1.88% GILD US Equity 33,176 2.07% EFTA00292801 Atorus, LLC 2/4/2014 Historical Net Exposure by Geography (listed Equities) & Macro (Equity Indices & Commodlites, G20 Gov. Credit) Sr * 0 o ,g. ‘, 4.,19 o A . . . . . at te fac9' Se al a an ,_ , _ ,_ ,_ N.‘ e* X 9 A X e cis.t. 41' ,Q, \ NN Nv ‘r Historical Gross Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodlites, G20 Gov. Credit) 2,500,000 2,000,000 1,500,000 1,000,000 500,000 — APAC — EMEA — AMER - EquityCom —Credit ficlg O,ry O4ry Q. Q. , 0, 0, coC. t> N04 (500, oio 0t 40\ 411 .4 4 A\ti Nets\cel (1,000,000) EFTA00292802 Atorus, LIC 2/4/2014 Current Gross Notional Risk by Category 198,381 1,350,93 11 OLD A7'f 1,627,358 535,342 • APAC • EMEA • AMER • EquityCom • Credit T24M Performance Vs. MSCI World Index 1.95 1.75 1.55 1.35 —MSCIWorld 1.15 —ATORUS 0.95 0.75 * * * 4* 4" et. , 1 , 44 0,‘ e ce s. ,b0 4 4)\ AO 44 4 4 Rolling 30 Day Realized Volatility - Atoms 2.00% 1.80% 1.60% 1.40% 1.20% 1.00% 0.80% 0.60% 0.40% 0.20% 0.00% Rolling30D ayRealized Vol EFTA00292803 Atorus, LLC Current Portfolio •Listed Equity Portfolio Security MTM Gain/(Loss) Exp. @ Cost Avg. Price Current Price (in USD) 000270 KS Equity 129 (4,496) 51.62 50.14 005380 KS Equity (53) 1,018 222.96 211.99 005490 KS Equity 79 (3,123) 276.14 269.17 005930 KS Equity 625 (6,543) 1285.62 1162.78 012330 KS Equity 679 5,271 244.69 276.20 1 HK Equity 6 (1,216) 14.80 14.73 1299 HK Equity 752 4.55 4.55 13 HK Equity 954 12,219 11.40 12.29 16 HK Equity 477 (9,917) 12.66 12.05 27 HK Equity (3) 123 9.67 9.41 2914 JP Equity 317 (4,708) 32.47 30.28 3382 JP Equity 21 3,406 37.70 37.94 4063 JP Equity 157 (4,526) 56.40 54.45 4502 JP Equity (30) 1,678 47.03 46.21 4689 JP Equity (61) 750 5.97 5.52 5 HK Equity 916 10.19 10.19 5108 JP Equity (137) 3,493 36.30 34.93 5401 JP Equity 97 (1,701) 3.08 2.90 6301 JP Equity 110 (3,507) 20.64 19.99 6752 JP Equity 755 4,138 9.01 10.66 6902 JP Equity 2,009 9,714 41.48 50.06 6954 JP Equity 273 6,380 157.65 164.41 7201 JP Equity 255 (3,734) 8.85 8.24 7203 JP Equity (38) 390 59.91 54.61 7267 JP Equity (40) 529 38.40 35.72 762 HK Equity 364 (4,145) 1.43 1.31 7751 JP Equity 600 (6,849) 31.44 28.68 8031 JP Equity 418 (6,724) 13.92 13.06 8058 JP Equity (47) 636 18.98 17.66 8306 JP Equity (52) 1,282 6.03 5.80 8316 JP Equity 494 2,398 37.02 44.65 8411 JP Equity (291) 5,277 2.13 2.02 8604 JP Equity (68) 446 7.59 6.59 8801 JP Equity (3) 38 33.32 30.69 8802 JP Equity 71 (1,639) 24.93 23.84 9020 JP Equity 225 (3,958) 77.53 73.12 941 HK Equity 1,033 (9,945) 10.39 9.31 9432 JP Equity (217) 6,063 53.12 51.29 9433 JP Equity 3,189 11,832 42.13 53.49 9437 JP Equity 94 (1,856) 16.08 15.26 9983 JP Equity (105) 3,172 368.67 356.89 9984 JP Equity 2,388 3,724 42.69 70.07 AAPL US Equity (168) 7,861 518.02 507.21 2/4/2014 EFTA00292804 ABB US Equity 377 10,387 23.59 24.45 ABBN VX Equity 263 8,685 23.63 24.35 ABBV US Equity (214) 5,327 49.41 47.51 ABEV US Equity 845 (7,216) 7.25 6.40 ABEV3 BZ Equity 807 (6,907) 7.29 6.44 ABI BB Equity 789 94.12 94.12 ABT US Equity (279) 4,087 38.68 36.21 ABX CN Equity (404) (3,506) 17.17 19.14 ABX US Equity (391) (3,471) 17.20 19.14 ACA P Equity 5,053 5,362 6.83 13.27 ACE US Equity (33) 3,615 93.86 93.00 ACN US Equity 132 9,033 77.04 78.17 ADP US Equity 40 1,191 72.36 74.80 AFL US Equity 547 4,823 55.05 61.29 AGL Si Equity (125) (5,057) 22.73 23.30 AGN US Equity 651 6,792 104.77 114.81 Al FP Equity 10 (2,049) 126.21 125.59 AIG US Equity 1,271 2,342 30.87 47.62 AIR P Equity 4,275 6,517 42.47 70.33 ALV GR Equity 2,294 7,481 125.64 164.17 ALVG IX Equity 1,727 5,693 126.13 164.41 AMGN US Equity 6,185 23,079 91.65 116.21 AMT US Equity 385 10,632 76.29 79.06 AMZN US Equity 3,020 14,105 287.66 349.24 ANZ AU Equity 5 (2,366) 26.29 26.23 APA US Equity 325 (6,854) 82.74 78.82 APC US Equity 52 (5,622) 80.96 80.21 MP US Equity 1,801 10,359 71.56 84.01 AZN LN Equity 3,319 12,659 66.19 83.55 AZN SS Equity 2,887 11,654 50.37 62.85 AZN US Equity 3,201 12,416 50.00 62.88 BA US Equity 9,459 17,787 41.02 62.83 BAC US Equity 9,309 10,785 65.64 122.30 BARC LN Equity (102) 5,284 16.75 16.44 BAS GR Equity 463 7,322 4.07 4.33 BATS LN Equity 226 (5,828) 107.62 103.45 BAX US Equity 5 (8,029) 47.54 47.51 BAYN GR Equity 8,153 11,649 39.28 66.78 BBAS3 BZ Equity 233 (3,550) 139.42 130.27 HD US Equity 1,166 (6,728) 10.42 8.61 BBOC4 BZ Equity 1,151 (7,236) 12.74 10.71 BBL US Equity 242 (5,006) 11.26 10.72 BBVA SM Equity 904 5,711 49.67 57.52 BCE CN Equity 304 (6,628) 12.25 11.69 BCS US Equity (127) 6,382 42.01 41.19 BEN US Equity (150) 6,145 17.80 17.37 BG/ LN Equity (8) (544) 50.05 50.81 EFTA00292805 BHP AU Equity 3 (1,473) 17.12 17.08 BHP US Equity 15 (2,955) 32.07 31.91 BOB US Equity 264 1,064 50.78 63.38 BIL SJ Equity 207 (3,235) 327.97 306.98 BK US Equity 26 1,536 28.33 28.81 BLK US Equity 67 1,169 29.45 31.15 BLT IN Equity 246 (4,936) 305.17 289.96 BMO CN Equity 29 (2,527) 29.06 28.72 BMW GR Equity 486 5,068 55.65 61.00 BMY US Equity 5,034 13,561 78.83 108.09 BN FP Equity 231 (3,675) 52.26 48.97 BNP FP Equity 1,301 5,490 53.44 66.10 BNS CN Equity 12 (2,838) 76.74 76.42 BP/ LN Equity (4) 8,427 54.66 54.63 BRK/B US Equity 78 (3,799) 7.84 7.68 BSBR US Equity 1,988 (8,153) 144.24 109.07 BUD US Equity 769 4.68 4.68 BX US Equity 133 2,970 90.22 94.27 C US Equity (0) 673 31.67 31.67 CA FP Equity 277 1,956 41.23 47.07 CAT US Equity 593 10,280 32.91 34.81 CBA AU Equity (19) (2,478) 91.54 92.26 CBS US Equity 214 1,265 56.09 65.56 CCL US Equity 595 7,804 53.59 57.68 CELG US Equity 11,697 15,102 21.96 38.97 CFR VX Equity 33 (1,266) 155.91 151.79 CL US Equity 426 18,526 88.14 90.17 CM CN Equity 21 (2,663) 60.82 60.35 CMCSA US Equity 5,378 17,408 58.91 77.11 CMCSK US Equity 7,743 18,900 37.74 53.20 CNI US Equity 487 12,846 49.25 51.12 CNQ CN Equity (27) (3,142) 52.87 53.32 CNR CN Equity 496 12,399 31.89 33.17 COF US Equity 149 8,087 52.38 53.35 COP US Equity 345 (7,094) 72.46 68.93 COST US Equity 75 (4,431) 64.85 63.76 COV LN Equity 185 2,421 102.86 110.71 COV US Equity 304 6,334 3.72 3.90 CRM US Equity 135 2,050 62.31 66.42 CS FP Equity 2,097 6,677 46.15 60.64 CSCO US Equity 28 (4,966) 25.62 25.48 CSX US Equity 435 8,904 20.66 21.67 CVE CN Equity 1,032 (10,438) 29.18 26.30 CVS US Equity 545 10,289 24.56 25.86 CVX US Equity 50 (2,866) 67.25 66.07 D US Equity 1,233 12,095 100.97 111.26 DAI GR Equity 4,250 13,894 50.58 66.05 EFTA00292806 DBK GR Equity 42 4,046 80.40 81.23 DD US Equity 1,614 12,287 41.63 47.10 DDAIF US Equity 2,482 8,304 47.43 61.61 DE US Equity (93) 8,105 83.03 82.09 DELL US Equity (3) 6,701 84.70 84.67 DEO US Equity (81) 1,019 14.96 13.86 DG FP Equity 2,605 9,874 91.89 116.13 DGE LN Equity (82) 1,072 69.82 64.88 DWI US Equity 3,427 13,975 23.27 28.98 DIS US Equity 358 9,886 70.38 72.93 DISCA US Equity (15) 874 72.03 70.84 DNB NO Equity 763 8,922 71.93 78.08 DOW US Equity 1,656 6,436 13.48 16.95 DPW GR Equity 107 546 37.66 45.06 DTE GR Equity 3,789 13,621 26.43 33.79 DTV US Equity 1,302 9,143 13.67 15.62 DUK US Equity (28) (8,802) 68.43 68.65 DVN US Equity (224) 5,735 72.55 69.82 EBAY US Equity (1) 5,047 59.36 59.35 Ea US Equity (71) 1,109 56.32 52.94 EDF FP Equity 4,049 9,176 68.42 98.61 EMC US Equity (420) 8,818 35.40 33.79 EMR US Equity 505 7,758 22.24 23.69 ENB CN Equity 31 (6,988) 63.92 63.63 ENEL IM Equity 406 6,711 39.14 41.51 ENI IM Equity 12 (843) 4.57 4.50 EOAN GR Equity (88) 2,600 22.99 22.24 EOG US Equity 885 5,564 15.55 18.03 EPD US Equity 477 9,113 158.60 166.90 ERICB SS Equity 11 3,423 64.86 65.07 ESRX US Equity 974 9,800 10.99 12.09 ETN US Equity (98) 2,355 76.37 73.32 F US Equity 678 68.14 68.14 FEI US Equity 1,111 2,543 10.28 14.78 FCX US Equity 48 (1,734) 64.41 62.63 FDX US Equity 390 5,328 28.98 31.10 FOX US Equity 1 (3,591) 129.81 129.78 FOXA US Equity (30) (3,461) 30.77 31.03 FP FP Equity 54 2,834 31.01 31.60 G IM Equity 155 4,534 54.41 56.27 GE US Equity 1,659 16,427 19.27 21.22 GILD US Equity 33,176 13,862 7.24 24.57 GIS US Equity (268) 6,400 84.94 81.52 GLE FP Equity 469 3,241 41.16 47.12 GLEN LN Equity 23 (2,939) 57.13 56.67 GLW US Equity 697 11,352 4.80 5.10 GM US Equity 1,761 6,656 13.57 17.17 EFTA00292807 GOOG US Equity 4,129 12,323 26.78 35.75 GS US Equity 6,165 13,548 787.01 1145.15 GSK LN Equity (36) 4,313 162.82 161.48 GSZ FP Equity (4) (1,586) 25.43 25.50 HAL US Equity 383 2,661 19.39 22.18 HD US Equity 2,200 16,669 43.39 49.11 HMB SS Equity 281 6,097 71.46 74.75 HON US Equity 5,482 11,827 29.15 42.67 HPQ US Equity 876 6,283 78.48 89.42 HSBA LN Equity 5 (943) 28.38 28.24 IBE SM Equity 771 6,907 9.17 10.20 IBM US Equity 531 (8,375) 6.50 6.09 IMT LN Equity 139 10,900 170.84 173.01 INTC US Equity 9 9,762 36.36 36.40 ISP IM Equity 2,228 5,486 16.95 23.83 ITUB US Equity 359 (5,896) 2.85 2.68 ITUB4 BZ Equity 289 (6,351) 13.59 12.97 ITW US Equity 1,914 13,984 11.41 12.97 ITX SM Equity 43 1,121 74.29 77.12 JCI US Equity 3,040 9,872 111.48 145.81 JNJ US Equity 3,121 12,514 35.72 44.63 JPM US Equity 443 8,510 82.32 86.60 KMB US Equity (68) 7,916 55.48 55.01 KMI US Equity 298 (6,738) 110.66 105.77 KO US Equity 251 (5,798) 35.13 33.61 KRFT US Equity (114) 2,014 39.53 37.41 LBTYA US Equity (148) 2,268 54.33 50.99 LBTYK US Equity 18 1,898 78.64 79.38 LIN GR Equity (155) 3,081 82.54 78.59 LLOY LN Equity 3,293 7,062 128.44 188.34 LLY US Equity 916 1.31 1.31 LMT US Equity 412 2,012 43.83 52.81 LNKD US Equity (47) 1,944 151.17 147.57 LOW US Equity 16 (901) 216.08 212.33 LVS US Equity 1,532 6,795 36.78 45.07 LYB US Equity 729 2,294 57.04 75.16 MA US Equity 10,917 19,561 50.14 78.12 MAERSKB DC Equity 4,642 14,129 55.21 73.34 MC FP Equity (23) (1,370) 10730.67 10910.71 MCD US Equity 126 (6,958) 178.70 175.48 MCK US Equity 85 1,758 88.85 93.16 MDIZ US Equity 1,606 13,622 151.73 169.62 MDT US Equity 5,049 20,620 25.76 32.06 MET US Equity 567 7,546 50.05 53.81 MFC CN Equity 3,511 7,931 33.06 47.70 MHS US Equity 1,756 13,963 15.86 17.85 MMM US Equity 6,451 21,135 53.72 70.12 EFTA00292808 MO US Equity (289) 6,483 132.11 126.47 MON US Equity 31 11,892 34.30 34.38 MOS US Equity 66 (4,462) 107.89 106.29 MRK US Equity 832 9,329 41.47 45.17 MS US Equity 94 1,646 50.28 53.15 MSFT US Equity 365 7,161 27.72 29.14 MUV2 GR Equity 345 7,519 34.99 36.60 NAB AU Equity 4 (2,412) 206.80 206.49 NCM AU Equity 3,002 (5,088) 70.86 29.05 NEE US Equity 3,543 14,629 7.24 9.00 NEM US Equity 2,926 (7,382) 149.44 90.21 NESN VX Equity 304 9,801 20.46 21.10 NG/ LN Equity 1,106 11,401 65.45 71.80 NKE US Equity 1,754 6,615 10.16 12.85 NOK US Equity 3,165 4,491 41.49 70.73 NOV US Equity 116 (6,884) 6.87 6.76 NOVN VX Equity 4,129 18,115 60.60 74.41 NOVOB DC Equity 285 5,411 74.42 78.35 NSC US Equity 1,321 9,571 34.90 39.71 NVS US Equity 3,101 15,375 76.23 91.60 OGXP3 BZ Equity 4,988 (5,138) 2680.20 78.19 OR FP Equity (0) 733 0.13 0.13 ORA FP Equity (119) 3,938 168.50 163.54 ORCL US Equity 588 7,096 11.07 11.99 OXY US Equity 29 (3,972) 36.16 35.89 RR US Equity 491 (2,807) 105.69 87.21 PBR/A US Equity 455 (2,789) 13.11 10.97 PCLN US Equity 527 3,037 9.89 11.61 PCP US Equity 2,204 13,683 966.41 1122.06 PEP US Equity (234) 5,404 257.37 246.69 PETR3 BZ Equity 472 (2,916) 94.04 78.81 PETR4 BZ Equity 512 (2,979) 6.62 5.48 PFE US Equity 4,470 21,831 4.82 5.81 PG US Equity (99) 1,849 33.13 31.45 PHIA NA Equity 1,513 11,148 66.94 76.02 PM US Equity 1,029 (9,839) 38.60 34.56 PNC US Equity 356 7,630 73.37 76.80 POT CN Equity (8) (3,078) 78.58 78.79 POT US Equity (19) (2,788) 31.42 31.63 PRU LN Equity 6,060 10,425 20.00 31.62 PSA US Equity 77 5,869 19.92 20.18 PSX US Equity 555 6,018 144.65 157.98 PX US Equity 1,314 15,957 65.23 70.61 QCOM US Equity 1,095 12,522 112.77 122.63 QQQ US Equity 4,739 19,740 58.60 72.67 RAI US Equity (8) 708 85.87 84.89 RDS/A US Equity (29) 729 49.28 47.40 EFTA00292809 RDS/B US Equity (176) 3,985 70.97 67.96 RDSA LN Equity (59) 3,245 73.02 71.71 RDSA NA Equity (27) 649 35.42 34.00 RDSB LN Equity (128) 3,973 35.12 34.02 REGN US Equity (12) 3,904 36.00 35.88 RIO AU Equity (70) 3,295 292.53 286.41 RIO LN Equity (109) 4,808 58.71 57.41 RIO US Equity (109) 4,923 53.78 52.62 ROG VX Equity 4,890 17,022 41.06 52.85 RY CN Equity 7 (2,673) 274.67 273.91 SAG LN Equity 31 (1,569) 62.93 61.71 SAN FP Equity 392 (6,160) 46.80 43.82 SAN SM Equity 97 7,240 95.80 97.08 SAN US Equity 163 5,304 8.21 8.46 SAP GR Equity (391) 5,229 9.17 8.53 SAP US Equity (537) 7,085 81.16 75.45 SBUX US Equity 166 (4,511) 78.31 75.42 SCCO US Equity 232 (3,778) 75.24 70.62 SGO FP Equity 1,388 7,709 23.61 27.85 SI US Equity 941 11,236 47.83 51.83 SIE GR Equity 748 8,890 114.64 124.29 SLB US Equity 737 8,145 114.15 124.48 SMSN LI Equity 727 (7,243) 96.90 87.18 SO US Equity 162 (8,994) 590.41 579.78 SPG US Equity (40) (4,699) 40.64 40.98 SREN VX Equity 741 9,690 141.89 152.74 STAN LN Equity 526 (5,275) 95.81 86.26 STL NO Equity (174) 3,572 20.73 19.77 517 US Equity (267) 4,787 25.02 23.70 SU CN Equity 92 (3,082) 67.48 65.46 SU FP Equity 13 1,116 31.28 31.63 SU US Equity 65 (2,139) 82.15 79.67 SWEDA SS Equity 283 5,938 30.18 31.62 SYNN VX Equity 28 (1,853) 26.29 25.88 T US Equity 504 (6,876) 376.80 349.16 TD CN Equity 8 (3,487) 32.37 32.30 TEF SM Equity 8 (768) 43.61 43.17 TEF US Equity (8) 302 15.51 15.11 TGT US Equity 1,388 (10,486) 17.33 15.04 TJX US Equity 2,009 9,478 45.65 55.33 TLS AU Equity 18 2,709 55.75 56.13 TLSN SS Equity (56) 509 5.05 4.56 TM US Equity 252 (4,018) 7.85 7.36 TMO US Equity 7,953 10,132 62.58 111.70 TOT US Equity 179 2,703 106.45 113.50 TRP CN Equity 100 (6,937) 57.17 56.35 TRV US Equity 53 (3,421) 43.80 43.12 EFTA00292810 TSCO LN Equity 649 (7,381) 88.06 80.32 TWC US Equity 673 4,764 4.52 5.16 TWX US Equity 33 (3,172) 136.80 135.37 TXN US Equity 2,150 12,188 52.92 62.26 TYC US Equity 8,712 23,873 30.10 41.09 UBS US Equity 261 5,214 37.91 39.81 UBSN VX Equity 192 5,150 19.61 20.34 UCG IM Equity 1,647 5,383 15.49 20.24 ULVR LN Equity 159 (3,842) 7.60 7.29 UNA NA Equity 161 (4,699) 39.40 38.05 UNH US Equity 979 10,023 33.89 37.20 UNP US Equity 701 9,412 65.46 70.34 UPS US Equity 2,597 14,786 147.04 172.87 USB US Equity 1,782 14,221 83.44 93.90 UTX US Equity 4,944 15,050 29.40 39.06 V US Equity 3,302 3,610 56.92 109.00 VALE US Equity 396 (3,899) 238.41 214.21 VALE3 BZ Equity 464 (4,576) 15.08 13.55 VIAB US Equity 4,788 9,546 9.00 13.52 VIV FP Equity 34 2,278 78.36 79.52 VMW US Equity 38 4,236 26.05 26.28 VOD LN Equity 1,062 7,581 77.23 88.05 VOD US Equity 971 7,506 3.17 3.58 VOW3 GR Equity 549 6,815 33.06 35.72 VRX CN Equity 726 1,608 170.31 247.19 VRX US Equity 838 1,876 93.23 134.90 VTI US Equity 258 5,127 128.38 134.86 VWO US Equity 506 (6,822) 98.60 91.29 VZ US Equity 191 (6,107) 38.73 37.52 WBC AU Equity (18) (2,556) 46.28 46.61 WES AU Equity (33) (2,770) 26.91 27.23 WFC US Equity 1,887 10,054 31.38 37.27 WLP US Equity 1,931 12,943 38.82 44.61 WMT US Equity (295) 5,367 90.10 85.40 WOW AU Equity 330 (8,646) 75.57 72.69 XOM US Equity (58) 10,877 30.27 30.11 XTA LN Equity 2 (2,235) 90.07 90.00 YHOO US Equity 200 1,280 13.00 15.04 YUM US Equity (54) 4,171 35.89 35.43 ZURN VX Equity (100) 6,379 73.00 71.87 Current Portfolio - Global Macro Portfolio Security MTM GaInfiLoss) I Exp. # Cost Avg. Price Current Price (In USD) SPX Index 12,785 62,139 1455.70 1,755.20 NDX Index 10,523 46,622 2831.19 3,470.20 EFTA00292811 RTY Index 10,754 39,850 868.48 1,102.84 SPTSX Index 37 (8,465) 12255.50 12,202.48 MEXBOL Index 1,173 (26,084) 3142.70 3,001.38 IBOV Index 2,633 (22,472) 22076.65 19,489.65 MERVAL Index (202) (4,754) 735.46 766.70 UKK Index 926 39,883 10288.22 10,527.14 DAX Index 5,970 36,594 10610.77 12,341.85 CAC Index 999 14,134 5199.75 5,567.20 IBEX Index 5,664 38,369 11492.37 13,188.79 SMI Index 4,057 40,612 8134.42 8,946.96 FTSEMIB Index 3,011 23,045 22744.85 25,716.55 P5120 Index 3,148 24,240 8026.78 9,069.25 ISEQ Index 19,447 40,011 4246.25 6,310.16 ICEXI Index 5,737 35,345 6.58 7.65 AEX Index 2,923 42,183 484.27 517.83 BEL20 Index 3,074 41,687 3586.05 3,850.44 LUXXX Index 6,487 39,636 1655.49 1,926.45 KFX Index 5,627 37,972 100.82 115.76 HEX Index 4,710 40,851 8513.92 9,495.45 OMX Index 743 20,686 189.54 196.35 ATX Index 1,696 28,045 3213.33 3,407.62 ASE Index 5,574 17,658 1246.19 1,639.56 OSEBX Index 193 22,093 84.29 85.03 INDEXCF Index 125 (12,011) 41.61 41.18 TOP40 Index 52 (8,878) 3627.06 3,605.97 SENSEX Index 288 (11,549) 332.82 324.52 NKY Index 4,881 39,327 122.63 137.85 HSI Index 170 (5,552) 2843.26 2,756.13 SHCOMP Index 632 (27,652) 343.18 335.34 KOSPI Index 109 (5,705) 1.78 1.75 ASS1 index (13) (9,315) 4549.04 4,555.25 STBCNZL Index 30,230 73,226 439.90 621.51 EEM US Equity 434 (6,105) 40.76 37.86 IYR US Equity (82) (4,157) 63.72 64.97 MDY US Equity 3,786 14,142 184.03 233.29 JNK US Equity (9) 721 40.92 40.41 XLF US Equity 4,466 13,486 15.57 20.73 XLU US Equity 74 6,353 38.12 38.56 XLK US Equity 1,426 12,843 30.80 34.22 XLI US Equity 4,502 15,999 38.20 48.95 XLP US Equity (227) 7,313 41.34 40.09 XLY US Equity 6,683 20,539 46.72 61.92 XLE US Equity 122 4,289 80.44 82.73 XLB US Equity 2,289 14,787 37.57 43.39 XLV US Equity 10,356 24,349 38.87 55.40 SXXP Index 3,125 43,321 400.51 429.40 SXAP Index 6,219 28,482 520.28 633.88 EFTA00292812 SXKP Index 2,504 46,935 366.14 385.67 SX6P Index 1,984 32,182 349.85 371.42 SXEP Index (293) 5,256 448.77 425.10 SXIP Index 9,545 28,866 222.31 295.81 SXNP Index 3,165 28,322 482.69 536.63 SX3P Index (431) 14,426 653.27 634.34 SXDP Index 18,521 60,941 609.16 794.29 SX4P Index 1,343 25,783 917.36 965.16 SX8P Index 2,344 20,014 330.19 368.85 SXOP Index 5,061 40,465 380.28 427.84 SXQP Index 0 3,176 743.36 743.36 SXRP Index 250 6,322 402.35 418.25 SXMP Index 9,590 35,693 261.12 331.28 SXTP Index 18,263 39,161 172.05 252.29 SX7E Index 4,142 17,730 157.43 194.20 SXSE Index 3,321 38,430 3686.95 4,005.58 SPGSCITR Index 401 (33,402) 4817.40 4,759.51 XAG Curncy 1,482 (12,253) 22.02 19.36 CO1 Comdty 681 (20,676) 109.38 105.78 CL1 Comdty 59 13,301 96.76 97.19 NG1 Comdty 7,070 16,573 3.77 5.38 XAU Comdty 5,862 (41,314) 105.52 90.55 IBOXHY Index 1,738 53,311 220.12 227.30 US_TSY CREDIT 9,928 762.10 762.10 CA_TSY CREDIT 6,396 (97,045) 1274.94 1,190.91 MX_TSY CREDIT 483 (13,717) 209.32 201.95 AU TSY CREDIT 1,639 (78,952) 1444.14 1,414.15 JP_TSY CREDIT 198 (59,545) 822.22 819.49 MY_TSY CREDIT 2,810 (88,241) 166.61 161.30 SG_TSY CREDIT 611 (95,530) 217.13 215.74 AT_TSY CREDIT 1,504 64,221 354.98 363.29 BE_TSY CREDIT 2,243 67,474 474.30 490.07 FR_TSY CREDIT 1,394 66,407 346.48 353.75 FR_TSY CREDIT 1,857 62,352 1663.69 1,713.23 DE_TSY CREDIT 1,094 56,280 1231.54 1,255.48 IE_TSY CREDIT 26,598 78,098 337.45 452.37 IT_TSY CREDIT 5,245 53,270 1611.86 1,770.58 NL_TSY CREDIT 1,323 65,241 1319.13 1,345.89 ES_TSY CREDIT 7,587 50,157 392.74 452.15 DK_TSY CREDIT 1,387 50,977 721.46 741.09 NO_TSY CREDIT 560 (27,323) 334.45 327.59 PL_TSY CREDIT 31 22,099 417.05 417.63 ZA_TSY CREDIT 2,828 (33,074) 81.66 74.68 SE_TSY CREDIT (328) (21,090) 451.44 458.46 CH_TSY CREDIT 2,020 59,180 1000.81 1,034.97 GELTSY CREDIT 29 31,772 1480.06 1,481.42 EFTA00292813