EFTA00292814.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): 2/5/2014 26.85% 60.90% 4,062,968 (1,386,253) 2,676,714 453 1,000,000 1,608,995 3.39 2/5/2014 Change on Day: 0.53% MSC' World Change on Day 0.16% 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 51% 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 each 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 1,800,000.00 1,600,000.00 1,400,000.00 1,200,000.00 1,000,000.00 800,000.00 600,000.00 eve 04> ,,t9 nsiG N. it. 5 A\ 4 N. 4 A\ 4 N. -NAV EFTA00292814 Atorus, LLC 2/5/2014 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 24.53% 53 Positions 29.16% MEXBOL Index (26,195) 0.48% AIR FP Equity 4,322 0.27% NO_TSY CREDIT (27,579) 0.51% SX7E Index 4,460 0.28% SHCOMP Index (27,841) 0.51% XLF US Equity 4,476 0.28% ZA_TSY CREDIT (33,390) 0.61% XLI US Equity 4,530 0.28% SPGSCITR Index (33,770) 0.62% QQQ US Equity 4,658 0.29% XAU Comdty (41,752) 0.77% MAERSKB DC Equity 4,674 0.29% DE_TSY CREDIT 56,806 1.04% UTX US Equity 4,772 0.30% CH_TSY CREDIT 59,734 1.10% BMY US Equity 4,848 0.30% JP_TSY CREDIT (60,116) 1.10% ROG VX Equity 4,891 0.30% SXDP Index 61,323 1.13% OGXP3 BZ Equity 4,995 0.31% SPX Index 62,514 1.15% SXOP Index 5,000 0.31% FR_TSY CREDIT 62,936 1.15% HEX Index 5,034 0.31% AT_TSY CREDIT 64,821 1.19% ACA FP Equity 5,097 0.32% NL_TSY CREDIT 65,851 1.21% MDT US Equity 5,408 0.34% FI_TSY CREDIT 67,028 1.23% CMCSA US Equity 5,434 0.34% BETSY CREDIT 68,105 1.25% IT_TSY CREDIT 5,479 0.34% STBCNZL Index 73,246 1.34% HON US Equity 5,512 0.34% lE_TSY CREDIT 78,588 1.44% NG1 Comdty 5,604 0.35% AU_TSY CREDIT (79,707) 1.46% AMGN US Equity 5,628 0.35% MY_TSY CREDIT (90,995) 1.67% XAU Comdty 5,823 0.36% SG_TSY CREDIT (96,439) 1.77% IBEX Index 5,859 0.36% CA_TSY CREDIT (98,061) 1.80% DAX Index 5,991 0.37% ICEXI Index 6,065 0.38% PRU LN Equity 6,095 0.38% GS US Equity 6,163 0.38% ASE Index 6,179 0.38% SXAP Index 6,278 0.39% KFX Index 6,533 0.41% XLY US Equity 6,683 0.42% MMM US Equity 6,728 0.42% CA_TSY CREDIT 6,833 0.42% LUXXX Index 7,093 0.44% TMO US Equity 7,850 0.49% CMCSK US Equity 7,853 0.49% ES_TSY CREDIT 7,868 0.49% BAYN GR Equity 8,205 0.51% TYC US Equity 9,003 0.56% BA US Equity 9,096 0.57% BAC US Equity 9,205 0.57% SXIP Index 9,703 0.60% EFTA00292815 SXMP Index 9,813 0.61% XLV US Equity 10,161 0.63% NDX Index 10,639 0.66% RTY Index 10,821 0.67% MA US Equity 11,453 0.71% CELG US Equity 11,624 0.72% SPX Index 12,862 0.80% SXTP Index 18,737 1.16% SXDP Index 19,211 1.19% ISEQ Index 19,978 1.24% IE_TSY CREDIT 27,189 1.69% STBCNZL Index 29,175 1.81% GILD US Equity 31,625 1.97% 19 APAC Lon APAC Short 26 EMEA Long 67 EMEA Short 25 AMER Long 150 AMER Short 70 E•ui om Lo 51 EquityCom Short 20 Credit Lon 15 Credit Short 9 EFTA00292816 Atorus, LLC 2/5/2014 Historical Net Exposure by Geography (listed Equities) & Macro (Equity Indices & Commodlites, G20 Gov. Credit) 2,000,000 1,500,000 1,000,000 500,000 ;OSY (500,000) (1,000,000) M. to e % CV Cftc." . . . O4.1. O° O. Si' IP O1 CI' Nci At le re Ole O• N. 0) (,) ek 4, O Ole N. 1) 1 1 b 'LO N. „,N. — APAC — EMEA AMER —EquityCom Credit Istorical 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 4—EquityCom —Credit (SS) t 9 e •c» cb •cb e) O1, go 0 Q9 Q9. 0i. o \9> (500, ) 4' cP ,,e0 4\ 4\ .0 OP • tip\ (1,000,000) EFTA00292817 Atorus, LIC 2/5/2014 Current Gross Notional Risk by Category ■ APAC ■ EMEA ■ AMER ■ EquityCom ■ Credit T24M Performance Vs. MSCI World Index 1.95 1.75 1.55 1.35 1.15 0.95 0.75 omo, op:) 4,1, 4?› 4, b anti anti ~~ti anti ~~ti 'Slt 43\ anti t‘C° A\1)91 ce 9 / 1 9 rt 9 —ATORUS Rolling 30 Day Realized Volatility Atorus 2.00% 1.80% 1.60% 1.40% 1.20% 1.00% 0.80% 0.60% 0.40% 0.20% Rolling30D ayRealized Vol EFTA00292818 Atorus, LLC 2/5/2014 Percentile Distribution of Current NITM Gains In Vol Days by Position (ex.99pct & ex-1st percentiles) 60.00 50.00 40.00 30.00 20.00 10.00 0.00 -10.00 N el el e4 m CO V' lit VI Ifl 111 W N t\ CO CO 01 MAAgA jig igligia lg —PA Vol Days by Position Percentile No. Vol Days 0.00% -10.68 5.00% -4.70 10.00% -1.84 15.00% -0.78 20.00% 0.00 25.00% 0.70 30.00% 1.74 35.00% 2.87 40.00% 4.04 45.00% 5.25 50.00% 6.53 55.00% 8.39 60.00% 10.22 65.00% 12.31 70.00% 14.50 75.00% 17.99 80.00% 22.91 85.00% 29.89 90.00% 36.83 95.00% 52.40 100.00% 186.00 EFTA00292819 Atorus, LLC Current Portfolio -Listed Equity Portfolio Current Price P/L in Vol 30P Realized Security MTM Gain/(Loss) Exp. # Cost Avg. Price (in USD) Days Vol 2/5/2014 000270 KS Equity 117 (4,536) 51.62 50.29 1.82 1.41% 005380 KS Equity (36) 771 223.08 213.24 -3.14 1.47% 005490 KS Equity 95 (3,683) 275.07 267.99 2.85 0.90% 005930 KS Equity 691 (6,605) 1285.62 1151.14 11.65 0.90% 012330 KS Equity 685 5,321 251.73 284.16 10.12 1.27% 1 HK Equity 23 (1,904) 14.78 14.60 2.27 0.53% 1299 HK Equity (1,060) 4.56 4.56 0.00 0.91% 13 HK Equity 963 12,333 11.42 12.31 9.48 0.82% 16 HK Equity 482 (10,023) 12.65 12.05 8.91 0.54% 27 HK Equity (11) 123 9.60 8.78 4.11 2.26% 2914 JP Equity 320 (4,753) 32.87 30.66 4.73 1.43% 3382 JP Equity 22 3,441 37.59 37.82 0.49 1.27% 4063 JP Equity 158 (4,569) 56.21 54.26 3.09 1.12% 4502 JP Equity (30) 1,694 47.04 46.22 -2.28 0.77% 4689 JP Equity (64) 753 5.96 5.50 -5.37 1.59% 5 HK Equity 3 (1,110) 10.19 10.15 0.43 0.71% 5108 JP Equity (139) 3,529 36.34 34.96 -3.84 1.02% 54011P Equity 96 (2,306) 3.04 2.91 3.33 1.25% 63011P Equity 111 (3,540) 20.55 19.90 2.56 1.23% 6752 JP Equity 764 4,186 10.42 12.33 9.36 1.95% 6902 JP Equity 2,031 9,817 41.97 50.66 16.56 1.25% 6954 JP Equity 276 6,440 156.43 163.14 2.28 1.88% 7201 JP Equity 258 (3,770) 8.97 8.36 5.43 1.26% 762 HK Equity 367 (4,179) 1.43 1.31 7.98 1.10% 7751 JP Equity 605 (6,905) 31.59 28.83 9.80 0.89% 8031 JP Equity 422 (6,788) 14.46 13.56 6.91 0.90% 8058 JP Equity 764 17.87 17.87 0.00 0.93% 84111P Equity (220) 4,001 2.15 2.04 4.39 1.26% 8802 JP Equity 71 (2,036) 25.23 24.35 2.54 1.38% 90201P Equity 226 (3,974) 78.81 74.32 5.49 1.04% 941 HK Equity 1,043 (10,331) 10.39 9.34 15.77 0.64% 9432 JP Equity (218) 6,105 53.26 51.42 -3.27 1.09% 9433 JP Equity 3,223 11,958 43.08 54.69 21.20 1.27% 9437 JP Equity 94 (2,692) 16.02 15.46 3.81 0.92% 9983 JP Equity (106) 3,208 367.47 355.72 -1.74 1.90% 9984 JP Equity 1,811 2,824 43.06 70.66 43.05 1.49% AAPL US Equity (97) 7,935 518.18 511.95 .1.10 1.11% ABB US Equity 525 10,485 23.59 24.77 5.00 1.00% ABBN VX Equity 457 8,767 23.63 24.86 4.48 1.16% ABBV US Equity (196) 5,388 49.43 47.69 -3.71 0.98% ABEV US Equity 884 (7,285) 7.25 6.37 10.17 1.19% EFTA00292820 ABEV3 BZ Equity 845 (6,973) 7.29 6.41 11.62 1.04% ABI BB Equity (1) (534) 94.12 94.25 -0.16 0.85% ABT US Equity (265) 4,105 38.70 36.36 -9.35 0.69% ABX CN Equity (355) (3,540) 17.17 18.89 •6.57 1.52% ABX US Equity (342) (3,504) 17.20 18.88 •6.74 1.45% ACA FP Equity 5,097 5,409 7.01 13.62 73.83 1.28% ACE US Equity (24) 3,711 93.85 93.26 -0.97 0.66% ACN US Equity 89 9,124 77.04 77.79 1.18 0.82% ADP US Equity 21 1,202 72.36 73.62 2.38 0.73% AFL US Equity 375 3,236 55.05 61.43 17.85 0.65% AGL SI Equity (129) (5,110) 22.73 23.31 .1.83 1.38% AGN US Equity 625 6,857 104.77 114.32 8.82 1.03% Al FP Equity (12) (2,736) 126.05 126.60 -0.62 0.70% AIG US Equity 633 1,171 30.87 47.55 65.19 0.83% AIR FP Equity 4,322 6,590 42.10 69.70 74.62 0.88% ALV GR Equity 2,308 7,528 126.90 165.81 31.60 0.97% ALVG IX Equity 1,802 5,737 126.13 165.75 32.66 0.96% AMGN US Equity 5,628 23,079 92.78 115.41 26.41 0.92% AMT US Equity 402 10,749 76.29 79.14 5.06 0.74% AMZN US Equity 2,783 14,104 287.66 344.41 17.54 1.12% ANZ AU Equity 40 (3,267) 26.27 25.95 1.57 0.78% APA US Equity 403 (6,883) 82.74 77.89 8.85 0.66% APC US Equity 103 (5,672) 80.96 79.49 2.24 0.81% AXP US Equity 1,778 10,474 71.56 83.71 17.91 0.95% AZN LN Equity 3,448 12,794 49.80 63.22 36.80 0.73% AZN SS Equity 2,918 11,777 50.65 63.20 30.61 0.81% AZN US Equity 3,345 12,548 49.96 63.27 34.20 0.78% BA US Equity 9,096 17,898 79.84 120.42 51.29 0.99% BAC US Equity 9,205 10,831 8.82 16.32 94.41 0.90% BARC LN Equity (101) 5,334 4.41 4.33 -1.63 1.15% BAS GR Equity 468 7,405 97.23 103.38 7.50 0.84% BATS LN Equity 227 (6,434) 48.99 47.26 3.92 0.90% BAX US Equity (49) (8,114) 66.82 67.23 -1.17 0.52% BAYN GR Equity 8,205 11,723 75.59 128.50 68.63 1.02% BBAS3 BZ Equity 253 (3,565) 9.22 8.56 5.22 1.36% BBD US Equity 1,212 (6,792) 12.96 10.65 13.74 1.30% BBDC4 BZ Equity 1,176 (7,305) 12.74 10.69 15.02 1.07% BBL US Equity 253 (5,053) 60.45 57.42 5.30 0.95% BBVA SM Equity 1,006 5,765 10.09 11.86 14.14 1.23% BCE CN Equity 354 (6,688) 43.17 40.89 8.76 0.60% Bcs US Equity (107) 6,443 17.72 17.43 -1.42 1.16% BEN US Equity (140) 4,652 52.03 50.52 -3.53 0.85% BC/ IN Equity (8) (818) 17.10 17.28 -0.73 1.39% BHP AU Equity 3 (2,274) 31.48 31.44 0.14 0.84% BHP US Equity 14 (3,709) 63.64 63.40 0.47 0.81% BUIS US Equity 239 1,074 245.93 300.67 17.65 1.26% BIL Si Equity 209 (3,266) 30.38 28.44 6.65 0.96% EFTA00292821 BK US Equity 20 1,551 30.62 31.02 1.58 0.82% BLK US Equity 66 1,180 274.17 289.59 6.53 0.86% BLT LN Equity 248 (4,983) 30.17 28.66 5.76 0.87% BMO CN Equity 15 (3,174) 61.56 61.27 0.77 0.61% BMW GR Equity 492 5,126 98.79 108.27 12.32 0.78% BMY US Equity 4,848 13,685 35.71 48.36 34.43 1.03% BN P Equity 233 (3,708) 70.46 66.02 6.77 0.93% BNP P Equity 1,315 5,553 62.77 77.64 22.50 1.05% BNS CN Equity 11 (3,702) 54.81 54.65 0.37 0.78% BP/ LN Equity (2) 8,508 7.71 7.70 -0.04 0.64% BRK/B US Equity 90 (4,460) 111.02 108.78 3.95 0.51% BSBR US Equity 2,100 (8,231) 6.18 4.61 17.37 1.47% BUD US Equity 1 (531) 94.27 94.10 0.21 0.89% BX US Equity 131 2,998 30.31 31.64 3.92 1.12% C US Equity 3 (678) 47.07 46.84 0.49 1.02% CA P Equity 280 1,976 30.84 35.21 14.05 1.01% CAT US Equity 564 10,376 87.23 91.97 5.56 0.98% CBA AU Equity (19) (3,402) 64.50 64.87 -0.86 0.66% CBS US Equity 228 1,278 49.35 58.14 16.33 1.09% CCL US Equity 561 7,878 36.20 38.78 7.31 0.97% CELG US Equity 11,624 15,247 85.54 150.75 64.91 1.17% CFR VX Equity 33 (1,880) 94.14 92.47 1.53 1.16% CL US Equity 433 18,537 58.99 60.37 4.16 0.56% CM CN Equity (8) (3,569) 77.56 77.73 -0.41 0.54% CMCSA US Equity 5,434 17,408 40.65 53.33 41.42 0.75% CMCSK US Equity 7,853 18,900 36.26 51.33 59.98 0.69% CNI US Equity 498 12,972 51.38 53.35 5.51 0.70% CNQ CN Equity (57) (2,367) 32.88 33.67 -3.37 0.71% CNR CN Equity 515 12,521 51.30 53.41 6.05 0.68% COF US Equity 75 6,122 67.68 68.51 1.57 0.78% COP US Equity 394 (7,124) 67.02 63.31 10.05 0.55% COST US Equity 90 (4,429) 112.61 110.33 3.19 0.63% COV LN Equity 182 2,422 I/VALUE! UN/A N/A 22.97 0.33% COV US Equity 311 6,393 63.38 66.47 6.18 0.79% CRM US Equity 153 2,069 56.89 61.09 5.94 1.24% CS FP Equity 2,115 6,736 19.42 25.52 30.75 1.02% CSCO US Equity (30) (5,013) 21.79 21.92 -0.76 0.79% CSX US Equity 483 8,999 25.07 26.42 5.30 1.01% CVE CN Equity 1,000 (10,549) 28.70 25.98 17.25 0.55% CVS US Equity 438 10,388 62.75 65.39 6.75 0.62% CVX US Equity 99 (3,544) 112.86 109.72 4.05 0.69% D US Equity 1,153 12,224 59.94 65.60 15.22 0.62% DAI GR Equity 4,295 14,044 63.11 82.41 32.56 0.94% DBK GR Equity 91 4,092 46.61 47.66 1.64 1.37% DD US Equity 1,639 12,420 54.46 61.64 15.64 0.84% DDAIF US Equity 2,526 8,368 63.20 82.28 29.17 1.03% DE US Equity (140) 8,181 85.63 84.19 -3.07 0.56% EFTA00292822 DELL US Equity (3) 6,764 #VALUE I #N/A N/A -0.57 0.07% DEO US Equity 693 116.06 116.06 0.00 1.03% DG FP Equity 2,708 9,986 51.34 65.26 40.15 0.68% DGE LN Equity 655 28.88 28.88 0.00 1.09% DHR US Equity 3,343 14,081 58.57 72.47 37.98 0.63% DIS US Equity 432 9,996 68.36 71.32 5.17 0.84% DMA US Equity (5) 581 79.41 78.73 -0.95 0.91% DNB NO Equity 1,029 9,007 15.62 17.40 14.32 0.80% DOW US Equity 1,591 6,509 35.84 44.59 22.71 1.08% DPW GR Equity 108 551 28.38 33.95 20.31 0.97% DTE GR Equity 3,752 13,772 12.22 15.55 25.03 1.09% DTV US Equity 1,299 9,240 60.09 68.54 19.44 0.72% DUK US Equity 6 (8,886) 69.60 69.56 0.13 0.50% DVN US Equity (251) 5,790 61.64 59.08 -5.85 0.74% EBAY US Equity 41 5,092 52.95 53.38 0.70 1.16% ECL US Equity (69) 1,922 102.38 98.82 -5.35 0.67% EDF FP Equity 4,090 9,269 23.36 33.66 56.13 0.79% EMC US Equity (372) 8,879 24.84 23.84 -5.39 0.78% EMR US Equity 349 5,228 59.74 63.73 10.16 0.66% ENB CN Equity 60 (7,062) 41.70 41.34 1.78 0.48% ENEL IM Equity 410 6,785 4.27 4.52 7.19 0.84% ENI IM Equity 25 (1,669) 22.40 22.06 1.82 0.83% EOAN GR Equity (104) 2,625 18.63 17.92 4.08 0.97% EOG US Equity 941 5,628 143.99 168.07 18.88 0.89% EPD US Equity 432 9,208 61.83 64.74 6.12 0.77% ERICB SS Equity 14 3,437 12.05 12.10 0.45 0.92% ESRX US Equity 957 9,912 66.69 73.13 14.36 0.67% ETN US Equity (95) 2,983 70.42 68.24 -3.65 0.88% F US Equity 4 (739) 14.78 14.69 0.59 1.01% F8 US Equity 1,095 2,566 43.58 62.18 25.11 1.70% FCX US Equity 59 (2,349) 31.74 30.95 2.19 1.14% FDX US Equity 408 5,378 120.94 130.12 9.79 0.78% FOX US Equity 20 (3,606) 31.03 30.86 0.60 0.93% FOXA US Equity (6) (3,471) 31.33 31.38 -0.16 1.04% FP FP Equity 36 1,430 55.22 56.60 3.85 0.65% G IM Equity 105 3,661 20.52 21.11 3.30 0.87% GE US Equity 1,594 16,425 22.32 24.48 12.72 0.76% GILD US Equity 31,625 13,861 24.02 78.84 186.00 1.23% GIS US Equity (172) 4,267 49.10 47.19 -7.55 0.53% GLE FP Equity 540 3,271 49.51 57.68 12.04 1.37% GLEN LN Equity 12 (2,967) 5.14 5.12 0.39 1.08% GLW US Equity 914 11,463 16.17 17.46 8.42 0.95% GM US Equity 1,331 5,383 28.27 35.26 24.88 0.99% GOOG US Equity 4,129 12,426 857.75 1142.78 38.29 0.87% GS US Equity 6,163 13,634 110.98 161.14 66.22 0.68% GSK LN Equity (36) 4,361 26.01 25.80 -0.74 1.11% GSZ FP Equity (16) (2,480) 22.14 22.28 -0.99 0.65% EFTA00292823 HAL US Equity 399 2,689 42.93 4931 20.17 0.74% HD US Equity 1,642 12,500 66.04 74.71 28.85 0.46% HMB SS Equity 284 6,154 40.89 4/77 4.90 0.94% HON US Equity 5,512 11,918 61.10 8936 88.59 0.52% HPQ US Equity 853 6,343 24.79 28.12 13.70 0.98% HSBA LN Equity 5 (1,224) 10.24 10.20 0.16 2.35% IBE SM Equity 740 6,981 5.48 6.06 15.75 0.67% IBM US Equity 486 (8,454) 184.74 174.11 7.73 0.74% IMT LN Equity 139 11,008 35.55 36.00 1.21 1.05% INTC US Equity (85) 9,866 23.81 23.60 -1.01 0.85% ISP IM Equity 2,442 5,545 1.90 2.74 37.51 1.17% ITUB US Equity 412 (5,952) 13.81 12.86 5.44 1.27% ITUB4 BZ Equity 317 (6,412) 13.59 12.92 4.18 1.18% ITW US Equity 2,092 14,131 67.84 77.88 24.39 0.61% ITX SM Equity 948 146.05 146.05 0.00 0.72% JCI US Equity 3,051 9,979 34.13 44.56 34.47 0.89% JNJ US Equity 3,251 12,593 69.31 87.21 40.81 0.63% JPM US Equity 476 8,592 52.29 55.18 7.65 0.72% KMB US Equity (80) 7,991 106.68 105.62 -1.69 0.59% KMI US Equity 371 (6,801) 35.17 33.25 8.20 0.67% KO US Equity 223 (6,397) 38.95 37.59 5.42 0.64% KRFT US Equity (58) 1,018 53.88 50.98 -10.26 0.55% LBTYA US Equity (135) 2,289 84.64 79.92 -7.71 0.77% LBTYK US Equity 24 1,915 77.86 78.85 1.67 0.76% LIN GR Equity (76) 1,555 197.83 188.64 -6.93 0.70% LLOY LN Equity 3,491 7,134 0.89 1.33 46.94 1.04% LLY US Equity 1 (899) 52.81 52.76 0.13 0.69% LMT US Equity 455 2,031 122.48 149.92 23.82 0.94% LNKO US Equity (52) 1,953 217.49 211.89 -1.84 1.43% LOW US Equity 14 (1,781) 45.46 45.10 1.17 0.66% LVS US Equity 1,270 6,866 61.33 72.67 14.70 1.26% LYB US Equity 705 2,318 59.29 77.32 29.98 1.01% MA US Equity 11,453 20,752 46.91 72.80 50.44 1.09% MAERSKB DC Equity 4,674 14,286 8212.58 10899.84 27.32 1.20% MC FP Equity (23) (1,376) 172.99 175.89 -1.57 1.07% MCD US Equity 114 (7,032) 94.88 93.33 3.89 0.42% MCK US Equity 71 1,775 161.77 168.27 3.73 1.08% MOLZ US Equity 1,647 13,773 28.68 32.11 16.95 0.71% MOT US Equity 5,408 20,749 43.22 54.49 31.09 0.84% MET US Equity 546 7,625 44.37 47.54 7.39 0.97% MFC CN Equity 3,585 7,986 12.38 17.93 48.86 0.92% MHS US Equity 1,862 13,445 #VALUE! #N/A N/A 12.27 1.13% MMM US Equity 6,728 21,267 96.89 127.55 45.71 0.69% MO US Equity (238) 4,368 35.88 34.03 -8.36 0.65% MON US Equity 93 12,009 106.02 106.83 1.06 0.73% MOS US Equity 98 (4,481) 45.85 44.84 2.27 0.97% MRK US Equity 1,010 9,418 48.80 54.04 12.42 0.86% EFTA00292824 MS US Equity 96 1,661 27.57 29.16 5.77 1.00% MSFT US Equity 246 7,236 34.82 36.01 3.39 1.01% MUV2 GR Equity 348 7,590 196.30 205.30 6.25 0.73% NAB AU Equity 4 (3,328) 28.70 28.67 0.16 0.68% NCM AU Equity 3,033 (5,141) 22.17 9.09 27.06 2.18% NEE US Equity 3,454 14,791 72.62 89.57 34.98 0.67% NEM US Equity 2,956 (7,461) 34.95 21.10 23.39 1.69% NESN VX Equity 327 9,893 69.64 71.94 4.25 0.78% NG/ IN Equity 1,005 11,522 11.72 12.74 14.40 0.61% NICE US Equity 1,166 4,458 55.91 70.53 36.84 0.71% NOK US Equity 3,162 4,542 3.96 6.72 61.52 1.13% NOV US Equity 205 (6,912) 75.68 73.44 4.06 0.73% NOVN VX Equity 4,222 18,228 63.81. 78.58 31.19 0.74% NOVOB DC Equity 287 5,435 38.56 40.60 5.34 0.99% NSC US Equity 1,317 9,660 80.49 91.46 11.96 1.14% NVS US Equity 3,210 15,494 65.07 78.55 32.62 0.64% OGXP3 BZ Equity 4,995 (5,143) 4.43 0.13 23.80 4.08% OR FP Equity (1,139) 163.73 163.73 0.00 0.94% ORA FP Equity (91) 2,986 12.38 12.02 -2.89 1.05% ORCL US Equity 608 7,162 33.15 35.96 12.74 0.67% OXY US Equity 35 (3,974) 87.84 87.06 1.40 0.63% PBR US Equity 530 (2,834) 13.30 10.81 13.53 1.38% PBR/A US Equity 484 (2,815) 13.87 11.48 12.56 1.37% PCLN US Equity 527 3,065 956.05 1120.30 19.13 0.90% PCP US Equity 2,343 13,826 212.47 248.48 22.82 0.74% PEP US Equity (135) 3,643 82.27 79.33 .7.29 0.51% PETR3 BZ Equity 504 (2,944) 6.54 5.42 12.91 1.33% PETR4 BZ Equity 528 (3,076) 6.98 5.78 13.27 1.29% PFE US Equity 3,885 21,829 26.10 30.75 25.06 0.71% PG US Equity 948 76.37 76.37 0.00 0.67% PHIA NA Equity 1,372 11,235 30.43 34.14 17.99 0.68% PM US Equity 1,055 (10,240) 85.47 76.67 13.50 0.76% PNC US Equity 340 7,701 75.28 78.61 5.04 0.88% POT CN Equity (61) (3,727) 31.56 32.07 -1.53 1.07% POT US Equity (65) (3,491) 31.45 32.03 -1.74 1.07% PRU LN Equity 6,095 10,490 12.76 20.17 52.17 1.11% PSA US Equity 72 6,509 156.12 157.86 1.95 0.57% PSX US Equity 542 6,074 64.65 70.42 11.18 0.80% PX US Equity 1,288 16,078 113.30 122.37 12.85 0.62% QCOM US Equity 1,047 12,639 66.83 72.36 12.20 0.68% QQQ US Equity 4,658 19,860 68.46 84.51 41.72 0.56% RAI US Equity 948 47.19 47.19 0.00 0.51% RDS/A US Equity (14) 366 70.67 68.12 -5.23 0.72% RDS/B US Equity (167) 4,002 74.90 71.90 -5.65 0.74% RDSA LN Equity (59) 3,259 34.67 34.05 -1.98 0.92% RDSA NA Equity (14) 326 35.44 34.03 -5.16 0.80% RDSB IN Equity (129) 3,990 37.10 35.94 -3.65 0.89% EFTA00292825 REGN US Equity (78) 3,921 287.19 281.58 -1.39 1.43% RIO AU Equity (71) 3,326 58.58 57.36 -2.61 0.82% RIO LN Equity (54) 4,854 53.83 53.24 -0.98 1.13% RIO US Equity (72) 4,970 54.03 53.26 -1.17 1.24% ROG VX Equity 4,891 17,184 212.78 273.35 36.55 0.78% RY CN Equity (8) (3,352) 61.84 61.99 -0.35 0.67% SAB LN Equity 30 (2,159) 44.27 43.65 1.65 0.85% SAN FP Equity 395 (6,219) 103.23 96.66 8.28 0.77% SAN SM Equity 175 7,320 8.35 8.55 2.69 0.89% SAN US Equity 221 5,362 8.28 8.62 3.59 1.15% SAP GR Equity (432) 5,279 81.00 74.87 -10.09 0.81% SAP US Equity (583) 7,153 81.06 74.96 -9.71 0.84% SBUX US Equity 190 (5,117) 73.00 70.29 3.99 0.93% SCCO US Equity 184 (3,820) 29.68 28.25 4.95 0.97% SGO FP Equity 1,404 7,797 43.91 51.82 22.13 0.81% SI US Equity 971 11,342 114.69 124.51 10.83 0.79% SIE GR Equity 755 8,973 114.68 124.34 9.94 0.85% SLB US Equity 535 6,585 79.94 86.43 10.49 0.77% SMSN LI Equity 788 (7,313) 644.51 575.06 11.67 0.92% SO US Equity 186 (9,078) 41.73 40.88 4.44 0.46% SPG US Equity (62) (4,743) 151.46 153.44 -1.95 0.67% SREN VX Equity 749 9,792 80.74 86.91 7.61 1.00% STAN LN Equity 605 (5,335) 22.85 20.26 9.32 1.22% STL NO Equity (186) 3,587 24.85 23.62 -6.72 0.77% STT US Equity (216) 3,221 69.01 64.67 -6.86 0.98% SU CN Equity 77 (3,744) 32.43 31.77 3.06 0.67% SU US Equity 54 (2,802) 32.36 31.74 2.96 0.65% SWEOA SS Equity 416 5,994 24.71 26.42 6.36 1.09% SYNN VX Equity 91 (2,482) 353.19 340.20 4.16 0.89% T US Equity 537 (6,942) 34.86 32.16 10.61 0.73% TD CN Equity 10 (4,394) 43.24 43.14 0.41 0.58% TEF SM Equity 18 (1,657) 15.19 15.03 1.35 0.79% TEF US Equity (5) 151 15.43 14.95 -3.52 0.92% TGT US Equity 1,457 (10,584) 63.77 54.99 18.02 0.76% TJX US Equity 2,239 9,582 46.31 57.13 32.98 0.71% TLS AU Equity 18 2,698 4.47 4.50 1.06 0.63% TLSN SS Equity 812 7.36 7.36 0.00 0.88% TM US Equity 119 (4,599) 118.21 115.17 3.53 0.73% TMO US Equity 7,850 10,217 63.59 112.45 102.39 0.75% TOT US Equity 99 1,367 52.85 56.68 9.21 0.79% TRP CN Equity 119 (6,966) 43.75 43.01 2.98 0.57% TRV US Equity 42 (4,086) 81.38 80.54 1.67 0.62% TSCO LN Equity 654 (7,451) 5.64 5.14 10.67 0.82% TWC US Equity 661 4,809 118.62 134.93 24.81 0.55% TWX US Equity 23 (4,050) 62.77 62.42 0.75 0.75% TXN US Equity 2,062 12,323 34.93 40.77 22.43 0.75% TYC US Equity 9,003 23,885 29.17 40.16 52.76 0.71% EFTA00292826 UBS US Equity 234 5,267 19.37 20.23 3.70 1.20% UBSN VX Equity 216 5,203 19.51 20.32 4.15 1.00% UCG IM Equity 1,728 5,441 5.58 7.36 24.25 1.31% ULVR LN Equity 161 (3,879) 39.27 37.64 4.31 0.96% UNA NA Equity 222 (5,278) 38.38 36.76 4.16 1.01% UNH US Equity 1,055 10,126 64.08 70.76 12.72 0.82% UNP US Equity 680 9,502 160.88 172.40 10.74 0.67% UPS US Equity 2,637 14,950 79.87 93.96 32.38 0.54% USB US Equity 1,821 14,375 34.71 39.11 19.89 0.64% UTX US Equity 4,772 15,144 82.05 107.90 44.32 0.71% V US Equity 4,310 4,427 108.98 215.10 113.19 0.86% VALE US Equity 299 (3,942) 15.08 13.93 5.65 1.34% VALE3 BZ Equity 356 (4,625) 15.04 13.88 5.54 1.39% VIAB US Equity 3,196 6,364 52.96 79.55 58.48 0.86% VIV FP Equity 34 2,300 25.72 26.10 1.97 0.75% VMW US Equity 78 4,275 87.26 88.86 1.47 1.25% VOD LN Equity 1,074 7,660 3.11 3.55 16.46 0.85% VOD US Equity 890 7,584 31.63 35.34 14.43 0.81% VOW3 GR Equity 677 6,894 228.75 251.20 9.84 1.00% VRX CN Equity 717 1,623 92.95 134.02 29.87 1.48% VRX US Equity 824 1,893 93.20 133.77 32.91 1.32% VTI US Equity 247 5,179 86.91 91.06 10.67 0.45% VWO US Equity 533 (6,888) 40.52 37.39 9.02 0.86% VZ US Equity 195 (6,166) 48.12 46.60 4.55 0.70% WBC AU Equity 19 (3,427) 27.09 26.94 0.68 0.80% WES AU Equity (33) (3,700) 36.37 36.70 -1.39 0.64% WFC US Equity 1,838 10,165 37.56 44.35 30.57 0.59% WLP US Equity 2,022 13,075 74.31 85.80 15.40 1.00% WMT US Equity (191) 3,617 76.70 72.86 -10.68 0.49% WOW AU Equity 316 (8,728) 31.30 30.17 6.12 0.59% XOM US Equity (66) 10,982 90.48 89.93 -0.87 0.70% XTA LN Equity 2 (2,259) #VALUE! ON/A N/A 0.04 2.26% YHOO US Equity 204 1,292 30.64 35.47 12.76 1.24% YUM US Equity (126) 4,210 72.75 70.64 -2.88 1.04% ZURN VX Equity (66) 6,407 291.91 288.93 -1.43 0.72% Current Portfolio • Global Macro Portfolio Current Price P/L in Vol 30P Realized Security MTM Gain/(Loss) Exp. @ Cost Avg. Price (in USD) Days Vol SPX Index 12,862 62,514 1452.75 1,751.64 34.43 0.60% NDX Index 10,639 47,138 2818.70 3,454.90 29.66 0.76% RTY Index 10,821 40,101 861.19 1,093.59 31.36 0.86% SPTSX Index 37 (11,637) 12274.28 12,235.78 0.63 0.50% MEXBOL Index 1,178 (26,195) 3129.54 2,988.81 5.34 0.84% IBOV Index 2,659 (22,687) 21994.49 19,417.12 9.24 1.27% MERVAL Index (201) (6,135) 726.05 749.88 -1.76 1.87% EFTA00292827 UKX Index 987 40,256 10288.22 10,540.57 4.14 0.59% DAX Index 5,991 36,824 10610.77 12,337.12 23.41 0.70% CAC Index 512 7,145 5199.75 5,572.61 11.47 0.63% IBEX Index 5,859 38,784 11492.37 13,228.51 17.59 0.86% SMI Index 4,256 40,867 8134.42 8,981.47 18.86 0.55% FTSEMIB Index 3,136 23,291 22744.85 25,806.92 18.22 0.74% PSI20 Index 3,264 24,466 8026.78 9,097.68 14.61 0.91% ISEQ Index 19,978 40,263 4246.25 6,353.23 76.15 0.65% ICEXI Index 6,065 35,675 6.58 7.70 28.26 0.60% AEX Index 2,956 42,650 484.27 517.84 11.92 0.58% BEL20 Index 3,141 42,148 3586.05 3,853.28 14.00 0.53% LUXXX Index 7,093 40,007 1655.49 1,948.98 26.72 0.66% KFX Index 6,533 38,327 100.82 118.00 22.41 0.76% HEX Index 5,034 41,234 8513.92 9,553.35 16.30 0.75% OMX Index 951 20,880 189.54 198.17 5.78 0.79% ATX Index 2,001 28,308 3213.33 3,440.49 7.94 0.89% ASE Index 6,179 17,823 1246.19 1,678.24 21.27 1.63% OSEBX Index 311 22,300 84.29 85.46 2.03 0.69% INDEXCF Index (60) (14,381) 41.54 41.71 -0.54 0.77% TOP40 Index 124 (13,626) 3615.53 3,582.74 1.21 0.75% SENSEX Index 302 (14,751) 331.01 324.24 2.94 0.70% NKY Index 2,775 19,787 122.63 139.83 11.88 1.18% HSI Index 215 (10,209) 2799.04 2,740.16 2.80 0.75% SHCOMP Index 379 (27,841) 339.97 335.34 1.85 0.74% KOSPI Index 92 (12,135) 1.77 1.75 1.13 0.67% AS51 Index 89 (12,528) 4550.65 4,518.15 1.16 0.62% STBCNZL Index 29,175 73,246 444.47 621.51 81.37 0.49% EEM US Equity 438 (6,163) 40.61 37.72 6.80 1.05% IYR US Equity (81) (4,201) 63.72 64.95 -3.77 0.51% MOY US Equity 3,812 14,240 183.21 232.26 32.98 0.81% JNK US Equity (5) 362 40.93 40.42 -7.50 0.17% XLF US Equity 4,476 13,570 15.57 20.71 45.60 0.72% XLU US Equity 75 6,420 37.95 38.39 2.09 0.56% XLK US Equity 1,442 12,985 30.83 34.25 16.65 0.67% XLI US Equity 4,530 16,099 38.18 48.93 38.74 0.73% XLP US Equity (230) 7,391 41.37 40.12 -5.98 0.52% XLY US Equity 6,683 20,539 46.78 62.00 44.45 0.73% XLE US Equity 62 2,167 79.65 81.92 3.86 0.74% XLB US Equity 2,304 14,879 37.62 43.44 21.54 0.72% XLV US Equity 10,161 24,346 38.87 55.09 58.55 0.71% SXXP Index 3,263 43,728 400.51 430.40 14.37 0.52% SXAP Index 6,278 28,809 520.28 633.66 29.42 0.74% SXKP Index 2,377 47,372 366.14 384.51 8.11 0.62% SX6P Index 2,127 32,516 349.85 372.74 11.12 0.59% SXEP Index (3,139) 425.59 425.59 0.00 0.63% SXIP Index 9,703 29,108 222.31 296.41 45.59 0.73% SXNP Index 3,187 28,527 482.69 536.61 18.64 0.60% EFTA00292828 SX3P Index (277) 9,707 653.32 635.20 •3.98 0.72% SXDP Index 19,211 61,323 609.16 799.99 58.75 0.53% SX4P Index 1,224 25,945 917.36 960.63 7.36 0.64% SX8P Index 1,536 13,491 330.19 367.77 18.39 0.62% SXOP Index 5,000 40,913 380.28 426.75 17.39 0.70% SXQP Index (7) (5,983) 744.40 745.32 -0.16 0.78% SXRP Index (3,729) 418.95 418.95 0.00 0.58% SXMP Index 9,813 35,991 261.12 332.32 43.72 0.62% SXTP Index 18,737 39,408 172.05 253.85 74.86 0.64% SX7E Index 4,460 17,933 157.43 196.58 21.28 1.17% SXSE Index 3,396 38,855 3686.95 4,009.16 13.45 0.65% SPGSCITR Index 370 (33,770) 4817.40 4,764.66 2.14 0.51% XAG Curncy 1,340 (12,745) 21.93 19.62 10.00 1.05% CO1 Comdty 593 (23,519) 109.00 106.25 4.33 0.58% CL1 Comdty 86 13,357 96.76 97.38 0.71 0.90% NG1 Comdty 5,604 16,729 3.77 5.03 10.31 3.25% XAU Comdty 5,823 (41,752) 103.96 89.46 24.37 0.57% IBOXHY Index 1,754 53,810 220.18 227.36 40.69 0.08% US_TSY CREDIT (16) 18,717 760.19 759.55 -0.58 0.15% CA_TSY CREDIT 6,833 (98,061) 1269.35 1,180.89 18.08 0.39% MX_TSY CREDIT 349 (13,868) 209.03 203.76 4.57 0.55% AU TSY CREDIT 1,553 (79,707) 1457.62 1,429.21 3.97 0.49% JP_TSY CREDIT 40 (60,116) 822.10 821.55 0.18 0.37% MY_TSY CREDIT 2,544 (90,995) 167.52 162.84 11.40 0.25% SG_TSY CREDIT 696 (96,439) 219.11 217.53 2.51 0.29% AT_TSY CREDIT 1,632 64,821 354.64 363.57 8.35 0.30% BE_TSY CREDIT 2,382 68,105 473.36 489.91 11.75 0.30% FR_TSY CREDIT 1,531 67,028 346.05 353.95 7.66 0.30% FR_TSY CREDIT 1,968 62,936 1661.26 1,713.20 10.75 0.29% DE_TSY CREDIT 1,216 56,806 1230.67 1,257.02 6.89 0.31% IE_TSY CREDIT 27,189 78,588 336.92 453.49 112.52 0.31% IT_TSY CREDIT 5,479 53,776 1610.28 1,774.34 37.04 0.28% NL_TSY CREDIT 1,465 65,851 1317.53 1,346.84 7.50 0.30% ES_TSY CREDIT 7,868 50,636 392.28 453.24 57.42 0.27% DK_TSY CREDIT 1,492 51,495 721.13 742.03 9.44 0.31% NO_TSY CREDIT 360 (27,579) 333.32 328.96 2.84 0.46% PL_TSY CREDIT 246 22,306 420.32 424.96 2.13 0.52% ZA_TSY CREDIT 2,867 (33,390) 83.13 75.99 10.19 0.84% SE_TSY CREDIT (297) (21,291) 452.11 458.41 -3.48 0.40% CH_TSY CREDIT 2,088 59,734 999.11 1,034.03 8.99 0.39% GB_TSY CREDIT 63 31,907 1475.94 1,478.84 0.59 0.33% EFTA00292829