EFTA00292830.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): 2/6/2014 33.53% 65.55% 4,069,571 (1,394,667) 2,674,904 459 1,000,000 1,655,465 3.30 2/6/2014 Change on Day: 3.12% MSCI World Change on Day 1.29% Profit Factor: Win Ratio: 724M (+) 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 52% 1.02% -0.91% 50.00% 50.00% 10.00% 2X We implement leverage of 2X, in other words at inception we upsize our positions by a factor two times greater than our volatility adjusted position sizing. Leverage levels can be customized to eac h investor. Historical sharpe ratio is in excess of 2.0X (backtest from 1995, see Investor Presentation). Our sharpe ratio increases materially during market downturns in excess of 20 days of realized volatility. Since we generate positive returns in these environments, the variance in our downside volatility is materially less than broader markets. Recessions, which generally result in market directionality in excess of 20 days of volatility are significant alpha capture opportunities for us. Additionally, by never dollar cost averaging and concurrently adding to our winners we have an inherent assymetry in our volatility profile. NAV 2,000,000.00 1,800,000.00 1.600.000.00 1.400.000.00 1.200.000.00 1.000.000.00 600,000.00 600,000.00 Ott G 41. ~ti 5) O~ry c #C3 c51, 153 1 .9 153 c9 elY elf 4' I), 4 A\ CP. 4 % 'O . A\ 4 as. - NAV EFTA00292830 Atorus, LLC 2/6/2014 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 24.52% 52 Positions 29.50% MEXBOL Index (26,193) 0.48% OGXP3 BZ Equity 4,996 0.30% NO_TSY CREDIT (27,667) 0.51% OM US Equity 4,999 0.30% SHCOMP Index (27,831) 0.51% UTX US Equity 5,010 0.30% ZA_TSY CREDIT (33,420) 0.61% MAERSKB DC Equity 5,020 0.30% SPGSCITR Index (33,843) 0.62% SMI Index 5,064 0.31% XAU Comdty (42,051) 0.77% BMY US Equity 5,096 0.31% DE_TSY CREDIT 57,002 1.04% SX7E Index 5,162 0.31% JP_TSY CREDIT (59,858) 1.10% NG1 Comdty 5,167 0.31% CH_TSY CREDIT 59,953 1.10% ROG VX Equity 5,187 0.31% SXDP Index 61,667 1.13% DAI GR Equity 5,273 0.32% SPX Index 62,717 1.15% MDT US Equity 5,558 0.34% FR_TSY CREDIT 63,167 1.16% ACA FP Equity 5,615 0.34% AT_TSY CREDIT 65,045 1.19% CMCSA US Equity 5,673 0.34% NL_TSY CREDIT 66,079 1.21% XAU Comdty 5,798 0.35% FI_TSY CREDIT 67,259 1.23% HON US Equity 5,819 0.35% BE_TSY CREDIT 68,340 1.25% AMGN US Equity 5,844 0.35% STBCNZL Index 73,246 1.34% IT_TSY CREDIT 5,867 0.35% lE_TSY CREDIT 79,029 1.45% GS US Equity 6,200 0.37% AU TSY CREDIT (79,674) 1.46% SXOP Index 6,408 0.39% MY_TSY CREDIT (90,858) 1.66% HEX Index 6,458 0.39% SG_TSY CREDIT (96,294) 1.76% PRU LN Equity 6,492 0.39% CA_TSY CREDIT (98,739) 1.81% ME Index 6,518 0.39% ICEXI Index 6,520 0.39% CA_TSY CREDIT 6,773 0.41% DAX Index 6,896 0.42% MMM US Equity 6,965 0.42% IBEX Index 7,013 0.42% SXAP Index 7,288 0.44% XLY US Equity 7,294 0.44% KFX Index 7,506 0.45% LW0U Index 7,743 0.47% BAYN GR Equity 8,056 0.49% CMCSK US Equity 8,126 0.49% TMO US Equity 8,201 0.50% ES_TSY CREDIT 8,337 0.50% TYC US Equity 9,517 0.57% BA US Equity 9,563 0.58% MC US Equity 9,643 0.58% XLV US Equity 10,356 0.63% SXIP Index 10,619 0.64% EFTA00292831 RTY Index 10,920 0.66% SXMP Index 10,973 0.66% NDX Index 11,204 0.68% MA US Equity 11,450 0.69% CELG US Equity 11,710 0.71% SPX Index 13,689 0.83% SXTP Index 19,780 1.19% SXDP Index 19,922 1.20% ISEQ Index 21,268 1.28% lE_TSY CREDIT 27,764 1.68% STI3CN2L Index 29,175 1.76% GILD US Equity 30,831 1.86% No. Names by Category APAC Long 18 APAC Short 34 EMEA Long 66 EMEA Short 27 AMER Long 148 AMER Short 71 EquityCom Long 53 EquityCom Short 18 Credit Long 15 Credit Short 9 Total Long 300 Total Short 159 EFTA00292832 Atorus, LLC 2/6/2014 Historical Net Exposure by Geography (Listed Equities) & Maao (Equity Indices & Commodites, G20 Gov. Credit) -----EMEA -----AMER -----EouRyCom 2,000,000 1,500,0EO 1,000,00D 5,000,000 - 4,000.000 3,000,000 2,000140 S00,000 ` -----APAC 1 • f 1,000,000 0 CI.CeICIMI - (2,000.0001 -----Ciedl ...• ANetExpawre a 9% V - . . AS V AP ' ° b y 9 . 4 4 A\ a . . 4) 60 . •0 % % N, . . . 0 0 % Q Q Q . . oic'' 0 NC' o N , c . N. . 0 % ..... . s ` Q . (theoce) (1.000.00., (3,000.0001 Historical Gross Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodlites, G20 Gov. Credit) 2.300 2,000 1.300 1,000 500 ,000 ,000 ,000 00D °Q. 5 3 000) ‘-.M.,.,,,,..r....•••••• ••‘• 4> 1%, 1. 4, 11' Ni, .)b . 13) 4 4 9' 2 " ti Q °. 4 Q 9 Q. "1% "1 e. Q °. 911 Q °. 41' 91 IS) 4") 41 0 0 4 7) tei 4,‘ 0 1Cb 0 % - RPAC —EMEA ----- AMER ----- EA tyCo - C pal EFTA00292833 Atorus, LIC 2/6/2014 Current Gross Notional Risk by Category 209,622 il 543,295 • APAC • EMEA • AMER • EquityCom • Credit T24M Pertinence Vs. MSCI World Index 1.95 1.75 1.55 1.35 1.15 0.95 0.75 pk,a<> tz,G ao<> 60. 4, C) ads, anti #4;)%tt. %ICC° 4 \1 P 43°I. anti A r$4, ti? °e t 4 tY. 411;4\ If At \ 4 %4\ / 1. 4 t4V. MSCIWor kJ ATORUS Rolling 30 Day Realized Volatility - Atorus 2.00% 1.80% 1.60% 1.00% 1.20% 1.00% 0.80% 0.60% 0.00% 0.20% 0.00% — Rolf g30DayRe olizedVol EFTA00292834 Atorus, LLC Percentile Distribution of Current MTM Gains in Vol Days by Position (ex-99pct & ex-1st percentiles) 6000 SOW 40.00 3000 20.00 10.00 tact 2/6/2014 csr elsc3 e tee tee" tette csge . .pfl.Vol Days by Position Percentile No. Vol Days 0.00,1; 109/ 5.00% -3.91 10.00% .2.47 15.00% 4.49 20.00% 4.48 25.00% 0.04 30.00% 1.03 35.00% 2.22 40.00% 2.94 45.00% 4.54 50.00% 6.76 55.00% 8.33 60.00% 10.77 65.00% 12.55 70.00% 15.64 75.00% 19.01 80.00% 24.09 85.00% 30.21 90.00% 36.14 95.00% 51.64 100.00% 176.80 EFTA00292835 Atorus, LLC Current Portfolio -Listed Equity Portfolio Current Price P/L in Vol 30P Realized Security MTM Gain/(Loss) Exp. (1 Cost Avg. Price (In USD) Days Vol 2/6/2014 000270 KS Equity 146 (4,530) 51.62 49.96 2.35 1.37% 005380 KS Equity (26) 515 223.00 212.44 -3.64 1.37% 005490 KS Equity 91 (4,198) 274.12 268.18 2.40 0.90% 005930 KS Equity 603 (6,601) 1285.62 1168.24 9.96 0.92% 012330 KS Equity 860 5,328 244.69 284.16 13.46 1.20% 1 HK Equity 22 (2,577) 14.73 14.60 1.62 0.53% 1299 HK Equity (3) (1,698) 4.55 4.56 .0.18 0.91% 13 HK Equity 1,130 12,372 11.40 12.44 11.79 0.77% 16 HK Equity 583 (10,044) 12.66 11.93 11.12 0.52% 27 HK Equity (9) 122 9.63 8.97 -3.21 2.29% 2914 JP Equity 228 (4,744) 32.47 30.91 3.30 1.45% 3382 JP Equity (21) 3,462 37.70 37.47 -0.50 1.22% 4063 JP Equity 194 (4,566) 56.40 54.01 3.85 1.10% 4502 JP Equity (49) 1,360 46.98 45.33 4.41 0.82% 4689 JP Equity (65) 748 5.96 5.49 -5.63 1.54% 5 HK Equity (1,808) 10.17 10.1.4 0.41 0.70% 5108 JP Equity (156) 3,550 36.29 34.76 •4.40 1.00% 5401.1P Equity 112 (2,752) 3.01 2.89 3.24 1.25% 6301.1P Equity 210 (3,541) 20.64 19.41 4.90 1.21% 6752 JP Equity 1,445 4,213 9.01 12.10 14.11 2.43% 6902 JP Equity 2,027 9,885 41.48 49.99 16.19 1.27% 6954 JP Equity 152 6,469 157.65 161.35 1.28 1.83% 7201.1P Equity 133 (3,767) 8.85 8.54 2.71 1.30% 7203 JP Equity 4 (716) 57.36 57.05 0.45 1.17% 7267 JP Equity 6 (486) 35.75 35.33 1.11 1.05% 762 HK Equity 342 (4,153) 1.43 1.31 7.60 1.08% 7751 JP Equity 645 (6,862) 31.44 28.48 10.39 0.91% 8031.1P Equity (91) (6,778) 13.92 14.11 -1.23 1.09% 8058 JP Equity (33) (772) 17.87 18.65 4.04 1.07% 8106 JP Equity 8 (796) 5.84 5.78 0.87 1.20% 8316 JP Equity 7 (914) 46.06 45.70 0.55 1.42% 8411 JP Equity (133) 2,694 2.13 2.03 -3.90 1.27% 8604 JP Equity 1 (246) 6.65 6.61 0.39 1.46% 8801 JP Equity 1 (382) 31.32 31.22 0.24 1.40% 8802 JP Equity (24) (2,436) 24.65 24.89 -0.70 1.44% 9020 JP Equity 169 (3,962) 77.53 74.22 4.15 1.03% 941 HK Equity 1,026 (10,563) 10.33 9.33 15.41 0.63% 9432 JP Equity (198) 6,108 53.14 51.47 .3.03 1.07% 9433 JP Equity 3,794 12,037 42.13 55.41 22.90 1.38% 9437 JP Equity 71 (3,519) 15.73 15.41 2.17 0.93% 9983 JP Equity (118) 3,228 368.58 355.59 .2.00 1.82% EFTA00292836 9984 JP Equity 1,908 2,849 42.69 71.28 45.25 1.48% AAPL US Equity (96) 7,946 518.18 511.96 4.21 1.00% ABB US Equity 527 10,518 23.59 24.77 5.00 1.00% ABBN VX Equity 515 8,796 23.63 25.01 5.10 1.15% ABBV US Equity (183) 5,423 49.43 47.82 4.40 0.99% ABEV US Equity 884 (7,287) 7.25 6.37 10.17 1.19% ABEV3 BZ Equity 548 (6,975) 7.29 6.72 6.67 1.18% ABI BB Equity (20) (1,377) 94.20 95.55 -1.59 0.90% ABT US Equity (226) 4,104 38.75 36.73 -7.98 0.69% ABX CN Equity (285) (3,539) 17.17 18.55 -5.18 1.55% ABX US Equity (272) (3,503) 17.20 18.54 -5.21 1.49% ACA FP Equity 5,615 5,449 6.83 13.88 73.45 1.40% ACE US Equity (12) 3,737 93.86 93.56 -0.49 0.65% ACN US Equity 151 9,118 77.04 78.32 2.03 0.81% ADP US Equity 27 1,207 72.36 73.95 2.96 0.74% AFL US Equity 195 1,624 55.05 61.67 18.82 0.64% AGL S1 Equity (259) (5,105) 22.73 23.89 4.50 1.45% AGN US Equity 815 6,852 104.77 117.22 10.72 1.11% Al FP Equity (63) (3,418) 126.16 128.48 .2.48 0.74% AIG US Equity 861 47.84 47.84 0.00 0.82% AIR FP Equity 4,412 6,648 42.47 70.66 70.30 0.94% ALV GR Equity 2,581 7,558 125.64 168.55 33.41 1.02% ALVG IX Equity 1,934 5,766 126.13 168.44 33.91 0.99% AMGN US Equity 5,844 23,079 92.78 116.28 27.22 0.93% AMT US Equity 431 10,775 76.29 79.34 5.48 0.73% AMZN US Equity 3,174 14,104 287.66 352.40 18.88 1.19% ANZ AU Equity (20) (3,922) 26.22 26.35 .0.68 0.74% APA US Equity 260 (6,844) 82.74 79.60 5.17 0.73% APC US Equity 121 (5,652) 80.96 79.23 2.64 0.81% AXP US Equity 2,025 10,567 71.56 85.28 19.72 0.97% AZN LN Equity 3,152 12,884 49.80 61.99 30.74 0.80% AZN SS Equity 2,700 11,860 50.40 61.87 26.56 0.86% AZN US Equity 3,130 12,639 49.96 62.33 29.89 0.83% BA US Equity 9,563 17,999 79.84 122.26 51.37 1.03% BAC US Equity 9,643 10,902 8.82 16.63 92.20 0.96% BARC LN Equity (34) 5,354 4.41 4.38 .0.56 1.14% BAS GR Equity 618 7,457 97.30 105.36 9.22 0.90% BATS LN Equity 205 (6,970) 49.08 47.63 3.26 0.90% BAX US Equity (60) (8,106) 66.82 67.31 -1.46 0.50% BAYN GR Equity 8,056 11,786 76.64 129.02 67.85 1.01% BBAS3 BZ Equity 103 (2,843) 9.22 8.88 2.44 1.48% BBD US Equity 1,037 (6,794) 12.96 10.98 11.23 1.36% BBDCO BZ Equity 1,029 (7,302) 12.74 10.95 12.78 1.10% BBL US Equity 179 (5,050) 60.45 58.31 3.69 0.96% BBVA SM Equity 1,150 5,786 10.09 12.10 15.47 1.28% BCE CN Equity 237 (6,669) 43.17 41.64 5.50 0.65% BCS US Equity 17 6,439 17.72 17.77 0.23 1.16% EFTA00292837 BEN US Equity (89) 4,668 52.06 51.09 -2.19 0.87% BG/ LN Equity (38) (1,088) 17.00 17.59 -2.49 1.40% BHP AU Equity (12) (3,053) 31.81 31.94 -0.49 0.82% BHP US Equity (50) (2,953) 63.64 64.71 -1.96 0.86% BOB US Equity 251 1,078 245.93 303.20 18.12 1.29% BIL Si Equity 174 (3,663) 30.51 29.06 4.68 1.01% BK US Equity 36 1,555 30.62 31.33 2.83 0.81% BLK US Equity 86 1,184 274.17 294.18 8.13 0.90% BLT IN Equity 206 (4,979) 30.23 28.98 4.79 0.87% BMO CN Equity (36) (3,152) 61.56 62.26 -1.78 0.64% BMW GR Equity 628 5,165 98.63 110.62 15.67 0.78% BMY US Equity 5,096 13,774 35.71 48.92 35.32 1.05% BN FP Equity 174 (3,703) 70.54 67.23 4.79 0.98% BNP FP Equity 1,581 5,591 61.78 79.25 25.71 1.10% BNS CN Equity (87) (4,555) 54.78 55.82 -2.35 0.81% BP/ IN Equity 156 8,510 7.68 7.82 2.96 0.62% BRK/B US Equity 47 (5,103) 110.72 109.70 1.77 0.52% BSBR US Equity 1,965 (8,227) 6.18 4.71 15.59 1.53% BUD US Equity (25) (1,344) 94.17 95.95 -2.01 0.94% BX US Equity 97 2,999 30.31 31.30 2.93 1.11% C US Equity (29) (1,366) 46.95 47.96 -1.98 1.08% CA FP Equity 353 1,993 30.49 35.88 16.53 1.07% CAT US Equity 758 10,409 87.23 93.58 7.37 0.99% CBA AU Equity (26) (2,708) 65.19 65.81 -1.49 0.64% CBS US Equity 283 1,285 49.35 60.21 18.72 1.18% CCL US Equity 791 7,882 36.20 39.84 9.93 1.01% CELG US Equity 11,710 15,407 85.54 150.55 66.09 1.15% CFR VX Equity (52) (1,497) 91.80 94.97 -2.62 132% CL US Equity 448 19,644 59.16 60.50 4.05 0.56% CM CN Equity (56) (2,842) 77.56 79.08 -3.41 0.57% CMCSA US Equity 5,673 17,408 40.65 53.89 41.33 0.79% CMCSK US Equity 8,126 18,900 36.26 51.85 59.30 0.72% CNI US Equity 696 12,982 51.38 54.13 7.26 0.74% CNQ CN Equity (73) (1,577) 32.88 34.40 -5.93 0.78% CNR CN Equity 699 12,530 51.30 54.16 7.79 0.72% COF US Equity 155 6,141 67.68 69.39 3.15 0.80% COP US Equity 300 (7,510) 66.79 64.12 6.76 0.59% COST US Equity (39) (3,520) 112.61 113.86 -1.50 0.74% COV LN Equity 185 2,424 3.62 3.90 25.05 0.30% COV US Equity 331 6,416 63.38 66.65 6.56 0.79% CRM US Equity 182 2,070 56.89 61.88 7.05 1.24% CS FP Equity 2,258 6,785 19.39 25.84 33.92 0.98% CSCO US Equity (137) (5,009) 21.79 22.39 -3.39 0.81% CSX US Equity 666 9,045 25.07 26.92 7.00 1.05% CVE CN Equity 841 (10,619) 28.70 26.42 13.19 0.60% CVS US Equity 508 10,405 62.75 65.81 7.76 0.63% CVX US Equity 48 (4,202) 112.34 111.07 1.56 0.73% EFTA00292838 D US Equity 1,215 12,328 59.94 65.85 15.92 0.62% DAI GR Equity 5,273 14,152 62.20 85.38 35.50 1.05% DBK GR Equity 151 4,121 46.61 48.33 2.65 1.39% DD US Equity 1,919 12,501 54.46 62.82 17.01 0.90% DDAIF US Equity 2,914 8,407 63.20 85.11 31.43 1.10% DE US Equity (8) 8,212 85.65 85.56 -0.17 0.59% DELL US Equity 14 6,771 13.83 13.86 2.65 0.08% DG FP Equity 3,390 10,056 51.34 68.64 41.94 0.80% DGE LN Equity (13) (696) 28.88 29.43 -1.67 1.14% DHR US Equity 3,542 14,151 58.57 73.23 38.47 0.65% DIS US Equity 1,065 10,020 68.36 75.63 10.34 1.03% DISCA US Equity 17 1,301 80.72 81.79 1.32 1.01% DNB NO Equity 1,111 9,102 15.62 17.52 15.13 0.81% DOW US Equity 1,784 6,555 35.84 45.59 23.88 1.14% DPW GR Equity 119 553 28.24 34.32 24.24 0.89% DTE GR Equity 4,154 13,908 12.22 15.87 27.63 1.08% DTV US Equity 1,536 9,300 60.09 70.02 21.10 0.78% DUK US Equity (21) (8,884) 69.60 69.76 -0.47 0.50% DVN US Equity (162) 5,787 61.71 60.03 -3.62 0.77% EBAY US Equity 112 5,078 52.95 54.12 1.88 1.17% ECL US Equity (59) 2,723 101.52 99.36 -3.21 0.67% EDF FP Equity 4,330 9,318 23.45 34.34 59.62 0.78% EMC US Equity (269) 8,883 24.86 24.12 4.00 0.76% EMR US Equity 190 2,637 59.74 64.04 10.81 0.67% ENB CN Equity 16 (7,063) 41.70 41.60 0.47 0.48% ENEL IM Equity 682 6,792 4.24 4.67 10.86 0.93% ENI IM Equity 4 (2,484) 22.28 22.25 0.20 0.83% EOAN GR Equity (58) 2,621 18.65 18.25 -2.18 1.01% EOG US Equity 1,111 5,671 143.99 172.20 20.35 0.96% EPD US Equity 457 9,216 61.83 64.90 6.72 0.74% ERICB SS Equity 89 3,414 12.05 12.36 2.66 0.98% ESRX US Equity 1,102 9,985 66.69 74.05 16.58 0.67% ETN US Equity (44) 3,040 70.47 69.45 -1.58 0.92% F US Equity (1) (1,447) 14.73 14.74 -0.06 0.99% FEI US Equity 1,099 2,575 43.58 62.18 27.47 1.55% FCX US Equity (2) (2,953) 31.57 31.60 -0.06 1.19% FDX US Equity 448 5,399 120.94 130.97 10.55 0.79% FOX US Equity (57) (2,868) 31.03 31.65 -1.98 1.00% FOXA US Equity (83) (2,752) 31.33 32.27 -2.70 1.11% FP FP Equity (0) 942 57.68 57.68 0.00 0.69% G IM Equity 177 3,663 20.52 21.51 5.41 0.89% GE US Equity 1,919 16,424 22.32 24.92 14.41 0.81% GILD US Equity 30,831 13,860 24.02 77.47 176.80 1.26% GIS US Equity (69) 2,133 49.12 47.58 -5.99 0.54% GLE FP Equity 612 3,273 49.51 58.77 13.42 1.39% GLEN LN Equity (54) (3,289) 5.14 5.22 -1.44 1.15% GLW US Equity 1,254 11,472 16.17 17.94 10.70 1.02% EFTA00292839 GM US Equity 963 4,077 28.27 34.95 23.96 0.99% GOOG US Equity 4,319 12,508 857.75 1153.90 40.46 0.85% GS US Equity 6,200 13,682 110.98 161.27 68.51 0.66% GSK LN Equity 35 4,400 25.71 25.91 0.68 1.15% GSZ FP Equity (50) (1,969) 22.14 22.70 -3.66 0.69% HAL US Equity 479 2,711 42.93 50.52 21.89 0.81% HD US Equity 1,880 12,500 66.04 75.97 30.19 0.50% HMB SS Equity 420 6,179 40.79 43.56 7.24 0.94% HON US Equity 5,819 11,977 61.10 90.79 86.28 0.56% HPQ US Equity 945 6,353 24.79 28.47 14.60 1.02% HSBA LN Equity (0) (1,497) 10.23 10.23 -0.01 2.30% IBC SM Equity 840 7,033 5.48 6.13 17.56 0.68% IBM US Equity 472 (8,475) 184.74 174.44 7.67 0.73% IMT LN Equity (24) 11,033 35.95 35.87 -0.20 1.08% INTC US Equity 55 9,886 23.81 23.94 0.64 0.87% ISP IM Equity 2,684 5,586 1.90 2.82 39.64 1.21% ITUB US Equity 194 (5,948) 13.81 13.36 2.34 1.40% ITUB4 BZ Equity 112 (6,407) 13.59 13.36 1.40 1.25% I1W US Equity 2,168 14,253 67.84 78.15 25.47 0.60% ITX SM Equity (13) (659) 146.05 149.02 -2.65 0.77% JCI US Equity 3,376 10,056 34.13 45.58 35.92 0.93% JNJ US Equity 3,482 12,661 69.31 88.38 41.04 0.67% JPM US Equity 644 8,651 52.29 56.18 9.91 0.75% KMB US Equity (41) 7,991 106.68 106.14 -0.85 0.60% KMI US Equity 302 (6,808) 35.17 33.61 6.80 0.65% KO US Equity 122 (6,929) 38.83 38.15 2.58 0.69% KRFT US Equity 942 51.55 51.55 0.00 0.58% LBTYA US Equity (109) 2,296 84.74 80.90 -5.92 0.80% LBTYK US Equity 51 1,923 77.86 79.93 3.32 0.80% LIN GR Equity 942 189.94 189.94 0.00 0.72% LLOY LN Equity 3,665 7,186 0.89 1.35 48.16 1.06% LLY US Equity 5 (1,846) 52.79 52.65 0.38 0.68% LMT US Equity 485 2,039 122.48 151.61 25.00 0.95% LNKO US Equity (39) 1,941 217.55 213.28 -1.38 1.45% LOW US Equity (56) (2,442) 45.36 46.40 -3.08 0.75% LVS US Equity 1,646 6,922 61.33 75.91 16.93 1.40% LYB US Equity 765 2,338 59.29 78.68 30.79 1.06% MA US Equity 11,450 19,561 46.88 74.32 50.53 1.16% MAERSKB DC Equity 5,020 14,399 8212.58 11075.88 28.77 1.21% MC FP Equity 610 180.98 180.98 0.00 1.16% MCD US Equity 4 (7,028) 94.88 94.82 0.14 0.46% MCK US Equity 110 1,774 161.77 171.80 5.58 1.11% M0IZ US Equity 1,912 13,909 28.68 32.63 18.15 0.76% MOT US Equity 5,558 20,819 43.22 54.76 31.88 0.84% MET US Equity 649 7,678 44.37 48.12 8.64 0.98% MFC CN Equity 3,754 8,025 12.38 18.17 49.16 0.95% MHS US Equity 1,755 13,962 62.29 70.12 11.02 1.14% EFTA00292840 MMM US Equity 6,965 21,339 96.89 128.52 46.18 0.71% MO US Equity (100) 2,189 35.92 34.35 -7.05 0.65% MON US Equity 232 12,036 106.02 108.06 2.54 0.76% MOS US Equity (18) (4,455) 45.85 46.03 -0.41 1.00% MRK US Equity 918 9,411 48.80 53.56 11.10 0.88% MS US Equity 125 1,669 27.57 29.64 7.20 1.04% MSFT US Equity 267 7,242 34.82 36.10 3.66 1.01% MUV2 GR Equity 403 7,617 197.44 207.89 7.07 0.75% NAB AU Equity (33) (4,220) 28.99 29.21 -1.10 0.70% NCM AU Equity 3,019 (5,190) 21.94 9.18 27.98 2.08% NEE US Equity 3,453 14,923 72.62 89.42 34.74 0.67% NEM US Equity 3,004 (7,516) 34.95 20.98 23.58 1.69% NESN VX Equity 545 9,938 69.64 73.46 6.51 0.84% NG/ IN Equity 1,130 11,606 11.72 12.86 15.31 0.64% NICE US Equity 632 2,247 55.91 71.62 37.36 0.75% NOK US Equity 3,455 4,572 3.96 6.96 60.63 1.25% NOV US Equity 141 (6,867) 75.68 74.12 2.77 0.74% NOVN VX Equity 4,428 18,301 63.81. 79.24 31.54 0.77% NOVOB DC Equity 600 5,435 37.72 41.88 9.82 1.12% NSC US Equity 1,530 9,695 80.49 93.20 13.46 1.17% NVS US Equity 3,416 15,566 65.07 79.35 33.34 0.66% OGXP3 BZ Equity 4,996 (5,147) 4.43 0.13 23.60 4.11% OR FP Equity (16) (660) 163.54 167.47 •2.39 1.01% ORA FP Equity (31) 2,994 12.37 12.24 -1.00 1.03% ORCL US Equity 746 7,194 33.15 36.59 14.85 0.70% OXY US Equity (21) (3,159) 87.84 88.43 •1.00 0.67% PBR US Equity 451 (2,828) 13.30 11.18 11.06 1.44% PBR/A US Equity 409 (2,810) 13.87 11.85 10.13 1.44% PCLN US Equity 585 3,077 956.05 1137.87 20.45 0.93% PCP US Equity 2,705 13,958 212.47 253.65 24.34 0.80% PEP US Equity (68) 1,823 82.26 79.28 -7.37 0.51% PETR3 BZ Equity 437 (2,941) 6.54 5.57 10.85 1.37% PETR4 BZ Equity 457 (3,139) 6.95 5.94 10.96 1.33% PFE US Equity 3,892 21,827 26.10 30.76 25.44 0.70% PG US Equity 6 1,884 76.60 76.83 0.46 0.66% PHIA NA Equity 1,638 11,289 30.43 34.84 19.56 0.74% PM US Equity 894 (10,233) 85.47 78.00 10.87 0.80% PNC US Equity 404 7,730 75.28 79.22 5.95 0.88% POT CN Equity (203) (3,704) 31.56 33.29 -4.86 1.12% POT US Equity (197) (3,467) 31.45 33.23 -5.02 1.13% PRU LN Equity 6,492 10,549 12.76 20.62 54.03 1.14% PSA US Equity 80 7,077 156.29 158.06 2.02 0.56% PSX US Equity 755 6,086 64.65 72.67 14.26 0.87% PX US Equity 1,473 16,141 113.30 123.64 14.14 0.65% QCOM US Equity 1,173 12,683 66.83 73.01 13.19 0.70% QQQ US Equity 4,999 19,971 68.46 85.59 43.66 0.57% RAI US Equity (8) (746) 47.19 47.67 -1.88 0.55% EFTA00292841 RDS/A US Equity 942 68.70 68.70 0.00 0.72% RDS/B US Equity (131) 4,002 74.95 72.58 -4.48 0.73% RDSA LN Equity (24) 4,072 34.51 34.31 -0.65 0.89% RDSA NA Equity 874 34.35 34.35 0.00 0.81% RDSB LN Equity (90) 3,989 37.06 36.25 -2.65 0.85% REGN US Equity (8) 3,919 287.30 286.71 -0.14 1.46% RIO AU Equity 12 3,325 58.66 58.88 0.43 0.85% RIO LN Equity 33 4,851 53.84 54.21 0.58 1.18% RIO US Equity 49 4,967 54.04 54.57 0.75 1.31% ROG VX Equity 5,187 17,418 212.78 276.14 37.03 0.80% RY CN Equity (67) (3,336) 61.84 63.09 -2.83 0.71% SAB LN Equity 15 (2,591) 44.31 44.05 0.68 0.86% SAN FP Equity 544 (6,214) 103.67 94.59 10.64 0.82% SAN SM Equity 345 7,328 8.35 8.74 4.99 0.94% SAN US Equity 347 5,368 8.28 8.81 5.40 1.20% SAP GR Equity (387) 5,277 81.11 75.56 -9.25 0.79% SAP US Equity (475) 7,150 81.24 76.18 -7.61 0.87% SBUX US Equity 43 (5,657) 72.71 72.15 0.76 1.01% SCCO US Equity 164 (3,851) 29.68 28.42 4.39 0.97% SGO FP Equity 1,694 7,843 43.93 53.41 24.71 0.87% SI US Equity 1,148 11,394 114.69 126.24 12.59 0.80% SIE GR Equity 852 9,013 114.81 125.67 11.17 0.85% SLB US Equity 672 6,635 79.94 88.04 12.43 0.82% SMSN LI Equity 650 (7,308) 644.51 587.15 9.23 0.96% SO US Equity 185 (9,100) 41.73 40.89 4.41 0.46% SPG US Equity (109) (4,752) 151.46 154.93 -3.28 0.70% SREN VX Equity 987 9,837 80.14 88.18 10.02 1.00% STAN LN Equity 447 (5,373) 22.30 20.44 6.71 1.24% STL NO Equity (129) 3,563 24.88 24.01 -4.45 0.81% STT US Equity (87) 1,617 69.12 65.58 -5.47 0.99% SU CN Equity 7 (4,396) 32.33 32.27 0.24 0.70% SU FP Equity 18 1,473 80.83 81.81 1.27 0.96% SU US Equity (1) (3,458) 32.24 32.26 -0.06 0.68% SWEOA SS Equity 480 6,013 24.71 26.68 7.39 1.08% SYNN VX Equity 68 (3,085) 350.52 342.80 2.43 0.91% T US Equity 579 (7,348) 34.70 31.96 10.82 0.73% TD CN Equity (59) (4,373) 43.24 43.83 -2.24 0.60% TEF SM Equity (29) (2,505) 15.13 15.30 -1.38 0.83% TEF US Equity 720 15.30 15.30 0.00 0.98% TGT US Equity 1,326 (10,806) 63.57 55.77 15.78 0.78% TJX US Equity 2,696 9,684 46.31 59.20 33.81 0.82% TLS AU Equity 15 4,462 4.52 4.54 0.56 0.59% TLSN SS Equity (9) (742) 7.36 7.45 -1.31 0.88% TM US Equity 98 (5,180) 117.86 115.63 2.60 0.73% TMO US Equity 8,201 10,285 63.59 114.29 99.88 0.80% TOT US Equity 130 1,890 54.11 57.82 8.34 0.82% TRP CN Equity 38 (6,965) 43.75 43.51 0.99 0.56% EFTA00292842 TRV US Equity 53 (4,740) 81.26 80.34 1.79 0.63% TSCO LN Equity 536 (7,448) 5.65 5.25 9.21 0.78% TWC US Equity 688 4,830 118.62 135.51 25.28 0.56% TWX US Equity (41) (4,915) 62.71 63.23 -1.06 0.79% TXN US Equity 2,253 12,411 34.93 41.27 24.22 0.75% TYC US Equity 9,517 23,906 29.17 40.78 56.14 0.71% UBS US Equity 280 5,299 19.37 20.39 4.40 1.20% UBSN VX Equity 240 5,249 19.51 20.40 4.54 1.01% UCG IM Equity 1,836 5,477 5.58 7.45 25.54 1.31% ULVR LN Equity 142 (4,421) 39.43 38.17 3.21 1.00% UNA NA Equity 151 (5,815) 38.23 37.24 2.51 1.03% UNH US Equity 1,068 10,186 64.08 70.80 13.60 0.77% UNP US Equity 792 9,494 160.88 174.31 12.13 0.69% UPS US Equity 2,777 15,085 79.87 94.58 33.18 0.55% US8 US Equity 2,013 14,486 34.71 39.54 21.80 0.64% UTX US Equity 5,010 15,195 82.05 109.10 44.86 0.74% V US Equity 4,329 4,427 110.22 218.01 110.30 0.89% VALE US Equity 167 (3,944) 15.08 14.44 2.94 1.44% VALE3 BZ Equity 191 (4,625) 15.04 14.42 2.81 1.47% VIAB US Equity 3,341 6,364 52.96 80.76 60.14 0.87% VIV FP Equity 85 2,304 25.90 26.85 4.44 0.83% VMW US Equity 152 4,289 87.26 90.35 2.80 1.26% VOD LN Equity 1,200 7,713 3.14 3.63 17.31 0.90% VOD US Equity 1,181 7,642 31.63 36.52 16.92 0.91% VOW3 GR Equity 761 6,943 228.75 253.83 10.78 1.02% VRX CN Equity 730 1,629 92.95 134.62 30.25 1.48% VRX US Equity 844 1,901 93.20 134.59 33.52 1.32% VTI US Equity 314 5,211 86.91 92.14 12.83 0.47% VWO US Equity 419 (7,296) 40.33 38.02 6.41 0.90% VZ US Equity 191 (6,175) 48.12 46.63 4.54 0.68% WBC AU Equity (50) (2,728) 27.09 27.58 -2.24 0.81% WES AU Equity (63) (2,946) 36.94 37.73 -3.15 0.68% WFC US Equity 1,900 10,238 37.56 44.53 31.91 0.58% WLP US Equity 2,079 13,153 74.31 86.06 16.47 0.96% WMT US Equity (96) 1,813 76.70 72.83 -10.97 0.48% WOW AU Equity 95 (8,715) 31.30 30.96 1.79 0.61% XOM US Equity (83) 10,987 90.48 89.80 -1.09 0.70% XTA LN Equity 2 (2,274) 15.05 15.04 0.04 2.26% YHOO US Equity 239 1,293 30.64 36.30 14.31 1.29% YUM US Equity (88) 4,209 72.78 71.29 -1.99 1.05% ZURN VX Equity 2 6,406 291.95 292.05 0.05 0.75% 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 13,689 62,717 1455.70 1,773.43 35.66 0.61% EFTA00292843 NDX Index 11,204 47,599 2831.19 3,497.60 31.39 0.75% RTY Index 10,920 40,278 868.48 1,103.93 32.81 0.83% SPTSX Index (118) (9,265) 12240.87 12,396.85 -2.46 0.52% MEXBOL Index 800 (26,193) 3142.70 3,046.66 3.42 0.89% IBOV Index 2,116 (22,693) 22076.65 20,018.49 7.42 1.26% MERVAL Index (28) (7,462) 743.69 746.50 -0.21 1.84% UKX Index 1,682 40,443 10288.22 10,716.23 6.82 0.61% DAX Index 6,896 36,972 10610.77 12,589.87 25.56 0.73% CAC Index 688 9,401 5307.63 5,696.24 10.81 0.68% IBEX Index 7,013 39,118 11492.37 13,552.85 19.66 0.91% SMI Index 5,064 41,096 8134.42 9,136.68 20.69 0.60% FTSEMIB Index 3,903 23,466 22744.85 26,527.72 20.92 0.80% P5120 Index 4,108 24,566 8026.78 9,368.91 17.43 0.96% ISEQ Index 21,268 40,424 4246.25 6,480.31 73.57 0.72% ICEXI Index 6,520 35,839 6.58 7.78 29.50 0.62% AEX Index 3,911 43,046 484.27 528.28 14.90 0.61% BEL20 Index 4,163 42,524 3586.05 3,937.12 16.91 0.58% LUXXX Index 7,743 40,192 1655.49 1,974.42 27.28 0.71% KFX Index 7,506 38,504 100.82 120.47 24.64 0.79% HEX Index 6,458 41,366 8513.92 9,843.19 18.99 0.82% OMX Index 1,289 20,976 189.54 201.19 7.71 0.80% ATX Index 2,447 28,405 3213.33 3,490.17 9.63 0.89% ASE Index 6,518 17,891 1246.19 1,700.22 21.83 1.67% OSEBX Index 607 22,403 84.29 86.57 3.75 0.72% INDEXCF Index (259) (14,291) 41.54 42.29 -2.27 0.80% TOP40 Index (207) (13,561) 3615.53 3,670.59 -1.87 0.81% SENSEX Index 184 (14,659) 331.01 326.85 1.74 0.72% NKY Index 2,642 19,882 122.63 138.93 11.55 1.15% HSI Index 138 (10,140) 2799.04 2,761.00 1.84 0.74% SHCOMP Index 636 (27,831) 343.18 335.34 2.99 0.76% KOSPI Index (57) (12,041) 1.77 1.78 -0.69 0.68% AS51 Index (122) (9,975) 4550.65 4,606.46 -1.98 0.62% STBCNZL Index 29,175 73,246 444.47 621.51 81.37 0.49% EEM US Equity 340 (6,165) 40.76 38.51 5.02 1.10% IYR US Equity (113) (4,202) 63.72 65.43 -5.26 0.51% MOY US Equity 4,027 14,308 184.03 235.82 34.17 0.82% JNK US Equity 942 40.55 40.55 0.00 0.17% XLF US Equity 4,782 13,646 15.57 21.03 46.19 0.76% XLU US Equity 94 6,465 38.12 38.67 2.51 0.58% XLK US Equity 1,630 13,112 30.80 34.63 19.03 0.65% XLI US Equity 4,830 16,170 38.20 49.61 39.76 0.75% XLP US Equity (148) 7,406 41.36 40.55 -3.67 0.54% XLY US Equity 7,294 20,539 46.72 63.31 44.87 0.79% XLE US Equity 877 83.14 83.14 0.00 0.81% XLB US Equity 2,591 14,938 37.57 44.09 23.26 0.75% XLV US Equity 10,356 24,347 38.87 55.40 59.17 0.72% SXXP Index 4,208 43,791 400.51 439.00 17.25 0.56% EFTA00292844 SXAP Index 7,288 29,032 520.28 650.89 31.63 0.79% SXKP Index 3,659 47,535 366.14 394.32 11.20 0.69% SX6P Index 2,833 32,831 349.85 380.04 13.69 0.63% SXEP Index 67 6,632 429.86 434.21 1.53 0.66% SXIP Index 10,619 29,302 222.31 302.87 47.13 0.77% SXNP Index 3,798 28,647 482.69 546.69 20.90 0.63% SX3P Index (75) 10,507 653.46 648.84 -0.92 0.78% SXDP Index 19,922 61,667 609.16 805.95 59.00 0.55% SX4P Index 1,733 26,037 917.36 978.43 10.13 0.66% SX8P Index 1,912 13,624 330.19 376.52 21.12 0.66% SXOP Index 6,408 41,261 380.28 439.34 20.16 0.77% SXQP Index (64) (2,224) 743.36 764.70 -3.41 0.84% SXRP Index 71 6,632 423.38 427.90 1.73 0.62% SOAP Index 10,973 36,232 261.12 340.20 45.31 0.67% SXTP Index 19,780 39,565 172.05 258.07 76.23 0.66% SX7E Index 5,162 18,060 157.43 202.42 23.22 1.23% SXSE Index 4,338 39,201 3686.95 4,094.98 15.98 0.69% SPGSCITR Index 231 (33,843) 4817.40 4,784.46 1.32 0.52% XAG Curncy 1,072 (12,750) 21.93 20.09 7.47 1.13% CO1 Comdty 391 (23,577) 109.00 107.19 2.76 0.60% CL1 Comdty 148 13,239 96.76 97.84 1.24 0.90% NG1 Comdty 5,167 16,736 3.77 4.93 9.41 3.28% XAU Comdty 5,798 (42,051) 23.30 20.09 24.00 0.57% IBOXHY Index 1,863 54,014 220.12 227.71 40.53 0.09% US_TSY CREDIT (19) 7,104 760.91 758.89 •1.89 0.14% CA_TSY CREDIT 6,773 (98,739) 1269.35 1,182.27 18.22 0.38% MX_TSY CREDIT 116 (13,902) 209.03 207.28 1.44 0.58% AU TSY CREDIT 1,414 (79,674) 1457.62 1,431.75 3.58 0.50% JP_TSY CREDIT 465 (59,858) 822.10 815.71 2.02 0.38% MY_TSY CREDIT 2,665 (90,858) 167.52 162.61 11.84 0.25% SG_TSY CREDIT 651 (96,294) 219.11 217.63 2.38 0.28% AT_TSY CREDIT 1,687 65,045 354.64 363.84 8.80 0.29% BE_TSY CREDIT 2,466 68,340 473.36 490.44 12.37 0.29% FI_TSY CREDIT 1,625 67,259 346.05 354.41 8.24 0.29% FR_TSY CREDIT 2,048 63,167 1661.26 1,715.13 11.36 0.29% DE_TSY CREDIT 1,290 57,002 1230.67 1,258.53 7.41 0.31% IE_TSY CREDIT 27,764 79,029 336.92 455.29 112.78 0.31% IT_TSY CREDIT 5,867 54,509 1610.28 1,783.61 38.00 0.28% NL_TSY CREDIT 1,554 66,079 1317.53 1,348.51 8.07 0.29% ES_TSY CREDIT 8,337 51,169 392.28 456.20 57.55 0.28% DK_TSY CREDIT 1,824 51,458 721.13 746.69 11.11 0.32% NO_TSY CREDIT 196 (27,667) 333.32 330.95 1.49 0.48% PL_TSY CREDIT 462 22,408 420.32 428.98 3.77 0.55% ZA_TSY CREDIT 2,355 (33,420) 83.13 77.27 7.93 0.89% SE_TSY CREDIT (353) (21,283) 452.11 459.61 .4.17 0.40% CH_TSY CREDIT 2,244 59,953 999.11 1,036.50 9.73 0.38% GB_TSY CREDIT (23) 31,711 1475.94 1,474.85 -0.22 0.34% EFTA00292845