EFTA00292860.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): 2/7/2014 35.67% 66.67% 3,955,755 (1,408,760) 2,546,995 455 1,000,000 1,666,737 3.22 2/7/2014 Change on Day: 2.20% MSCI World Change on Day 1.20% Profit Factor: Win Ratio: T24M (4) NAV Days T24M Avg. Daily NAV (1-) 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% 1.03% -0.92% 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 2,006,000.00 1$00,000.00 1,600,000.00 1400,000.00 1,200,000.00 1.000.000.00 600,000.00 600,000.00 dvercAvi cs4). 60. 11. P. 4>. 4). .4?) 4) '') $ 4..", c ." le r Or e — NAV EFTA00292860 Atorus, LLC 2/7/2014 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 23.90% 52 Positions 30.26% SPGSCITR Index (24,852) 0.46% SXKP Index 4,863 0.29% MEXSOL Index (25,761) 0.48% GOOG US Equity 4,875 0.29% NO_TSY CREDIT (27,060) 0.50% XLF US Equity 4,886 0.29% SHCOMP Index (27,300) 0.51% OGXP3 BZ Equity 5,009 0.30% ZA_TSY CREDIT (32,556) 0.61% XAU Comdty 5,153 0.31% XAU Comdty (40,619) 0.76% SX7E Index 5,160 0.31% SPX Index 54,660 1.02% UTX US Equity 5,190 0.31% DE_TSY CREDIT 55,784 1.04% MAERSKB DC Equity 5,212 0.31% NL_TSY CREDIT 58,680 1.09% BMY US Equity 5,308 0.32% JP_TSY CREDIT (58,865) 1.10% ROG VX Equity 5,308 0.32% SXDP Index 60,558 1.13% AMGN US Equity 5,441 0.33% FR_TSY CREDIT 61,947 1.15% CMCSA US Equity 5,530 0.33% CH_TSY CREDIT 62,767 1.17% ACA FP Equity 5,635 0.34% AT_TSY CREDIT 63,655 1.19% MDT US Equity 5,771 0.35% PI_TSY CREDIT 65,822 1.23% ICEXI Index 5,833 0.35% BE_TSY CREDIT 66,880 1.25% 1T_TSY CREDIT 5,959 0.36% STBCNZL Index 73,166 1.36% HON US Equity 6,021 0.36% IE_TSY CREDIT 77,261 1.44% GS US Equity 6,111 0.37% AU TSY CREDIT (78,015) 1.45% ASE Index 6,394 0.38% SG_TSY CREDIT (78,672) 1.47% PRU LN Equity 6,634 0.40% MY_TSY CREDIT (83,609) 1.56% HEX Index 6,720 0.40% CA_TSY CREDIT (103,690) 1.93% V US Equity 6,727 0.40% SXOP Index 6,876 0.41% DAX Index 7,044 0.42% MMM US Equity 7,116 0.43% CA_TSY CREDIT 7,297 0.44% IBEX Index 7,355 0.44% SXAP Index 7,475 0.45% XLY US Equity 7,682 0.46% KFX Index 7,992 0.48% BAYN GR Equity 8,235 0.49% CMCSK US Equity 8,238 0.49% LW= Index 8,327 0.50% ES_TSY CREDIT 8,328 0.50% TMO US Equity 8,440 0.51% MC US Equity 9,760 0.59% TYC US Equity 9,928 0.60% BA US Equity 9,962 0.60% SXIP Index 10,701 0.64% XLV US Equity 10,950 0.66% EFTA00292861 SXMP Index 11,058 0.66% RTY Index 11,290 0.68% NDX Index 11,868 0.71% SPX Index 12,010 0.72% CELG US Equity 12,107 0.73% MA US Equity 12,281 0.74% SXTP Index 19,716 1.18% SXDP Index 20,721 1.24% ISEQ Index 21,798 1.31% lE_TSY CREDIT 27,229 1.63% ST8CN2L Index 30,110 1.81% GILD US Equity 38,668 2.32% No. Names b APAC Long 18 APAC Short 34 EMEA Long 65 EMEA Short 27 AMER Long 146 AMER Short 71 EquityCom Long 50 EquityCom Short 20 Credit Long 15 Credit Short 9 Total Long 294 Total Short 161 EFTA00292862 Atorus, LLC 2/7/2014 Historical Net Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodites, G20 Gov. Credit) 2,000,000 5,000.000 —APAC —EMEA —AMER —EquityCom —Cr et 1,500,0E0 1,000,003 4000.000 3000.000 2,000.000 1,000,00D ilk 500.000 / j \ - • (1,000.0001 - (2,000.0001 , ,tiexEposure RHS O% 40Q. 11. el. is, ots, CPI 4, tx\ < I.° (4.1. or), O%, ,s,, (19' 4DC. ‘ )C3C. 0 goC. 44:.C. ext ••\CD ,css. cp. cle c' Nt (shalom 1 (1.000,000) (3,000.0001 Historical Gross Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodlites, G20 Gov. Credit) EFTA00292863 Atorus, LIC 2/7/2014 Current Gross Notional Risk by Category 222,306 • 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 ct9. ll? 16sr 4;) ticl, O4) G tog oyA op 4 4 4 ett <,Cv 4 ^\yeti cP - MSOWerld — MOWS Rolling 30 Day Realized Volatility - Atorus 2.00% 1.60% 1.60% 1.40% 1.20% 1.00% 0.80% 0.60% 0.40% 0.20% 0.00% —Rolf g300 1R abiedVol EFTA00292864 Atorus, LLC 2/7/2014 Percentile Distribution of Current MTM Gains in Vol Days by Position (ex-99pct & ex-1st percentiles) Percentile No. Vol Days 0.00.:, 1.33 5.00% -4.06 10.00% .2.48 15.00% 4.75 20.00% .0.87 25.00% 0.00 30.00% 0.89 35.00% 1.96 40.00% 3.18 45.00% 4.46 50.00% 6.82 55.00% 8.64 60.00% 10.29 65.00% 13.63 70.00% 16.47 75.00% 19.54 80.00% 25.26 85.00% 31.56 90.00% 38.38 95.00% 55.13 100.00% 177.31 P/L V ID ys by Position Percentage of MTM Gains(Losse) % of NAV "Signficant" (<7 Vol Days) Percentage of MTM Galns(Losse) % of NAV "Signficant" (>7 Vol Days) 0.89% 48.13% EFTA00292865 Atorus, LLC -Listed Equity Portfolio 2/7/2014 Current Price P/L in Vol 30P Realized Security MINI Gain/(Loss) Exp. 88 Cost Avg. Price (In USD) Days Vol 000270 KS Equity 241 (4,524) 52.74 49.93 3.89 1.37% 005380 KS Equity (21) 879 219.30 214.13 -1.77 1.37% 005490 KS Equity 91 (4,262) 274.19 268.30 2.37 0.90% 005930 KS Equity 513 (6,487) 1285.63 1183.87 8.64 0.92% 012330 KS Equity 731 4,461 246.52 286.91 13.67 1.20% 1 HK Equity 22 (3,723) 14.68 14.60 1.11 0.53% 1299 HK Equity (26) (3,242) 4.57 4.60 -0.90 0.91% 13 HK Equity 1,226 12,106 11.40 12.56 13.08 0.77% 16 HK Equity 351 (9,803) 12.66 12.21 6.87 0.52% 27 HK Equity (5) 122 9.67 9.31 -1.67 2.29% 2914 JP Equity 220 (4,679) 32.47 30.94 3.23 1.45% 3382 JP Equity (29) 3,334 37.84 37.51 -0.71 1.22% 4063 JP Equity 50 (4,523) 56.40 55.78 1.00 1.10% 4502 JP Equity (23) 663 46.86 45.29 -4.20 0.82% 4689 JP Equity (63) 743 5.96 5.50 -5.53 1.54% 5 HK Equity (16) (3,104) 10.18 10.23 -0.71 0.70% 5108 JP Equity (143) 3,447 36.30 34.85 -4.15 1.00% 5401 JP Equity 27 (3,652) 2.99 2.96 0.60 1.25% 6301 JP Equity 183 (4,622) 20.80 19.98 3.27 1.21% 6752 JP Equity 1,238 4,064 9.01 11.76 12.53 2.43% 6902 JP Equity 2,049 9,649 41.48 50.29 16.77 1.27% 6954 JP Equity 116 6,360 157.65 160.53 1.00 1.83% 7201 JP Equity 194 (5,715) 8.94 8.63 2.62 1.30% 7203 JP Equity 110 (3,859) 59.03 57.35 2.44 1.17% 7267 JP Equity (7) (1,466) 35.61 35.77 -0.43 1.05% 762 HK Equity 215 (4,100) 1.43 1.36 4.85 1.08% 7751 JP Equity 510 (6,774) 31.44 29.07 8.31 0.91% 8031 JP Equity (246) (6,892) 13.95 14.44 -3.27 1.09% 8058 JP Equity (39) (615) 17.87 19.01 -5.93 1.07% 8306 JP Equity (8) (1,936) 5.82 5.85 -0.32 1.20% 8316 JP Equity (12) (1,897) 46.03 46.31 -0.43 1.42% 8411 JP Equity (96) 3,611 2.13 2.07 -2.09 1.27% 8604 JP Equity (10) (973) 6.67 6.74 -0.71 1.46% 8801 JP Equity (4) (1,372) 31.32 31.42 -0.23 1.40% 8802 JP Equity (41) (3,258) 24.73 25.04 -0.87 1.44% 9020 JP Equity 177 (3,939) 77.54 74.05 4.36 1.03% 941 HK Equity 938 (10,849) 10.29 9.40 13.72 0.63% 9432 JP Equity 22 6,020 53.19 53.39 0.34 1.07% 9433 JP Equity 3,672 11,560 42.13 55.52 23.08 1.38% 9437 JP Equity 11 (4,790) 15.67 15.64 0.25 0.93% 9983 JP Equity (118) 3,132 368.27 354.93 -2.06 1.82% EFTA00292866 9984 JP Equity 1,750 2,734 43.84 71.90 43.26 1.48% AAPL US Equity 323 9,319 503.10 520.55 3.47 1.00% ABB US Equity 665 9,143 23.57 25.28 7.26 1.00% ABBN VX Equity 640 9,353 23.63 25.25 5.96 1.15% ABBV US Equity (103) 5,245 49.47 48.52 -1.98 0.99% ABEV US Equity 466 (7,151) 7.25 6.78 5.47 1.19% ABEV3 BZ Equity 461 (6,846) 7.29 6.80 5.72 1.18% ABI BB Equity (52) (2,209) 94.70 96.92 -2.60 0.90% ABT US Equity (197) 4,036 38.77 36.97 •7.07 0.69% ABX CN Equity (336) (3,484) 17.17 18.82 -6.22 1.55% ABX US Equity (324) (3,449) 17.20 18.82 -6.32 1.49% ACA FP Equity 5,635 5,321 6.83 14.07 75.48 1.40% ACE US Equity (2) 3,617 94.19 94.14 -0.09 0.65% ACN US Equity 372 9,084 77.04 80.20 5.04 0.81% ADP US Equity 37 1,180 72.36 74.63 4.22 0.74% AFL US Equity 912 62.19 62.19 0.00 0.64% AGN US Equity 830 6,740 104.77 117.67 11.10 1.11% Al FP Equity (140) (4,095) 126.55 130.88 .4.62 0.74% AIG US Equity 11 1,584 48.17 48.50 0.83 0.82% AIR FP Equity 4,314 6,369 42.47 71.24 71.75 0.94% ALV GR Equity 2,651 7,394 125.64 170.69 35.08 1.02% ALVG IX Equity 1,985 5,640 126.13 170.53 35.58 0.99% AMGN US Equity 5,441 22,884 95.22 117.86 25.57 0.93% AMT US Equity 550 10,551 76.29 80.27 7.15 0.73% AMZN US Equity 3,403 14,103 287.66 357.08 20.24 1.19% ANZ AU Equity (35) (5,260) 26.26 26.44 -0.90 0.74% APA US Equity 134 (6,711) 82.74 81.08 2.72 0.73% APC US Equity 101 (5,561) 80.96 79.49 2.25 0.81% AXP US Equity 2,104 9,974 71.56 86.66 21.70 0.97% AZN LN Equity 3,327 12,451 49.80 63.11 33.57 0.80% AZN SS Equity 2,892 11,462 50.40 63.12 29.44 0.86% AZN US Equity 3,261 12,176 49.96 63.34 32.33 0.83% BA US Equity 9,962 17,553 80.32 125.90 54.87 1.03% BAC US Equity 9,760 10,815 8.82 16.78 94.06 0.96% BARC LN Equity 102 5,997 4.37 4.45 1.48 1.14% BAS GR Equity 703 7,191 97.34 106.86 10.89 0.90% BATS LN Equity 149 (6,913) 49.08 48.02 2.38 0.90% BAX US Equity (119) (7,930) 66.82 67.82 -2.97 0.50% BAYN GR Equity 8,235 11,874 76.75 129.97 68.84 1.01% BBAS3 BZ Equity 70 (2,827) 9.22 8.99 1.68 1.48% BBD US Equity 914 (6,328) 12.96 11.09 10.62 1.36% BBDC4 BZ Equity 929 (7,189) 12.74 11.10 11.71 1.10% BBL US Equity 99 (4,914) 60.45 59.24 2.09 0.96% BBVA SM Equity 1,229 5,674 10.09 12.28 16.87 1.28% BCE CN Equity 148 (6,584) 43.17 42.20 3.49 0.65% BCS US Equity 80 6,315 17.72 17.95 1.09 1.16% BEN US Equity (7) 3,063 52.08 51.96 -0.27 0.87% EFTA00292867 BG/ LN Equity (25) (1,833) 17.21 17.45 -0.98 1.40% BHP AU Equity (46) (3,078) 31.86 32.34 -1.83 0.82% BHP US Equity (62) (2,216) 63.64 65.41 -3.26 0.86% BBB US Equity 275 1,045 245.93 310.57 20.45 1.29% BIL Sl Equity 121 (4,383) 30.11 29.28 2.72 1.01% BK US Equity 53 1,526 30.62 31.69 4.27 0.81% BLK US Equity 101 1,152 274.17 298.12 9.73 0.90% BLT IN Equity 102 (4,896) 30.05 29.43 2.41 0.87% BMO CN Equity (57) (3,330) 61.56 62.60 -2.63 0.64% BMW GR Equity 635 4,967 98.63 111.24 16.48 0.78% BMY US Equity 5,308 13,354 35.71 49.90 37.94 1.05% BN FP Equity 164 (3,741) 70.64 67.55 4.48 0.98% BNP FP Equity 1,657 5,424 61.78 80.65 27.77 1.10% BNS CN Equity (102) (4,532) 54.78 56.01 -2.78 0.81% BP/ LN Equity 247 8,375 7.68 7.90 4.75 0.62% BRK/B US Equity (68) (5,776) 110.60 111.90 -2.25 0.52% BSBR US Equity 1,784 (8,100) 6.18 4.82 14.38 1.53% BUD US Equity (55) (2,141) 94.83 97.28 -2.73 0.94% BX US Equity 89 2,944 30.31 31.23 2.72 1.11% C US Equity (48) (1,085) 46.95 49.02 4.07 1.08% CA FP Equity 365 1,930 30.49 36.26 17.69 1.07% CAT US Equity 803 9,109 87.02 94.69 8.92 0.99% CBA AU Equity (25) (2,019) 65.19 66.00 -1.94 0.64% CBS US Equity 312 1,352 49.11 60.45 19.64 1.18% CCL US Equity 789 7,799 36.20 39.87 10.01 1.01% CELG US Equity 12,107 14,938 85.54 154.86 70.48 1.15% CFR VX Equity (59) (1,122) 91.80 96.63 4.00 1.32% CL US Equity 49 20,828 60.63 60.77 0.42 0.56% CM CN Equity (52) (2,120) 77.56 79.46 4.27 0.57% CMCSA US Equity 5,530 16,788 41.03 54.54 41.78 0.79% CMCSK US Equity 8,238 18,453 36.26 52.45 61.58 0.72% CNI US Equity 168 7,516 53.57 54.77 3.03 0.74% CNR CN Equity 835 12,277 51.30 54.79 9.49 0.72% COF US Equity 238 5,125 67.71 70.86 5.83 0.80% COP US Equity 228 (7,881) 66.64 64.71 4.89 0.59% COST US Equity (20) (2,524) 113.07 113.98 •1.09 0.74% COV LN Equity 183 2,404 RN/A RN/A 25.05 0.30% COV US Equity 410 6,295 63.38 67.51 8.28 0.79% CRM US Equity 172 2,032 56.89 61.71 6.81 1.24% CS FP Equity 2,209 6,325 19.39 26.16 35.59 0.98% CSCO US Equity (174) (4,887) 21.79 22.57 4.39 0.81% CSX US Equity 751 8,771 25.07 27.22 8.14 1.05% CVE CN Equity 785 (10,226) 28.72 26.51 12.78 0.60% CVS US Equity 612 10,255 62.75 66.49 9.49 0.63% CVX US Equity 36 (5,567) 112.06 111.34 0.89 0.73% D US Equity 1,323 11,914 59.94 66.60 17.93 0.62% DAI GR Equity 4,806 12,336 62.14 86.34 37.11 1.05% EFTA00292868 DBK GR Equity 152 3,997 46.61 48.39 2.74 1.39% DD US Equity 1,947 12,064 54.46 63.25 17.88 0.90% DDAIF US Equity 3,016 8,201 63.20 86.44 33.33 1.10% DE US Equity 83 8,041 85.52 86.41 1.75 0.59% DELL US Equity (3) 6,539 *IN/A PN/A .0.51 0.08% DG FP Equity 3,344 9,698 51.34 69.04 42.90 0.80% DGE LN Equity (31) (1,978) 29.37 29.83 •1.39 1.14% DHR US Equity 2,971 11,136 59.12 74.89 40.99 0.65% DIS US Equity 993 9,758 68.36 75.32 9.89 1.03% DISCA US Equity 31 2,025 81.39 82.62 1.50 1.01% DNB NO Equity 551 5,853 16.07 17.58 11.66 0.81% DOW US Equity 1,727 6,358 35.84 45.57 23.83 1.14% DPW GR Equity 116 514 28.24 34.63 25.49 0.89% DTE GR Equity 4,079 13,270 12.19 15.94 28.43 1.08% DTV US Equity 1,529 8,993 60.09 70.30 21.73 0.78% DUK US Equity (23) (8,734) 69.60 69.79 .0.53 0.50% DVN US Equity (77) 4,522 61.74 60.71 -2.19 0.77% EBAY US Equity 138 5,013 52.95 54.41 2.36 1.17% ECL US Equity (36) 3,474 101.25 100.22 -1.52 0.67% EDF FP Equity 4,389 9,006 23.45 34.87 62.53 0.78% EMC US Equity (160) 8,690 24.76 24.31 •2.43 0.76% EMR US Equity 166 3,024 61.42 64.80 8.26 0.67% ENB CN Equity (7) (6,953) 42.03 42.07 .0.21 0.48% ENEL IM Equity 910 6,646 4.24 4.82 14.79 0.93% ENI IM Equity 0 (4,165) 22.27 22.27 0.00 0.83% EOAN GR Equity (30) 2,561 18.66 18.44 -1.14 1.01% EOG US Equity 946 4,384 143.99 175.06 22.41 0.96% EPD US Equity 600 9,084 61.83 65.92 8.95 0.74% ERICB SS Equity 92 3,398 12.05 12.38 2.78 0.98% ESRX US Equity 1,060 9,629 66.69 74.03 16.53 0.67% ETN US Equity (12) 2,973 70.48 70.20 -0.44 0.92% F US Equity (37) (2,721) 14.80 15.00 -1.37 0.99% FB US Equity 1,165 2,507 43.58 63.85 29.93 1.55% FCX US Equity (35) (2,938) 31.57 31.95 -1.01 1.19% FDX US Equity 471 5,280 120.94 131.74 11.36 0.79% FOX US Equity (33) (2,138) 31.03 31.51 -154 1.00% FOXA US Equity (56) (2,061) 31.33 32.18 .2.45 1.11% FP FP Equity 8 1,874 57.91 58.14 0.58 0.69% G IM Equity 240 3,606 20.52 21.88 7.49 0.89% GE US Equity 2,103 16,620 22.32 25.14 15.61 0.81% GILD US Equity 38,668 17,333 24.02 77.62 177.31 1.26% GIS US Equity (25) 1,911 48.61 47.98 •2.40 0.54% GLE FP Equity 670 3,222 49.51 59.80 14.91 1.39% GLEN LN Equity (122) (3,217) 5.14 5.33 -3.30 1.15% GLW US Equity 1,409 11,240 16.17 18.20 12.27 1.02% GM US Equity 673 2,499 28.27 35.89 27.33 0.99% GOOG US Equity 4,875 12,198 836.17 1170.34 46.84 0.85% EFTA00292869 GS US Equity 6,111 13,441 110.98 161.43 68.74 0.66% GSK LN Equity 79 6,943 26.06 26.36 0.99 1.15% GSZ FP Equity (58) (1,475) 22.14 23.00 -5.63 0.69% HAL US Equity 417 2,858 45.07 51.64 18.08 0.81% HD US Equity 1,542 10,956 66.83 76.23 28.24 0.50% HMB SS Equity 409 5,992 40.79 43.57 7.26 0.94% HON US Equity 6,021 11,681 61.10 92.60 91.54 0.56% HPQ US Equity 1,055 6,250 24.79 28.97 16.56 1.02% HSBA LN Equity 0 (1,809) 10.28 10.28 0.01 2.30% IBE SM Equity 909 6,801 5.48 6.21 19.66 0.68% IBM US Equity 363 (8,304) 184.75 176.66 6.02 0.73% IMT LN Equity 117 10,734 35.95 36.34 1.00 1.08% INTC US Equity 104 9,645 23.81 24.07 1.24 0.87% ISP IM Equity 2,704 5,402 1.90 2.86 41.30 1.21% ITUB US Equity 197 (5,867) 13.81 13.35 2.40 1.40% ITUB4 BZ Equity 103 (6,209) 13.59 13.37 1.33 1.25% ITW US Equity 2,217 13,792 68.17 79.13 26.92 0.60% ITX SM Equity (34) (2,517) 148.87 150.86 -1.74 0.77% JCI US Equity 3,569 9,687 34.13 46.70 39.41 0.93% JNJ US Equity 3,565 12,368 69.46 89.48 43.00 0.67% JPM US Equity 698 8,390 52.25 56.60 11.08 0.75% KMB US Equity 18 7,866 106.69 106.93 0.37 0.60% KMI US Equity 236 (6,648) 35.17 33.92 5.44 0.65% KO US Equity 151 (6,896) 38.83 37.98 3.19 0.69% LBTYA US Equity (89) 2,236 84.80 81.54 4.98 0.80% LBTYK US Equity 66 1,881 77.86 80.59 4.39 0.80% LIN GR Equity 7 1,824 190.64 191.35 0.52 0.72% LLOY LN Equity 3,517 6,951 0.89 1.35 47.77 1.06% LLY US Equity (16) (2,771) 52.86 53.17 -0.87 0.68% LMT US Equity 524 1,994 122.48 154.69 27.65 0.95% LNKD US Equity (28) 554 217.52 207.15 -3.45 1.45% LOW US Equity (18) (4,295) 45.69 45.88 -0.56 0.75% LVS US Equity 1,656 6,640 61.33 76.63 17.76 1.40% LYB US Equity 798 2,242 59.29 80.40 33.52 1.06% MA US Equity 12,281 19,735 46.89 76.06 53.72 1.16% MAERSKB DC Equity 5,212 13,761 8212.58 11323.15 31.26 1.21% MC FP Equity 4 1,054 181.47 182.11 0.31 1.16% MCD US Equity (45) (6,970) 94.88 95.49 -1.38 0.46% MCK US Equity 128 1,745 161.77 173.67 6.62 1.11% MDIZ US Equity 1,905 13,059 28.70 32.89 19.25 0.76% MDT US Equity 5,771 20,438 43.23 55.43 33.72 0.84% MET US Equity 838 7,746 44.07 48.83 11.06 0.98% MFC CN Equity 3,732 7,860 12.36 18.23 49.88 0.95% MHS US Equity 1,765 12,746 ANIA RN/A 12.13 1.14% MMM US Equity 7,116 20,948 96.89 129.81 48.06 0.71% MO US Equity (50) 2,917 35.75 35.15 -2.66 0.65% MON US Equity 437 11,703 106.02 109.98 4.93 0.76% EFTA00292870 MOS US Equity (60) (4,426) 45.85 46.47 .1.36 1.00% MRK US Equity 1,056 9,195 48.80 54.41 13.07 0.88% MS US Equity 115 1,447 27.50 29.68 7.60 1.04% MSFT US Equity 318 7,138 34.82 36.37 4.42 1.01% MUV2 GR Equity 384 7,543 197.44 207.49 6.80 0.75% NAB AU Equity (53) (4,199) 28.99 29.36 .1.83 0.70% NCM AU Equity 2,904 (5,020) 21.94 9.25 27.83 2.08% NEE US Equity 3,485 14,296 72.62 90.32 36.59 0.67% NEM US Equity 2,825 (7,286) 34.94 21.40 22.88 1.69% NESN VX Equity 724 9,770 69.64 74.80 8.80 0.84% NG/ IN Equity 1,201 11,181 11.72 12.97 16.89 0.64% NICE US Equity 633 2,718 58.72 72.39 30.95 0.75% NOK US Equity 3,838 4,423 3.96 7.40 69.62 1.25% NOV US Equity 77 (6,814) 75.68 74.83 1.51 0.74% NOVN VX Equity 4,606 18,092 63.81 80.05 33.19 0.77% NOVOB DC Equity 633 5,795 38.04 42.19 9.73 1.12% NSC US Equity 1,608 9,508 80.52 94.13 14.42 1.17% NVS US Equity 3,817 15,889 64.76 80.32 36.50 0.66% OGXP3 BZ Equity 5,009 (5,158) 4.45 0.13 23.61 4.11% OR FP Equity (13) (492) 163.54 167.77 .2.57 1.01% ORA FP Equity 9 2,915 12.37 12.41 0.31 1.03% ORCL US Equity 778 6,645 33.16 37.04 16.77 0.70% OX? US Equity (76) (3,137) 87.84 89.96 .3.60 0.67% PBR US Equity 332 (2,535) 13.01 11.31 9.09 1.44% PBR/A US Equity 360 (2,775) 13.87 12.07 9.03 1.44% PCLN US Equity 697 3,000 956.05 1178.25 24.99 0.93% PCP US Equity 2,969 13,460 212.47 259.34 27.71 0.80% PEP US Equity (54) 2,553 81.57 79.88 4.16 0.51% PETR3 BZ Equity 385 (2,822) 6.54 5.65 9.96 1.37% PETR4 BZ Equity 408 (3,097) 6.95 6.03 9.92 1.33% PFE US Equity 4,124 21,826 26.10 31.03 26.96 0.70% PG US Equity 12 2,811 76.77 77.11 0.68 0.66% PHIA NA Equity 1,035 8,527 31.36 35.17 16.37 0.74% PM US Equity 686 (10,065) 85.47 79.65 8.47 0.80% PNC US Equity 465 7,538 75.28 79.92 7.01 0.88% POT CN Equity (149) (2,208) 31.56 33.68 -5.99 1.12% POT US Equity (190) (2,639) 31.45 33.71 4.35 1.13% PRU LN Equity 6,634 10,288 12.76 20.99 56.62 1.14% PSA US Equity 142 6,938 156.30 159.49 3.62 0.56% PSX US Equity 858 5,946 64.65 73.97 16.58 0.87% PX US Equity 1,809 15,966 113.27 126.10 17.55 0.65% QCOM US Equity 1,330 12,461 66.84 73.97 15.21 0.70% CM US Equity 3,963 14,639 68.29 86.78 47.21 0.57% RAI US Equity (30) (1,157) 47.30 48.52 •4.74 0.55% RDS/A US Equity (3) (1,760) 68.82 68.93 -0.22 0.72% RDS/B US Equity (114) 3,935 74.97 72.85 -3.97 0.73% RDSA LN Equity (87) 4,016 35.18 34.43 -2.43 0.89% EFTA00292871 RDSA NA Equity (1) (1,679) 34.38 34.41 -0.11 0.81% RDSB LN Equity (75) 3,934 37.07 36.38 •2.22 0.85% REGN US Equity 87 3,084 287.30 295.39 1.93 1.46% RIO AU Equity 25 2,739 58.59 59.13 1.08 0.85% RIO IN Equity 150 4,782 53.84 55.52 2.65 1.18% RIO US Equity 167 4,896 54.04 55.88 2.59 1.31% ROG VX Equity 5,308 16,743 212.78 280.24 39.43 0.80% RY CN Equity (86) (4,037) 62.21 63.54 -3.00 0.71% SAB LN Equity (36) (3,625) 44.36 44.80 -1.16 0.86% SAN FP Equity 433 (6,176) 102.95 95.74 8.51 0.82% SAN SM Equity 453 7,164 8.35 8.87 6.70 0.94% SAN US Equity 544 5,902 8.21 8.97 7.69 1.20% SAP GR Equity (285) 5,168 80.38 76.19 4.94 0.79% SAP US Equity (448) 7,002 81.27 76.38 -7.33 0.87% SBUX US Equity (66) (5,648) 72.71 73.55 -1.15 1.01% SCCO US Equity 175 (3,520) 31.00 29.46 5.14 0.97% SGO FP Equity 1,815 7,593 43.93 54.42 27.35 0.87% SI US Equity 1,245 11,251 114.69 127.38 13.83 0.80% SIE GR Equity 946 8,907 114.81 127.00 12.55 0.85% SLB US Equity 728 6,378 79.97 89.09 14.00 0.82% SMSN LI Equity 541 (7,188) 644.51 596.02 7.80 0.96% SO US Equity 135 (8,909) 41.73 41.10 3.30 0.46% SPG US Equity (73) (4,664) 154.12 156.55 -2.25 0.70% SREN VX Equity 1,091 9,574 80.14 89.26 11.38 1.00% STAN IN Equity 495 (5,198) 22.50 20.35 7.69 1.24% STL NO Equity (21) 3,536 24.91 24.76 4.74 0.81% STT US Equity (38) 2,266 68.75 67.61 -1.72 0.99% SU CN Equity (59) (5,001) 32.32 32.70 -1.68 0.70% SU FP Equity 28 2,199 81.33 82.35 1.31 0.96% SU US Equity (63) (5,100) 32.31 32.72 .1.84 0.68% SWEDA SS Equity 287 5,883 25.36 26.59 4.52 1.08% SYNN VX Equity (4) (3,532) 349.49 349.84 -0.11 0.91% T US Equity 521 (7,989) 34.41 32.17 8.96 0.73% TD CN Equity (73) (3,541) 43.24 44.13 -3.41 0.60% TEF SM Equity (72) (4,175) 15.24 15.51 -2.08 0.83% TEF US Equity 8 538 15.30 15.52 1.44 0.98% TGT US Equity 1,259 (10,552) 63.57 55.99 15.34 0.78% TJX US Equity 2,767 9,861 46.39 59.41 34.08 0.82% TLS AU Equity (3) 3,209 4.52 4.52 4.17 0.59% TLSN SS Equity (20) (591) 7.36 7.62 -3.92 0.88% TM US Equity 30 (4,959) 117.90 117.18 0.84 0.73% TMO US Equity 8,440 10,030 63.59 117.10 105.41 0.80% TOT US Equity 141 2,309 54.95 58.30 7.41 0.82% TRP CN Equity (33) (6,847) 43.75 43.96 .0.87 0.56% TRV US Equity 35 (6,087) 81.08 80.61 0.93 0.63% TSCO LN Equity 497 (7,296) 5.65 5.27 8.71 0.78% TWC US Equity 690 4,825 118.62 135.58 25.39 0.56% EFTA00292872 TWX US Equity (72) (3,933) 62.71 63.86 -2.31 0.79% TXN US Equity 2,326 11,946 34.93 41.73 25.98 0.75% TYC US Equity 9,928 23,711 29.15 41.35 59.04 0.71% UBS US Equity 310 5,146 19.37 20.54 5.01 1.20% UBSN VX Equity 310 8,285 19.72 20.46 3.71 1.01% UCG IM Equity 1,976 5,285 5.58 7.67 28.50 1.31% ULVR LN Equity 85 (4,752) 39.29 38.59 1.80 1.00% UNA NA Equity 95 (6,241) 38.14 37.56 1.47 1.03% UNH US Equity 1,013 9,695 64.39 71.12 13.56 0.77% UNP US Equity 905 9,317 160.88 176.51 14.12 0.69% UPS US Equity 2,780 14,540 79.87 95.14 34.45 0.55% USB US Equity 2,118 13,902 34.74 40.03 23.91 0.64% UTX US Equity 5,190 14,917 82.05 110.60 47.33 0.74% V US Equity 6,727 7,797 118.43 220.60 97.31 0.89% VALE US Equity 171 (3,780) 15.04 14.36 3.15 1.44% VALE3 BZ Equity 214 (4,527) 15.05 14.34 3.22 1.47% VIAB US Equity 3,422 6,324 52.96 81.62 61.99 0.87% VIV FP Equity 109 2,266 25.90 27.14 5.78 0.83% VMW US Equity 208 4,176 86.76 91.09 3.96 1.26% VOD LN Equity 1,216 7,435 3.14 3.65 18.19 0.90% VOD US Equity 1,146 7,360 31.59 36.52 17.05 0.91% VOW3 GR Equity 765 6,689 229.67 255.93 11.24 1.02% VRX CN Equity 752 1,588 92.95 136.92 31.92 1.48% VRX US Equity 871 1,853 93.20 136.98 35.46 1.32% VTI US Equity 356 5,019 86.91 93.08 15.13 0.47% VWO US Equity 353 (7,183) 40.33 38.35 5.50 0.90% VZ US Equity 166 (6,069) 48.11 46.79 4.02 0.68% WBC AU Equity (55) (2,095) 27.33 28.06 -3.26 0.81% WES AU Equity (63) (2,166) 36.94 38.01 4.28 0.68% WFC US Equity 2,007 9,854 37.56 45.21 35.02 0.58% WLP US Equity 1,439 10,192 74.31 84.81 14.72 0.96% WMT US Equity 912 73.24 73.24 0.00 0.48% WOW AU Equity 4 (8,581) 31.30 31.29 0.08 0.61% XOM US Equity (228) 10,850 92.09 90.19 -3.02 0.70% XTA LN Equity 3 (2,400) SIN/A SIN/A 0.05 2.26% YHOO US Equity 259 1,267 30.64 36.89 15.81 1.29% YUM US Equity (56) 4,123 72.80 71.82 -1.30 1.05% ZURN VX Equity 136 6,308 289.01 295.24 2.89 0.75% YHOO US Equity 239 1,293 31.14 36.89 14.31 1.29% YUM US Equity (88) 4,209 73.32 71.82 -1.99 1.05% ZURN VX Equity 2 6,406 295.13 295.24 0.05 0.75% Current Portfolio S Global Macro Portfolio Current Price P/L in Vol 30P Realized Security MTM Gain/(Loss) Exp. @ Cost Avg. Price (in USD) Days Vol S2X lace 12,010 54,660 14/3.31 1,291 02 35.90 0.61% EFTA00292873 NDX Index 11,868 45,983 2831.19 3,561.91 34.42 0.75% RTY Index 11,290 39,525 868.48 1,116.55 34.57 0.83% SPTSX Index (145) (6,914) 12240.88 12,497.96 4.06 0.52% MEXBOL Index 818 (25,761) 3142.70 3,042.91 3.55 0.89% IBOV Index 1,904 (22,209) 22076.65 20,183.73 6.83 1.26% MERVAL Index 363 (10,046) 740.04 713.28 1.96 1.84% UKK Index 1,863 39,588 10288.22 10,772.30 7.71 0.61% DAX Index 7,044 36,295 10610.77 12,670.15 26.59 0.73% CAC Index 679 10,598 5412.38 5,759.20 9.46 0.68% IBEX Index 7,355 37,861 11487.96 13,719.62 21.30 0.91% SMI Index 2,789 33,211 8542.87 9,260.38 14.11 0.60% FTSEMIB Index 4,131 22,753 22701.09 26,822.58 22.83 0.80% P5120 Index 4,211 23,990 8027.66 9,436.89 18.30 0.96% ISEQ Index 21,798 39,684 4246.25 6,578.63 76.81 0.72% ICEXI Index 5,833 35,033 6.58 7.68 27.00 0.62% AEX Index 3,979 41,599 484.27 530.59 15.69 0.61% BEL20 Index 4,321 41,112 3586.05 3,962.93 18.15 0.58% LUXXX Index 8,327 38,648 1658.52 2,015.85 30.50 0.71% KFX Index 7,992 37,728 100.81 122.17 26.78 0.79% HEX Index 6,720 40,603 8513.92 9,923.06 20.13 0.82% OMX Index 1,246 20,905 190.87 202.24 7.47 0.80% ATX Index 2,773 27,798 3213.33 3,533.82 11.15 0.89% ME Index 6,394 20,135 1297.20 1,709.09 19.03 1.67% OSEBX Index 739 21,763 85.76 88.68 4.70 0.72% INDEXCF Index (325) (17,519) 41.71 42.48 -2.32 0.80% TOP40 Index (291) (16,713) 3626.01 3,689.11 -2.14 0.81% SENSEX Index 11 (16,283) 328.52 328.30 0.10 0.72% NKY Index HSI Index 14 (14,819) 2791.37 2,788.72 0.13 0.74% SHCOMP Index 475 (27,300) 343.18 337.21 2.28 0.76% KOSPI Index (175) (15,231) 1.77 1.79 -1.67 0.68% ASS1 Index (128) (7,443) 4550.65 4,629.21 -2.79 0.62% STBCNZL Index 30,110 73,166 444.47 627.38 84.07 0.49% EEM US Equity 301 (6,050) 40.76 38.73 4.53 1.10% IYR US Equity (137) (4,048) 63.72 65.87 4.60 0.51% MDY US Equity 4,109 14,015 184.03 237.98 35.60 0.82% JNK US Equity (4) (1,894) 40.64 40.73 -1.33 0.17% XLF US Equity 4,886 13,308 15.57 21.29 48.39 0.76% XLU US Equity 125 6,248 38.12 38.88 3.46 0.58% XLK US Equity 1,767 12,659 30.80 35.10 21.37 0.65% XLI US Equity 4,470 13,956 38.23 50.47 42.64 0.75% XLP US Equity (59) 5,419 41.37 40.93 -1.98 0.54% XLY US Equity 7,682 20,957 46.90 64.09 46.31 0.79% XLE US Equity 9 1,661 83.59 84.04 0.67 0.81% XLB US Equity 2,493 14,368 38.09 44.70 23.27 0.75% XLV US Equity 10,950 24,345 38.87 56.35 62.57 0.72% SXXP Index 3,519 36,898 404.25 442.81 17.12 0.56% EFTA00292874 SXAP Index 7,475 28,145 520.28 658.47 33.47 0.79% SXKP Index 4,863 46,234 359.59 397.42 15.31 0.69% SX6P Index 3,220 35,847 352.20 383.84 14.26 0.63% SXEP Index 94 9,898 431.88 435.98 1.44 0.66% SXIP Index 10,701 28,554 222.31 305.61 48.74 0.77% SXNP Index 3,555 35,375 501.16 551.53 15.84 0.63% SX3P Index 34 8,887 653.08 655.57 0.49 0.78% SXDP Index 20,721 60,558 609.16 817.59 62.49 0.55% SX4P Index 1,976 26,104 917.01 986.42 11.51 0.66% SX8P Index 2,001 13,215 327.36 376.93 22.79 0.66% SXOP Index 6,876 39,907 380.28 445.80 22.37 0.77% SXQP Index (55) (1,636) 743.36 768.22 -3.97 0.84% SXRP Index (49) (1,802) 418.95 430.45 -4.46 0.62% SXMP Index 11,058 35,315 260.86 342.54 46.85 0.67% SXTP Index 19,716 38,841 172.05 259.38 77.40 0.66% SX7E Index 5,160 17,140 157.14 204.45 24.46 1.23% SXSE Index 4,644 37,900 3686.95 4,138.73 17.69 0.69% SPGSCITR Index (257) (24,852) 4800.09 4,849.77 -2.00 0.52% XAG Curncy 2,419 (19,830) 22.81 20.02 10.84 1.13% COI Comdty (373) (19,619) 107.53 109.57 -3.16 0.60% CLI Comdty 424 13,162 96.76 99.88 3.58 0.90% NG1 Comdty 4,195 15,610 3.76 4.78 8.19 3.28% XAU Comdty 5,153 (40,619) UN/A UN/A 22.08 0.57% IBOXHY Index 1,758 52,424 220.80 228.21 39.40 0.09% US_TSY CREDIT 2 38,290 759.75 759.78 0.03 0.14% CA_TSY CREDIT 7,297 (103,690) 1279.86 1,189.79 18.69 0.38% MX_TSY CREDIT 165 (22,609) 207.36 205.85 1.26 0.58% AU_TSY CREDIT 1,682 (78,015) 1457.62 1,426.19 4.36 0.50% JP_TSY CREDIT 760 (58,865) 822.10 811.48 3.36 0.38% MY_TSY CREDIT 1,998 (83,609) 166.49 162.51 9.64 0.25% SG_TSY CREDIT 674 (78,672) 219.50 217.62 3.01 0.28% AT_TSY CREDIT 1,886 63,655 354.64 365.15 10.05 0.29% BETSY CREDIT 2,660 66,880 473.36 492.18 13.63 0.29% FI_TSY CREDIT 1,840 65,822 346.05 355.72 9.53 0.29% FR_TSY CREDIT 1,909 61,947 1661.26 1,712.46 10.80 0.29% DE_TSY CREDIT 1,474 55,784 1230.67 1,263.20 8.65 0.31% lE_TSY CREDIT 27,229 77,261 337.14 455.96 113.14 0.31% IT_TSY CREDIT 5,959 52,563 1609.49 1,791.94 40.02 0.28% NL_TSY CREDIT 1,579 58,680 1317.96 1,353.41 9.23 0.29% ES_TSY CREDIT 8,328 49,442 392.28 458.36 59.49 0.28% DK_TSY CREDIT 1,346 47,263 725.34 745.99 8.93 0.32% NO_TSY CREDIT 67 (27,060) 332.27 331.44 0.52 0.48% PL_TSY CREDIT 452 21,836 421.86 430.59 3.78 0.55% ZA_TSY CREDIT 2,496 (32,556) 83.21 76.83 8.63 0.89% SE_TSY CREDIT (401) (20,839) 452.11 460.82 -4.85 0.40% CH_TSY CREDIT 2,462 62,767 999.11 1,038.30 10.20 0.38% GB_TSY CREDIT 256 29,860 1471.66 1,484.27 2.53 0.34% EFTA00292875