EFTA00292876.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): 2/10/2014 36.99% 67.81% 3,992,234 (1,387,018) 2,605,216 457 1,000,000 1,678,056 3.21 2/10/2014 Change on Day: 0.60% MSCI World Change on Day 1.40% 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 52% 1.02% -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 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 L0(4000.00 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 GGGGGG 1 9 / 91 9 1 9 4 4119 1 9 1 9 6 19 ,ti4 1 1 9 — NAV EFTA00292876 Atorus, LLC 2/10/2014 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 23.91% 52 Positions 30.35% SPGSCITR Index (24,852) 0.46% DAI GR Equity 4,874 0.29% MEXBOL Index (25,761) 0.48% GOOD US Equity 4,875 0.29% NO_TSY CREDIT (27,060) 0.50% XLF US Equity 4,903 0.29% SHCOMP Index (27,300) 0.51% XAU Comdty 4,943 0.29% ZA_TSY CREDIT (32,556) 0.61% OGXP3 BZ Equity 5,009 0.30% XAU Comdty (40,619) 0.76% SX7E Index 5,022 0.30% SPX Index 54,660 1.02% UTX US Equity 5,273 0.31% DE_TSY CREDIT 57,819 1.07% ROG VX Equity 5,308 0.32% JP_TSY CREDIT (58,865) 1.09% AMGN US Equity 5,441 0.32% SXDP Index 60,558 1.13% CMCSA US Equity 5,460 0.33% NL_TSY CREDIT 60,676 1.13% MAERSKB DC Equity 5,490 0.33% FR_TSY CREDIT 61,947 1.15% ACA FP Equity 5,635 0.34% CH_TSY CREDIT 62,767 1.17% MDT US Equity 5,771 0.34% AT_TSY CREDIT 63,655 1.18% BMY US Equity 5,964 0.36% FI_TSY CREDIT 65,822 1.22% ICEXI Index 6,049 0.36% BETSY CREDIT 66,880 1.24% HON US Equity 6,088 0.36% STBCNZL Index 73,166 1.36% GS US Equity 6,111 0.36% lE_TSY CREDIT 77,261 1.44% IT_TSY CREDIT 6,118 0.36% AU_TSY CREDIT (78,015) 1.45% ME Index 6,549 0.39% SG_TSY CREDIT (78,672) 1.46% PRU LN Equity 6,607 0.39% MY_TSY CREDIT (83,609) 1.55% SXOP Index 6,650 0.40% CA_TSY CREDIT (103,690) 1.93% V US Equity 6,740 0.40% IBEX Index 7,021 0.42% DAX Index 7,055 0.42% MMM US Equity 7,116 0.42% HEX Index 7,229 0.43% SXAP Index 7,636 0.46% XLY US Equity 7,664 0.46% CA_TSY CREDIT 7,734 0.46% LUXXX Index 7,908 0.47% CMCSK US Equity 8,116 0.48% BAYN GR Equity 8,309 0.50% KFX Index 8,377 0.50% ES_TSY CREDIT 8,450 0.50% TMO US Equity 8,625 0.51% BAC US Equity 9,623 0.57% TYC US Equity 9,928 0.59% BA US Equity 9,962 0.59% SXIP Index 10,784 0.64% SXMP Index 11,106 0.66% EFTA00292877 XLV US Equity 11,244 0.67% RTY Index 11,389 0.68% CELG US Equity 12,107 0.72% SPX Index 12,114 0.72% NDX Index 12,196 0.73% MA US Equity 12,417 0.74% SXTP Index 19,659 1.17% SXDP Index 21,110 1.26% ISEQ Index 21,574 1.29% IE_TSY CREDIT 27,522 1.64% ST8CN2L Index 29,807 1.78% GILD US Equity 40,637 2.42% 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 EFTA00292878 Atorus, LLC 2/10/2014 Historical Net Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodites, G20 Gov. Credit) APAC — EMEA —AMER Eq IsCo Cr 2,000,000 1,500,002 1,000,003 5,000.000 4030.000 3,030.000 2,030.000 1,000.00D 0 (1.300.0001 (2,000.0001 500,003 *I cEt . .,NexEposureRHS CP. (0C. O.s" O* 4 11 COC. IOC. 4 4 A‘ \ 4. O.0' O,c)) e 0s, O O (p O4. (0C. CP. COC. C . fOC. C . (0C. tOC. 4 a a -‘\ •N N\ poem) (1.030.000) ‘4 - Ne (3,000.0001 Historical Gross Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodlites, G20 Gov. Credit) 2,50)000 2,000,000 1,500,000 1,030,000 501000 — APAC EMEA - AMER — Eq lyCo —C rat EFTA00292879 Atorus, LIC 2/10/2014 Current Gross Notional Risk by Category 220,804 -.41,450 1,324,576 , 1,552,443 ■ APAC ■ EMEA ■ AMER ■ EquityCom ■ Credit T24M Performance Vs. MSCI World Index Rolling 30 Day Realized Volatility - A EFTA00292880 Atorus, LLC 2/10/2014 Percentile Distribution of Current MTM Gains in Vol Days by Position (ex-99pct & ex-1st percentiles) Percentile No. Vol Days 0.00,:, 8.31 5.00% -4.13 10.00% .2.64 15.00% 4.75 20.00% .0.77 25.00% 0.03 30.00% 0.90 35.00% 1.75 40.00% 3.07 45.00% 4.63 50.00% 6.16 55.00% 8.64 60.00% 10.49 65.00% 13.16 70.00% 16.13 75.00% 19.98 80.00% 24.76 85.00% 31.43 90.00% 36.91 95.00% 52.99 100.00% 174.94 Days by Position Percentage of MTM Gains(Losse) % of NAV "Signficant" (<7 Vol Days) Percentage of MTM Galns(Losse) % of NAV "Signficant" (>7 Vol Days) 1.22% 48.06% EFTA00292881 Atorus, LLC Current Portfolio -Listed Equity Portfolio Current Price P/L in Vol 30P Realized Security MTM Gain/(Loss) Exp. ga Cost Avg. Price (In USD) Days Vol 2/10/2014 000270 KS Equity 226 (4,524) 52.74 50.10 3.91 1.28% 005380 KS Equity (10) 1,243 218.65 216.84 -0.61 1.36% 005490 KS Equity 102 (4,262) 274.19 267.66 2.73 0.87% 005930 KS Equity 502 (6,487) 1285.63 1186.09 8.38 0.92% 012330 KS Equity 789 4,461 246.52 290.12 14.41 1.23% 1 HK Equity 35 (3,723) 14.68 14.55 1.78 0.53% 1299 HK Equity 11 (3,242) 4.57 4.55 0.36 0.93% 13 HK Equity 1,226 12,106 11.28 12.42 13.10 0.77% 16 HK Equity 351 (9,803) 12.71 12.26 6.08 0.59% 27 HK Equity (8) 122 9.64 9.03 .2.89 2.33% 2914 JP Equity 58 (4,679) 32.47 32.06 0.86 1.44% 3382 JP Equity 27 3,334 37.84 38.15 0.68 1.19% 4063 JP Equity 14 (4,523) 56.40 56.23 0.26 1.19% 4502 JP Equity (17) 663 46.88 45.71 -3.12 0.82% 4689 JP Equity (32) 743 6.00 5.75 -2.61 1.64% 5 HK Equity (16) (3,104) 10.18 10.23 -0.74 0.69% 5108 JP Equity (100) 3,447 36.33 35.31 -2.81 1.03% 54011P Equity (71) (3,652) 2.99 3.05 -1.42 1.37% 63011P Equity 121 (4,622) 20.80 20.26 1.97 1.32% 6752 JP Equity 1,226 4,064 9.01 11.73 12.27 2.46% 6902 JP Equity 2,218 9,649 41.48 51.01 17.66 1.30% 6954 JP Equity 306 6,360 157.65 165.25 2.72 1.77% 7201 JP Equity 149 (5,715) 8.94 8.70 2.07 1.26% 7203 JP Equity 39 (3,859) 59.03 58.43 0.83 1.21% 7267 JP Equity (7) (1,466) 36.16 36.32 -0.44 1.04% 762 HK Equity 261 (4,100) 1.43 1.34 5.44 1.17% 7751 JP Equity 440 (6,774) 31.44 29.39 6.54 0.99% 80311P Equity (246) (6,892) 14.03 14.53 -3.09 1.16% 8058 JP Equity (33) (461) 17.87 19.13 4.18 1.14% 8106 JP Equity (28) (1,936) 5.82 5.91 -1.21 1.21% 8316 JP Equity (19) (1,897) 46.03 46.48 .0.70 1.40% 8411 JP Equity (42) 4,012 2.13 2.10 .0.77 1.37% 8604 JP Equity (25) (973) 6.67 6.84 -1.77 1.48% 8801 JP Equity (30) (1,372) 31.32 32.01 -1.61 1.37% 8802 JP Equity (52) (3,258) 24.73 25.12 -1.19 1.33% 9020 JP Equity 130 (3,939) 77.54 74.98 3.16 1.04% 941 HK Equity 898 (10,849) 10.29 9.44 12.90 0.64% 9432 JP Equity 147 6,020 53.19 54.49 1.96 1.24% 9433 JP Equity 3,366 11,560 42.13 54.40 21.46 1.36% 9437 JP Equity 11 (4,790) 15.96 15.92 0.24 0.98% 9983 JP Equity (49) 3,132 368.71 363.06 -0.91 1.71% EFTA00292882 9984 JP Equity 1,946 2,734 43.84 75.04 43.95 1.62% AAPL US Equity 455 9,319 503.10 527.68 4.54 1.08% ABB US Equity 665 9,143 23.54 25.26 7.19 1.01% ABBN VX Equity 640 9,353 23.67 25.29 6.02 1.14% ABBV US Equity 11 5,245 49.49 49.60 0.20 1.08% ABEV US Equity 466 (7,151) 7.16 6.69 4.87 1.34% ABEV3 BZ Equity 461 (6,846) 7.23 6.74 5.70 1.18% ABI BB Equity (57) (1,767) 94.70 97.74 -3.54 0.91% ABT US Equity (175) 4,036 38.79 37.18 -6.13 0.71% ABX CN Equity (438) (3,484) 17.17 19.32 -8.24 1.52% ABX US Equity (420) (3,449) 17.20 19.30 •8.31 1.47% ACA FP Equity 5,635 5,321 6.82 14.04 73.08 1.45% ACE US Equity 17 3,617 94.19 94.63 0.71 0.66% ACN US Equity 363 9,084 77.04 80.12 4.67 0.86% ADP US Equity 32 1,180 72.36 74.32 3.58 0.76% AFL US Equity 4 1,806 62.32 62.44 0.31 0.65% AGN US Equity 1,087 6,740 104.77 121.66 13.69 1.18% Al FP Equity (170) (3,276) 126.55 133.13 4.68 0.78% AIG US Equity 23 2,375 48.39 48.86 1.08 0.88% AIR FP Equity 4,314 6,369 42.81 71.80 71.77 0.94% ALV GR Equity 2,707 7,394 125.64 171.64 36.20 1.01% ALVG IX Equity 2,032 5,640 126.13 171.57 36.88 0.98% AMGN US Equity 5,441 22,884 96.67 119.65 24.76 0.96% AMT US Equity 550 10,551 77.07 81.09 6.83 0.76% AMZN US Equity 3,403 14,103 291.48 361.83 19.90 1.21% ANZ AU Equity (78) (5,260) 26.26 26.65 -2.03 0.73% APA US Equity 161 (6,711) 82.74 80.75 3.02 0.79% APC US Equity 30 (5,561) 80.96 80.52 0.65 0.84% AXP US Equity 2,319 9,974 71.56 88.20 21.94 1.06% AZN LN Equity 3,327 12,451 50.53 64.03 32.24 0.83% AZN SS Equity 3,082 11,462 50.40 63.95 29.51 0.91% AZN US Equity 3,476 12,176 49.96 64.22 31.30 0.91% BA US Equity 9,962 17,553 81.26 127.38 50.55 1.12% BAC US Equity 9,623 10,815 8.82 16.67 88.87 1.00% BARC LN Equity 102 5,997 4.43 4.51 1.46 1.16% BAS GR Equity 703 7,191 97.63 107.18 10.64 0.92% BATS LN Equity 83 (6,913) 49.08 48.49 1.34 0.89% BAX US Equity (157) (7,930) 66.82 68.15 -3.80 0.52% BAYN GR Equity 8,309 11,874 76.75 130.45 71.21 0.98% BBAS3 BZ Equity 25 (2,120) 9.22 9.11 0.77 1.54% BBD US Equity 969 (6,328) 12.96 10.98 11.23 1.36% BBDC4 BZ Equity 984 (7,189) 12.74 11.00 12.04 1.14% BBL US Equity 74 (4,914) 60.45 59.54 1.51 1.00% BBVA SM Equity 1,229 5,674 10.00 12.16 16.43 1.32% BCE CN Equity 115 (6,584) 43.17 42.42 2.52 0.69% BCS US Equity 80 6,315 17.93 18.16 1.09 1.16% BEN US Equity (7) 3,063 52.98 52.85 -0.26 0.92% EFTA00292883 BG/ LN Equity (25) (1,833) 17.17 17.41 -0.99 1.38% BHP AU Equity (53) (2,309) 31.86 32.60 -2.65 0.87% BHP US Equity (62) (2,216) 63.59 65.37 -3.22 0.87% BBB US Equity 297 1,045 245.93 315.84 20.45 1.39% BIL Sl Equity 121 (4,383) 30.51 29.67 2.71 1.02% BK US Equity 43 1,526 30.62 31.49 3.34 0.85% BLK US Equity 101 1,152 276.10 300.22 9.27 0.94% BLT IN Equity 42 (4,896) 30.05 29.80 0.98 0.87% BMO CN Equity (57) (3,330) 61.91 62.96 -2.58 0.66% BMW GR Equity 669 4,967 98.63 111.91 17.94 0.75% BMY US Equity 5,964 13,354 35.71 51.66 37.42 1.19% BN FP Equity 136 (3,741) 70.64 68.07 3.86 0.94% BNP FP Equity 1,666 5,424 61.78 80.76 27.96 1.10% BNS CN Equity (81) (4,532) 54.78 55.75 -2.18 0.82% BP/ LN Equity 247 8,375 7.67 7.90 4.78 0.62% BRK/B US Equity (68) (5,776) 111.06 112.36 -2.04 0.57% BSBR US Equity 1,791 (8,100) 6.18 4.82 13.89 1.59% BUD US Equity (49) (1,712) 94.83 97.56 -2.98 0.97% BX US Equity 121 2,944 30.31 31.56 3.80 1.08% C US Equity (40) (814) 46.95 49.25 4.23 1.16% CA FP Equity 380 1,930 30.49 36.50 18.86 1.05% CAT US Equity 803 9,109 86.63 94.27 8.84 1.00% CBA AU Equity (30) (1,346) 65.19 66.64 •3.57 0.62% CBS US Equity 314 1,352 49.11 60.51 20.67 1.12% CCL US Equity 789 7,799 36.46 40.15 10.02 1.01% CELG US Equity 12,107 14,938 86.51 156.63 66.24 1.22% CFR VX Equity (47) (748) 91.80 97.63 •4.62 1.37% CL US Equity 213 20,828 60.63 61.25 1.74 0.59% CM CN Equity (33) (1,414) 77.56 79.39 .4.10 0.58% CMCSA US Equity 5,460 16,788 41.03 54.37 40.03 0.81% CMCSK US Equity 8,116 18,453 36.26 52.21 58.72 0.75% CNI US Equity 196 7,516 53.57 54.97 3.36 0.77% CNQ CN Equity 835 55.01 55.01 0.00 0.81% CNR CN Equity 890 12,277 66.43 71.25 9.59 0.76% COF US Equity 238 5,125 61.58 64.45 5.44 0.86% COP US Equity 260 (7,881) 117.19 113.33 5.36 0.62% COST US Equity (4) (1,683) *IN/A SIN/A -0.30 0.76% COV LN Equity 183 2,404 63.80 68.67 25.05 0.30% COV US Equity 525 6,295 56.23 60.92 9.79 0.85% CRM US Equity 144 2,032 24.71 26.46 5.60 1.27% CS FP Equity 2,306 6,325 16.71 22.81 36.26 1.01% CSCO US Equity (174) (4,887) 26.12 27.05 -4.40 0.81% CSX US Equity 692 8,771 24.49 26.42 7.25 1.09% CVE CN Equity 818 (10,226) 72.55 66.75 13.17 0.61% CVS US Equity 612 10,255 105.20 111.49 9.34 0.64% CVX US Equity 29 (5,567) 68.47 68.11 0.74 0.70% D US Equity 1,624 11,914 76.29 86.69 19.32 0.71% EFTA00292884 DAI GR Equity 4,874 12,336 34.46 48.08 38.55 1.02% DBK GR Equity 125 3,997 61.52 63.45 2.35 1.33% DD US Equity 1,992 12,064 74.19 86.45 19.07 0.87% DDAIF US Equity 3,016 8,201 63.81 87.27 32.06 1.15% DE US Equity 83 8,041 SIN/A SIN/A 1.71 0.61% DELL US Equity (3) 6,539 69.40 69.38 -0.57 0.07% DG FP Equity 3,408 9,698 22.22 30.02 45.69 0.77% DGE LN Equity (44) (1,978) 73.25 74.89 -1.97 1.13% DHR US Equity 2,970 11,136 60.53 76.67 36.94 0.72% DIS US Equity 993 9,758 74.91 82.53 9.99 1.02% DISCA US Equity 28 2,748 17.45 17.63 1.00 1.03% DNB NO Equity 567 5,853 41.72 45.76 12.84 0.75% DOW US Equity 1,727 6,358 27.28 34.69 24.17 1.12% DPW GR Equity 116 514 13.00 15.94 26.33 0.86% DTE GR Equity 4,081 13,270 53.97 70.56 29.19 1.05% DTV US Equity 1,567 8,993 60.08 70.55 22.46 0.78% DUK US Equity (119) (8,734) 59.87 60.68 -2.63 0.52% DVN US Equity (79) 4,522 54.74 53.80 -2.17 0.80% EBAY US Equity 138 5,013 97.73 100.42 2.35 1.17% Ea US Equity (29) 3,952 35.30 35.04 -1.05 0.69% EDF FP Equity 4,389 9,006 16.56 24.64 62.98 0.77% EMC US Equity (45) 8,690 65.17 64.83 -0.66 0.79% EMR US Equity 168 3,306 40.10 42.13 7.49 0.68% ENB CN Equity (18) (6,953) 4.84 4.85 -0.52 0.50% ENEL IM Equity 947 6,646 19.77 22.58 13.85 1.03% ENI IM Equity (58) (4,165) 18.27 18.52 -1.77 0.79% EOAN GR Equity (19) 2,561 175.73 174.41 .0.74 1.02% EOG US Equity 926 4,384 54.49 66.01 20.95 1.01% EPD US Equity 613 9,084 11.62 12.41 9.00 0.75% ERICB SS Equity 101 3,398 72.36 74.52 3.05 0.98% ESRX US Equity 1,060 9,629 62.71 69.61 16.69 0.66% ETN US Equity (12) 2,973 14.93 14.87 -0.43 0.94% F US Equity (12) (2,721) 63.57 63.86 -0.44 1.03% F8 US Equity 1,166 2,507 22.04 32.30 28.84 1.61% FCX US Equity (68) (2,938) 127.19 130.12 -1.98 1.16% FDX US Equity 471 5,280 28.83 31.41 11.26 0.79% FOX US Equity (17) (1,425) 31.67 32.05 -1.22 0.98% FOXA US Equity (31) (1,374) 57.36 58.67 -2.07 1.10% FP FP Equity 8 1,874 21.95 22.04 0.56 0.71% G IM Equity 268 3,606 23.33 25.06 7.87 0.95% GE US Equity 2,103 16,620 71.33 80.35 15.39 0.82% GILD US Equity 40,637 17,333 14.41 48.20 174.94 1.34% GIS US Equity (16) 2,707 60.33 59.96 -1.10 0.55% GLE FP Equity 680 3,222 4.41 5.35 15.07 1.40% GLEN LN Equity (131) (3,217) 17.74 18.46 -3.61 1.13% GLW US Equity 1,409 11,240 31.11 35.01 11.82 1.06% GM US Equity 673 2,499 925.24 1174.52 25.71 1.05% EFTA00292885 GOOG US Equity 4,875 12,198 115.04 161.01 44.45 0.90% GS US Equity 6,111 13,441 18.11 26.34 68.93 0.66% GSK LN Equity 75 6,943 22.87 23.12 0.96 1.12% GSZ FP Equity (43) (983) 49.59 51.77 •6.07 0.73% HAL US Equity 426 3,287 67.52 76.26 15.21 0.85% HD US Equity 1,546 10,956 38.41 43.82 29.86 0.47% HMB SS Equity 446 5,992 86.50 92.94 7.97 0.93% HON US Equity 6,088 11,681 18.93 28.80 87.57 0.60% HPQ US Equity 1,012 6,250 8.80 10.23 15.47 1.05% HSBA LN Equity 9 (1,809) 6.25 6.22 0.21 2.29% IBE SM Equity 913 6,801 156.13 177.10 20.25 0.66% IBM US Equity 344 (8,304) 38.28 36.70 5.68 0.73% IMT LN Equity 224 10,734 23.73 24.22 1.91 1.09% INTC US Equity 104 9,645 2.82 2.86 1.25 0.87% ISP IM Equity 2,699 5,402 8.79 13.19 42.84 1.17% ITUB US Equity 197 (5,867) 13.66 13.20 2.43 1.38% ITUB4 BZ Equity 179 (6,209) 81.20 78.85 2.28 1.27% ITW US Equity 2,160 13,792 129.99 150.35 25.78 0.61% ITX SM Equity (34) (2,517) 45.75 46.36 -1.71 0.78% JCI US Equity 3,569 9,687 66.19 90.58 36.76 1.00% JNJ US Equity 3,761 12,368 43.43 56.64 40.84 0.74% JPM US Equity 706 8,390 98.87 107.19 10.91 0.77% KMB US Equity 18 7,866 33.71 33.78 0.36 0.62% KMI US Equity 236 (6,648) 39.65 38.24 5.22 0.68% KO US Equity 105 (6,896) 83.22 81.96 2.18 0.70% LBTYA US Equity (78) 2,236 83.34 80.51 4.35 0.81% LBTYK US Equity 64 1,881 187.67 194.06 4.30 0.79% LIN GR Equity 33 2,736 1.34 1.35 1.60 0.75% LLOY LN Equity 3,563 6,951 35.49 53.68 49.82 1.03% LLY US Equity (43) (2,771) 151.83 154.18 -2.16 0.72% LMT US Equity 516 1,994 165.85 208.77 27.05 0.96% LNKD US Equity (24) 554 48.12 46.15 -2.73 1.56% LOW US Equity (43) (4,295) 75.59 76.34 -1.32 0.76% LVS US Equity 1,626 6,640 65.03 80.96 18.03 1.36% LYB US Equity 819 2,242 55.94 76.39 32.96 1.11% MA US Equity 12,417 19,735 7052.18 11489.38 51.99 1.21% MAERSKB DC Equity 5,490 13,761 130.59 182.70 31.75 1.26% MC FP Equity 7 1,510 94.56 95.01 0.42 1.12% MCD US Equity (10) (6,970) 172.66 172.90 -0.29 0.49% MCK US Equity 120 1,745 30.85 32.97 6.06 1.14% MDIZ US Equity 1,943 13,059 48.53 55.75 19.30 0.77% MDT US Equity 5,771 20,438 37.83 48.51 32.22 0.88% MET US Equity 781 7,746 16.53 18.19 9.97 1.01% MFC CN Equity 3,732 7,860 RN/A RN/A 50.16 0.95% MHS US Equity 1,765 12,746 114.02 129.81 12.27 1.13% MMM US Equity 7,116 20,948 26.26 35.18 48.08 0.71% MO US Equity (47) 3,698 112.60 111.18 -1.80 0.71% EFTA00292886 MON US Equity 569 11,703 4468 46.85 5.83 0.83% MOS US Equity (60) (4,426) 5402 54.76 -1.36 1.01% MRK US Equity 1,123 9,195 26.51 29.74 13.09 0.93% MS US Equity 118 1,447 3186 36.63 7.99 1.02% MSFT US Equity 318 7,138 200.38 209.30 4.46 1.00% MUV2 GR Equity 384 7,543 2831 29/5 6.75 0.75% NAB AU Equity (88) (3,359) 9.53 9.78 -3.70 an% NCM AU Equity 2,782 (5,020) 20440 91.10 24.43 /27% NEE US Equity 3,485 14,296 17.85 2/20 35.31 0.69% NEM US Equity 2,656 (7,286) 119.39 75.86 20.71 1.76% NESN VX Equity 873 9,770 12.01 13.08 9.98 0.90% NG/ LN Equity 1,306 11,181 6490 7/49 18.01 0.65% NKE US Equity 637 2,857 6.04 7.38 30.20 0.74% NOK US Equity 3,818 4,423 40.16 7483 61.05 1.41% NOV US Equity 77 (6,814) 81.37 80.45 1.53 0.74% NOVN VX Equity 4,719 18,092 33.90 4/75 35.62 0.73% NOVOB DC Equity 718 6,248 83.68 9129 10.16 1.13% NSC US Equity 1,509 9,508 6941 80.42 13.14 1.21% NVS US Equity 3,842 15,889 all 0.14 34.95 0.69% OGXP3 BZ Equity 5,009 (5,158) 6077.78 176.06 23.69 410% OR FP Equity (13) (492) 12.03 1/34 -2.59 1.00% ORA FP Equity (6) 2,915 3740 37.33 .an 1.00% ORCL US Equity 835 6,645 80.56 90.69 18.06 0.70% OXY US Equity (76) (2,353) 10.98 11.34 -447 0.73% PBR US Equity 327 (2,535) 13.93 12.14 8.78 1.47% PBR/A US Equity 347 (2,775) 1370.85 119948 8.54 1.46% PCLN US Equity 764 3,000 205.07 257.29 2340 1.09% PCP US Equity 2,839 13,460 66.49 80.52 2418 av% PEP US Equity (54) 2,553 5.79 5.67 -401 0.53% PETR3 BZ Equity 375 (2,822) 7.00 6.07 9.57 1.39% PETR4 BZ Equity 391 (3,097) 35.86 31.34 9.16 1.38% PFE US Equity 4,124 21,826 65.33 77.68 26.04 0.73% PG US Equity 33 3,749 3499 35.30 1.31 0.68% PHIA NA Equity 1,035 8,527 70.54 79.10 15.83 0.77% PM US Equity 750 (10,065) 86.07 79.66 8.61 am% PNC US Equity 438 7,538 31.80 3165 6.40 0.91% POT CN Equity (149) (2,208) 31.50 33.62 -5S2 1.14% POT US Equity (137) (1,979) 19.61 20.96 -6.06 1.14% PRU LN Equity 6,607 10,288 98.35 161.51 56.45 1.14% PSA US Equity 231 6,938 70.42 7/77 5.35 0.62% PSX US Equity 747 5,946 113.31 127.54 13.04 0.96% PX US Equity 1,809 15,966 66.97 74.55 1644 0.69% QCOM US Equity 1,438 12,461 78.53 87.59 1547 an% QQQ US Equity 4,136 14,639 37.96 48.69 4481 0.63% RAI US Equity (26) (867) 67.10 69.08 -5.13 0.58% RDS/A US Equity (7) (1,760) 72.99 7127 454 0.71% RDS/B US Equity (92) 3,935 35.34 3453 -3.17 0.74% EFTA00292887 RDSA LN Equity (76) 4,016 35.18 34.53 -2.24 0.85% RDSA NA Equity (7) (1,679) 36.46 36.61 -0.55 0.77% RDSB LN Equity (50) 3,934 306.82 302.96 -1.54 0.83% REGN US Equity 168 3,084 56.71 59.80 3.49 1.56% RIO AU Equity 56 2,739 54.75 55.88 2.37 0.87% RIO LN Equity 150 4,782 53.80 55.48 2.49 1.26% RIO US Equity 131 4,896 275.65 283.01 1.94 1.38% ROG VX Equity 5,308 16,743 48.12 63.37 38.75 0.82% RY CN Equity (86) (4,037) 43.98 44.92 -2.97 0.72% SAB LN Equity (36) (3,625) 97.15 98.12 -1.11 0.89% SAN P Equity 290 (6,176) 9.24 8.81 5.37 0.87% SAN SM Equity 453 7,164 8.30 8.82 6.55 0.96% SAN US Equity 439 5,902 71.19 76.49 5.93 1.26% SAP GR Equity (265) 5,168 80.23 76.31 -6.64 0.77% SAP US Equity (448) 7,002 79.54 74.76 -7.38 0.87% SBUX US Equity (127) (4,518) 29.60 30.44 -2.58 1.09% SCCO US Equity 48 (2,640) 55.38 54.38 1.54 1.17% SGO P Equity 1,815 7,593 102.93 127.53 25.66 0.93% SI US Equity 1,260 11,251 114.76 127.61 13.96 0.80% SIE GR Equity 993 8,907 79.97 88.89 13.51 0.82% SLB US Equity 728 6,378 535.09 596.15 13.67 0.83% SMSN LI Equity 541 (7,188) 44.59 41.23 7.63 0.99% SO US Equity 135 (8,909) 160.36 157.93 3.20 0.47% SPG US Equity (92) (3,731) 88.42 90.61 -3.31 0.74% SREN VX Equity 1,251 9,574 18.04 20.39 12.41 1.05% STAN LN Equity 495 (5,198) 28.07 25.40 7.63 1.25% STL NO Equity (21) 3,536 68.47 68.06 -0.67 0.90% STT US Equity (38) 2,266 33.28 32.73 -1.57 1.08% SU CN Equity (59) (5,001) 81.99 82.96 -1.64 0.72% SU P Equity 44 2,932 32.22 32.70 1.62 0.92% SU US Equity (63) (5,100) 26.27 26.59 -1.76 0.71% SWEDA SS Equity 287 5,883 340.56 357.19 4.68 1.04% SYNN VX Equity (78) (3,532) 31.67 32.37 -2.18 1.01% T US Equity 475 (7,989) 46.89 44.10 8.15 0.73% TD CN Equity (73) (3,541) 15.10 15.41 -3.32 0.62% TEF SM Equity (72) (4,175) 15.08 15.34 -2.02 0.86% TEF US Equity 8 538 55.72 56.50 1.39 1.02% TGT US Equity 1,173 (10,552) 66.55 59.15 14.53 0.77% TJX US Equity 2,711 9,861 3.54 4.51 34.21 0.80% TLS AU Equity (6) 4,100 7.68 7.67 -0.25 0.58% TLSN SS Equity (18) (443) 112.37 117.00 -4.62 0.89% TM US Equity 38 (4,959) 119.18 118.27 1.14 0.67% TMO US Equity 8,625 10,030 31.52 58.63 98.74 0.87% TOT US Equity 155 2,463 41.51 44.11 7.34 0.85% TRP CN Equity (33) (6,847) 81.36 81.76 -0.83 0.58% TRV US Equity 35 (6,087) 5.33 5.30 0.93 0.63% TSCO LN Equity 458 (7,296) 144.50 135.44 8.63 0.73% EFTA00292888 TWC US Equity 684 4,825 55.75 63.66 26.71 0.53% TWX US Equity (72) (3,933) 41.43 42.19 -2.32 0.79% TXN US Equity 2,326 11,946 34.66 41.41 25.07 0.78% TYC US Equity 9,928 23,711 14.50 20.58 55.98 0.75% UBS US Equity 310 5,146 19.35 20.51 4.93 1.22% UBSN VX Equity 333 8,285 7.45 7.75 4.21 0.95% UCG IM Equity 1,976 5,285 28.35 38.96 26.66 1.40% ULVR LN Equity 41 (4,752) 38.19 37.86 0.88 0.98% UNA NA Equity 45 (6,241) 70.50 70.00 0.72 1.01% UNH US Equity 844 9,695 161.12 175.14 10.68 0.82% UNP US Equity 905 9,317 86.35 94.74 13.53 0.72% UPS US Equity 2,780 14,540 33.59 40.01 34.30 0.56% USB US Equity 2,110 13,902 96.42 111.06 23.01 0.66% UTX US Equity 5,273 14,917 163.14 220.80 47.41 0.75% V US Equity 6,740 7,797 7.55 14.07 95.88 0.90% VALE US Equity 171 (3,780) 14.78 14.11 3.19 1.42% VALE3 BZ Equity 284 (4,527) 87.81 82.29 4.19 1.50% VIAB US Equity 3,422 6,324 17.57 27.08 60.26 0.90% VIV FP Equity 104 2,266 88.38 92.43 5.80 0.79% VMW US Equity 208 4,176 3.47 3.64 3.93 1.27% VOD LN Equity 1,185 7,435 31.38 36.39 18.01 0.89% VOD US Equity 1,117 7,360 224.52 258.58 17.26 0.88% VOW3 GR Equity 842 6,689 122.69 138.14 12.32 1.02% VRX CN Equity 772 1,588 92.85 137.99 31.47 1.54% VRX US Equity 871 1,853 63.67 93.58 34.29 1.37% VTI US Equity 385 5,019 35.20 37.90 15.44 0.50% VWO US Equity 433 (7,183) 49.85 46.85 6.48 0.93% VZ US Equity 159 (6,069) 29.06 28.30 3.94 0.66% WBC AU Equity (55) (2,095) 37.05 38.03 -3.16 0.84% WES AU Equity (43) (1,444) 44.10 45.41 -4.60 0.64% WFC US Equity 2,059 9,854 69.99 84.62 33.13 0.63% WLP US Equity 1,414 10,192 64.44 73.38 14.28 0.97% WMT US Equity 2 1,806 31.07 31.10 0.19 0.49% WOW AU Equity 56 (8,581) 90.28 89.69 1.03 0.64% XOM US Equity (228) 10,850 RN/A RN/A -3.02 0.70% XTA LN Equity 3 (2,400) 37.67 37.63 0.05 2.26% YHOO US Equity 259 1,267 60.05 72.31 15.37 1.33% YUM US Equity (28) 4,564 298.87 297.02 -0.58 1.08% ZURN VX Equity 136 6,308 36.84 37.63 2.82 0.76% 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 12,114 54,660 1473.31 1.799.84 34.84 0.64% EFTA00292889 NDX Index 12,196 45,983 2831.19 3,582.11 32.51 0.82% RTY Index 11,389 39,525 868.48 1,118.73 33.69 0.86% SPTSX Index (95) (4,609) 12240.88 12,492.46 -3.93 0.52% MEXBOL Index 1,063 (25,761) 3142.70 3,013.05 4.53 0.91% IBOV Index 2,209 (22,209) 22076.65 19,881.16 7.65 1.30% MERVAL Index 671 (10,977) 735.57 690.60 3.07 1.99% UKX Index 2,026 39,588 10288.22 10,814.76 8.84 0.58% DAX Index 7,055 36,295 10610.77 12,673.23 28.21 0.69% CAC Index 720 10,598 5412.38 5,780.29 10.36 0.66% IBEX Index 7,021 37,861 11487.96 13,618.40 20.33 0.91% SMI Index 2,865 33,211 8542.87 9,279.73 14.60 0.59% FTSEMIB Index 4,160 22,753 22701.09 26,851.30 23.33 0.78% P5120 Index 4,229 23,990 8027.66 9,442.72 18.57 0.95% ISEQ Index 21,574 39,684 4246.25 6,554.73 79.38 0.68% ICEXI Index 6,049 35,033 6.58 7.72 25.77 0.67% AEX Index 4,061 41,599 484.27 531.55 17.21 0.57% BEL20 Index 4,455 41,112 3586.05 3,974.65 19.52 0.56% LUXXX Index 7,908 38,648 1658.52 1,997.90 28.84 0.71% KFX Index 8,377 37,728 100.81 123.20 27.18 0.82% HEX Index 7,229 40,603 8513.92 10,029.71 21.66 0.82% OMX Index 1,358 20,905 190.87 203.26 8.52 0.76% ATX Index 2,777 27,798 3213.33 3,534.33 11.15 0.90% ASE Index 6,549 20,135 1297.20 1,719.12 20.49 1.59% OSEBX Index 859 21,763 85.76 89.15 5.29 0.75% INDEXCF Index (309) (17,519) 41.71 42.44 -2.32 0.76% TOP40 Index (309) (13,370) 3626.01 3,709.81 -2.76 0.84% SENSEX Index 114 (16,283) 328.52 326.21 0.95 0.74% NKY Index 2,002 326.21 1.24% HSI Index 51 (14,819) 2791.37 2,781.84 0.45 0.75% SHCOMP Index (87) (27,300) 343.18 344.28 -0.42 0.76% KOSPI Index (199) (15,231) 1.77 1.79 -1.92 0.68% AS51 Index (133) (4,962) 4550.65 4,672.25 -4.26 0.63% STBCNZL Index 29,807 73,166 444.47 625.54 76.94 0.53% EEM US Equity 365 (6,050) 40.76 38.30 5.45 1.11% IYR US Equity (175) (4,048) 63.72 66.47 -7.79 0.56% MOY US Equity 4,157 14,015 184.03 238.61 35.05 0.85% JNK US Equity (5) (2,806) 40.67 40.74 -0.93 0.18% XLF US Equity 4,903 13,308 15.57 21.31 46.68 0.79% XLU US Equity 173 6,248 38.12 39.17 4.65 0.59% XLK US Equity 1,796 12,659 30.80 35.17 20.64 0.69% XLI US Equity 4,353 13,956 38.23 50.15 39.42 0.79% XLP US Equity (38) 5,419 41.38 41.09 -1.21 0.57% XLY US Equity 7,664 20,957 46.90 64.05 45.55 0.80% XLE US Equity 1 2,492 83.60 83.63 0.04 0.82% XLB US Equity 2,576 14,368 38.09 44.92 23.78 0.75% XLV US Equity 11,244 24,345 38.87 56.82 59.76 0.77% SXXP Index 3,608 36,898 404.25 443.77 18.37 0.53% EFTA00292890 SXAP Index 7,636 28,145 520.28 661.43 34.23 0.79% SXKP Index 4,737 46,234 359.59 396.44 15.36 0.67% SX6P Index 3,226 35,847 352.20 383.90 14.82 0.61% SXEP Index 122 13,197 433.20 437.21 1.49 0.62% SXIP Index 10,784 28,554 222.31 306.26 50.24 0.75% SXNP Index 3,575 35,375 501.16 551.81 16.79 0.60% SX3P Index 63 10,285 653.70 657.69 0.81 0.75% SXDP Index 21,110 60,558 609.16 821.51 63.49 0.55% SX4P Index 2,171 26,104 917.01 993.29 12.90 0.64% SX8P Index 2,104 13,215 327.36 379.48 25.49 0.62% SXOP Index 6,650 39,907 380.28 443.65 21.98 0.76% SXQP Index (47) (1,091) 743.36 775.71 -5.25 0.83% SXRP Index (41) (1,352) 418.95 431.69 -5.21 0.58% SXMP Index 11,106 35,315 260.86 342.89 50.77 0.62% SXTP Index 19,659 38,841 172.05 259.13 82.96 0.61% SX7E Index 5,022 17,140 157.14 203.18 23.85 1.23% SXSE Index 4,626 37,900 3686.95 4,136.98 18.36 0.66% SPGSCITR Index (154) (24,852) 4800.09 4,829.87 -1.10 0.57% XAG Curncy 2,375 (19,830) 22.81 20.08 12.13 0.99% COI Comdty (201) (19,619) 107.53 108.63 -1.47 0.70% CLI Comdty 449 15,139 97.18 100.06 3.11 0.95% NG1 Comdty 3,382 15,610 3.76 4.58 6.23 3.47% XAU Comdty 4,943 (40,619) UN/A UN/A 18.96 0.64% IBOXHY Index 1,838 52,424 220.80 228.54 36.67 0.10% US_TSY CREDIT 0 48,158 759.75 759.75 0.00 0.14% CA_TSY CREDIT 7,734 (103,690) 1279.86 1,184.40 19.59 0.38% MX_TSY CREDIT 145 (22,609) 207.36 206.03 1.10 0.58% AU_TSY CREDIT 1,699 (78,015) 1457.62 1,425.87 4.44 0.49% JP_TSY CREDIT 649 (58,865) 822.10 813.03 2.91 0.38% MY_TSY CREDIT 2,118 (83,609) 166.49 162.27 10.49 0.24% SG_TSY CREDIT 857 (78,672) 219.50 217.11 4.11 0.26% AT_TSY CREDIT 1,904 63,655 354.64 365.25 10.15 0.29% BETSY CREDIT 2,665 66,880 473.36 492.22 13.67 0.29% FI_TSY CREDIT 1,921 65,822 346.05 356.15 9.90 0.29% FR_TSY CREDIT 2,259 61,947 1661.26 1,721.85 12.32 0.30% DE_TSY CREDIT 1,543 57,819 1231.84 1,264.71 8.68 0.31% lE_TSY CREDIT 27,522 77,261 337.14 457.24 117.86 0.30% IT_TSY CREDIT 6,118 52,850 1610.40 1,796.83 40.92 0.28% NL_TSY CREDIT 1,634 60,676 1319.13 1,354.66 9.21 0.29% ES_TSY CREDIT 8,450 49,442 392.28 459.33 61.42 0.28% DK_TSY CREDIT 1,397 47,263 725.34 746.77 9.37 0.32% NO_TSY CREDIT (127) (27,060) 332.27 333.82 -0.95 0.49% PL_TSY CREDIT 489 21,836 421.86 431.30 4.10 0.55% ZA_TSY CREDIT 2,872 (32,556) 83.21 75.87 9.80 0.90% SE_TSY CREDIT (420) (20,839) 452.11 461.22 -5.25 0.38% CH_TSY CREDIT 2,626 62,767 999.11 1,040.90 11.24 0.37% GB_TSY CREDIT 234 29,860 1471.66 1,483.22 2.28 0.34% EFTA00292891