EFTA00292892.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): 2/11/2014 38.36% 73.07% 4,020,146 (1,341,099) 2,679,047 443 1,000,000 1,730,720 3.10 2/11/2014 Change on Day: 3.13% MSCI World Change on Day 1.09% 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% -0.91% 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. 1.241 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 2,000000.00 1,800000.00 1.600.000.00 1.400.000.00 1.200.000.00 1.000.000.00 600,000.00 603,000.00 1. 'V • 11, 1.• 'V 'V 0, 0, s\-," 4,v- 4 ACsr~ry 5 A\ 5\ ty — NAV EFTA00292892 Atorus, LLC 2/11/2014 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 24.40% 52 Positions 30.29% MEXBOL Index (26,123) 0.48% SXXP Index 5,334 0.31% NO_TSY CREDIT (27,358) 0.50% SXSE Index 5,352 0.31% SHCOMP Index (27,693) 0.51% SX7E Index 5,577 0.32% ZA_TSY CREDIT (33,120) 0.61% UTX US Equity 5,627 0.32% SPGSCITR Index (33,446) 0.61% ACA FP Equity 5,771 0.33% XAU Comdty (41,240) 0.75% ROG VX Equity 5,783 0.33% CH_TSY CREDIT 59,255 1.08% QQQ US Equity 5,793 0.33% JP_TSY CREDIT (59,628) 1.09% MAERSKB DC Equity 5,842 0.34% SXDP Index 61,063 1.12% DAI GR Equity 5,896 0.34% SPX Index 62,258 1.14% SMI Index 5,934 0.34% FR_TSY CREDIT 62,432 1.14% CMCSA US Equity 6,078 0.35% DE_TSY CREDIT 62,519 1.14% MDT US Equity 6,237 0.36% AT_TSY CREDIT 64,302 1.18% IT_TSY CREDIT 6,283 0.36% NL_TSY CREDIT 65,324 1.20% AMGN US Equity 6,297 0.36% FI_TSY CREDIT 66,491 1.22% ICEXI Index 6,355 0.36% BE_TSY CREDIT 67,560 1.24% BMY US Equity 6,371 0.37% STBCNZL Index 73,230 1.34% HON US Equity 6,386 0.37% lE_TSY CREDIT 78,254 1.43% GS US Equity 6,399 0.37% AU TSY CREDIT (79,064) 1.45% ASE Index 6,448 0.37% MY_TSY CREDIT (90,265) 1.65% CA_TSY CREDIT 6,633 0.38% SG_TSY CREDIT (95,665) 1.75% V US Equity 6,850 0.39% CA_TSY CREDIT (97,103) 1.78% PRU LN Equity 7,196 0.41% MMM US Equity 7,447 0.43% SXOP Index 7,491 0.43% XLY US Equity 7,620 0.44% IBEX Index 7,624 0.44% HEX Index 7,809 0.45% DAX Index 8,041 0.46% CMCSK US Equity 8,475 0.49% KFX Index 8,511 0.49% ES_TSY CREDIT 8,643 0.50% LLD= Index 8,746 0.50% BAYN GR Equity 8,747 0.50% SXAP Index 8,803 0.51% TMO US Equity 9,136 0.52% MC US Equity 9,770 0.56% TYC US Equity 10,224 0.59% BA US Equity 11,103 0.64% MA US Equity 11,232 0.65% XLV US Equity 11,245 0.65% EFTA00292893 SXIP Index 11,451 0.66% RTY Index 11,506 0.66% SXMP Index 11,992 0.69% NDX Index 12,378 0.71% CELG US Equity 13,025 0.75% SPX Index 14,718 0.85% SXTP Index 20,853 1.20% SXDP Index 21,972 1.26% ISEQ Index 22,437 1.29% IE_TSY CREDIT 28,172 1.62% ST8CN2L Index 29,833 1.71% GILD US Equity 33,248 1.91% No. Names b APAC Long 18 APAC Short 31 EMEA Long 65 EMEA Short 25 AMER Long 147 AMER Short 64 EquityCom Long 52 EquityCom Short 17 Credit Long 15 Credit Short 9 Total Long 297 Total Short 146 EFTA00292894 Atorus, LLC 2/11/2014 Historical Net Exposure by Geography (Listed Equities) & Macro (Equity Indices & Comrnodikes, G20 Gov. Credit) 5,030.000 4,030.000 3,030.003 2,000.000 —APAC — EMEA —AMER — EquityCom —Cr d't 2,000,000 1300,000 1,OOO,OOD 500,001 I P 1,030,000 0 (1,030.0001 - (2,030.0001 , ,NexEposure MIS toe % 0 le a,‘ QS S. C: \ . , , . c;(09:1; c lei O: o neet . ,O ove,,,,,t. IS 1••• Pak I (1.4300.000) 1. ‘r (3,0)0.0001 Historical Gross Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodlites, G20 Gov. Credit) EFTA00292895 Atorus, LIC 2/11/2014 Current Gross Notional Risk by Category ■ APAC ■ EMEA ■ AMER ■ EquityCom ■ Credit T24M Performance Vs. MSG World Index Rolling 30 Day Realized Volatility - A 2.00% 1.60% 1.60% 1.40% 1.20% 1.00% 0.80% 0.60% 0.40% 0.20% 0.00% Rolf g3OD yR oloedVol EFTA00292896 /Mortis, LLC 2/11/2014 Percentile Distribution of Current MTM Gains in Vol Days by Position (ex-99pct & ex-1st percentiles) Percentile No. Vol Days 0.0CM 8.D/ 5.00% -4.46 10.00% .3.15 15.00% .1.44 20.00% .0.77 25.00% 0.13 30.00% 1.36 35.00% 2.77 40.00% 3.70 45.00% 5.42 50.00% 7.81 55.00% 10.12 60.00% 11.97 65.00% 14.22 70.00% 18.43 75.00% 21.44 80.00% 26.36 85.00% 32.77 90.00% 39.40 95.00% 54.19 100.00% 174.45 i ipfl.Vol 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) 0.81% 49.98% EFTA00292897 Atorus, LLC Current Portfolio -Listed Equity Portfolio Current Price P/L in Vol 30P Realized Security MTM Gain/(Loss) Exp. la Cost Avg. Nice (In USD) Days Vol 2/11/2014 000270 KS Equity 145 (4,502) 51.62 49.96 2.52 1.28% 005380 KS Equity 181 1,589 218.45 217.42 -0.34 1.38% 005490 KS Equity 91 (4,236) 274.12 268.21 2.40 0.90% 005930 KS Equity 356 (6,552) 1285.62 1215.80 5.30 1.02% 012330 KS Equity 1,065 5,278 244.69 294.06 16.12 1.25% 1 HK Equity (19) (3,976) 14.68 14.75 -0.82 0.58% 1299 HK Equity (102) (2,628) 4.57 4.74 -3.61 1.08% 13 HK Equity 1,441 12,234 11.40 12.75 12.95 0.91% 16 HK Equity 300 (9,928) 12.66 12.28 5.15 0.59% 27 HK Equity (6) 123 9.66 9.24 -1.92 2.35% 2914 JP Equity 58 (4,715) 32.47 32.06 0.88 1.41% 3382 JP Equity 41 3,409 37.70 38.15 0.97 1.23% 4063 JP Equity 14 (4,532) 56.40 56.23 0.26 1.21% 4502 JP Equity (19) 672 47.00 45.71 -3.17 0.89% 4689 JP Equity (32) 749 6.00 5.75 -2.52 1.70% 5 HK Equity (25) (4,712) 10.20 10.25 -0.76 0.70% 5108 JP Equity (101) 3,496 36.33 35.31 -2.65 1.09% 54011P Equity (72) (3,706) 2.99 3.05 -1.38 1.41% 63011P Equity 64 (3,512) 20.64 20.26 1.30 1.40% 6752 JP Equity 1,250 4,142 9.01 11.73 12.06 2.50% 6902 JP Equity 2,235 9,725 41.48 51.01 16.93 1.36% 6954 JP Equity 308 6,388 157.65 165.25 2.78 1.73% 7201 JP Equity 61 (3,740) 8.85 8.70 1.25 1.30% 7203 JP Equity (40) (1,949) 57.26 58.43 -1.68 1.22% 7267 JP Equity (30) (2,038) 35.79 36.32 -1.26 1.17% 762 HK Equity 230 (4,152) 1.43 1.35 4.94 1.12% 7751 JP Equity 446 (6,859) 31.44 29.39 6.45 1.01% 80311P Equity (294) (6,733) 13.92 14.53 -3.55 1.23% 8058 JP Equity (33) (468) 17.87 19.13 -6.04 1.17% 8106 JP Equity (29) (2,590) 5.84 5.91 -0.89 1.25% 8316 JP Equity (19) (2,436) 46.12 46.48 -0.54 1.43% 8411 JP Equity (29) 3,773 2.12 2.10 -0.56 1.37% 8604 JP Equity (26) (1,492) 6.73 6.84 -1.16 1.49% 8801 JP Equity (31) (1,401) 31.32 32.01 -1.59 1.38% 8802 JP Equity (52) (3,305) 24.73 25.12 -1.20 1.32% 9020 JP Equity 131 (3,964) 77.53 74.98 3.17 1.04% 941 HK Equity 765 (11,120) 10.27 9.56 10.12 0.68% 9432 JP Equity 148 6,072 53.19 54.49 1.88 1.30% 9433 JP Equity 2,758 9,471 42.13 54.40 21.59 1.35% 9437 JP Equity (77) (5,744) 15.71 15.92 -1.25 1.07% 9983 JP Equity (52) 3,175 368.98 363.06 -0.99 1.64% EFTA00292898 9984 JP Equity 2,119 2,796 42.69 75.04 46.11 1.64% AAPL US Equity 252 7,871 518.25 534.83 3.00 1.07% ABB US Equity 905 10,400 23.59 25.64 8.51 1.02% ABBN VX Equity 721 8,696 23.63 25.59 7.81 1.06% ABBV US Equity 7 5,332 49.49 49.56 0.12 1.12% ABEV US Equity 420 (7,226) 7.25 6.83 4.14 1.41% ABEV3 BZ Equity 418 (6,917) 7.29 6.85 4.74 1.27% ABI BB Equity (28) (558) 94.20 98.91 -5.19 0.96% ABT US Equity (129) 4,093 38.83 37.64 -3.92 0.80% ABX CN Equity (484) (3,511) 17.17 19.53 .8.67 1.59% ABX US Equity (465) (3,476) 17.20 19.51 •8.65 1.55% ACA FP Equity 5,771 5,390 6.83 14.15 74.20 1.44% ACE US Equity 96 3,675 93.86 96.32 3.66 0.72% ACN US Equity 408 9,045 77.04 80.52 5.38 0.84% ADP US Equity 35 1,192 72.36 74.51 3.70 0.80% AFL US Equity 1 728 62.19 62.27 0.18 0.66% AGL S1 Equity (416) (4,051) 22.73 25.07 .7.11 1.44% AGN US Equity 1,142 6,802 104.77 122.35 14.13 1.19% Al FP Equity (88) (1,379) 126.16 134.19 .8.29 0.77% AIG US Equity 23 3,207 48.51 48.85 0.77 0.91% AIR FP Equity 4,662 6,524 42.47 72.83 70.96 1.01% ALV GR Equity 2,877 7,522 125.64 173.71 37.47 1.02% ALVG IX Equity 2,144 5,722 126.13 173.40 37.88 0.99% AMGN US Equity 6,297 22,885 94.49 120.49 27.67 0.99% AMT US Equity 758 10,646 76.29 81.72 9.16 0.78% AMZN US Equity 3,558 14,103 287.66 360.22 19.65 1.28% ANZ AU Equity (134) (2,788) 26.23 27.49 -5.55 0.86% APA US Equity 150 (6,864) 82.74 80.92 2.73 0.80% APC US Equity (57) (5,630) 80.96 81.78 -1.19 0.85% AXP US Equity 2,466 10,369 71.56 88.58 22.32 1.07% AZN LN Equity 3,871 12,669 49.80 65.02 31.80 0.96% AZN SS Equity 3,393 11,663 50.40 65.06 29.71 0.98% AZN US Equity 3,807 12,426 49.96 65.26 30.80 0.99% BA US Equity 11,103 17,885 79.84 129.41 54.21 1.15% BAC US Equity 9,770 10,843 8.82 16.77 89.77 1.00% BARC LN Equity (84) 5,291 4.41 4.34 .1.31 1.20% BAS GR Equity 849 7,329 97.30 108.57 13.04 0.89% BATS LN Equity (8) (5,595) 49.08 49.14 .0.15 0.93% BAX US Equity (291) (8,040) 66.82 69.24 .6.36 0.57% BAYN GR Equity 8,747 11,714 76.64 133.86 74.22 1.01% BBD US Equity 1,041 (6,738) 12.96 10.96 11.54 1.34% BBDC4 BZ Equity 993 (7,246) 12.74 11.00 12.22 1.12% BBL US Equity (26) (5,013) 60.45 60.76 -0.48 1.06% BBVA SM Equity 1,246 5,719 10.09 12.29 16.43 1.33% BCE CN Equity 92 (6,638) 43.17 42.58 1.98 0.70% BCS US Equity (80) 6,391 17.72 17.50 -0.99 1.26% BEN US Equity 55 4,615 52.08 52.70 1.19 0.99% EFTA00292899 BG/ IN Equity (36) (2,614) 17.28 17.52 .0.98 1.39% BHP AU Equity (47) (1,233) 31.81 33.02 .4.27 0.89% BOB US Equity 310 1,065 245.93 317.60 20.37 1.43% BIL SJ Equity (6) (4,448) 30.26 30.30 -0.13 1.07% BK US Equity 53 1,538 30.62 31.68 3.87 0.89% BLK US Equity 125 1,170 274.17 303.39 10.95 0.97% BLT IN Equity (2) (4,943) 30.23 30.24 -0.05 0.97% BMO CN Equity (59) (1,908) 61.56 63.46 4.53 0.68% BMW GR Equity 807 5,073 98.63 114.31 19.88 0.80% BMY US Equity 6,371 13,624 35.71 52.41 36.81 1.27% BN FP Equity 101 (3,680) 70.54 68.61 2.84 0.96% BNP FP Equity 1,766 5,495 61.78 81.64 27.59 1.17% BNS CN Equity (110) (3,678) 54.78 56.41 -3.59 0.83% BP/ LN Equity 411 8,439 7.68 8.05 7.53 0.65% BRK/B US Equity (82) (3,495) 110.60 113.21 -3.94 0.60% BSBR US Equity 1,724 (8,164) 6.18 4.88 12.84 1.65% BUD US Equity (30) (545) 94.17 99.28 •5.57 0.98% BX US Equity 127 2,974 30.31 31.60 3.99 1.07% C US Equity (29) (554) 46.95 49.44 •4.47 1.18% CA FP Equity 396 1,958 30.49 36.65 19.26 1.05% CAT US Equity 910 10,293 87.23 94.94 8.44 1.05% CBS US Equity 296 1,266 49.35 60.90 20.56 1.14% CCL US Equity 871 7,815 36.20 40.24 11.41 0.98% CELG US Equity 13,025 15,113 85.54 159.25 66.20 1.30% CL US Equity 1,000 18,618 58.99 62.16 8.81 0.61% CMCSA US Equity 6,078 17,408 40.65 54.84 41.65 0.84% CMCSK US Equity 8,475 18,900 36.26 52.52 57.19 0.78% CNI US Equity 1,012 12,863 51.38 55.42 9.65 0.82% CNQ CN Equity 7 1,620 34.08 34.24 0.53 0.87% CNR CN Equity 1,006 12,415 51.30 55.45 10.13 0.80% COF US Equity 339 6,073 67.68 71.46 6.45 0.86% COP US Equity 154 (7,973) 66.64 65.36 3.00 0.64% COV LN Equity 186 2,433 25.05 0.30% COV US Equity 640 6,342 63.38 69.78 10.87 0.93% CRM US Equity 162 2,053 56.89 61.37 6.27 1.26% CS FP Equity 2,568 6,712 19.39 26.81 36.89 1.04% CSCO US Equity (224) (4,973) 21.79 22.77 •5.88 0.77% CSX US Equity 795 8,909 25.07 27.31 8.04 1.11% CVE CN Equity 749 (10,443) 28.70 26.64 11.78 0.61% CVS US Equity 979 10,304 62.75 68.71 13.10 0.72% CVX US Equity (73) (6,316) 112.00 113.29 4.55 0.74% D US Equity 1,830 12,102 59.94 69.01 19.99 0.76% DAI GR Equity 5,896 13,903 62.20 88.58 38.90 1.09% DBK GR Equity 142 4,050 46.61 48.25 2.65 1.32% DD US Equity 2,203 12,298 54.46 64.22 19.54 0.92% DDAIF US Equity 3,456 8,348 63.20 89.37 33.44 1.24% DE US Equity 182 8,116 85.65 87.58 3.51 0.64% EFTA00292900 DELL US Equity 14 6,710 2.65 0.08% DG FP Equity 3,672 9,883 51.34 70.41 46.19 0.80% DGE LN Equity (70) (2,692) 29.53 30.29 -2.22 1.17% DHR US Equity 4,049 14,049 58.57 75.45 39.57 0.73% DIS US Equity 1,349 9,900 68.36 77.68 13.61 1.00% DISCA US Equity 50 3,501 81.99 83.16 1.40 1.02% DNB NO Equity 1,186 8,928 15.62 17.69 18.45 0.72% DOW US Equity 1,980 6,442 35.84 46.85 25.72 1.19% DPW GR Equity 132 546 28.24 35.05 27.79 0.87% DTE GR Equity 4,253 13,635 12.22 16.03 31.58 0.99% DTV US Equity 1,657 9,150 60.09 70.98 23.61 0.77% DUK US Equity (199) (8,814) 69.60 71.17 -4.03 0.56% DVN US Equity (34) 5,743 61.76 61.39 -0.74 0.80% EBAY US Equity 98 5,054 52.95 53.98 1.63 1.19% Ea US Equity 2 3,979 101.15 101.21 0.08 0.70% EDF FP Equity 4,622 9,184 23.45 35.25 67.79 0.74% EMC US Equity 20 8,831 24.88 24.94 0.27 0.84% EMR US Equity 227 3,622 61.11 64.94 9.20 0.68% ENB CN Equity (129) (6,998) 41.70 42.47 -3.75 0.49% ENEL IM Equity 982 6,720 4.24 4.86 15.67 0.93% ENI IM Equity (89) (3,381) 22.27 22.86 -3.46 0.76% EOAN GR Equity (2) 2,603 18.66 18.64 -0.09 0.97% EOG US Equity 1,191 5,569 143.99 174.78 21.49 1.00% EPD US Equity 757 9,126 61.83 66.96 11.56 0.72% ERICB SS Equity 165 3,418 12.05 12.63 5.04 0.96% ESRX US Equity 1,247 9,809 66.69 75.17 18.85 0.67% ETN US Equity (18) 3,003 70.48 70.06 -0.63 0.96% F US Equity (29) (3,617) 14.82 14.94 -0.77 1.05% F8 US Equity 1,202 2,546 43.58 64.16 32.85 1.44% FCX US Equity (108) (2,385) 31.57 33.00 -3.89 1.16% FDX US Equity 490 5,334 120.94 132.06 10.72 0.86% FP FP Equity 50 3,806 58.41 59.18 1.79 0.73% G IM Equity 262 3,632 20.52 21.99 7.90 0.91% GE US Equity 2,239 16,425 22.32 25.36 16.18 0.84% GILD US Equity 33,248 13,861 24.02 81.65 174.45 1.38% GIS US Equity 16 6,705 48.57 48.68 0.43 0.56% GLE FP Equity 706 3,245 49.51 60.28 14.14 1.54% GLEN LN Equity (194) (3,264) 5.14 5.44 .4.92 1.21% GLW US Equity 1,793 11,367 16.17 18.72 13.46 1.17% GM US Equity 809 3,199 28.27 35.42 23.85 1.06% GOOG US Equity 4,696 12,387 857.75 1182.92 41.37 0.92% GS US Equity 6,399 13,622 110.98 163.11 65.61 0.72% GSK LN Equity 195 4,317 25.71 26.87 3.71 1.22% HAL US Equity 661 3,363 44.64 53.41 21.37 0.92% HD US Equity 2,013 12,500 66.04 76.67 32.77 0.49% HMB SS Equity 608 6,105 40.79 44.85 10.78 0.92% HON US Equity 6,386 11,890 61.10 93.91 85.08 0.63% EFTA00292901 HPQ US Equity 1,141 6,292 24.79 29.28 16.43 1.10% HSBA LN Equity (27) (1,443) 10.23 10.42 -0.80 2.37% IBE SM Equity 908 6,914 5.48 6.20 19.86 0.66% IBM US Equity 238 (8,386) 184.74 179.50 3.68 0.77% IMT LN Equity 320 10,915 35.95 37.00 2.66 1.10% INTC US Equity 263 9,775 23.81 24.45 3.02 0.89% ISP IM Equity 2,842 5,521 1.91 2.89 43.17 1.19% ITUB US Equity 266 (5,904) 13.81 13.19 3.23 1.40% ITUB4 BZ Equity 176 (6,360) 13.59 13.22 2.21 1.25% ITW US Equity 2,265 14,003 67.84 78.81 27.02 0.60% ITX SM Equity (43) (4,388) 149.70 151.16 -1.32 0.74% WI US Equity 3,764 9,880 34.13 47.13 34.07 1.12% All US Equity 4,198 12,583 69.31 92.44 41.83 0.80% WM US Equity 798 8,516 52.29 57.19 11.66 0.80% KMB US Equity 134 7,927 106.69 108.49 2.58 0.66% KMI US Equity 231 (6,747) 35.17 33.97 5.17 0.66% KO US Equity 33 (6,937) 38.83 38.65 0.69 0.69% LBTYA US Equity (41) 2,270 84.91 83.41 -2.21 0.82% LBTYK US Equity 96 1,900 77.86 81.81 6.36 0.80% LIN GR Equity 78 3,694 193.10 197.20 2.77 0.77% LLOY LN Equity 3,701 7,068 0.89 1.36 48.80 1.07% LLY US Equity (102) (3,785) 52.85 54.28 -3.46 0.78% LMT US Equity 565 2,015 122.48 156.84 27.48 1.02% LNKD US Equity (24) 389 216.79 204.07 -3.72 1.68% LOW US Equity (67) (3,487) 45.69 46.56 -2.48 0.77% LVS US Equity 1,821 6,805 61.33 77.74 18.65 1.44% LYB US Equity 874 2,296 59.29 81.85 32.84 1.16% MA US Equity 11,232 18,057 47.03 76.29 53.42 1.16% MAERSKB DC Equity 5,842 14,143 8212.58 11604.78 35.00 1.18% MC FP Equity 12 1,912 182.19 183.38 0.58 1.12% MCD US Equity (41) (6,967) 94.88 95.44 -1.16 0.51% MCK US Equity 131 1,761 161.77 173.78 6.38 1.16% MDLZ US Equity 2,163 13,636 28.68 33.23 20.37 0.78% MDT US Equity 6,237 20,734 43.22 56.22 32.32 0.93% MET US Equity 872 7,552 44.37 49.49 10.71 1.08% MFC CN Equity 3,894 7,974 12.38 18.42 46.25 1.06% MHS US Equity 1,755 13,962 11.02 1.14% MMM US Equity 7,447 21,252 96.89 130.85 48.91 0.72% MO US Equity (58) 3,961 35.60 35.08 -2.05 0.72% MON US Equity 582 11,908 106.02 111.20 5.77 0.85% MOS US Equity (211) (4,468) 45.85 48.00 -4.27 1.10% MRK US Equity 1,232 9,342 48.80 55.24 13.71 0.96% MS US Equity 144 1,648 27.57 29.97 8.28 1.05% MSFT US Equity 479 7,171 34.82 37.15 6.40 1.04% MUV2 GR Equity 544 7,529 197.44 211.70 9.22 0.78% NAB AU Equity (92) (1,704) 28.99 30.56 -6.78 0.80% NCM AU Equity 2,708 (5,094) 21.94 10.28 22.86 2.33% EFTA00292902 NEE US Equity 3,921 14,643 72.62 92.06 36.24 0.74% NEM US Equity 2,575 (7,388) 34.95 22.77 19.38 1.80% NESN VX Equity 712 9,813 69.64 74.69 8.10 0.90% NG/ LN Equity 1,561 11,410 11.72 13.32 19.29 0.71% NICE US Equity 703 2,939 59.26 73.44 29.99 0.80% NOK US Equity 3,839 4,495 3.96 7.35 59.77 1.43% NOV US Equity 13 (2,757) 75.68 75.33 0.62 0.74% NOVN VX Equity 4,745 18,219 63.81. 80.42 38.81 0.67% NOVOB DC Equity 703 6,796 38.60 42.60 9.65 1.07% NSC US Equity 1,538 9,583 80.49 93.41 13.52 1.19% NVS US Equity 3,707 15,457 65.07 80.68 35.70 0.67% OGXP3 BZ Equity 5,011 (5,163) 4.43 0.13 25.24 3.85% ORA FP Equity 13 2,958 12.37 12.42 0.42 1.03% ORCL US Equity 973 7,413 33.31 37.68 18.42 0.71% PBR US Equity 354 (2,811) 13.30 11.63 8.27 1.52% PBR/A US Equity 299 (2,793) 13.87 12.39 7.16 1.49% PCLN US Equity 806 3,041 956.05 1209.62 23.68 1.12% PCP US Equity 3,131 13,703 212.47 261.02 25.24 0.91% PEP US Equity (11) 3,900 81.31 81.08 -0.52 0.55% PETR3 BZ Equity 330 (2,920) 6.54 5.80 7.91 1.43% PETR4 BZ Equity 340 (3,120) 6.95 6.19 7.62 1.43% PFE US Equity 4,743 21,828 26.10 31.77 28.25 0.77% PG US Equity 86 4,758 77.33 78.72 2.42 0.74% PHIA NA Equity 1,910 11,206 30.43 35.61 22.67 0.75% PM US Equity 754 (10,157) 85.47 79.13 8.78 0.85% PNC US Equity 552 7,639 75.28 80.72 7.90 0.92% POT CN Equity (107) (1,492) 31.56 33.82 -6.43 1.12% POT US Equity (104) (1,399) 31.45 33.79 •6.54 1.14% PRU LN Equity 7,196 10,482 12.76 21.52 54.06 1.27% PSA US Equity 321 7,104 156.29 163.35 7.06 0.64% PSX US Equity 827 6,025 64.65 73.52 13.94 0.98% PX US Equity 2,091 16,043 113.30 128.06 18.20 0.72% QCOM US Equity 1,599 12,538 66.83 75.35 16.10 0.79% QQQ US Equity 5,793 19,847 68.46 88.44 43.61 0.67% RAI US Equity (8) (1,557) 47.56 47.79 -0.79 0.63% RDS/A US Equity (58) (3,651) 69.28 70.39 -2.15 0.74% RDS/B US Equity (17) 3,991 75.03 74.71 -0.56 0.78% RDSA LN Equity 70 4,062 34.51 35.11 1.97 0.88% RDSA NA Equity (41) (3,467) 34.57 34.98 -1.47 0.81% RDSB LN Equity 18 3,979 37.08 37.25 0.53 0.87% REGN US Equity 408 4,314 289.87 317.26 5.43 1.74% RIO AU Equity 84 3,299 58.66 60.15 2.86 0.89% RIO IN Equity 237 4,815 53.84 56.49 3.83 1.28% RIO US Equity 262 4,930 54.04 56.91 3.70 1.44% ROG VX Equity 5,783 17,036 212.78 285.01 45.67 0.74% RY CN Equity (43) (1,346) 61.84 63.80 -4.34 0.73% SAB LN Equity (90) (3,678) 44.36 45.44 -2.70 0.90% EFTA00292903 SAN FP Equity 343 (6,169) 103.67 97.90 6.52 0.85% SAN SM Equity 459 7,250 8.35 8.88 6.63 0.95% SAN US Equity 433 5,311 8.28 8.95 6.24 1.31% SAP GR Equity (251) 5,237 81.36 77.64 -6.21. 0.77% SAP US Equity (324) 7,095 81.43 77.88 -5.13 0.89% SBUX US Equity (87) (3,419) 72.71 74.56 -2.31 1.10% SCCO US Equity (94) (1,512) 29.68 31.52 -5.20 1.20% SGO FP Equity 1,922 7,716 43.93 54.87 26.65 0.93% SI US Equity 1,358 11,251 114.69 128.52 15.04 0.80% SIE GR Equity 1,036 8,901 114.81 128.18 14.62 0.80% SLB US Equity 827 6,526 79.94 90.07 15.29 0.83% SMSN LI Equity 337 (7,254) 644.51 614.60 4.64 1.00% SO US Equity 30 (9,006) 41.73 41.59 0.69 0.49% SPG US Equity (187) (3,764) 151.46 158.96 -6.61 0.75% SREN VX Equity 1,377 9,702 80.14 91.51 14.41 0.99% STAN IN Equity 339 (5,280) 22.30 20.87 4.71 1.36% 571 NO Equity 91 3,544 24.91 25.55 2.71 0.95% STT US Equity (6) 3,455 68.60 68.50 -0.15 1.10% SU CN Equity (58) (4,096) 32.32 32.78 -2.02 0.70% SU FP Equity 102 3,721 82.27 84.52 2.81 0.97% SU US Equity (50) (3,341) 32.24 32.73 -2.12 0.71% SWEDA SS Equity 566 5,946 24.71 27.06 10.61 0.90% SYNN VX Equity (134) (3,584) 349.49 362.56 -3.73 1.00% 7 US Equity 349 (8,515) 34.31 32.90 5.28 0.78% TD CN Equity (40) (1,765) 43.24 44.22 -3.75 0.60% TEF SM Equity (58) (4,343) 15.24 15.45 -1.55 0.85% TEF US Equity 2 272 15.30 15.42 0.73 1.04% TGT US Equity 1,083 (10,709) 63.57 57.14 12.37 0.82% 71X US Equity 2,742 9,488 46.31 59.69 34.20 0.84% TLS AU Equity 54 4,521 4.52 4.58 1.92 0.62% TLSN SS Equity (10) (300) 7.36 7.62 -4.12 0.84% TM US Equity 2 (5,165) 117.86 117.83 0.05 0.69% TMO US Equity 9,136 10,185 63.59 120.63 96.27 0.93% TOT US Equity 187 2,516 55.17 59.26 8.70 0.85% TRP CN Equity (113) (6,947) 43.75 44.47 -2.79 0.59% TRV US Equity (154) (6,138) 81.08 83.11 -3.45 0.73% TSCO LN Equity 502 (7,391) 5.65 5.27 8.84 0.77% TWC US Equity 664 4,770 118.62 135.12 27.27 0.51% TWX US Equity (63) (1,983) 62.71 64.69 -3.83 0.83% TXN US Equity 2,822 12,200 34.93 43.01 26.67 0.87% TYC US Equity 10,224 23,996 29.17 41.59 61.37 0.69% UBS US Equity 364 5,218 19.37 20.72 5.85 1.19% UBSN VX Equity 306 5,155 19.51 20.67 6.43 0.92% UCG IM Equity 2,173 5,387 5.58 7.83 27.69 1.46% ULVR LN Equity 3 (4,929) 39.29 39.26 0.07 0.99% UNA NA Equity 9 (6,289) 38.14 38.08 0.14 1.02% UNH US Equity 985 10,032 64.08 70.37 11.94 0.82% EFTA00292904 UNP US Equity 952 9,425 160.88 177.14 12.87 0.79% UPS US Equity 2,939 14,801 79.87 95.73 32.78 0.61% USB US Equity 2,251 14,232 34.71 40.20 23.88 0.66% UTX US Equity 5,627 15,134 82.05 112.56 48.19 0.77% V US Equity 6,850 7,839 118.43 221.91 93.63 0.93% VALE US Equity 196 (3,904) 15.08 14.32 3.50 1.43% VALE3 BZ Equity 233 (4,583) 15.04 14.28 3.53 1.44% VIAB US Equity 3,625 6,364 52.96 83.13 60.40 0.94% VIV FP Equity 120 2,281 25.90 27.26 6.54 0.80% VMW US Equity 285 4,241 87.26 93.13 5.06 1.33% VOD LN Equity 1,239 7,587 3.14 3.65 18.25 0.89% VOD US Equity 1,150 7,512 31.63 36.47 17.51 0.87% VOW3 GR Equity 1,032 6,822 228.75 263.35 13.94 1.09% VRX CN Equity 832 1,610 92.95 140.98 34.59 1.49% VRX US Equity 960 1,878 93.20 140.83 37.53 1.36% VTI US Equity 445 5,131 86.91 94.45 16.12 0.54% VWO US Equity 331 (7,240) 40.33 38.49 4.81 0.95% VZ US Equity 123 (6,116) 48.12 47.16 2.89 0.69% WFC US Equity 2,229 10,064 37.56 45.88 33.20 0.67% WLP US Equity 1,536 10,363 74.31 85.32 15.01 0.99% WMT US Equity (29) 4,002 75.07 74.52 -1.35 0.54% WOW AU Equity (23) (8,658) 31.30 31.38 -0.41 0.65% XOM US Equity 1 10,893 90.48 90.49 0.01 0.67% XTA LN Equity 2 (2,237) 0.04 2.26% YHOO US Equity 327 1,281 30.64 38.47 17.93 1.43% YUM US Equity 35 5,071 72.81 73.32 0.63 1.10% ZURN VX Equity 140 6,388 291.95 298.36 3.09 0.71% 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 14./18 62,258 14/1.80 1,819. /S 3/.1/ EFTA00292905 NDX Index 12,378 46,668 2862.49 3,621.72 32.51 0.82% RTY Index 11,506 39,930 876.57 1,129.16 33.69 0.86% SPTSX Index (96) (4,677) 12346.98 12,600.75 -3.93 0.52% MEXBOL Index 1,078 (26,123) 3200.47 3,068.44 4.53 0.91% IBOV Index 2,238 (22,504) 22385.42 20,159.23 7.65 1.30% MERVAL Index 681 (11,136) 767.68 720.75 3.07 1.99% UKK Index 2,692 39,934 10288.22 10,981.86 10.77 0.63% DAX Index 8,041 36,668 10610.77 12,937.57 31.05 0.71% CAC Index 959 10,757 5367.56 5,846.30 12.96 0.69% IBEX Index 7,624 38,408 11492.37 13,773.48 21.07 0.94% SMI Index 5,934 40,693 8134.42 9,320.61 24.76 0.59% FTSEMIB Index 4,462 23,066 22744.85 27,144.30 25.56 0.76% P5120 Index 4,678 24,271 8026.78 9,573.75 20.13 0.96% ISEQ Index 22,437 40,091 4246.25 6,622.67 79.93 0.70% ICEXI Index 6,355 35,390 6.58 7.77 27.33 0.66% AEX Index 4,779 42,224 484.27 539.08 18.49 0.61% BEL20 Index 5,019 41,728 3586.05 4,017.35 20.39 0.59% LUXXX Index 8,746 39,686 1655.49 2,020.32 30.83 0.71% KFX Index 8,511 38,020 100.82 123.39 29.13 0.77% HEX Index 7,809 40,903 8513.92 10,139.27 22.95 0.83% OMX Index 1,944 20,712 189.54 207.33 11.87 0.79% ATX Index 3,427 28,081 3213.33 3,605.49 13.26 0.92% ME Index 6,448 17,680 1246.19 1,700.71 25.22 1.45% OSEBX Index 1,476 22,122 84.29 89.91 9.16 0.73% INDEXCF Index (339) (14,119) 41.71 42.71 -3.08 0.78% TOP40 Index (372) (10,174) 3626.01 3,758.50 -4.48 0.82% SENSEX Index 129 (16,208) 330.60 327.97 1.05 0.76% NKY Index 1,718 12,694 288.88 327.97 10.92 1.24% HSI Index (216) (14,943) 2791.37 2,831.70 -1.86 0.78% SHCOMP Index (317) (27,693) 343.18 347.11 -1.47 0.78% KOSPI Index (278) (12,390) 1.77 1.81 -3.20 0.70% ASS1 Index 4,750.59 STBCNZL Index 29,833 73,230 445.27 626.66 76.94 0.53% EEM US Equity 369 (6,113) 41.64 39.13 5.45 1.11% IYR US Equity (180) (4,163) 63.94 66.70 -7.79 0.56% MDY US Equity 4,217 14,218 185.78 240.88 35.05 0.85% JNK US Equity (5) (1,917) 40.74 40.84 -1.38 0.18% XLF US Equity 4,995 13,560 15.73 21.53 46.68 0.79% XLU US Equity 176 6,358 38.48 39.54 4.65 0.59% XLK US Equity 1,824 12,856 31.18 35.60 20.64 0.69% XLI US Equity 5,032 16,087 38.63 50.71 39.53 0.79% XLP US Equity (51) 7,323 41.86 41.57 -1.21 0.57% XLY US Equity 7,620 20,539 47.06 64.52 46.21 0.80% XLE US Equity 1 2,523 84.69 84.72 0.04 0.82% XLB US Equity 2,908 14,872 38.01 45.44 25.94 0.75% XLV US Equity 11,245 24,346 39.39 57.59 59.76 0.77% SXXP Index 5,334 43,375 400.51 449.76 21.38 0.58% EFTA00292906 SXAP Index 8,803 28,509 520.28 680.93 34.85 0.89% SXKP Index 4,197 46,996 366.14 398.84 13.16 0.68% SX6P Index 3,487 32,218 349.85 387.71 17.08 0.63% SXEP Index 336 16,750 435.33 444.06 2.98 0.67% SXIP Index 11,451 28,921 222.31 310.32 49.83 0.79% SXNP Index 4,574 28,379 482.69 560.48 24.81. 0.65% SX3P Index 124 10,375 653.49 661.29 1.55 0.77% SXDP Index 21,972 61,063 609.16 828.34 62.76 0.57% SX4P Index 2,798 25,835 917.36 1,016.70 15.10 0.72% SX8P Index 2,211 13,356 330.19 384.85 24.71 0.67% SXOP Index 7,491 40,505 380.28 450.61 22.97 0.81% SXQP Index 782.20 SXRP Index 299 16,750 429.06 436.73 2.91 0.61% SOAP Index 11,992 35,763 261.12 348.68 50.03 0.67% SXTP Index 20,853 39,240 172.05 263.48 79.79 0.67% SX7E Index 5,577 17,747 157.43 206.91 24.46 1.28% SXSE Index 5,352 38,468 3686.95 4,199.91 19.54 0.71% SPGSCITR Index (215) (33,446) 4817.40 4,848.32 -1.14 0.56% XAG Curncy 2,247 (20,139) 22.78 20.24 11.19 1.00% CO1 Comdty 50 (24,602) 108.90 108.68 0.30 0.67% CL1 Comdty 435 17,320 97.49 99.94 2.70 0.93% NG1 Comdty 4,652 16,595 3.77 4.82 7.72 3.63% XAU Comdty 4,548 (41,240) SIN/A 16.44 0.67% IBOXHY Index 2,043 53,379 220.49 228.93 40.02 0.10% US_TSY CREDIT (23) 10,332 760.25 758.55 .1.54 0.15% CA_TSY CREDIT 6,633 (97,103) 1269.35 1,182.64 18.39 0.37% MX_TSY CREDIT 190 (13,735) 209.03 206.14 2.39 0.58% AU TSY CREDIT 1,097 (79,064) 1457.62 1,437.40 2.81 0.49% JP_TSY CREDIT 861 (59,628) 822.10 810.23 3.72 0.39% MY_TSY CREDIT 2,636 (90,265) 167.52 162.63 12.72 0.23% SG_TSY CREDIT 608 (95,665) 219.11 217.72 2.50 0.25% AT_TSY CREDIT 2,075 64,302 354.64 366.09 10.28 0.31% BE_TSY CREDIT 2,824 67,560 473.36 493.14 13.71 0.30% FI_TSY CREDIT 2,074 66,491 346.05 356.84 10.12 0.31% FR_TSY CREDIT 2,405 62,432 1661.26 1,725.26 12.43 0.31% DE_TSY CREDIT 1,679 60,463 1233.01 1,267.26 8.67 0.32% IE_TSY CREDIT 28,172 78,254 336.92 458.22 115.14 0.31% IT_TSY CREDIT 6,283 53,822 1611.87 1,800.03 41.53 0.28% NL_TSY CREDIT 1,966 65,324 1317.53 1,357.18 9.85 0.31% ES_TSY CREDIT 8,643 50,193 392.28 459.83 61.95 0.28% DK_TSY CREDIT 1,936 51,045 721.13 748.49 11.35 0.33% NO_TSY CREDIT (136) (27,358) 333.32 334.97 •1.03 0.48% PL_TSY CREDIT 616 22,127 420.32 432.02 5.22 0.53% ZA_TSY CREDIT 2,418 (33,120) 83.13 77.06 7.66 0.95% SE_TSY CREDIT (602) (21,120) 452.11 465.00 -7.45 0.38% CH_TSY CREDIT 2,529 59,255 999.11 1,041.75 11.22 0.38% GB_TSY CREDIT 286 31,818 1475.94 1,489.20 2.76 0.33% EFTA00292907