EFTA00292908.pdf

Atorus, LLC Current Date: T12M 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): 2/12/2014 35.36% 74.12% 4,103,169 (1,361,039) 2,742,131 456 1,000,000 1,741,219 3.14 2/12/2014 Change on Day: 0.01% MSC' World Change on Day 0.20% Profit Factor: Win Ratio: T24M (+) NAV Days T24M Avg. Daily NAV (+) Change T24M Avg. Daily NAV (-) Change Target Vol-Adj. Risk Listed Equities Target Vol-Adj. Risk Global Macro Targeted Max Loss (ex-Leverage) Leverage Target At Inception: Notes on Leverage: T24M Sharpe Ratio: Historical Sharpe & Notes: Historically 2.25X - 3.25X, depending on measurement interval 40% - 50% historically 51% 1.03% -0.88% 50.00% 50.00% 10.00% 2X We implement leverage of 2X, in other words at inception we upsize our positions by a factor two times greater than our volatility adjusted position sizing. Leverage levels can be customized to each investor. 1.271 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 1.000.000.00 800,000.00 600,000.00 .fre"Aufhie01....nith 1. 'le 11, to) eb el) tit e et O% e e se et O% e O e C. . C. et el• is\i" isP A\ 0)\ % 4 A\ 4 — NAV EFTA00292908 Atorus, LLC 2/12/2014 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 5,626 0.32% SPGSCITR Index (33,446) 0.61% ROG VX Equity 5,759 0.33% XAU Comdty (41,240) 0.75% IT_TSY CREDIT 5,783 0.33% CH_TSY CREDIT 59,255 1.08% ACA P Equity 5,925 0.34% JP_TSY CREDIT (59,628) 1.09% SMI Index 5,934 0.34% SXDP Index 61,063 1.12% MAERSKB DC Equity 5,935 0.34% SPX Index 62,258 1.14% CM US Equity 5,939 0.34% FR_TSY CREDIT 62,432 1.14% CMCSA US Equity 6,216 0.36% DE_TSY CREDIT 62,519 1.14% DAI GR Equity 6,279 0.36% AT_TSY CREDIT 64,302 1.18% CA_TSY CREDIT 6,349 0.36% NL_TSY CREDIT 65,324 1.20% ICEXI Index 6,355 0.36% FI_TSY CREDIT 66,491 1.22% MDT US Equity 6,359 0.37% BE_TSY CREDIT 67,560 1.24% ME Index 6,448 0.37% STBCNZL Index 73,230 1.34% HON US Equity 6,462 0.37% lE_TSY CREDIT 78,254 1.43% GS US Equity 6,507 0.37% AU_TSY CREDIT (79,064) 1.45% BMY US Equity 6,604 0.38% MY_TSY CREDIT (90,265) 1.65% AMGN US Equity 6,616 0.38% SG_TSY CREDIT (95,665) 1.75% V US Equity 6,978 0.40% CA_TSY CREDIT (97,103) 1.78% MMM US Equity 7,343 0.42% SXOP Index 7,491 0.43% PRU LN Equity 7,527 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% ES_TSY CREDIT 8,165 0.47% KFX Index 8,511 0.49% CMCSK US Equity 8,692 0.50% LUXXX Index 8,746 0.50% SXAP Index 8,803 0.51% BAYN GR Equity 8,883 0.51% TMO US Equity 9,238 0.53% BAC US Equity 9,743 0.56% TYC US Equity 10,117 0.58% BA US Equity 10,962 0.63% MA US Equity 11,148 0.64% XLV US Equity 11,245 0.65% EFTA00292909 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 13,394 0.77% SPX Index 14,718 0.85% SXTP Index 20,853 1.20% SXDP Index 21,972 1.26% ISEQ Index 22,437 1.29% lE_TSY CREDIT 27,468 1.58% ST8CN2L Index 29,833 1.71% GILD US Equity 33,453 1.92% No. Names b APAC Long 21 APAC Short 31 EMEA Long 68 EMEA Short 25 AMER Long 154 AMER Short 64 EquityCom Long 52 EquityCom Short 17 Credit Long 15 Credit Short 9 Total Long 310 Total Short 146 EFTA00292910 Atorus, LLC 2/12/2014 Historical Net Exposure by Geography (listed Equities) & Macro (Equity Indices & Cornrow'lit's, G20 Gov. Credit) Historical Gross Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodlltes, G20 Gov. Credit) EFTA00292911 Atorus, LIC 2/12/2014 Current Gross Notional Risk by Category 212,585 556,367 ll • 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 oct. e ac, te te es. cr isS? 4..N Ps. is• PASCIWorkS ATORUS Roiling 30 Day Realized Volatility - EFTA00292912 Atorus, LLC 2/12/2014 Percentile Distribution of Current MTM Gains in Vol Days by Position (ex-99pct & ex-1st percentiles) Percentile No. Vol Days O.00VG 8.24 5.00% -5.32 10.00% .3.14 15.00% 4.54 20.00% 4.70 25.00% 0.00 30.00% 0.78 35.00% 2.58 40.00% 3.48 45.00% 5.21 50.00% 6.95 55.00% 9.08 60.00% 11.50 65.00% 14.29 70.00% 17.91 75.00% 21.15 80.00% 25.74 85.00% 33.21 90.00% 39.24 95.00% 54.27 100.00% 175.52 Days by Position MTM Gains(Losse) % of NAV "Signficant" (<7 Vol Days) MTM Gains(Losses) % of NAV "Signficant" (>7 Vol Days) 49.73% EFTA00292913 Atorus, LLC Current Portfolio -Listed Equity Portfolio Current Price P/L in Vol 30P Realized Security MTM Gain/(toss) Exp. # Cost Avg. Price (In USD) Days Vol 2/12/2014 000270 KS Equity 171 (4,502) 51.62 49.66 2.95 1.29% 005380 KS Equity (25) 1,798 218.00 215.02 -1.00 1.38% 005490 KS Equity 17 (4,236) 274.12 273.01 0.45 0.90% 005930 KS Equity 233 (6,552) 1285.62 1239.85 3.48 1.02% 012330 KS Equity 1,034 5,278 244.69 292.61 15.65 1.25% 1 HK Equity (61) (3,181) 14.68 14.96 -3.28 0.58% 1299 HK Equity (100) (1,971) 4.57 4.80 4.67 1.08% 13 HK Equity 1,814 12,234 11.40 13.09 16.30 0.91% 16 HK Equity 274 (9,928) 12.66 12.31 4.69 0.59% 27 HK Equity (4) 123 9.67 9.33 •1.56 2.35% 2914 JP Equity (10) (4,715) 32.47 32.53 -0.15 1.41% 3382 JP Equity 123 3,409 37.70 39.06 2.95 1.23% 4063 JP Equity 41 (4,532) 56.40 55.89 0.75 1.21% 4502 JP Equity (5) 1,092 46.91 46.71 .0.49 0.89% 4689 JP Equity (17) 749 6.01 5.87 -1.35 1.70% 5 HK Equity (110) (4,712) 10.20 10.44 -3.35 0.70% 5108 JP Equity 20 3,496 36.36 36.57 0.52 1.09% 54011P Equity (91) (2,964) 2.99 3.08 -2.17 1.41% 63011P Equity (34) (3,512) 20.64 20.84 .0.70 1.40% 6752 JP Equity 1,341 4,142 9.01 11.93 12.93 2.50% 6902 JP Equity 2,638 9,725 41.48 52.73 19.99 1.36% 6954 JP Equity 376 6,388 157.65 166.93 3.40 1.73% 72011P Equity 5 (3,740) 8.85 8.84 0.10 1.30% 7203 JP Equity (40) (1,559) 57.26 58.74 -2.11 1.22% 7267 JP Equity (83) (2,038) 35.79 37.26 -3.49 1.17% 762 HK Equity 224 (4,152) 1.43 1.35 4.81. 1.12% 7751 JP Equity 367 (6,859) 31.44 29.75 5.31 1.01% 80311P Equity (350) (5,386) 13.92 14.83 -5.29 1.23% 8058 JP Equity (25) (312) 17.87 19.32 -6.90 1.17% 8106 JP Equity (73) (2,590) 5.84 6.01 -2.24 1.25% 8316 JP Equity (50) (2,436) 46.12 47.07 -1.44 1.43% 8411 JP Equity (18) 3,773 2.12 2.11 -0.34 1.37% 8604 JP Equity (42) (1,492) 6.73 6.91 -1.87 1.49% 8801 JP Equity (36) (1,121) 31.32 32.34 -2.35 1.38% 8802 JP Equity (54) (3,305) 24.73 25.13 -1.24 1.32% 9020 JP Equity 131 (3,964) 77.53 74.97 3.19 1.04% 941 HK Equity 795 (11,120) 10.27 9.54 10.52 0.68% 9432 JP Equity 259 6,072 53.19 55.47 3.29 1.30% 9433 JP Equity 2,482 9,471 42.13 53.17 19.43 1.35% 9437 JP Equity (156) (5,744) 15.71 16.14 -2.54 1.07% 9983 JP Equity (77) 3,175 368.86 360.15 -1.47 1.64% EFTA00292914 9984 JP Equity 2,180 2,796 02.69 75.98 47.44 1.64% AAPL US Equity 277 7,871 518.25 536.52 3.30 1.07% ABB US Equity 909 10,400 23.59 25.65 8.54 1.02% ABBN VX Equity 713 8,696 23.63 25.57 7.72 1.06% ABBV US Equity 111 5,332 49.49 50.52 1.86 1.12% ABEV US Equity 555 (7,226) 7.25 6.69 5.46 1.41% ABEV3 BZ Equity 554 (6,917) 7.29 6.71 6.28 1.27% ABI BB Equity (88) (1,117) 94.20 99.64 -6.00 0.96% ABT US Equity (84) 4,093 38.86 38.26 -1.94 0.80% ABX CN Equity (428) (3,511) 17.17 19.26 -7.68 1.59% ABX US Equity (394) (3,476) 17.20 19.15 -7.32 1.55% ACA FP Equity 5,925 5,390 6.83 14.35 76.17 1.44% ACE US Equity 81 3,675 93.86 95.92 3.07 0.72% ACN US Equity 493 9,045 77.04 81.24 6.49 0.84% ADP US Equity 53 1,192 72.36 75.59 5.58 0.80% AFL US Equity 6 1,639 62.47 62.70 0.55 0.66% AGL S1 Equity (358) (3,038) 22.73 25.41 •8.16 1.44% AGN US Equity 1,212 6,802 104.77 123.43 14.99 1.19% Al FP Equity (175) (2,759) 126.16 134.15 43.24 0.77% AIG US Equity 52 4,009 48.66 49.29 1.43 0.91% AIR FP Equity 4,594 6,520 42.47 72.38 69.92 1.01% ALV GR Equity 2,935 7,522 125.64 174.67 38.22 1.02% ALVG IX Equity 2,205 5,722 126.13 174.73 38.95 0.99% AMGN US Equity 6,616 22,885 94.49 121.80 29.07 0.99% AMT US Equity 736 10,646 76.29 81.57 8.90 0.78% AMZN US Equity 3,079 14,103 287.66 350.46 17.01 1.28% ANZ AU Equity (113) (1,859) 26.23 27.83 -7.05 0.86% APA US Equity 109 (6,864) 82.74 81.43 1.97 0.80% APC US Equity (56) (5,630) 80.96 81.77 -1.18 0.85% AXP US Equity 2,498 10,369 71.56 88.81 22.62 1.07% AZN LN Equity 4,160 12,669 49.80 66.15 34.17 0.96% AZN SS Equity 3,576 11,663 50.40 65.85 31.32 0.98% AZN US Equity 4,048 12,426 49.96 66.23 32.75 0.99% BA US Equity 10,962 17,885 79.84 128.78 53.52 1.15% BAC US Equity 9,743 10,843 8.82 16.75 89.52 1.00% BARC LN Equity (84) 5,291 4.41 4.34 •1.32 1.20% BAS GR Equity 920 7,329 97.30 109.52 14.14 0.89% BATS LN Equity (49) (4,196) 49.08 49.64 -1.25 0.93% BAX US Equity (300) (8,040) 66.82 69.31 -6.55 0.57% BAYN GR Equity 8,883 11,714 76.64 134.75 75.38 1.01% BBAS3 BZ Equity 453 9.09 9.09 0.00 1.55% BBD US Equity 1,053 (6,738) 12.96 10.93 11.68 1.34% BBDC4 BZ Equity 1,020 (7,246) 12.74 10.95 12.55 1.12% BBL US Equity (107) (5,013) 60.45 61.74 -2.01 1.06% BBVA SM Equity 1,219 5,719 10.09 12.25 16.08 1.33% BCE CN Equity 74 (6,638) 43.17 42.69 1.59 0.70% BCS US Equity (108) 6,391 17.72 17.43 •1.34 1.26% EFTA00292915 BEN US Equity 104 4,615 52.08 53.25 2.26 0.99% BG/ IN Equity (86) (2,614) 17.28 17.85 -2.38 1.39% BHP AU Equity (128) (2,465) 31.81 33.46 -5.82 0.89% BHP US Equity 752 67.70 67.70 0.00 0.93% BOB US Equity 334 1,065 245.93 323.10 21.94 1.43% BIL Si Equity (69) (4,448) 30.26 30.73 -1.45 1.07% BK US Equity 70 1,538 30.62 32.02 5.12 0.89% BLK US Equity 130 1,170 274.17 304.56 11.38 0.97% BLT IN Equity (117) (4,943) 30.23 30.95 -2.43 0.97% BMO CN Equity (52) (1,272) 61.56 64.06 -5.97 0.68% BMW GR Equity 869 5,073 98.63 115.53 21.43 0.80% BMY US Equity 6,604 13,624 35.71 53.02 38.15 1.27% BN FP Equity 128 (3,680) 70.54 68.09 3.61 0.96% BNP FP Equity 1,894 5,495 61.78 83.07 29.58 1.17% BNS CN Equity (102) (2,759) 54.78 56.81 .4.46 0.83% BP/ IN Equity 459 8,439 7.68 8.10 8.41 0.65% BRK/B US Equity (61) (2,330) 110.60 113.50 4.37 0.60% BSBR US Equity 1,687 (8,164) 6.18 4.91 12.56 1.65% BUD US Equity (65) (1,090) 94.17 99.78 -6.10 0.98% BX US Equity 127 2,974 30.31 31.60 3.99 1.07% C US Equity (70) (1,108) 46.95 49.94 -5.37 1.18% CA FP Equity 386 1,958 30.49 36.50 18.79 1.05% CAT US Equity 1,050 10,293 87.23 96.13 9.74 1.05% CBA AU Equity 936 68.58 68.58 0.00 0.70% CBS US Equity 318 1,266 49.35 61.75 22.09 1.14% CCL US Equity 895 7,815 36.20 40.35 11.73 0.98% CELG US Equity 13,394 15,113 85.54 161.34 68.07 1.30% CFR VX Equity 517 99.31 99.31 0.00 1.36% CL US Equity 963 18,618 58.99 62.04 8.47 0.61% CM CN Equity 936 80.58 80.58 0.00 0.60% CMCSA US Equity 6,216 17,408 40.65 55.16 42.60 0.84% CMCSK US Equity 8,692 18,900 36.26 52.94 58.65 0.78% CNI US Equity 1,148 12,863 51.38 55.96 10.95 0.82% CNQ CN Equity 41 2,432 34.37 34.95 1.96 0.87% CNR CN Equity 1,158 12,415 51.30 56.08 11.66 0.80% COF US Equity 350 6,073 67.68 71.59 6.68 0.86% COP US Equity 148 (7,973) 66.64 65.40 2.89 0.64% COST US Equity 885 114.85 114.85 0.00 0.79% COV LN Equity 186 2,433 KN/A N/A 25.05 0.30% COV US Equity 722 6,342 63.38 70.60 12.27 0.93% CRM US Equity 167 2,053 56.89 61.51 6.48 1.26% CS FP Equity 2,607 6,712 19.39 26.92 37.45 1.04% CSCO US Equity (213) (4,973) 21.79 22.72 -5.57 0.77% CSX US Equity 814 8,909 25.07 27.36 8.23 1.11% CVE CN Equity 652 (10,443) 28.70 26.91 10.26 0.61% CVS US Equity 973 10,304 62.75 68.67 13.03 0.72% CVX US Equity (8) (6,316) 112.00 112.15 -0.18 0.74% EFTA00292916 D US Equity 1,866 12,102 59.94 69.19 20.38 0.76% DAI GR Equity 6,279 13,903 62.20 90.30 41.43 1.09% DBK GR Equity 194 4,050 46.61 48.84 3.62 1.32% DD US Equity 2,055 12,298 54.46 63.56 18.22 0.92% DDAIF US Equity 3,599 8,348 63.20 90.45 34.82 1.24% DE US Equity 134 8,116 85.65 87.06 2.57 0.64% DELL US Equity 14 6,710 #N/A N/A 2.65 0.08% DG FP Equity 3,703 9,883 51.34 70.57 46.59 0.80% DGE LN Equity (80) (2,153) 29.53 30.63 -3.20 1.17% DHR US Equity 4,067 14,049 58.57 75.52 39.74 0.73% DIS US Equity 1,374 9,900 68.36 77.85 13.86 1.00% DISCA US Equity 31 3,647 82.02 82.72 0.84 1.02% DNB NO Equity 1,191 8,928 15.62 17.70 18.53 0.72% DOW US Equity 1,886 6,442 35.84 46.33 24.51 1.19% DPW GR Equity 142 546 28.24 35.60 30.01 0.87% DTE GR Equity 4,260 13,635 12.22 16.04 31.63 0.99% DTV US Equity 1,702 9,150 60.09 71.27 24.24 0.77% DUK US Equity (149) (8,814) 69.60 70.78 -3.03 0.56% DVN US Equity (38) 5,743 61.76 61.35 -0.83 0.80% EBAY US Equity 162 5,054 52.95 54.65 2.70 1.19% ECL US Equity 7 3,979 101.15 101.34 0.26 0.70% EDF FP Equity 4,658 9,184 23.45 35.34 68.32 0.74% EMC US Equity 72 8,831 24.88 25.08 0.97 0.84% EMR US Equity 235 3,622 61.11 65.07 9.52 0.68% ENB CN Equity (156) (6,998) 41.70 42.63 -4.52 0.49% ENEL IM Equity 939 6,720 4.24 4.84 14.99 0.93% ENI IM Equity (86) (2,536) 22.27 23.03 -4.49 0.76% EOAN GR Equity 1 2,603 18.66 18.66 0.02 0.97% EOG US Equity 1,218 5,569 143.99 175.48 21.98 1.00% EPD US Equity 750 9,126 61.83 66.92 11.46 0.72% ERICB SS Equity 141 3,931 12.11 12.54 3.75 0.96% ESRX US Equity 1,360 9,809 66.69 75.94 20.56 0.67% ETN US Equity 15 3,003 70.48 70.82 0.51 0.96% F US Equity (57) (3,617) 14.82 15.05 -1.50 1.05% F8 US Equity 1,228 2,567 43.70 64.60 33.29 1.44% FCX US Equity (84) (1,789) 31.57 33.05 -4.03 1.16% FDX US Equity 521 5,334 120.94 132.74 11.38 0.86% FOX US Equity (0) 701 31.76 31.76 0.00 1.00% FOXA US Equity 623 32.46 32.46 0.00 1.13% FP FP Equity 86 4,758 58.67 59.74 2.48 0.73% G IM Equity 306 3,632 20.52 22.25 9.25 0.91% GE US Equity 2,301 16,425 22.32 25.44 16.63 0.84% GILD US Equity 33,453 13,861 24.02 82.01 175.52 1.38% GIS US Equity 17 7,619 48.58 48.69 0.39 0.56% GLE FP Equity 882 3,245 49.51 62.97 17.68 1.54% GLEN LN Equity (233) (2,611) 5.14 5.59 -7.37 1.21% GLW US Equity 1,967 11,367 16.17 18.97 14.77 1.17% EFTA00292917 GM US Equity 806 3,199 28.27 35.40 23.79 1.06% GOOG US Equity 4,725 12,387 857.75 1184.92 41.62 0.92% GS US Equity 6,507 13,622 110.98 163.99 66.72 0.72% GSK LN Equity 273 4,317 25.71 27.33 5.20 1.22% GSZ FP Equity 936 23.14 23.14 0.00 0.73% HAL US Equity 663 3,714 45.35 53.43 19.40 0.92% HD US Equity 2,068 12,500 66.04 76.96 33.66 0.49% HMB SS Equity 634 6,105 40.79 45.02 11.24 0.92% HON US Equity 6,462 11,890 61.10 94.31 86.10 0.63% HPQ US Equity 1,220 6,292 24.79 29.59 17.57 1.10% HSBA LN Equity (36) (1,082) 10.23 10.57 -1.42 2.37% IBE SM Equity 911 6,914 5.48 6.20 19.91 0.66% IBM US Equity 186 (8,386) 184.74 180.64 2.87 0.77% IMT LN Equity 312 10,915 35.95 36.97 2.59 1.10% INTC US Equity 306 9,775 23.81 24.55 3.52 0.89% ISP IM Equity 2,943 5,552 1.91 2.92 44.45 1.19% ITUB US Equity 328 (5,904) 13.81 13.05 3.97 1.40% ITUB4 BZ Equity 260 (6,360) 13.59 13.04 3.27 1.25% ITW US Equity 2,284 14,003 67.84 78.90 27.24 0.60% ITX SM Equity (38) (4,388) 149.70 151.01 4.19 0.74% JCI US Equity 4,069 9,880 34.13 48.18 36.83 1.12% JNJ US Equity 4,190 12,583 69.31 92.40 41.76 0.80% JPM US Equity 850 8,516 52.29 57.51 12.42 0.80% KMB US Equity 87 7,927 106.69 107.86 1.68 0.66% KMI US Equity 250 (6,747) 35.17 33.87 5.60 0.66% KO US Equity 48 (6,937) 38.83 38.56 1.01 0.69% LBTYA US Equity (33) 2,270 84.92 83.70 4.78 0.82% LBTYK US Equity 104 1,900 77.86 82.11 6.85 0.80% LIN GR Equity 112 4,617 194.24 198.96 3.17 0.77% LLOY LN Equity 3,880 7,068 0.89 1.38 51.16 1.07% LLY US Equity (40) (3,785) 52.85 53.41 4.35 0.78% LMT US Equity 598 2,015 122.48 158.84 29.08 1.02% LNKD US Equity (39) 389 215.50 196.08 -5.91 1.68% LOW US Equity (60) (2,615) 45.69 46.74 -2.97 0.77% LVS US Equity 1,910 6,805 61.33 78.55 19.56 1.44% LYB US Equity 898 2,296 59.29 82.48 33.75 1.16% MA US Equity 11,148 18,057 47.03 76.07 53.02 1.16% MAERSKB DC Equity 5,935 14,143 8212.58 11658.72 35.56 1.18% MC FP Equity (0) 2,355 182.19 182.16 -0.01 1.12% MCD US Equity (14) (6,967) 94.88 95.07 -0.41 0.51% MCK US Equity 143 1,761 161.77 174.90 6.97 1.16% MDIZ US Equity 2,165 13,636 28.68 33.24 20.39 0.78% MDT US Equity 6,359 20,734 43.22 56.48 32.95 0.93% MET US Equity 936 7,552 44.37 49.87 11.50 1.08% MFC CN Equity 4,221 7,974 12.38 18.93 50.13 1.06% MHS US Equity 1,755 13,962 RN/A N/A 11.02 1.14% MMM US Equity 7,343 21,252 96.89 130.37 48.22 0.72% EFTA00292918 MO US Equity (75) 3,961 35.59 34.93 -2.62 0.72% MON US Equity 455 11,908 106.02 110.07 4.51 0.85% MOS US Equity (185) (3,575) 45.85 48.22 4.69 1.10% MRK US Equity 1,202 9,342 48.80 55.08 13.37 0.96% MS US Equity 158 1,648 27.57 30.21 9.10 1.05% MSFT US Equity 548 7,171 34.82 37.48 7.31 1.04% MUV2 GR Equity 595 7,529 197.44 213.05 10.09 0.78% NAB AU Equity (200) (3,408) 28.99 30.69 -7.36 0.80% NCM AU Equity 2,756 (5,094) 21.94 10.07 23.26 2.33% NEE US Equity 3,955 14,643 72.62 92.23 36.55 0.74% NEM US Equity 2,614 (7,388) 34.95 22.58 19.67 1.80% NESN VX Equity 684 9,813 69.64 74.49 7.79 0.90% NG/ LN Equity 1,661 11,410 11.72 13.42 20.52 0.71% NICE US Equity 739 2,939 59.26 74.17 31.54 0.80% NOK US Equity 3,631 4,495 3.96 7.16 56.53 1.43% NOV US Equity (19) (5,515) 75.68 75.95 -0.47 0.74% NOVN VX Equity 4,898 18,219 63.81 80.96 40.06 0.67% NOVOB DC Equity 692 7,255 38.83 42.53 8.89 1.07% NSC US Equity 1,521 9,583 80.49 93.27 13.37 1.19% NVS US Equity 3,908 15,457 65.07 81.52 37.63 0.67% OGXP3 BZ Equity 5,016 (5,163) 4.43 0.13 25.26 3.85% OR FP Equity 577 167.84 167.84 0.00 1.22% ORA FP Equity (1) 2,958 12.37 12.36 -0.04 1.03% ORCL US Equity 1,050 7,413 33.31 38.02 19.87 0.71% OXY US Equity 936 92.19 92.19 0.00 0.75% PBR US Equity 369 (2,811) 13.30 11.55 8.62 1.52% PBR/A US Equity 297 (2,793) 13.87 12.40 7.11 1.49% PCLN US Equity 906 3,041 956.05 1240.95 26.61 1.12% PCP US Equity 3,193 13,703 212.47 261.97 25.74 0.91% PEP US Equity 2 3,900 81.31 81.35 0.07 0.55% PETR3 BZ Equity 340 (2,920) 6.54 5.78 8.13 1.43% PETR4 BZ Equity 346 (3,120) 6.95 6.18 7.76 1.43% PFE US Equity 4,711 21,828 26.10 31.74 28.06 0.77% PG US Equity 18 4,758 77.33 77.63 0.52 0.74% PHIA NA Equity 1,935 11,206 30.43 35.68 22.96 0.75% PM US Equity 804 (10,157) 85.47 78.70 9.36 0.85% PNC US Equity 588 7,639 75.28 81.07 8.40 0.92% POT CN Equity (225) (2,985) 31.56 33.94 -6.77 1.12% POT US Equity (218) (2,798) 31.45 33.90 -6.86 1.14% PRU LN Equity 7,527 10,482 12.76 21.93 56.55 1.27% PSA US Equity 310 7,104 156.29 163.11 6.81 0.64% PSX US Equity 850 6,025 64.65 73.76 14.32 0.98% PX US Equity 2,129 16,043 113.30 128.33 18.53 0.72% QCOM US Equity 1,771 12,538 66.83 76.27 17.83 0.79% QQQ US Equity 5,939 19,847 68.46 88.94 44.71 0.67% RAI US Equity 4 (1,557) 47.56 47.43 0.44 0.63% RDS/A US Equity (50) (3,651) 69.28 70.23 -1.83 0.74% EFTA00292919 RDS/B US Equity (12) 3,991 75.03 74.80 -0.39 0.78% RDSA LN Equity 70 4,062 34.51 35.10 1.96 0.88% RDSA NA Equity (40) (3,467) 34.57 34.97 -1.43 0.81% RDSB LN Equity 34 3,979 37.08 37.40 0.97 0.87% REGN US Equity 470 4,718 292.33 321.47 5.72 1.74% RIO AU Equity 143 3,794 58.98 61.21 4.26 0.89% RIO LN Equity 386 4,815 53.84 58.15 6.25 1.28% RIO US Equity 369 4,930 54.04 58.09 5.21 1.44% ROG VX Equity 5,759 17,036 212.78 284.72 45.49 0.74% RY CN Equity (105) (2,692) 61.84 64.25 -5.32 0.73% SAB LN Equity (109) (2,942) 44.36 46.00 -4.11 0.90% SAN FP Equity 317 (6,169) 103.67 98.34 6.01 0.85% SAN SM Equity 449 7,250 8.35 8.86 6.50 0.95% SAN US Equity 389 5,311 8.28 8.88 5.60 1.31% SAP GR Equity (234) 5,237 81.38 77.91 -5.78 0.77% SAP US Equity (306) 7,095 81.45 78.08 -4.84 0.89% SBUX US Equity (43) (2,280) 72.71 74.09 -1.73 1.10% SCCO US Equity (192) (3,025) 29.68 31.57 -5.31 1.20% SGO P Equity 2,051 7,716 43.93 55.60 28.42 0.93% SI US Equity 1,360 11,251 114.69 128.55 15.07 0.80% SIE GR Equity 1,078 8,901 114.81 128.71 15.20 0.80% SLB US Equity 848 6,526 79.94 90.32 15.66 0.83% SMSN LI Equity 309 (7,254) 644.51 617.04 4.26 1.00% SO US Equity 24 (9,006) 41.73 41.62 0.54 0.49% SPG US Equity (153) (3,764) 151.46 157.61 -5.42 0.7S% SREN VX Equity 1,372 9,702 80.14 91.47 14.35 0.99% STAN LN Equity 184 (5,280) 22.30 21.52 2.56 1.36% STL NO Equity 158 4,079 25.05 26.02 4.09 0.9S% STT US Equity 11 3,455 68.60 68.83 0.30 1.10% SU CN Equity (60) (3,072) 32.32 32.96 -2.81 0.70% SU P Equity 121 3,721 82.27 84.94 3.34 0.97% SU US Equity (52) (2,506) 32.24 32.92 -2.94 0.71% SWEDA SS Equity 574 5,946 24.71 27.09 10.75 0.90% SYNN VX Equity (134) (3,584) 349.49 362.53 -3.72 1.00% T US Equity 336 (8,515) 34.31 32.95 5.08 0.78% TD CN Equity (95) (3,529) 43.24 44.41 -4.49 0.60% TEF SM Equity (30) (4,343) 15.24 15.35 -0.82 0.85% TEF US Equity 0 272 15.30 15.30 0.01 1.04% TGT US Equity 1,135 (10,709) 63.57 56.83 12.97 0.82% TJX US Equity 2,835 9,488 46.31 60.15 35.37 0.84% TLS AU Equity 69 4,521 4.52 4.59 2.47 0.62% TLSN SS Equity (19) (600) 7.36 7.60 -3.75 0.84% TM US Equity 11 (5,165) 117.86 117.62 0.30 0.69% TMO US Equity 9,238 10,185 63.59 121.27 97.35 0.93% TOT US Equity 205 2,516 55.17 59.66 9.55 0.85% TRP CN Equity (154) (6,947) 43.75 44.72 -3.78 0.59% TRV US Equity (91) (6,138) 81.08 82.28 -2.03 0.73% EFTA00292920 TSCO LN Equity 392 (7,391) 5.65 5.35 6.91 0.77% TWC US Equity 653 4,770 118.62 134.85 26.81. 0.51% TWX US Equity (148) (3,967) 62.71 65.05 4.51 0.83% TXN US Equity 2,912 12,200 34.93 43.26 27.51 0.87% TYC US Equity 10,117 23,996 29.17 41.46 60.73 0.69% UBS US Equity 389 5,218 19.37 20.81 6.25 1.19% UBSN VX Equity 330 5,155 19.51 20.76 6.93 0.92% UCG IM Equity 2,305 5,387 5.58 7.97 29.37 1.46% ULVR LN Equity (3) (4,929) 39.29 39.31 -0.06 0.99% UNA NA Equity 28 (6,289) 38.14 37.97 0.45 1.02% UNH US Equity 1,001 10,032 64.08 70.48 12.14 0.82% UNP US Equity 1,037 9,425 160.88 178.58 14.01 0.79% UPS US Equity 3,021 14,801 79.87 96.17 33.69 0.61% USB US Equity 2,320 14,232 34.71 40.37 24.61 0.66% UTX US Equity 5,626 15,134 82.05 112.55 48.18 0.77% V US Equity 6,978 7,839 118.43 223.85 95.38 0.93% VALE US Equity 196 (3,904) 15.08 14.32 3.51 1.43% VALE3 BZ Equity 243 (4,583) 15.04 14.24 3.69 1.44% VIAB US Equity 3,722 6,364 52.96 83.94 62.02 0.94% VIV FP Equity 121 2,281 25.90 27.27 6.59 0.80% VMW US Equity 329 4,241 87.26 94.03 5.84 1.33% VOD LN Equity 1,279 7,587 3.14 3.67 18.84 0.89% VOD US Equity 1,181 7,512 31.63 36.60 17.98 0.87% VOW3 GR Equity 1,215 6,822 228.75 269.48 16.41 1.09% VRX CN Equity 836 1,610 92.95 141.20 34.75 1.49% VRX US Equity 961 1,878 93.20 140.90 37.59 1.36% VTI US Equity 471 5,131 86.91 94.89 17.04 0.54% VWO US Equity 287 (7,240) 40.33 38.73 4.17 0.95% VZ US Equity 100 (6,116) 48.12 47.33 2.37 0.69% WBC AU Equity 570 29.21 29.21 0.00 0.92% WES AU Equity 936 38.68 38.68 0.00 0.70% WFC US Equity 2,261 10,064 37.56 46.00 33.68 0.67% WLP US Equity 1,452 10,363 74.31 84.73 14.19 0.99% WMT US Equity (11) 4,002 75.07 74.87 -0.50 0.54% WOW AU Equity (56) (8,658) 31.30 31.50 -0.99 0.65% XOM US Equity 81 10,893 90.48 91.16 1.12 0.67% XTA LN Equity 2 (2,237) RN/A N/A 0.04 2.26% YHOO US Equity 320 1,281 30.64 38.30 17.54 1.43% YUM US Equity 46 5,217 72.83 73.48 0.81 1.10% ZURN VX Equity 130 6,388 291.95 297.90 2.87 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 14/1.41 1,819 26 3/.1/ EFTA00292921 NDX Index 12,378 46,668 2866.95 3,627.36 32.51 0.82% RTY Index 11,506 39,930 879.20 1,132.54 33.69 0.86% SPTSX Index (96) (4,677) 12399.22 12,654.06 -3.93 0.52% MEXBOL Index 1,078 (26,123) 3185.61 3,054.19 4.53 0.91% IBOV Index 2,238 (22,504) 22093.55 19,896.38 7.65 1.30% MERVAL Index 681 (11,136) 803.25 754.14 3.07 1.99% UKK Index 2,692 39,934 10365.66 11,064.53 10.77 0.63% DAX Index 8,041 36,668 10629.24 12,960.09 31.05 0.71% CAC Index 959 10,757 5370.05 5,849.02 12.96 0.69% IBEX Index 7,624 38,408 11426.70 13,694.77 21.07 0.94% SMI Index 5,934 40,693 8133.40 9,319.44 24.76 0.59% FTSEMIB Index 4,462 23,066 22931.40 27,366.93 25.56 0.76% P512O Index 4,678 24,271 7956.30 9,489.69 20.13 0.96% ISEQ Index 22,437 40,091 4284.72 6,682.68 79.93 0.70% ICEXI Index 6,355 35,390 6.52 7.69 27.33 0.66% AEX Index 4,779 42,224 485.00 539.90 18.49 0.61% BEL20 Index 5,019 41,728 3588.82 4,020.45 20.39 0.59% LUXXX Index 8,746 39,686 1654.14 2,018.68 30.83 0.71% KFX Index 8,511 38,020 100.62 123.14 29.13 0.77% HEX Index 7,809 40,903 8467.49 10,083.97 22.95 0.83% OMX Index 1,944 20,712 188.58 206.28 11.87 0.79% ATX Index 3,427 28,081 3214.58 3,606.90 13.26 0.92% ME Index 6,448 17,680 1272.39 1,736.46 25.22 1.45% OSEBX Index 1,476 22,122 84.11 89.72 9.16 0.73% INDEXCF Index (339) (14,119) 41.94 42.95 -3.08 0.78% TOP40 Index (372) (10,174) 3660.68 3,794.44 -4.48 0.82% SENSEX Index 129 (16,208) 333.22 330.56 1.05 0.76% NKY Index 1,718 12,694 127.18 144.39 10.92 1.24% HSI Index (216) (14,943) 2832.32 2,873.25 -1.86 0.78% SHCOMP Index (317) (27,693) 344.08 348.02 -1.47 0.78% KOSPI Index (278) (12,390) 1.78 1.82 -3.20 0.70% ASS1 Index 4,790.73 STBCNZL Index 29,833 73,230 RN/A N/A 76.94 0.53% EEM US Equity 369 (6,113) 41.65 39.14 5.45 1.11% IYR US Equity (180) (4,163) 63.98 66.74 -7.79 0.56% MDY US Equity 4,217 14,218 186.91 242.35 35.05 0.85% JNK US Equity (5) (1,917) 40.71 40.81 -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 38.53 39.59 4.65 0.59% XLK US Equity 1,824 12,856 31.30 35.74 20.64 0.69% XLI US Equity 5,032 16,087 38.85 51.00 39.53 0.79% XLP US Equity (51) 7,323 41.68 41.39 -1.21 0.57% XLY US Equity 7,620 20,539 47.10 64.58 46.21 0.80% XLE US Equity 1 2,523 84.49 84.52 0.04 0.82% XLB US Equity 2,908 14,872 37.94 45.36 25.94 0.75% XLV US Equity 11,245 24,346 39.39 57.59 59.76 0.77% SXXP Index 5,334 43,375 401.64 451.02 21.38 0.58% EFTA00292922 SXAP Index 8,803 28,509 525.72 688.05 34.85 0.89% SXKP Index 4,197 46,996 365.52 398.16 13.16 0.68% SX6P Index 3,487 32,218 350.01 387.89 17.08 0.63% SXEP Index 336 16,750 435.99 444.73 2.98 0.67% SXIP Index 11,451 28,921 224.23 313.01 49.83 0.79% SXNP Index 4,574 28,379 483.33 561.22 24.81 0.65% SX3P Index 124 10,375 652.64 660.43 1.55 0.77% SXDP Index 21,972 61,063 611.62 831.70 62.76 0.57% SX4P Index 2,798 25,835 914.38 1,013.40 15.10 0.72% SX8P Index 2,211 13,356 328.57 382.96 24.71 0.67% SXOP Index 7,491 40,505 381.14 451.63 22.97 0.81% SXQP Index 780.96 SXRP Index 299 16,750 431.66 439.37 2.91 0.61% SXMP Index 11,992 35,763 262.48 350.49 50.03 0.67% SXTP Index 20,853 39,240 173.45 265.63 79.79 0.67% SX7E Index 5,577 17,747 158.03 207.70 24.46 1.28% SXSE Index 5,352 38,468 3690.91 4,204.41 19.54 0.71% SPGSCITR Index (215) (33,446) 4828.37 4,859.36 -1.14 0.56% XAG Curncy 2,247 (20,139) 22.78 20.24 11.19 1.00% COI Comdty 50 (24,602) 109.01 108.79 0.30 0.67% CLI Comdty 435 17,320 97.91 100.37 2.70 0.93% NG1 Comdty 4,652 16,595 3.77 4.82 7.72 3.63% XAU Comdty 4,548 (41,240) 107.84 95.95 16.44 0.67% IBOXHY Index 2,043 53,379 220.81 229.26 40.02 0.10% US_TSY CREDIT (41) 10,332 761.59 758.55 -2.74 0.15% CA_TSY CREDIT 6,349 (97,103) 1265.38 1,182.64 17.60 0.37% MX_TSY CREDIT 188 (13,735) 209.01 206.14 2.37 0.58% AU_TSY CREDIT 1,205 (79,064) 1459.65 1,437.40 3.09 0.49% JP_TSY CREDIT 978 (59,628) 823.74 810.23 4.23 0.39% MY_TSY CREDIT 2,442 (90,265) 167.15 162.63 11.78 0.23% SG_TSY CREDIT 590 (95,665) 219.07 217.72 2.43 0.25% AT_TSY CREDIT 1,452 64,302 358.01 366.09 7.19 0.31% BETSY CREDIT 2,260 67,560 477.18 493.14 10.97 0.30% FI_TSY CREDIT 1,499 66,491 348.97 356.84 7.32 0.31% FR_TSY CREDIT 1,869 62,432 1675.11 1,725.26 9.66 0.31% DE_TSY CREDIT 1,156 62,519 1244.25 1,267.26 5.77 0.32% lE_TSY CREDIT 27,468 78,254 339.17 458.22 112.26 0.31% IT_TSY CREDIT 5,783 54,114 1626.24 1,800.03 38.02 0.28% NL_TSY CREDIT 1,401 65,324 1328.68 1,357.18 7.02 0.31% ES_TSY CREDIT 8,165 50,193 395.49 459.83 58.53 0.28% DK_TSY CREDIT 1,468 51,045 727.57 748.49 8.60 0.33% NO_TSY CREDIT (87) (27,358) 333.91 334.97 -0.66 0.48% PL_TSY CREDIT 545 22,127 421.64 432.02 4.62 0.53% ZA_TSY CREDIT 2,346 (33,120) 82.93 77.06 7.43 0.95% SE_TSY CREDIT (502) (21,120) 454.20 465.00 -6.21 0.38% CH_TSY CREDIT 2,044 59,255 1007.01 1,041.75 9.07 0.38% GB_TSY CREDIT 283 31,818 1476.05 1,489.20 2.74 0.33% EFTA00292923