EFTA00292924.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): 2/13/2014 39.03% 76.55% 4,080,030 (1,281,602) 2,798,427 461 1,000,000 1,765,512 3.04 2/13/2014 Change on Day: 1.3 1i MSC' World Change on Day 0.34% Profit Factor: Win Ratio: T24M (4) NAV Days T24M Avg. Daily NAV (1-) Change T24M Avg. Daily NAV (4 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 eac h investor. 1.291 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 2,014000.00 1,800,000.00 1.600.000.00 1.400.000.00 1.200.000.00 1.000.000.00 800,000.00 600,000.00 46Q1 o..;) O ON' 4 ) 4 ) 4) b f%." % as, 41.• vi• el• • 0 ) 9.9 9 et? 0 ) - NAV EFTA00292924 Atorus, LLC 2/13/2014 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 24.91% 52 Positions 30.75% MEXBOL Index (26,123) 0.49% UTX US Equity 5,695 0.32% NO_TSY CREDIT (27,358) 0.51% SXXP Index 5,699 0.32% SHCOMP Index (27,693) 0.52% SXSE Index 5,717 0.32% ZA_TSY CREDIT (33,120) 0.62% SX7E Index 5,740 0.33% SPGSCITR Index (33,446) 0.62% ACA FP Equity 5,915 0.34% XAU Comdty (41,240) 0.77% ROG VX Equity 6,007 0.34% CH_TSY CREDIT 59,255 1.11% MAERSKB DC Equity 6,009 0.34% JP_TSY CREDIT (59,628) 1.11% QQQ US Equity 6,029 0.34% SXDP Index 61,063 1.14% ICEXI Index 6,146 0.35% SPX Index 62,258 1.16% IT_TSY CREDIT 6,154 0.35% FR_TSY CREDIT 62,432 1.16% CA_TSY CREDIT 6,180 0.35% AT_TSY CREDIT 64,302 1.20% SMI Index 6,211 0.35% DE_TSY CREDIT 64,575 1.20% DAI GR Equity 6,316 0.36% NL_TSY CREDIT 65,324 1.22% MDT US Equity 6,336 0.36% FI_TSY CREDIT 66,491 1.24% NG1 Comdty 6,410 0.36% BETSY CREDIT 67,560 1.26% HON US Equity 6,436 0.36% STBCNZL Index 73,230 1.37% GS US Equity 6,443 0.36% lE_TSY CREDIT 78,254 1.46% WY US Equity 6,686 0.38% AU_TSY CREDIT (79,064) 1.47% ME Index 6,986 0.40% MY_TSY CREDIT (90,265) 1.68% V US Equity 6,990 0.40% SG_TSY CREDIT (95,665) 1.78% AMGN US Equity 7,027 0.40% CA_TSY CREDIT (97,103) 1.81% MMM US Equity 7,229 0.41% PRU LN Equity 7,450 0.42% IBEX Index 7,730 0.44% CMCSK US Equity 7,780 0.44% SXOP Index 7,788 0.44% HEX Index 7,793 0.44% XLY US Equity 7,941 0.45% ES_TSY CREDIT 8,574 0.49% LUXXX Index 8,632 0.49% DM Index 8,667 0.49% KFX Index 8,916 0.51% BAYN GR Equity 9,072 0.51% TMO US Equity 9,474 0.54% SXAP Index 9,676 0.55% BAC US Equity 9,722 0.55% TYC US Equity 10,167 0.58% BA US Equity 10,968 0.62% MA US Equity 11,139 0.63% XLV US Equity 11,984 0.68% EFTA00292925 SXIP Index 12,093 0.68% SXMP Index 12,547 0.71% RTY Index 12,842 0.73% NDX Index 13,655 0.77% CELG US Equity 13,863 0.79% SPX Index 16,001 0.91% SXTP Index 21,456 1.22% SXDP Index 23,257 1.32% ISEQ Index 23,312 1.32% IE_TSY CREDIT 28,049 1.59% ST8CN2L Index 30,518 1.73% GILD US Equity 33,517 1.90% No. Names by Category 23 APAC Long APAC Short 29 EMEA Long 73 EMEA Short 22 AMER Long 165 AMER Short 55 EquityCom Long 55 EquityCom Short 15 Credit Long 15 Credit Short 9 Total Long 331 Total Short 130 EFTA00292926 Atorus, LLC 2/13/2014 Historical Net Exposure by Geography (Listed Equities) & Macro (Equity Indices & Cornrow'lites, G20 Gov. Credit) 2,000,000 1,500,000 5,000.000 0,030.000 1,000.000 3,000.000 Ilik —APAC 2,CC0.000 —(MCA —AMER 500.000 — 1,000.000 Eq 'tyCo —Greet . .• NexEposure MIS cp. 1, ‘,. s, G 4. O.0•eO ,s, O,,, O sp O% 1. 41, Q. op, 0,c, cp cp, c, tp. sp. 4 0,,t) t> \ 4 4 A (1..0.000, (.60,4 (2,000.0001 (1.000,000) (3,000.0001 Historical Gross Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodlites, G20 Gov. Credit) *v GGGG G c') O O O O O O O O OGO O O O e 43c• e e e e e — APAC —(MCA — AMER — ER tCo —C e4 't EFTA00292927 Atorus, LIC 2/13/2014 Current Gross Notional Risk by Category 214,854 -- i llb - 545,273 il 1,314,815 7 1, Is 95,191 • 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 'L 1, 1, 1, o% ors cis o% icb ,c)› •,› t. ft. ev sp • nt .19% 69% ,o% es. 0, 4 A\ cSs' 4' 4 4.3 NV 4 Nt'y MSCIWork1 ATORUS Rolling 30 Day Realized Volatility - Atf EFTA00292928 Atorus, LLC 2/13/2014 Percentile Distribution of Current MTM Gains in Vol Days by Position (ex-99pct & ex-1st percentiles) Percentile No. Vol Days 0.00,1, 996 5.00% -4.38 10.00% .2.23 15.00% 4.10 20.00% .0.06 25.00% 0.15 30.00% 1.12 35.00% 2.57 40.00% 3.92 45.00% 5.42 50.00% 7.60 55.00% 9.60 60.00% 12.24 65.00% 14.97 70.00% 18.49 75.00% 22.99 80.00% 27.09 85.00% 34.99 90.00% 41.76 95.00% 64.79 100.00% 200.36 Days by Position MTM Gains(Losse) % of NAV "Signficant" (<7 Vol Days) MTM Gains(Losses) % of NAV "Signficant" (>7 Vol Days) 0.9] 50.43% EFTA00292929 Atorus, LLC -Listed Equity Portfolio 2/13/2014 Current Price PA in Vol 30P Realized Security MTM Gain/(Loss) Exp. ET Cost Avg. Price (in USD) Days Vol 000270 KS Equity 194 (4,502) 51.62 49.39 3.42 1.26% 005380 KS Equity (26) 1,798 218.00 214.86 -1.09 1.33% 005490 KS Equity 2 (4,236) 274.12 274.02 0.04 0.86% 005930 KS Equity 320 (6,552) 1285.62 1222.87 4.60 1.06% 012330 KS Equity 1,078 5,278 244.69 294.66 16.35 1.25% 1 HK Equity (74) (2,386) 14.68 15.14 -5.06 0.61% 1299 HK Equity (65) (1,314) 4.57 4.79 -4.59 1.07% 13 HK Equity 1,979 12,234 11.40 13.25 17.36 0.93% 16 HK Equity 280 (9,928) 12.66 12.30 4.84 0.58% 27 HK Equity (4) 123 9.67 9.37 -1.37 2.32% 2914 JP Equity 2 (4,715) 32.47 32.45 0.03 1.39% 3382 JP Equity 105 3,409 37.70 38.86 2.51 1.23% 4063 JP Equity 56 (4,532) 56.40 55.70 1.04 1.19% 4502 JP Equity (11) 1,512 46.78 46.44 -0.81 0.89% 4689 JP Equity (19) 749 6.00 5.85 -1.56 1.65% 5 HK Equity (144) (4,712) 1020 10.51 -4.29 0.71% 5108 JP Equity 25 3,496 36.36 36.61 0.65 1.09% 5401 JP Equity (16) (3,706) 2.99 3.00 -0.30 1.45% 6301 JP Equity (64) (3,512) 20.64 21.01 -1.31 1.39% 6752 JP Equity 1,208 4,142 9.01 11.64 11.64 2.51% 6902 JP Equity 2,592 9,725 41.48 52.53 19.84 1.34% 6954 JP Equity 245 6,388 157.65 163.70 2.18 1.76% 7201 JP Equity 26 (3,740) 8.85 8.79 0.53 1.32% 7203 JP Equity (27) (1,949) 57.26 58.06 -1.12 1.25% 7267 JP Equity (64) (2,755) 36.16 37.01 -1.99 1.17% 762 HK Equity 236 (4,152) 1.43 1.35 5.14 1.11% 7751 JP Equity 381 (6,859) 31.44 29.69 5.51 1.01% 8031 JP Equity (274) (4,040) 13.92 14.86 -5.57 1.22% 8058 JP Equity (44) (624) 17.87 19.14 -6.09 1.17% 8306 JP Equity (44) (3,207) 5.87 5.95 -1.09 1.26% 8316 JP Equity 6 (2,952) 46.29 46.20 0.13 1.45% 8411 JP Equity (80) 3,773 2.12 2.08 -1.53 1.39% 8604 JP Equity (15) (2,002) 6.77 6.82 -0.49 1.50% 8801 JP Equity (3) (1,401) 31.32 31.38 -0.14 1.48% 8802 JP Equity 12 (3,305) 24.73 24.64 0.27 1.37% 9020 JP Equity 186 (3,964) 77.53 73.90 4.52 1.04% 941 HK Equity 889 (11,120) 10.27 9.45 11.82 0.68% 9432 JP Equity 301 6,072 53.19 55.83 3.83 1.29% 9433 JP Equity 2,832 9,471 42.13 54.73 21.19 1.41% 9437 JP Equity (127) (5,744) 15.71 16.06 -2.10 1.06% 9983 JP Equity (147) 3,175 368.29 352.01 -2.81 1.64% EFTA00292930 9984 JP Equity 2,089 2,796 42.69 74.59 45.38 1.65% AAPL US Equity 351 7,871 518.25 541.39 4.19 1.07% ABB US Equity 656 10,400 23.59 25.08 5.81 1.09% ABBN VX Equity 549 8,696 23.63 25.12 5.66 1.11% ABBV US Equity 90 5,332 49.49 50.32 1.50 1.12% ABEV US Equity 544 (7,226) 7.25 6.70 5.35 1.41% ABEV3 BZ Equity 575 (6,917) 7.29 6.68 6.59 1.26% ABI BB Equity 804 100.03 100.03 0.00 0.91% ABT US Equity (34) 4,093 38.86 38.54 -1.03 0.82% ABX CN Equity (432) (2,809) 17.17 19.81 -9.96 1.54% ABX US Equity (416) (2,781) 17.20 19.78 -9.14 1.64% ACA FP Equity 5,915 5,390 6.83 14.33 78.61 1.40% ACE US Equity 80 3,675 93.86 95.89 3.08 0.70% ACN US Equity 530 9,045 77.04 81.56 6.97 0.84% ADP US Equity 59 1,192 72.36 75.97 6.10 0.82% AFL US Equity 2 2,549 62.51 62.57 0.15 0.66% AGL S1 Equity (248) (2,025) 22.73 25.52 .8.84 1.39% AGN US Equity 1,251 6,802 104.77 124.04 15.34 1.20% Al FP Equity 979 135.43 135.43 0.00 0.74% AIG US Equity 61 4,009 48.66 49.40 1.67 0.91% AIR FP Equity 4,400 6,520 42.47 71.12 63.53 1.06% ALV GR Equity 2,998 7,522 125.64 175.72 40.54 0.98% ALVG IX Equity 2,229 5,722 126.13 175.26 41.37 0.94% AMGN US Equity 7,027 22,885 94.49 123.50 30.22 1.02% AMT US Equity 871 10,646 76.29 82.53 10.09 0.81% AMZN US Equity 3,226 14,103 287.66 353.46 17.68 1.29% ANZ AU Equity (233) (3,717) 26.23 27.88 .7.29 0.86% APA US Equity 203 (6,864) 82.74 79.81 4.25 0.83% APC US Equity (36) (5,630) 80.96 81.47 .0.73 0.86% AXP US Equity 2,474 10,369 71.56 88.64 23.16 1.03% AZN LN Equity 4,406 12,669 49.80 67.12 36.07 0.96% AZN SS Equity 3,821 11,663 50.40 66.91 32.68 1.00% AZN US Equity 4,293 12,426 49.96 67.22 33.22 1.04% BA US Equity 10,968 17,885 79.84 128.81 53.88 1.14% BAC US Equity 9,722 10,843 8.82 16.73 89.34 1.00% BARC LN Equity (213) 5,291 4.40 4.23 -3.23 1.24% BAS GR Equity 970 7,329 97.30 110.18 15.50 0.85% BATS LN Equity (84) (2,797) 49.08 50.55 .3.15 0.96% BAX US Equity (268) (8,040) 66.82 69.05 -5.87 0.57% BAYN GR Equity 9,072 11,714 76.64 135.99 79.82 0.97% BBAS3 BZ Equity 20 (413) 9.09 8.65 2.93 1.63% BBD US Equity 1,084 (6,738) 12.96 10.87 12.28 1.31% BBDCO BZ Equity 1,051 (7,246) 12.74 10.90 13.30 1.09% BBL US Equity (121) (5,013) 60.45 61.91 .2.30 1.05% BBVA SM Equity 1,152 5,719 10.09 12.13 15.69 1.28% BCE CN Equity 54 (6,638) 43.17 42.83 1.20 0.68% BCS US Equity (223) 6,391 17.70 17.10 .2.71 1.29% EFTA00292931 BEN US Equity 89 4,615 52.08 53.08 1.97 0.98% BG/ LN Equity (75) (3,000) 17.35 17.79 -1.81 1.38% BHP AU Equity 813 33.60 33.60 0.00 0.90% BHP US Equity (3) 1,595 67.59 67.48 -0.18 0.93% BIIB US Equity 348 1,065 245.93 326.18 22.74 1.44% BIL Sl Equity (95) (4,448) 30.26 30.90 -2.02 1.06% BK US Equity 65 1,538 30.62 31.91 4.79 0.88% BLK US Equity 126 1,170 274.17 303.70 11.08 0.97% BLT LN Equity (103) (4,943) 30.23 30.86 -2.24 0.93% BMO CN Equity (119) (2,544) 61.56 64.43 -6.83 0.68% BMW GR Equity 891 5,073 98.63 115.95 23.65 0.74% BMY US Equity 6,686 13,624 35.71 53.24 38.52 1.27% BN FP Equity 83 (3,680) 70.54 68.94 2.38 0.9S% BNP FP Equity 1,629 5,495 61.78 80.09 24.35 1.22% BNS CN Equity (85) (1,839) 54.78 57.32 -5.52 0.84% BP/ LN Equity 435 8,439 7.68 8.07 8.23 0.63% BRK/B US Equity (146) (4,660) 110.60 114.06 -5.17 0.60% BSBR US Equity 1,769 (8,164) 6.18 4.84 13.11 1.65% BUD US Equity 779 99.76 99.76 0.00 0.94% BX US Equity 108 2,974 30.31 31.42 3.43 1.06% C US Equity (0) 610 49.62 49.62 0.00 1.20% CA FP Equity 385 1,958 30.49 36.49 20.32 0.97% CAT US Equity 1,027 10,293 87.23 95.93 9.50 1.05% CBA AU Equity (4) 1,703 68.44 68.27 -0.36 0.70% CBS US Equity 383 1,266 49.35 64.29 23.77 1.27% CCL US Equity 841 7,815 36.20 40.10 10.98 0.98% CELG US Equity 13,863 15,113 85.54 164.00 67.75 1.3S% CFR VX Equity (1) 1,146 99.23 99.15 -0.06 1.34% CL US Equity 999 18,618 58.99 62.16 8.85 0.61% CM CN Equity 5 2,002 80.77 80.96 0.40 0.58% CMCSA US Equity 5,483 17,408 40.65 53.45 33.68 0.94% CMCSK US Equity 7,780 18,900 36.26 51.19 46.51 0.89% CNI US Equity 1,193 12,863 51.38 56.14 11.51 0.81% CNQ CN Equity 54 3,041 34.52 35.13 2.18 0.81% CNR CN Equity 1,185 12,415 51.30 56.19 12.21 0.78% COF US Equity 383 6,073 67.68 71.95 7.40 0.85% COP US Equity 232 (7,973) 66.64 64.70 4.44 0.66% COST US Equity 5 1,846 115.18 115.52 0.37 0.81% COV LN Equity 186 2,433 RN/A N/A 25.05 0.30% COV US Equity 733 6,342 63.38 70.71 12.54 0.92% CRM US Equity 202 2,053 56.89 62.49 7.61 1.30% CS FP Equity 2,653 6,712 19.39 27.05 40.50 0.98% CSCO US Equity (41) (4,973) 21.79 21.97 -0.97 0.86% CSX US Equity 764 8,909 25.07 27.22 7.90 1.09% CVE CN Equity 884 (10,443) 28.70 26.27 12.93 0.6S% CVS US Equity 1,044 10,304 62.75 69.10 13.61 0.74% CVX US Equity (12) (6,316) 112.00 112.21 -0.26 0.73% EFTA00292932 D US Equity 2,092 12,102 59.94 70.31 21.67 0.80% DAI GR Equity 6,316 13,903 62.20 90.46 43.85 1.04% DBK GR Equity 174 4,050 46.61 48.61 3.38 1.27% DD US Equity 2,108 12,298 54.46 63.79 18.68 0.92% DDAIF US Equity 3,654 8,348 63.20 90.87 34.98 1.25% DE US Equity 9 8,116 85.65 85.75 0.17 0.68% DELL US Equity 14 6,710 #N/A N/A 2.65 0.08% DG FP Equity 3,798 9,883 51.34 71.07 48.75 0.79% DGE LN Equity (45) (1,615) 29.53 30.35 .2.40 1.16% DHR US Equity 4,161 14,049 58.57 75.91 40.47 0.73% DIS US Equity 1,373 9,900 68.36 77.84 13.92 1.00% DISCA US Equity (114) 3,647 81.94 79.45 .2.73 1.15% DNB NO Equity 1,133 9,130 15.66 17.60 17.80 0.70% DOW US Equity 1,876 6,442 35.84 46.27 24.50 1.19% DPW GR Equity 146 546 28.24 35.80 33.20 0.81% DTE GR Equity 4,608 13,635 12.22 16.35 35.02 0.96% DTV US Equity 1,819 9,344 60.30 72.04 25.52 0.76% DUK US Equity (218) (8,814) 69.60 71.32 .4.26 0.58% DVN US Equity 15 5,743 61.76 61.92 0.31 0.83% EBAY US Equity 169 5,054 52.95 54.72 2.90 1.15% ECL US Equity 38 3,979 101.15 102.12 1.32 0.72% EDF FP Equity 5,282 9,184 23.45 36.93 68.80 0.84% EMC US Equity 62 8,831 24.88 25.05 0.83 0.84% EMR US Equity 157 2,898 61.11 64.42 7.61 0.71% ENB CN Equity (252) (6,998) 41.70 43.20 .7.03 0.51% ENEL IM Equity 1,025 6,720 4.24 4.89 16.63 0.92% ENI IM Equity (72) (1,691) 22.27 23.22 .5.71 0.74% EOAN GR Equity 30 2,603 18.66 18.87 1.24 0.92% EOG US Equity 1,213 5,569 143.99 175.36 21.93 0.99% EPD US Equity 786 9,459 62.01 67.16 11.85 0.70% ERICB SS Equity 127 4,444 12.15 12.50 3.13 0.91% ESRX US Equity 1,416 9,809 66.69 76.31 20.98 0.69% ETN US Equity 37 3,003 70.48 71.35 1.27 0.98% F US Equity (47) (3,617) 14.82 15.01 -1.25 1.05% F8 US Equity 1,329 2,587 43.82 66.33 34.03 1.51% FCX US Equity (53) (1,192) 31.57 32.98 -3.83 1.16% FDX US Equity 499 5,334 120.94 132.25 10.89 0.86% FOX US Equity (1) 1,414 31.74 31.73 -0.06 0.99% FOXA US Equity (1) 1,319 32.44 32.41 -0.07 1.12% FP FP Equity 131 4,758 58.67 60.29 3.93 0.70% G IM Equity 324 3,632 20.52 22.34 10.02 0.89% GE US Equity 2,170 16,425 22.32 25.26 15.44 0.86% GILD US Equity 33,517 13,861 24.02 82.12 175.37 1.38% GIS US Equity 77 7,619 48.58 49.07 1.71 0.59% GLE FP Equity 922 3,245 49.51 63.58 18.80 1.51% GLEN LN Equity (244) (3,264) 5.14 5.52 •6.21 1.20% GLW US Equity 2,001 11,367 16.17 19.02 15.00 1.17% EFTA00292933 GM US Equity 612 2,559 28.27 35.03 21.94 1.09% GOOG US Equity 4,856 12,387 857.75 1194.02 41.86 0.94% GS US Equity 6,443 13,622 110.98 163.46 67.30 0.70% GSK LN Equity 291 4,317 25.71 27.44 5.67 1.19% GSZ FP Equity 9 1,856 23.26 23.37 0.68 0.69% HAL US Equity 668 4,065 45.95 53.50 17.80 0.92% HD US Equity 2,172 12,500 66.04 77.51 34.72 0.50% HMB SS Equity 600 6,105 40.79 44.80 10.82 0.91% HON US Equity 6,436 11,890 61.10 94.18 86.35 0.63% HPQ US Equity 1,267 6,292 24.79 29.78 17.95 1.12% HSBA LN Equity (24) (722) 10.23 10.57 4.44 2.33% IBE SM Equity 933 6,914 5.48 6.22 21.75 0.62% IBM US Equity 163 (8,386) 184.74 181.16 2.56 0.76% IMT LN Equity 868 10,915 35.95 38.80 6.29 1.26% INTC US Equity 328 9,775 23.81 24.61 3.83 0.88% ISP IM Equity 2,843 5,552 1.91 2.89 42.10 1.22% ITUB US Equity 376 (5,904) 13.81 12.93 4.57 1.39% ITUB4 BZ Equity 303 (6,360) 13.59 12.94 3.93 1.21% ITW US Equity 2,127 14,003 67.84 78.14 25.11 0.60% ITX SM Equity (34) (3,511) 149.70 151.14 4.39 0.69% JCI US Equity 4,232 9,880 34.13 48.74 37.97 1.13% JNJ US Equity 4,168 12,583 69.31 92.27 42.29 0.78% JPM US Equity 901 8,516 52.29 57.82 13.27 0.80% KMB US Equity 132 7,927 106.69 108.46 2.58 0.65% KMI US Equity 282 (6,747) 35.17 33.70 6.18 0.68% KO US Equity 41 (6,937) 38.83 38.60 0.87 0.67% LBTYA US Equity (21) 2,270 84.93 84.13 •1.21 0.78% LBTYK US Equity 121 1,974 78.04 82.82 7.98 0.77% LIN GR Equity 145 4,617 194.24 200.35 4.27 0.74% LLOY LN Equity 3,540 1,913 0.47 1.34 159.32 1.16% LLY US Equity (38) 4,771 53.80 53.38 4.01 0.78% LMT US Equity 609 3,458 135.62 159.51 17.57 1.00% LNKD US Equity 2,149 192.57 192.57 0.00 1.71% LOW US Equity (29) 4,587 46.75 46.45 -0.82 0.78% LVS US Equity 1,941 1,832 38.27 78.83 73.37 1.44% LYB US Equity 919 2,203 58.58 83.02 36.36 1.15% MA US Equity 11,139 4,784 22.85 76.08 200.36 1.16% MAERSKB DC Equity 6,009 3,807 4538.72 11701.80 133.84 1.18% MAN GR Equity 2,690 125.33 1.15% MC FP Equity (7) 2,954 182.07 181.61 -0.23 1.09% MCD US Equity (33) 3,980 96.11 95.32 4.59 0.52% MCK US Equity 147 3,099 167.32 175.23 4.09 1.16% MDIZ US Equity 2,416 4,077 21.20 33.76 73.03 0.81% MDT US Equity 6,336 5,493 26.20 56.43 123.67 0.93% MEO GR Equity 2,599 43.36 1.40% MET US Equity 894 2,098 34.79 49.62 39.31 1.08% MFC CN Equity 4,175 2,113 6.33 18.86 195.48 1.01% EFTA00292934 MFC US Equity 3,171 18.83 0.79% MGM US Equity 2,764 25.49 2.07% MHS US Equity 1,755 6,120 #N/A N/A 25.13 1.14% MMM US Equity 7,229 5,630 56.85 129.85 180.07 0.71% MO US Equity (57) 3,961 35.60 35.10 -1.98 0.73% MON US Equity 444 3,631 97.98 109.97 14.69 0.83% MOS US Equity (184) (4,468) 45.85 47.73 -3.63 1.13% MRK US Equity 1,173 9,342 48.80 54.93 13.13 0.96% MS US Equity 134 1,648 27.57 29.80 7.71 1.05% MSFT US Equity 590 7,171 34.82 37.68 7.88 1.04% MUV2 GR Equity 685 7,529 197.44 215.40 12.56 0.72% NAB AU Equity 916 30.58 30.58 0.00 0.80% NCM AU Equity 2,764 (5,094) 21.94 10.04 23.85 2.28% NEE US Equity 4,042 14,643 72.62 92.66 37.79 0.73% NEM US Equity 2,485 (7,388) 34.95 23.20 18.12 1.86% NESN VX Equity 582 9,813 69.64 73.76 6.46 0.92% NG/ IN Equity 1,709 11,410 11.72 13.47 21.81 0.69% NICE US Equity 760 2,939 59.26 74.60 31.78 0.81% NOK US Equity 3,699 4,495 3.96 7.22 58.47 1.41% NOV US Equity 979 75.73 75.73 0.00 0.73% NOVN VX Equity 5,254 18,219 63.81 82.20 39.92 0.72% NOVOB DC Equity 860 7,714 39.08 43.43 9.80 1.14% NSC US Equity 1,416 9,583 80.49 92.39 12.40 1.19% NVS US Equity 4,050 15,457 65.07 82.12 37.86 0.69% OGXP3 BZ Equity 5,015 (5,163) 4.43 0.13 25.16 3.86% OR FP Equity 1 1,390 167.90 167.96 0.03 1.16% ORA FP Equity 32 2,958 12.37 12.50 1.11 0.98% ORCL US Equity 1,106 7,413 33.31 38.28 20.88 0.71% OXY US Equity (3) 1,746 92.08 91.94 .0.21 0.75% PBR US Equity 410 (2,811) 13.30 11.36 9.32 1.56% PBR/A US Equity 352 (2,793) 13.87 12.12 8.10 1.56% PCLN US Equity 994 3,041 956.05 1268.57 27.54 1.19% PCP US Equity 3,269 13,703 212.47 263.16 26.34 0.91% PEP US Equity (78) 3,120 81.26 79.27 -3.96 0.63% PETR3 BZ Equity 388 (2,920) 6.54 5.67 9.42 1.41% PETR4 BZ Equity 398 (3,120) 6.95 6.06 9.11 1.40% PFE US Equity 4,659 21,828 26.10 31.67 27.68 0.77% PG US Equity 16 4,758 77.33 77.59 0.46 0.73% PHIA NA Equity 1,909 11,206 30.43 35.61 22.49 0.76% PM US Equity 797 (10,157) 85.47 78.76 9.53 0.82% PNC US Equity 561 7,639 75.28 80.81 7.95 0.92% POT CN Equity (93) (1,492) 31.56 33.53 -5.44 1.15% POT US Equity (91) (1,399) 31.45 33.49 .5.54 1.17% PRU LN Equity 7,450 10,482 12.76 21.83 55.75 1.28% PSA US Equity 370 7,564 156.76 164.43 7.60 0.64% PSX US Equity 900 6,025 64.65 74.30 16.07 0.93% PX US Equity 2,213 16,043 113.30 128.92 18.92 0.73% EFTA00292935 QCOM US Equity 1,812 12,538 66.83 76.48 18.46 0.78% MD US Equity 6,029 19,847 68.46 89.25 45.76 0.66% RAI US Equity 1 (2,503) 47.51 47.48 0.08 0.61% RDS/A US Equity (93) (4,592) 69.48 70.88 -2.65 0.76% RDS/B US Equity 44 3,991 75.03 75.87 1.37 0.81% RDSA LN Equity 100 4,062 34.51 35.36 2.82 0.87% RDSA NA Equity (90) (4,355) 34.65 35.37 -2.51 0.83% RDSB LN Equity 88 3,979 37.08 37.90 2.52 0.88% REGN US Equity 488 4,718 292.33 322.59 5.95 1.74% RIO AU Equity 149 4,289 59.24 61.29 3.91 0.89% RIO IN Equity 381 4,815 53.84 58.10 6.44 1.23% RIO US Equity 358 4,930 54.04 57.97 5.04 1.44% ROG VX Equity 6,007 17,036 212.78 287.82 45.54 0.77% RY CN Equity 979 64.88 64.88 0.00 0.75% SAG LN Equity (81) (2,207) 44.36 45.99 •4.27 0.86% SAN FP Equity 295 (6,169) 103.67 98.71 6.02 0.79% SAN SM Equity 426 7,250 8.35 8.84 6.57 0.89% SAN US Equity 408 5,311 8.28 8.91 5.91 1.30% SAP GR Equity (200) 5,237 81.43 78.43 -5.04 0.76% SAP US Equity (243) 7,095 81.51 78.81 -3.83 0.90% SBUX US Equity (98) (4,559) 72.71 74.27 -1.93 1.11% SCCO US Equity 466 31.41 31.41 0.00 1.18% SGO FP Equity 7,716 55.80 0.87% SI US Equity 11,251 128.89 0.79% SIE GR Equity 8,901 128.73 0.77% SLB US Equity 6,526 90.20 0.82% SMSN LI Equity 417 (7,254) 644.51 607.42 6.15 0.94% SO US Equity (77) (9,006) 41.73 42.09 -1.66 0.52% SPG US Equity (146) (3,011) 151.46 158.82 -6.53 0.74% SREN VX Equity 1,422 9,702 80.14 91.88 14.69 1.00% STAN LN Equity 197 (5,280) 22.30 21.47 2.83 1.32% STL NO Equity 122 4,614 25.14 25.80 2.89 0.91% STT US Equity (1) 3,455 68.60 68.59 -0.02 1.08% SU CN Equity (63) (2,048) 32.32 33.31 •4.40 0.70% SU FP Equity 141 3,721 82.27 85.38 4.09 0.92% SU US Equity (52) (1,671) 32.24 33.25 -4.37 0.71% SWEDA SS Equity 513 5,946 24.71 26.84 9.65 0.90% SYNN VX Equity (140) (3,584) 349.49 363.10 -3.90 1.00% T US Equity 268 (8,515) 34.31 33.23 3.94 0.80% TD CN Equity 979 44.60 44.60 0.00 0.56% TEF SM Equity (45) (4,343) 15.24 15.40 -1.30 0.80% TEF US Equity 1 136 15.30 15.39 0.55 1.05% TGT US Equity 1,114 (10,709) 63.57 56.96 13.52 0.77% TJX US Equity 2,847 9,488 46.31 60.21 36.20 0.83% TLS AU Equity 115 4,521 4.52 4.64 3.94 0.65% TLSN SS Equity 0 895 7.56 7.56 0.00 0.82% TM US Equity 90 (5,165) 117.86 115.80 2.38 0.73% EFTA00292936 7M0 US Equity 9,474 10,185 63.59 122.74 97.61 0.95% TOT US Equity 228 2,516 55.17 60.16 10.37 0.87% TRP CN Equity (252) (6,947) 43.75 45.34 -5.97 0.61% TRV US Equity (87) (4,911) 81.08 82.51 -2.42 0.73% TSCO LN Equity 344 (7,391) 5.65 5.39 6.49 0.72% 7WC US Equity 1,075 4,830 118.89 145.36 29.35 0.76% 7WX US Equity 873 64.79 64.79 0.00 0.84% TXN US Equity 3,030 12,200 34.93 43.60 28.02 0.89% TYC US Equity 10,167 23,996 29.17 41.52 62.43 0.68% UBS US Equity 405 5,218 19.37 20.87 6.62 1.17% UBSN VX Equity 352 5,155 19.51 20.84 7.32 0.93% UCG IM Equity 2,269 5,387 5.58 7.93 28.74 1.47% ULVR LN Equity 7 (4,929) 39.29 39.24 0.14 0.92% UNA NA Equity 35 (6,289) 38.14 37.93 0.58 0.96% UNH US Equity 1,088 10,032 64.08 71.03 13.13 0.83% UNP US Equity 1,024 9,425 160.88 178.36 14.40 0.75% UPS US Equity 3,047 14,801 79.87 96.31 33.91 0.61% USB US Equity 2,257 14,232 34.71 40.22 23.85 0.66% UTX US Equity 5,695 15,134 82.05 112.93 50.09 0.75% V US Equity 6,990 7,839 118.43 224.03 97.69 0.91% VALE US Equity 219 (3,904) 15.08 14.23 3.87 1.45% VALE3 BZ Equity 259 (4,583) 15.04 14.19 4.21 1.34% VIAB US Equity 3,807 6,364 52.96 84.64 62.86 0.95% VIV FP Equity 146 2,358 25.95 27.55 8.13 0.76% VMW US Equity 317 4,241 87.26 93.78 5.72 1.31% VOD LN Equity 1,272 7,587 3.14 3.66 19.35 0.87% VOD US Equity 1,197 7,512 31.63 36.67 18.55 0.86% VOWS GR Equity 1,255 6,822 228.75 270.83 17.91 1.03% VRX CN Equity 847 1,610 92.95 141.88 35.16 1.50% VRX US Equity 972 1,878 93.20 141.43 38.71 1.34% VII US Equity 484 5,131 86.91 95.11 17.61 0.54% VWO US Equity 340 (7,240) 40.33 38.44 4.87 0.96% VZ US Equity 109 (6,116) 48.12 47.26 2.57 0.70% WBC AU Equity (1) 1,235 29.20 29.18 -0.05 0.91% WES AU Equity 5 1,859 38.74 38.84 0.35 0.71% WFC US Equity 2,220 10,064 37.56 45.84 32.97 0.67% WLP US Equity 1,512 10,363 74.31 85.15 14.86 0.98% WM7 US Equity 10 4,002 75.07 75.26 0.44 0.56% WOW AU Equity (113) (8,658) 31.30 31.71 -1.94 0.67% XOM US Equity 93 10,893 90.48 91.26 1.30 0.66% XTA LN Equity 2 (2,237) #N/A N/A 0.04 2.26% YHOO US Equity 325 1,281 30.64 38.4194 17.92 1.42% YUM US Equity 57 5,217 72.83 73.6241 1.02 1.06% ZURN VX Equity 209 6,388 291.95 301.4803 4.40 0.74% Current Portfolio - Global Macro Portfolio Security MTM Gain/(Loss) Exp. @ Cost Avg. Price (in USD) Days Vol EFTA00292937 SPX Index 16,001 62,258 1455.70 1,829.83 37.89 0.68% NDX Index 13,655 46,668 2831.19 3,659.56 34.28 0.85% RTY Index 12,842 39,930 868.48 1,147.79 34.71 0.93% SPTSX Index 31 6,919 12706.09 12,762.42 0.80 0.56% MEXBOL Index 922 (26,123) 3142.70 3,031.77 3.68 0.96% IBOV Index 2,227 (22,504) 22076.65 19,892.17 7.96 1.24% MERVAL Index (241) (6,681) 735.57 762.13 -1.65 2.18% UKX Index 3,091 39,934 10288.22 11,084.60 12.96 0.60% DAX Index 8,667 36,668 10610.77 13,118.78 35.55 0.66% CAC Index 1,058 12,370 5431.00 5,895.60 13.74 0.62% IBEX Index 7,730 38,408 11492.37 13,805.20 22.21 0.91% SMI Index 6,211 42,494 8179.37 9,374.82 27.07 0.54% FTSEMIB Index 4,813 23,316 22787.01 27,490.78 27.43 0.75% PSI20 Index 4,775 24,271 8026.78 9,605.90 19.22 1.02% ISEQ Index 23,312 40,091 4246.25 6,715.29 81.56 0.71% ICEXI Index 6,146 35,390 6.58 7.73 28.15 0.62% AEX Index 5,094 42,224 484.27 542.70 20.92 0.58% BEL20 Index 5,379 41,728 3586.05 4,048.30 24.23 0.53% LUXXX Index 8,632 39,686 1655.49 2,015.57 32.69 0.67% KFX Index 8,916 38,020 100.82 124.46 29.91 0.78% HEX Index 7,793 40,903 8513.92 10,135.99 23.87 0.80% OMX Index 1,795 20,712 189.54 205.96 12.23 0.71% ATX Index 3,132 28,081 3213.33 3,571.77 12.31 0.91% ASE Index 6,986 17,680 1246.19 1,738.62 26.40 1.50% OSEBX Index 1,281 22,122 84.29 89.17 8.59 0.67% INDEXCF Index (126) (14,119) 41.71 42.08 -1.06 0.84% T0P40 Index 3,794.71 SENSEX Index 296 (16,208) 330.60 324.57 2.35 0.78% NKY Index 923 7,616 126.85 142.22 9.50 1.27% HSI Index (214) (8,966) 2791.37 2,857.97 -2.86 0.83% SHCOMP Index (234) (27,693) 343.18 346.08 -1.09 0.78% KOSPI Index (151) (6,195) 1.77 1.81 -3.37 0.72% AS51 Index (10) 5,073 4781.18 4,771.45 -0.30 0.67% STBCNZL Index 30,518 73,230 444.47 629.70 79.48 0.52% EEM US Equity 237 (6,113) 40.76 39.18 3.55 1.09% IYR US Equity (129) (2,498) 63.72 67.00 -9.13 0.56% MOY US Equity 4,633 14,218 184.03 243.99 36.15 0.90% JNK US Equity (9) (1,534) 40.64 40.88 -3.34 0.18% XLF US Equity 5,257 13,560 15.57 21.61 47.77 0.81% XLU US Equity 317 6,358 38.12 40.02 7.83 0.64% XLK US Equity 2,170 12,856 30.80 36.00 22.99 0.73% XLI US Equity 5,407 16,087 38.20 51.04 40.82 0.82% XLP US Equity 39 7,323 41.38 41.60 0.87 0.62% XLY US Equity 7,941 20,539 46.72 64.78 48.50 0.80% XLE US Equity 46 4,205 84.01 84.92 1.34 0.81% XLB US Equity 3,237 14,872 37.57 45.75 27.10 0.80% XLV US Equity 11,984 24,346 38.87 58.00 59.19 0.83% EFTA00292938 SXXP Index 5,699 43,375 400.51 453.13 24.37 0.54% SXAP Index 9,676 28,509 520.28 696.87 37.76 0.90% SXKP Index 4,581 46,996 366.14 401.83 15.00 0.65% SXEP Index 3,857 32,218 349.85 391.74 20.42 0.59% SXEP Index 363 19,262 436.54 444.77 3.03 0.62% SXIP Index 12,093 28,921 222.31 315.26 53.28 0.78% SXNP Index 4,474 28,379 482.69 558.79 25.49 0.62% SX3P Index 83 10,375 653.49 658.70 1.12 0.71% SXDP Index 23,257 61,063 609.16 841.17 66.66 0.57% SX4P Index 3,062 25,835 917.36 1,026.07 17.00 0.70% SXEP Index 2,247 13,356 330.19 385.73 25.33 0.66% SXOP Index 7,788 40,505 380.28 453.39 25.03 0.77% SXQP Index 43 6,090 786.24 791.77 0.84 0.84% SXRP Index 448 19,262 430.53 440.53 3.93 0.59% SXMP Index 12,547 35,763 261.12 352.73 54.01 0.65% SXTP Index 21,456 39,240 172.05 266.13 85.48 0.64% SX7E Index 5,740 17,747 157.43 208.34 26.29 1.23% SXSE Index 5,717 38,468 3686.95 4,234.90 22.73 0.65% SPGSCITR Index (398) (33,446) 4817.40 4,874.79 -2.21 0.54% XAG Curncy 2,020 (20,139) 22.78 20.49 10.85 0.92% COI Comdty 38 (24,602) 108.90 108.73 0.27 0.57% CLI Comdty 508 21,321 98.02 100.35 2.69 0.88% NG1 Comdty 6,410 16,595 3.77 5.22 10.30 3.75% XAU Comdty 4,219 (41,240) 110.92 99.57 16.03 0.64% IBOXHY Index 2,247 53,379 220.12 229.39 42.13 0.10% US_TSY CREDIT (11) 6,888 760.25 759.04 -1.06 0.15% CA_TSY CREDIT 6,180 (97,103) 1269.35 1,188.56 16.92 0.38% MX_TSY CREDIT 167 (13,735) 209.03 206.48 2.13 0.57% AU_TSY CREDIT 1,431 (79,064) 1457.62 1,431.23 3.74 0.48% JP_TSY CREDIT 700 (59,628) 822.10 812.45 2.93 0.40% MY_TSY CREDIT 2,410 (90,265) 167.52 163.05 12.18 0.22% SG_TSY CREDIT 525 (95,665) 219.11 217.91 2.32 0.24% AT_TSY CREDIT 2,014 64,302 354.64 365.75 10.06 0.31% BETSY CREDIT 2,824 67,560 473.36 493.14 13.85 0.30% FI_TSY CREDIT 2,054 66,491 346.05 356.74 10.14 0.30% FR_TSY CREDIT 2,376 62,432 1661.26 1,724.49 12.40 0.31% DE_TSY CREDIT 1,698 64,575 1234.81 1,267.28 8.28 0.32% IE_TSY CREDIT 28,049 78,254 336.92 457.69 116.55 0.31% IT_TSY CREDIT 6,154 54,114 1612.72 1,796.11 38.67 0.29% NL_TSY CREDIT 1,953 65,324 1317.53 1,356.93 9.87 0.30% ES_TSY CREDIT 8,574 50,193 392.28 459.29 57.17 0.30% DK_TSY CREDIT 1,944 51,045 721.13 748.60 11.34 0.34% NO_TSY CREDIT (202) (27,358) 333.32 335.78 -1.60 0.46% PL_TSY CREDIT 644 22,127 420.32 432.55 5.78 0.50% ZA_TSY CREDIT 2,489 (33,120) 83.13 76.88 8.40 0.89% SE_TSY CREDIT (483) (21,120) 452.11 462.45 -6.49 0.35% CH_TSY CREDIT 2,543 59,255 999.11 1,041.99 11.73 0.37% EFTA00292939 GB_TSY CREDIT 469 31,818 1475.94 1,497.70 4.62 0.32% EFTA00292940