EFTA00292941.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): 2/14/2014 41.22% 79.01% 4,204,373 (1,271,915) 2,932,459 457 1,000,000 1,790,064 3.06 2/14/2014 Change on Day: 0.97% MSCI World Change on Day 0.42% 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. 1.321 Historical sharpe ratio is in excess of 2.0X (backtest from 1995, see Investor Presentation). Our sharpe ratio increases materially during market downturns in excess of 20 days of realized volatility. Since we generate positive returns in these environments, the variance in our downside volatility is materially less than broader markets. Recessions, which generally result in market directionality in excess of 20 days of volatility are significant alpha capture opportunities for us. Additionally, by never dollar cost averaging and concurrently adding to our winners we have an inherent assymetry in our volatility profile. NAV 2,006,000.00 1$00,000.00 1,600,000.00 1400,000.00 1,200,000.00 1.000.000.00 600,000.00 600,000.00 -ter km-Ave a \ a pw. e eee e eee e e ee t* 4 41' 4 S\et. e e e 4,sv e 11 AO' C5‘ e — NAV EFTA00292941 Atorus, LLC 2/14/2014 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 2435% 52 Positions 30.94% MEXBOL Index (26,146) 0.48% UTX US Equity 5,806 0.32% SPGSCITR Index (26,779) 0.49% SX7E Index 5,851 0.33% NO_TSY CREDIT (27,378) 0.50% ICEXI Index 5,957 0.33% SHCOMP Index (27,718) 0.51% SXXP Index 6,066 0.34% ZA_TSY CREDIT (33,149) 0.61% SXSE Index 6,102 0.34% XAU Comdty (41,262) 0.75% CA_TSY CREDIT 6,146 0.34% CH_TSY CREDIT 59,299 1.08% MAERSKB DC Equity 6,161 0.34% JP_TSY CREDIT (59,678) 1.09% ACA FP Equity 6,168 0.34% SXDP Index 61,075 1.12% QM US Equity 6,175 0.34% SPX Index 62,272 1.14% IT_TSY CREDIT 6,367 0.36% FR_TSY CREDIT 62,478 1.14% NG1 Comdty 6,375 0.36% AT_TSY CREDIT 64,350 1.18% ROG VX Equity 6,387 0.36% NL_TSY CREDIT 65,372 1.19% MDT US Equity 6,476 0.36% PI_TSY CREDIT 66,540 1.22% GS US Equity 6,480 0.36% DE_TSY CREDIT 66,681 1.22% SMI Index 6,512 0.36% BE_TSY CREDIT 67,610 1.23% HON US Equity 6,518 0.36% STBCNZL Index 73,231 1.34% DAI GR Equity 6,579 0.37% IE_TSY CREDIT 78,270 1.43% BMY US Equity 7,074 0.40% AU TSY CREDIT (79,133) 1.45% AMGN US Equity 7,084 0.40% MY_TSY CREDIT (92,252) 1.68% V US Equity 7,115 0.40% SG_TSY CREDIT (95,749) 1.75% ASE Index 7,204 0.40% CA_TSY CREDIT (97,153) 1.77% PRU LN Equity 7,559 0.42% MMM US Equity 7,627 0.43% CMCSK US Equity 7,925 0.44% HEX Index 7,953 0.44% IBEX Index 7,972 0.45% SXOP Index 8,105 0.45% XLY US Equity 8,112 0.45% LLIM Index 8,780 0.49% ES_TSY CREDIT 8,794 0.49% DAX Index 9,062 0.51% KFX Index 9,323 0.52% BAYN GR Equity 9,435 0.53% TMO US Equity 9,639 0.54% MC US Equity 9,716 0.54% SXAP Index 10,143 0.57% TYC US Equity 10,485 0.59% BA US Equity 11,147 0.62% MA US Equity 11,298 0.63% XLV US Equity 12,115 0.68% EFTA00292942 SXIP Index 12,382 0.69% SXMP Index 12,741 0.71% RTY Index 12,910 0.72% NDX Index 13,731 0.77% CELG US Equity 13,966 0.78% SPX Index 16,381 0.92% SXTP Index 21,987 1.23% ISEQ Index 23,658 1.32% SXDP Index 24,208 1.35% IE_TSY CREDIT 28,255 1.58% ST8CN2L Index 30,708 1.72% GILD US Equity 33,051 1.85% No. Names APAC Long 25 APAC Short 27 EMEA Long 71 EMEA Short 22 AMER Long 161 AMER Short 56 EquityCom Long 56 EquityCom Short 15 Credit Long 15 Credit Short 9 Total Long 328 Total Short 129 EFTA00292943 Atorus, LLC 2/14/2014 Historical Net Exposure by Geography (Listed Equities) & Macro (Equity Indices & Comrnodiites, G20 Gov. Credit) 2,000,000 1,500,000 1,000,003 500.000 (1.030,000) 5,000.000 itccomoa 3.030.003 Loam 1,000,00D 0 gsoct000l usposicol (vococci — APAC - ----EMEA - ----AMER - ----EquRyCom — Ct dl •mmmANexEmnumRH5 Historical Gross Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodlites, G20 Gov. Credit) EFTA00292944 Atorus, LIC 2/14/2014 Current Gross Notional Risk by Category ■ APAC ■ EMEA ■ AMER ■ EquityCom ■ Credit Performance Vs. MSCI World Index Rolling 30 Day Realized Volatility - Atorus EFTA00292945 Atorus, LLC 2/14/2014 Percentile Distribution of Current MTM Gains in Vol Days by Position (ex-99pct & ex-1st percentiles) Percentile No. Vol Days 0.00,:, -11.76 5.00% .4.70 10.00% .2.54 15.00% .0.62 20.00% 0.12 25.00% 0.77 30.00% 1.67 35.00% 2.72 40.00% 3.74 45.00% 5.56 50.00% 7.92 55.00% 10.14 60.00% 12.23 65.00% 15.98 70.00% 19.05 75.00% 23.16 80.00% 26.42 85.00% 34.54 90.00% 42.02 95.00% 54.05 100.00% 169.93 i ipfl.Vol Days by Position S MTM Gains(Losse) % of NAV "Signficant" (<7 Vol Days) MTM Gains(Losses) % of NAV "Signficant" (>7 Vol Days) 0.78% 50.90% EFTA00292946 Atorus, LLC Current Portfolio -Listed Equity Portfolio Current Price P/L in Vol 30P Realized Security MTM Galn/(Loss) Exp. @ Cost Avg. Price (In USD) Days Vol 2/14/2014 000270 KS Equity 118 (4,506) 51.62 50.27 1.99 1.31% 005380 KS Equity 0 1,799 218.05 218.10 0.02 1.30% 005490 KS Equity (64) (3,392) 274.12 279.28 .2.12 0.89% 005930 KS Equity 289 (6,558) 1285.62 1229.04 4.36 1.01% 012330 KS Equity 1,161 5,282 244.69 298.46 17.71 1.24% 1 HK Equity (64) (1,592) 14.68 15.27 -6.29 0.64% 1299 HK Equity (102) (2,630) 4.57 4.74 -3.59 1.07% 13 HK Equity 1,879 12,243 11.40 13.15 16.48 0.93% 16 HK Equity 176 (9,935) 12.66 12.44 2.88 0.62% 27 HK Equity (2) 123 9.68 9.51 -0.74 2.35% 2914 JP Equity 11 (4,719) 32.47 32.39 0.17 1.34% 3382 JP Equity 45 3,411 37.70 38.20 1.07 1.23% 4063 JP Equity 98 (4,536) 56.40 55.19 1.81 1.19% 4502 JP Equity (10) 1,933 46.71 46.46 -0.63 0.85% 4689 JP Equity (2) 752 6.01 5.99 -0.18 1.70% 5 HK Equity (147) (3,773) 10.20 10.60 .5.27 0.74% 5108 JP Equity (23) 3,498 36.36 36.11 -0.59 1.13% 54011P Equity 74 (3,709) 2.99 2.93 1.36 1.47% 63011P Equity (20) (3,515) 20.64 20.75 -0.40 1.41% 6752 JP Equity 1,072 4,145 9.01 11.34 10.04 2.58% 6902 JP Equity 2,568 9,730 41.48 52.43 20.50 1.29% 6954 JP Equity 135 6,393 157.65 160.99 1.20 1.77% 7201 JP Equity (27) (3,743) 8.85 8.91 -0.54 1.31% 7203 JP Equity 4 (2,574) 57.45 57.37 0.11 1.20% 7267 JP Equity (46) (3,471) 36.33 36.81 .1.13 1.17% 762 HK Equity 231 (4,155) 1.43 1.35 5.05 1.10% 7751 JP Equity 381 (6,865) 31.44 29.69 5.96 0.93% 80311P Equity (204) (2,695) 13.92 14.98 -6.35 1.19% 8058 JP Equity 612 19.03 19.03 0.00 1.15% 8106 JP Equity 16 (3,210) 5.87 5.84 0.41 1.25% 8316 JP Equity 34 (2,955) 46.29 45.76 0.80 1.41% 8411 JP Equity (118) 3,774 2.12 2.05 -2.29 1.36% 8604 JP Equity 27 (2,508) 6.78 6.71 0.78 1.41% 88011P Equity 68 (1,911) 31.34 30.23 2.27 1.56% 8802 JP Equity 69 (3,308) 24.73 24.21 1.51 1.38% 9020 JP Equity 154 (3,967) 77.53 74.53 3.71 1.04% 941 HK Equity 853 (11,130) 10.27 9.48 11.15 0.69% 9432 JP Equity 210 6,077 53.19 55.03 2.62 1.32% 9433 JP Equity 2,928 9,476 42.13 55.15 21.57 1.43% 9437 JP Equity (145) (5,749) 15.71 16.11 -2.42 1.04% 9983 JP Equity (193) 3,177 367.72 346.69 -3.63 1.67% EFTA00292947 9984 JP Equity 2,076 2,797 42.69 74.38 47.16 1.57% AAPL US Equity 384 7,877 518.25 543.49 4.67 1.04% ABB US Equity 774 10,408 23.59 25.34 7.08 1.05% ABBN VX Equity 607 8,703 23.63 25.28 6.53 1.07% ABBV US Equity 121 5,335 49.49 50.61 2.09 1.08% ABEV US Equity 330 (7,232) 7.25 6.92 3.06 1.49% ABEV3 BZ Equity 324 (6,923) 7.29 6.95 3.53 1.33% ABI BB Equity 5 1,522 100.36 100.69 0.36 0.92% ABT US Equity (2) 4,097 38.87 38.85 .0.06 0.83% ABX CN Equity (402) (2,109) 17.17 20.44 -11.76 1.62% ABX US Equity (394) (2,087) 17.20 20.45 •11.72 1.61% ACA FP Equity 6,168 5,408 6.83 14.63 80.22 1.42% ACE US Equity 110 3,677 93.86 96.68 4.38 0.69% ACN US Equity 591 9,052 77.04 82.07 7.88 0.83% ADP US Equity 62 1,193 72.36 76.12 6.68 0.78% AFL US Equity 23 3,463 62.65 63.06 1.00 0.65% AGL S1 Equity (581) (4,054) 22.73 25.99 -10.16 1.41% AGN US Equity 1,281 6,808 104.77 124.49 15.83 1.19% Al FP Equity 10 1,683 135.97 136.74 0.75 0.75% AIG US Equity 1 4,012 48.66 48.68 0.03 0.94% AIR FP Equity 4,619 6,526 42.47 72.53 63.19 1.12% ALV GR Equity 3,116 7,550 125.64 177.50 42.70 0.97% ALVG IX Equity 2,338 5,742 126.13 177.49 43.50 0.94% AMGN US Equity 7,084 22,886 94.49 123.73 31.12 0.99% AMT US Equity 937 10,655 76.29 83.00 10.88 0.81% AMZN US Equity 3,365 14,103 287.66 356.30 18.12 1.32% ANZ AU Equity 794 28.17 28.17 0.00 0.89% APA US Equity (10) (6,870) 82.74 82.86 •0.15 0.95% APC US Equity (28) (5,635) 80.96 81.36 •0.58 0.84% AXP US Equity 2,496 10,373 71.56 88.78 23.66 1.02% AZN LN Equity 4,610 12,676 49.80 67.92 36.63 0.99% AZN SS Equity 4,045 11,669 50.40 67.87 35.08 0.99% AZN US Equity 4,408 12,432 49.96 67.67 34.84 1.02% BA US Equity 11,147 17,951 79.84 129.42 54.17 1.15% BAC US Equity 9,716 10,884 8.82 16.70 97.32 0.92% BARC LN Equity (193) 5,295 4.41 4.25 -2.93 1.24% BAS GR Equity 1,142 7,333 97.30 112.45 17.72 0.88% BATS LN Equity (197) (5,600) 49.08 50.80 -3.68 0.95% BAX US Equity (275) (8,047) 66.82 69.11 .6.14 0.56% BAYN GR Equity 9,435 11,757 76.64 138.13 82.11 0.98% BBAS3 BZ Equity 22 (797) 8.87 8.63 1.68 1.64% BBD US Equity 973 (6,743) 12.96 11.09 11.35 1.27% BBDC4 BZ Equity 915 (7,252) 12.74 11.14 11.21 1.13% BBL US Equity (185) (4,014) 60.45 63.24 -4.33 1.07% BBVA SM Equity 1,262 5,723 10.09 12.32 17.18 1.28% BCE CN Equity 47 (6,644) 43.17 42.87 1.05 0.68% BCS US Equity (234) 6,397 17.70 17.07 -2.90 1.26% EFTA00292948 BEN US Equity 55 4,618 52.08 52.71 1.26 0.95% BG/ LN Equity (101) (3,003) 17.35 17.94 -2A2 1.39% BHP AU Equity 11 1,570 33.81 34.04 0.74 0.93% BHP US Equity 19 2,162 67.81 68.40 0.93 0.94% BIIB US Equity 361 1,066 245.93 329.19 23.14 1.46% BIL S.I Equity (196) (3,561) 30.26 31.92 -4.71 1.16% BK US Equity 60 1,539 30.62 31.81 4.50 0.86% BLK US Equity 127 1,171 274.17 303.93 11.69 0.93% BLT LN Equity (191) (3,958) 30.23 31.69 -4.74 1.02% BMO CN Equity 941 64.97 64.97 0.00 0.68% BMW GR Equity 978 5,076 98.63 117.62 25.33 0.76% BMY US Equity 7,074 13,669 35.71 54.19 39.94 1.30% BN FP Equity 85 (3,684) 70.54 68.91 2.53 0.91% BNP FP Equity 1,652 5,498 61.78 80.34 25.08 1.20% BNS CN Equity (199) (3,682) 54.78 57.73 -6.45 0.84% BP/ LN Equity 496 8,446 7.68 8.13 9.09 0.65% BRK/B US Equity 941 114.78 114.78 0.00 0.61% BSBR US Equity 1,643 (8,171) 6.18 4.94 12.39 1.62% BUD US Equity 12 1,560 100.51 101.26 0.83 0.90% BX US Equity 95 2,976 30.31 31.28 3.00 1.06% C US Equity (1) 1,229 49.60 49.57 -0.05 1.20% CA FP Equity 393 1,959 30.49 36.61 20.60 0.97% CAT US Equity 1,084 10,300 87.23 96.41 10.14 1.04% CBA AU Equity 2 2,411 68.47 68.53 0.13 0.72% CBS US Equity 402 1,267 49.35 65.00 24.85 1.28% CCL US Equity 949 7,821 36.20 40.60 12.21 0.99% CELG US Equity 13,966 15,111 85.54 164.59 70.06 1.32% CFR VX Equity 4 1,675 99.36 99.62 0.21 1.30% CL US Equity 1,154 18,685 58.99 62.63 10.41 0.59% CM CN Equity 18 2,706 80.96 81.49 1.09 0.60% CMCSA US Equity 5,559 17,408 40.65 53.63 34.65 0.92% CMCSK US Equity 7,925 18,900 36.26 51.47 47.55 0.88% CNI US Equity 1,247 12,873 51.38 56.35 12.22 0.79% CNQ CN Equity 68 3,653 34.64 35.28 2.26 0.82% CNR CN Equity 1,234 12,425 51.30 56.39 12.59 0.79% COF US Equity 417 6,077 67.68 72.33 8.24 0.83% COP US Equity 155 (7,980) 66.64 65.35 2.91 0.67% COST US Equity 12 2,726 115.44 115.97 0.57 0.80% COV LN Equity 186 2,442 $tN/A N/A 25.05 0.30% COV US Equity 762 6,347 63.38 71.00 13.27 0.91% CRM US Equity 215 2,054 56.89 62.85 8.10 1.29% CS FP Equity 2,795 6,734 19.39 27.44 42.10 0.99% CSCO US Equity (179) (4,977) 21.79 22.57 -3.99 0.90% CSX US Equity 859 8,914 25.07 27.49 8.93 1.08% CVE CN Equity 998 (10,449) 28.70 25.96 13.99 0.68% CVS US Equity 1,189 10,312 62.75 69.98 15.54 0.74% CVX US Equity (57) (6,322) 112.00 113.01 -1.21 0.74% EFTA00292949 D US Equity 2,175 12,109 59.94 70.71 23.16 0.78% DAI GR Equity 6,579 13,908 62.20 91.63 45.75 1.03% DBK GR Equity 211 4,052 46.61 49.04 4.04 1.29% DD US Equity 2,236 12,305 54.46 64.35 20.06 0.91% DDAIF US Equity 3,757 8,377 63.20 91.55 38.45 1.17% DE US Equity 20 8,122 85.65 85.86 0.36 0.66% DELL US Equity 14 6,715 #N/A N/A 2.65 0.08% DG FP Equity 3,947 9,889 51.34 71.83 48.96 0.82% DGE LN Equity (40) (1,078) 29.53 30.64 -3.19 1.18% DHR US Equity 4,280 14,097 58.57 76.35 41.93 0.72% DIS US Equity 1,543 9,908 68.36 79.01 14.89 1.05% DISCA US Equity (75) 3,650 81.98 80.32 -1.81 1.14% DNB NO Equity 1,224 9,129 15.66 17.75 18.46 0.73% DOW US Equity 1,940 6,446 35.84 46.62 25.48 1.18% DPW GR Equity 151 547 28.24 36.02 34.58 0.80% DTE GR Equity 4,845 13,640 12.22 16.56 36.44 0.97% DTV US Equity 1,812 9,349 60.30 71.99 25.39 0.76% DUK US Equity (228) (8,822) 69.60 71.40 4.60 0.56% DVN US Equity 16 6,359 61.78 61.93 0.32 0.80% EBAY US Equity 161 5,059 52.95 54.64 2.80 1.14% ECL US Equity 71 3,983 101.15 102.96 2.41 0.74% EDF FP Equity 5,757 9,189 23.45 38.13 67.05 0.93% EMC US Equity 197 8,839 24.88 25.43 2.49 0.89% EMR US Equity 124 2,174 61.11 64.58 8.32 0.68% ENB CN Equity (269) (7,004) 41.70 43.29 -7.40 0.52% ENEL IM Equity 1,275 6,725 4.24 5.05 18.52 1.02% ENI IM Equity (189) (3,384) 22.27 23.52 -7.28 0.77% EOAN GR Equity 44 2,606 18.66 18.97 1.87 0.90% EOG US Equity 1,257 5,573 143.99 176.46 23.23 0.97% EPD US Equity 714 9,800 62.16 66.69 10.90 0.67% ERICB SS Equity 161 4,975 12.20 12.59 3.71 0.87% ESRX US Equity 1,442 9,815 66.69 76.49 21.39 0.69% ETN US Equity 88 3,006 70.48 72.54 2.90 1.01% F US Equity (96) (3,621) 14.82 15.21 -2.44 1.09% F8 US Equity 1,379 2,610 43.94 67.15 34.33 1.54% FCX US Equity (163) (2,387) 31.57 33.73 -5.54 1.24% FDX US Equity 576 5,338 120.94 134.00 12.82 0.84% FOX US Equity 3 2,116 31.77 31.81 0.16 0.96% FOXA US Equity 3 1,952 32.46 32.50 0.12 1.09% FP FP Equity 161 4,762 58.67 60.66 4.86 0.70% G IM Equity 413 4,115 20.76 22.85 10.85 0.92% GE US Equity 2,465 16,425 22.32 25.67 17.48 0.86% GILD US Equity 33,051 13,861 24.02 81.31 169.93 1.40% GIS US Equity 171 7,619 48.58 49.67 3.73 0.60% GLE FP Equity 1,008 3,248 49.51 64.87 20.22 1.53% GLEN LN Equity (264) (2,614) 5.14 5.65 •8.10 1.24% GLW US Equity 2,085 11,376 16.17 19.14 15.57 1.18% EFTA00292950 GM US Equity 682 2,560 28.27 35.80 22.99 1.16% GOOG US Equity 4,963 12,428 857.75 1200.31 42.23 0.95% GS US Equity 6,480 13,671 110.98 163.58 67.31 0.70% GSK LN Equity 362 4,319 25.71 27.86 6.77 1.24% GSZ FP Equity 39 2,561 23.40 23.77 2.14 0.72% HAL US Equity 682 4,093 45.99 53.65 18.59 0.90% HD US Equity 2,230 13,333 66.67 77.82 32.65 0.51% HMB SS Equity 653 6,110 40.79 45.15 12.09 0.88% HON US Equity 6,518 11,930 61.10 94.48 89.66 0.61% HPQ US Equity 1,324 6,297 24.79 30.00 19.14 1.10% HSBA LN Equity (M) (1,445) 10.23 10.68 4.88 2.34% IBE SM Equity 1,050 6,918 5.48 6.31 23.16 0.66% IBM US Equity 52 (8,393) 184.74 183.60 0.80 0.78% IMT LN Equity 836 10,924 35.95 38.70 6.11 1.25% INTC US Equity 340 9,784 23.81 24.64 4.11 0.85% ISP IM Equity 3,033 5,555 1.91 2.95 42.67 1.28% ITUB US Equity 282 (5,909) 13.81 13.15 3.53 1.35% ITUB4 BZ Equity 199 (6,366) 13.59 13.17 2.47 1.27% ITW US Equity 2,208 14,011 67.84 78.52 26.42 0.60% ITX SM Equity (47) (2,635) 149.70 152.35 .2.51 0.70% JCI US Equity 4,297 9,883 34.13 48.96 39.84 1.09% JNJ US Equity 4,249 12,630 69.31 92.63 42.93 0.78% JPM US Equity 936 8,516 52.29 58.03 13.68 0.80% KMB US Equity 230 7,934 106.69 109.79 4.37 0.67% KMI US Equity 277 (6,752) 35.17 33.73 6.25 0.66% KO US Equity 15 (6,962) 38.83 38.75 0.33 0.65% LBTYA US Equity (29) 2,272 84.92 83.85 -1.65 0.78% LBTYK US Equity 119 1,975 78.04 82.73 7.99 0.75% LIN GR Equity 229 5,314 195.45 203.88 5.52 0.78% LLOY LN Equity 3,637 7,073 0.89 1.35 43.84 1.17% LLY US Equity (100) (4,787) 52.96 54.07 -2.57 0.81% LMT US Equity 652 2,016 122.48 162.12 31.74 1.02% LNKD US Equity 8 (364) 192.57 188.10 1.39 1.68% LOW US Equity (111) (3,490) 45.69 47.14 -3.86 0.82% LVS US Equity 2,040 6,808 61.33 79.71 20.66 1.45% LYB US Equity 965 2,297 59.29 84.20 36.93 1.14% MA US Equity 11,298 17,711 47.07 77.10 53.03 1.20% MAERSKB DC Equity 6,161 14,148 8212.58 11788.91 36.89 1.18% MC FP Equity 33 2,801 182.10 184.27 1.08 1.11% MCD US Equity (60) (6,973) 94.88 95.69 -1.65 0.52% MCK US Equity 152 1,762 161.77 175.73 7.56 1.14% MDIZ US Equity 2,552 13,641 28.68 34.05 23.26 0.80% MDT US Equity 6,476 20,811 43.22 56.67 33.17 0.94% MET US Equity 1,002 7,556 44.37 50.25 12.20 1.09% MFC CN Equity 4,440 8,003 12.38 19.24 52.97 1.05% MHS US Equity 1,755 13,962 KN/A N/A 11.02 1.14% MMM US Equity 7,627 21,331 96.89 131.54 50.01 0.71% EFTA00292951 MO US Equity (12) 3,964 35.61 35.49 -0.43 0.73% MON US Equity 401 11,917 106.02 109.58 4.01 0.84% MOS US Equity (188) (4,472) 45.85 47.77 -3.71 1.13% MRK US Equity 1,255 9,350 48.80 55.35 14.03 0.96% MS US Equity 129 1,649 27.57 29.73 7.54 1.04% MSFT US Equity 571 7,177 34.82 37.59 7.69 1.03% MUV2 GR Equity 703 7,535 197.44 215.86 14.15 0.66% NAB AU Equity 5 1,719 30.67 30.76 0.36 0.82% NCM AU Equity 2,759 (5,096) 21.94 10.06 25.48 2.12% NEE US Equity 4,135 14,649 72.62 93.11 39.71 0.71% NEM US Equity 2,348 (7,392) 34.95 23.85 17.59 1.81% NESN VX Equity 574 9,821 69.64 73.71 6.70 0.87% NG/ LN Equity 1,821 11,416 11.72 13.58 22.78 0.70% NICE US Equity 778 2,940 59.26 74.95 32.43 0.82% NOK US Equity 3,652 4,498 3.96 7.18 58.86 1.38% NOV US Equity 6 1,817 75.99 76.23 0.42 0.76% NOVN VX Equity 5,406 18,291 63.81. 82.66 43.31 0.68% NOVOB DC Equity 954 7,721 39.08 43.91 10.76 1.15% NSC US Equity 1,457 9,590 80.49 92.73 13.04 1.17% NVS US Equity 4,216 15,510 65.07 82.76 41.36 0.66% OGXP3 BZ Equity 5,036 (5,180) 4.43 0.12 24.75 3.93% OR FP Equity 3 2,001 168.00 168.23 0.12 1.15% ORA FP Equity 57 2,960 12.37 12.61 1.92 1.00% ORCL US Equity 1,058 7,418 33.31 38.06 20.31 0.70% OXY US Equity 60 2,453 93.01 95.29 2.96 0.83% PBR US Equity 384 (2,814) 13.30 11.49 9.12 1.49% PBR/A US Equity 325 (2,795) 13.87 12.26 7.89 1.47% PCLN US Equity 1,026 3,043 956.05 1278.28 28.37 1.19% PCP US Equity 3,087 13,710 212.47 260.30 24.87 0.91% PEP US Equity (77) 2,342 81.23 78.64 -5.19 0.63% PETR3 BZ Equity 357 (2,923) 6.54 5.75 8.90 1.37% PETR4 BZ Equity 373 (3,123) 6.95 6.12 8.63 1.38% PFE US Equity 4,832 21,828 26.10 31.88 28.43 0.78% PG US Equity 108 4,762 77.33 79.08 2.97 0.76% PHIA NA Equity 2,015 11,244 30.43 35.88 22.92 0.78% PM US Equity 635 (10,166) 85.47 80.13 7.36 0.85% PNC US Equity 632 7,645 75.28 81.51 9.00 0.92% POT CN Equity (81) (1,195) 31.56 33.71 -5.89 1.16% POT US Equity (80) (1,120) 31.45 33.70 -6.02 1.19% PRU LN Equity 7,559 10,521 12.76 21.93 56.81 1.26% PSA US Equity 418 8,031 157.23 165.41 8.30 0.63% PSX US Equity 1,011 6,030 64.65 75.49 17.13 0.98% PX US Equity 2,329 16,099 113.30 129.69 19.74 0.73% QCOM US Equity 1,746 12,547 66.83 76.13 18.02 0.77% QQQ US Equity 6,175 19,920 68.46 89.68 46.93 0.66% RAI US Equity (44) (3,454) 47.50 48.11 -2.09 0.61% RDS/A US Equity (98) (3,677) 69.48 71.32 -3.47 0.77% EFTA00292952 RDS/B US Equity 72 3,994 75.03 76.39 2.24 0.81% RDSA LN Equity 127 4,065 34.51 35.59 3.53 0.89% RDSA NA Equity (115) (4,359) 34.65 35.56 -3.13 0.84% RDSB LN Equity 132 3,982 37.08 38.32 3.67 0.91% REGN US Equity 481 4,722 292.33 322.14 5.91 1.72% RIO AU Equity 158 4,788 59.46 61.42 3.82 0.86% RIO LN Equity 431 4,819 53.84 58.66 7.17 1.25% RIO US Equity 428 4,934 54.04 58.73 6.06 1.43% ROG VX Equity 6,387 17,035 212.78 292.56 47.33 0.79% RY CN Equity (0) 1,941 64.87 64.86 -0.02 0.73% SAB LN Equity (59) (1,472) 44.36 46.12 -4.70 0.85% SAN FP Equity 225 (6,174) 103.67 99.89 4.41 0.83% SAN SM Equity 541 7,256 8.35 8.97 8.09 0.92% SAN US Equity 459 5,315 8.28 8.99 7.05 1.23% SAP GR Equity (122) 5,241 81.50 79.64 -3.06 0.76% SAP US Equity (144) 7,101 81.57 79.95 -2.36 0.86% SBUX US Equity 647 74.80 74.80 0.00 1.09% SGO FP Equity 2,159 7,778 44.00 56.21 31.97 0.87% SI US Equity 1,514 11,259 114.69 130.11 17.84 0.75% SIE GR Equity 1,199 8,908 114.81 130.26 17.51 0.77% SLB US Equity 871 6,528 79.94 90.61 16.52 0.81% SMSN LI Equity 323 (7,260) 644.51 615.87 4.78 0.93% SO US Equity (113) (7,210) 41.73 42.39 -3.00 0.52% SPG US Equity (124) (2,260) 151.46 159.77 -7.23 0.76% SREN VX Equity 1,510 9,709 80.14 92.60 17.47 0.89% STAN LN Equity 184 (5,283) 22.30 21.52 2.68 1.30% STL NO Equity 156 5,200 25.22 25.98 3.21 0.93% STT US Equity 1 3,457 68.60 68.62 0.02 1.08% SU CN Equity (157) (4,100) 32.32 33.55 -5.39 0.71% SU FP Equity 177 4,283 82.76 86.19 4.43 0.93% SU US Equity (132) (3,345) 32.24 33.52 -5.65 0.70% SWEDA SS Equity 605 5,950 24.71 27.22 11.63 0.87% SYNN VX Equity (124) (3,587) 349.49 361.58 -3.50 0.99% T US Equity 285 (8,522) 34.31 33.16 4.18 0.80% TD CN Equity 6 1,892 44.73 44.86 0.54 0.55% TEF SM Equity (63) (3,477) 15.24 15.52 -2.24 0.81% TEF US Equity 2 818 15.44 15.47 0.19 0.97% TGT US Equity 1,239 (10,717) 63.57 56.22 14.47 0.80% TJX US Equity 2,774 9,492 46.31 59.84 34.42 0.85% TLS AU Equity 159 4,525 4.52 4.68 5.21 0.68% TLSN SS Equity 7 1,785 7.59 7.62 0.49 0.78% TM US Equity 107 (5,170) 117.86 115.42 2.88 0.72% TMO US Equity 9,639 10,218 63.59 123.57 100.16 0.94% TOT US Equity 259 2,896 55.85 60.84 10.75 0.83% TRP CN Equity (233) (6,953) 43.75 45.22 -5.53 0.61% TRV US Equity (117) (3,686) 81.08 83.65 -4.28 0.74% TSCO LN Equity 294 (7,398) 5.65 5.43 5.38 0.74% EFTA00292953 TWC US Equity 1,096 4,834 118.89 145.84 30.43 0.74% TWX US Equity 8 1,665 65.11 65.41 0.56 0.83% TXN US Equity 3,103 12,205 34.93 43.81 30.32 0.84% TYC US Equity 10,485 24,080 29.17 41.87 62.87 0.69% UBS US Equity 403 5,222 19.37 20.86 7.23 1.07% UBSN VX Equity 375 5,158 19.51 20.93 8.19 0.89% UCG IM Equity 2,531 5,391 5.58 8.20 29.93 1.57% ULVR LN Equity 0 (4,933) 39.29 39.29 0.01 0.92% UNA NA Equity 34 (6,295) 38.1.4 37.94 0.56 0.95% UNH US Equity 1,390 10,037 64.08 72.96 15.41 0.90% UNP US Equity 1,097 9,767 161.46 179.59 14.53 0.77% UPS US Equity 3,191 14,806 79.87 97.08 36.70 0.59% USB US Equity 2,424 14,238 34.71 40.62 25.86 0.66% UTX US Equity 5,806 15,190 82.05 113.41 51.64 0.74% V US Equity 7,115 7,870 118.43 225.50 98.47 0.92% VALE US Equity 116 (3,908) 15.08 14.63 2.09 1.42% VALE3 8Z Equity 146 (4,586) 15.04 14.56 2.38 1.34% VIAB US Equity 3,908 6,364 52.96 85.49 62.94 0.98% VIV FP Equity 184 2,437 26.01 27.97 9.52 0.79% VMW US Equity 388 4,244 87.26 95.24 6.81 1.34% VOD LN Equity 1,253 7,591 3.14 3.66 19.20 0.86% VOD US Equity 1,161 7,517 31.63 36.51 18.47 0.84% VOW3 GR Equity 1,407 6,826 228.75 275.90 19.32 1.07% VRX CN Equity 819 1,611 92.95 140.23 33.46 1.52% VRX US Equity 945 1,880 93.20 140.06 37.02 1.36% VII US Equity 521 5,134 86.91 95.73 18.96 0.54% VWO US Equity 220 (7,247) 40.33 39.11 3.26 0.93% VZ US Equity 192 (6,121) 48.12 46.61 4.24 0.74% WBC AU Equity 12 1,820 29.29 29.48 0.70 0.93% WES AU Equity 31 2,564 38.92 39.39 1.60 0.74% WFC US Equity 2,286 10,067 37.56 46.09 34.13 0.67% WLP US Equity 1,810 10,369 74.31 87.28 17.05 1.02% WM7 US Equity 37 4,005 75.07 75.77 1.65 0.56% WOW AU Equity (188) (8,665) 31.30 31.98 -3.15 0.69% XOM US Equity 370 10,902 90.48 93.55 4.80 0.71% XTA LN Equity 2 (2,238) gWA WA 0.04 2.26% YHOO US Equity 320 1,282 30.64 38.27 18.01 1.38% YUM US Equity 48 5,221 72.83 73.50 0.86 1.06% ZURN VX Equity 248 6,394 291.95 303.25 5.58 0.69% Current Portfolio -Global Macro Portfolio Current Price P/L in Vol 30P Realized Security MTN Gain/(Loss) Exp. @ Cost Avg. Price (in USD) Days Vol SPX Index 16,001 62,258 1462.70 1,838.63 37.89 0.68% NDX Index 13,655 46,668 2834.52 3,663.88 34.28 0.85% RTY Index 12,842 39,930 869.56 1,149.21 34.71 0.93% EFTA00292954 SPTSX Index 31 6,919 12753.12 12,809.66 0.80 0.56% MEXBOL Index 922 (26,123) 3184.60 3,072.20 3.68 0.96% IBOV Index 2,227 (22,504) 22421.98 20,203.33 7.96 1.24% MERVAL Index (241) (6,681) 755.08 782.34 -1.65 2.18% UKK Index 3,091 39,934 10349.14 11,150.24 12.96 0.60% DAX Index 8,667 36,668 10702.88 13,232.66 35.55 0.66% CAC Index 1,058 12,370 5475.43 5,943.82 13.74 0.62% IBEX Index 7,730 38,408 11552.04 13,876.87 22.21 0.91% SMI Index 6,211 42,494 8229.71 9,432.52 27.07 0.54% FTSEMIB Index 4,813 23,316 23198.94 27,987.75 27.43 0.75% PSI20 Index 4,775 24,271 8162.21 9,767.97 19.22 1.02% ISEQ Index 23,312 40,091 4269.12 6,751.47 81.56 0.71% ICEXI Index 6,146 35,390 6.55 7.69 28.15 0.62% AEX Index 5,094 42,224 487.54 546.36 20.92 0.58% BEL20 Index 5,379 41,728 3611.57 4,077.11 24.23 0.53% LUXXX Index 8,632 39,686 1660.33 2,021.46 32.69 0.67% KFX Index 8,916 38,020 101.68 125.52 29.91 0.78% HEX Index 7,793 40,903 8540.85 10,168.04 23.87 0.80% OMX Index 1,795 20,712 190.66 207.19 12.23 0.71% ATX Index 3,132 28,081 3253.21 3,616.10 12.31 0.91% ASE Index 6,986 17,680 1256.93 1,753.59 26.40 1.50% OSEBX Index 1,281 22,122 85.06 89.99 8.59 0.67% INDEXCF Index (126) (14,119) 42.22 42.60 •1.06 0.84% TOP40 Index 3,874.80 SENSEX Index 296 (16,208) 335.39 329.26 2.35 0.78% NKY Index 923 7,616 125.37 140.56 9.50 1.27% HSI Index (214) (8,966) 2808.32 2,875.32 -2.86 0.83% SHCOMP Index (234) (27,693) 346.03 348.95 -1.09 0.78% KOSPI Index (151) (6,195) 1.79 1.83 -3.37 0.72% AS51 Index (10) 5,073 4845.49 4,835.63 -0.30 0.67% STBCNZL Index 30,518 73,230 445.28 630.85 79.48 0.52% EEM US Equity 237 (6,113) 41.26 39.66 3.55 1.09% IYR US Equity (129) (2,498) 63.97 67.27 -0.13 0.56% MDY US Equity 4,633 14,218 184.94 245.20 36.15 0.90% JNK US Equity (9) (1,534) 40.72 40.96 .3.34 0.18% XLF US Equity 5,257 13,560 15.59 21.64 47.77 0.81% XLU US Equity 317 6,358 38.36 40.28 7.83 0.64% XLK US Equity 2,170 12,856 30.86 36.07 22.99 0.73% XLI US Equity 5,407 16,087 38.45 51.37 40.82 0.82% XLP US Equity 39 7,323 41.62 41.84 0.87 0.62% XLY US Equity 7,941 20,539 47.00 65.17 48.50 0.80% XLE US Equity 46 4,205 85.10 86.03 1.34 0.81% XLB US Equity 3,237 14,872 37.88 46.12 27.10 0.80% XLV US Equity 11,984 24,346 39.01 58.21 59.19 0.83% SXXP Index 5,699 43,375 403.47 456.48 24.37 0.54% SXAP Index 9,676 28,509 526.56 705.28 37.76 0.90% SXKP Index 4,581 46,996 366.23 401.93 15.00 0.65% EFTA00292955 SX6P Index 3,857 32,218 354.79 397.26 20.42 0.59% SXEP Index 363 19,262 440.91 449.22 3.03 0.62% SXIP Index 12,093 28,921 223.87 317.48 53.28 0.78% SXNP Index 4,474 28,379 488.08 565.03 25.49 0.62% SX3P Index 83 10,375 656.25 661.48 1.12 0.71% SXDP Index 23,257 61,063 615.99 850.61 66.66 0.57% SX4P Index 3,062 25,835 926.69 1,036.51 17.00 0.70% SX8P Index 2,247 13,356 331.36 387.10 25.33 0.66% SXOP Index 7,788 40,505 382.76 456.34 25.03 0.77% SXQP Index 43 6,090 789.42 794.97 0.84 0.84% SXRP Index 448 19,262 432.54 442.60 3.93 0.59% SXMP Index 12,547 35,763 262.16 354.14 54.01 0.65% SXTP Index 21,456 39,240 173.54 268.44 85.48 0.64% SX7E Index 5,740 17,747 158.15 209.30 26.29 1.23% SXSE Index 5,717 38,468 3718.87 4,271.55 22.73 0.65% SPGSCITR Index (398) (33,446) 4833.67 4,891.25 -2.21 0.54% XAG Curncy 2,020 (20,139) 23.90 21.51 10.85 0.92% COI Comdty 38 (24,602) 109.25 109.08 0.27 0.57% CL1 Comdty 508 21,321 97.97 100.30 2.69 0.88% NG1 Comdty 6,410 16,595 3.76 5.21 10.30 3.75% XAU Comdty 4,219 (41,240) 113.61 101.99 16.03 0.64% IBOXHY Index 2,247 53,379 220.29 229.56 42.13 0.10% US_TSY CREDIT (11) 6,888 759.82 758.61 -1.06 0.15% CA_TSY CREDIT 6,180 (97,103) 1269.86 1,189.04 16.92 0.38% MX_TSY CREDIT 167 (13,735) 210.43 207.87 2.13 0.57% AU_TSY CREDIT 1,431 (79,064) 1467.99 1,441.42 3.74 0.48% JP_TSY CREDIT 700 (59,628) 825.42 815.73 2.93 0.40% MY_TSY CREDIT 2,410 (90,265) 168.45 163.95 12.18 0.22% SG_TSY CREDIT 525 (95,665) 220.12 218.91 2.32 0.24% AT_TSY CREDIT 2,014 64,302 355.05 366.17 10.06 0.31% BETSY CREDIT 2,824 67,560 473.82 493.62 13.85 0.30% FI_TSY CREDIT 2,054 66,491 346.33 357.03 10.14 0.30% FR_TSY CREDIT 2,376 62,432 1662.85 1,726.14 12.40 0.31% DE_TSY CREDIT 1,698 64,575 1235.51 1,267.99 8.28 0.32% lE_TSY CREDIT 28,049 78,254 337.56 458.55 116.55 0.31% IT_TSY CREDIT 6,154 54,114 1618.45 1,802.49 38.67 0.29% NL_TSY CREDIT 1,953 65,324 1318.71 1,358.14 9.87 0.30% ES_TSY CREDIT 8,574 50,193 393.76 461.02 57.17 0.30% DK_TSY CREDIT 1,944 51,045 721.33 748.80 11.34 0.34% NO_TSY CREDIT (202) (27,358) 333.75 336.22 -1.60 0.46% PL_TSY CREDIT 644 22,127 423.01 435.32 5.78 0.50% ZA_TSY CREDIT 2,489 (33,120) 84.78 78.41 8.40 0.89% SE_TSY CREDIT (483) (21,120) 452.65 463.00 -6.49 0.35% CH_TSY CREDIT 2,543 59,255 1000.74 1,043.70 11.73 0.37% GB_TSY CREDIT 469 31,818 1485.19 1,507.09 4.62 0.32% EFTA00292956