EFTA00292973.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): 2/21/2014 48.08% 82.12% 4,500,684 (1,151,319) 3,349,365 456 1,000,000 1,821,198 3.10 2/21/2014 Change on Day: 1.331 MSCI World Change on Day 0.23% 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 eac h 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 2,0(1%000.00 1,80%000.00 1.600.000.00 1.400.000.00 1.200.000.00 1.000.000.00 600,000.00 arf elV\444".,MA 600,000.00 t4;11 „b. ~ti, „ „ p p „ — NAV EFTA00292973 Atorus, LLC 2/21/2014 largest Exposures 99th Percentile 1st Percentile (@ cost ex.MTM) Largest MTM Gains (95th Percentile MTM Gains % NAV) Security Notional % of Total Notional Security MTM Gain % Total NAV 22 Positions 23.56% 53 Positions 31.68% COI Comdty (24,622) 0.44% ICEXI Index 5,971 0.33% MEXBOL Index (26,146) 0.46% EDF FP Equity 6,124 0.34% NO_TSY CREDIT (27,378) 0.48% UTX US Equity 6,213 0.34% XAU Comdty (33,009) 0.58% QQQ US Equity 6,312 0.35% ZA_TSY CREDIT (33,149) 0.59% SXSE Index 6,413 0.35% SHCOMP Index (33,700) 0.60% HON US Equity 6,449 0.35% JP_TSY CREDIT (59,678) 1.06% MAERSKB DC Equity 6,459 0.35% CH_TSY CREDIT 60,555 1.07% SXKP Index 6,503 0.36% SXDP Index 61,075 1.08% BEL20 Index 6,541 0.36% SPX Index 62,272 1.10% DAI GR Equity 6,574 0.36% FR_TSY CREDIT 63,924 1.13% SXXP Index 6,623 0.36% AT_TSY CREDIT 64,350 1.14% GS US Equity 6,645 0.36% NL_TSY CREDIT 65,372 1.16% ME Index 6,682 0.37% FI_TSY CREDIT 66,540 1.18% ACA FP Equity 6,691 0.37% DE_TSY CREDIT 66,681 1.18% MDT US Equity 6,808 0.37% BETSY CREDIT 67,610 1.20% SMI Index 6,861 0.38% STBCNZL Index 73,231 1.30% IT_TSY CREDIT 6,868 0.38% lE_TSY CREDIT 78,270 1.38% CMCSK US Equity 6,911 0.38% AU_TSY CREDIT (79,133) 1.40% ROG VX Equity 6,965 0.38% MY_TSY CREDIT (92,252) 1.63% BMY US Equity 7,048 0.39% SG_TSY CREDIT (95,749) 1.69% CA_TSY CREDIT 7,131 0.39% CA_TSY CREDIT (97,153) 1.72% AMGN US Equity 7,249 0.40% MMM US Equity 7,685 0.42% IBEX Index 7,824 0.43% PRU LN Equity 7,961 0.44% XLY US Equity 8,125 0.45% SXOP Index 8,579 0.47% HEX Index 8,742 0.48% ES_TSY CREDIT 9,157 0.50% DAX Index 9,170 0.50% BAC US Equity 9,283 0.51% LUXXX Index 9,418 0.52% BAYN GR Equity 9,583 0.53% TMO US Equity 9,679 0.53% KFX Index 10,286 0.56% NG I Comdty 10,435 0.57% SXAP Index 10,538 0.58% MA US Equity 10,895 0.60% TYC US Equity 10,944 0.60% BA US Equity 11,011 0.60% EFTA00292974 SXIP Index 12,421 0.68% XLV US Equity 12,491 0.69% SXMP Index 12,866 0.71% CELG US Equity 13,579 0.75% RTY Index 13,619 0.75% NDX Index 13,710 0.75% SPX Index 16,279 0.89% SXTP Index 22,238 1.22% ISEQ Index 24,816 1.36% SXDP Index 24,995 1.37% lE_TSY CREDIT 29,291 1.61% ST8CN2L Index 31,202 1.71% GILD US Equity 34,151 1.88% No. Names b APAC Long 29 APAC Short 23 EMEA Long 80 EMEA Short 12 AMER Long 171 AMER Short 46 EquityCom Long 62 EquityCom Short 9 G20 Rates Long 15 G20 Rates Short 9 Total Long 357 Total Short 99 EFTA00292975 Atoms, LLC 2/21/2014 Historical Net Exposure by Geography (Listed Equities) & Macro (Equity Indices & Comrnodiites, G20 Gov. Credit) - EMEA -AMER Eq tyCo —G20 Rates •--, NexEposure RHS 2,000,000 1,500003 5,000.000 4,030.000 3,000.000 - 2.000.000 1O30.00D • 0 • (1,200.0001 - (2,200.0021 1,000,000 500,000 III` -APAC I e %Qg rsv 4v 4 4 A\ . % 8. 0 p9 ,e4) % ,,,c, % -89 ne • 44 N. \ o, 4 k‘ N. •••• .„\ (theme) (1.000.000) (3,1200.0001 Historical Gross Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodlites, G20 Gov. Credit) EFTA00292976 Atorus, LIC 2/21/2014 Current Gross Notional Risk by Category 240,462 rf34,206 1,353,77, • APAC • EMEA • AMER • EquityCom • G20 Rates Performance Vs. MSCI World Index 1.95 1.75 1.55 1.35 1.15 0.95 0.75 t. eb trni O1'L O1'y O1'L O1ry Ors'e C:› CS% Q 0% ON 4:3" (.5% O% O% 1. 4" 4' .• rts ev % 4' 4 Ati 41" 4' PASCIWoek1 ATORUS Rolling 30 Day Realized Volatility - A EFTA00292977 Atorus, LLC 2/21/2014 Percentile Distribution of Current MTM Gains in Vol Days by Position (ex-99pct & ex-1st percentiles) 60.110 S0.C0 400 30.0 20A0 10.0 0AD 10* ?et dr tee der car tree e tee csr Percentile No. Vol Days 0.00,:, -10.32 5.00% -2.41 10.00% .0.90 15.00% 0.00 20.00% 0.22 25.00% 0.74 30.00% 1.68 35.00% 3.16 40.00% 4.32 45.00% 6.24 50.00% 8.07 55.00% 9.92 60.00% 12.75 65.00% 16.58 70.00% 19.99 75.00% 24.65 80.00% 29.17 85.00% 34.94 90.00% 42.78 95.00% 56.42 100.00% 175.56 Vol Days by Position MTM Gains(Losses) % of NAV "Signficant" (<7 Vol Days) MTM Gains(Losses) % of NAV "Signficant" (>7 Vol Days) 1.23% 52.03% EFTA00292978 Atorus, LLC Current Portfolio -Listed Equity Portfolio Current Price P/L in Vol 30P Realized Security MTM Gain/(Loss) Exp. @ Cost Avg. Price (In USD) Days Vol 2/21/2014 000270 KS Equity 188 (4,506) 51.62 49.47 3.71 1.12% 005380 KS Equity (22) 720 217.84 211.42 •2.16 1.41% 005490 KS Equity 48 (3,782) 273.49 270.01 1.46 0.87% 005930 KS Equity 258 (6,558) 1,285.62 1,234.99 4.15 0.95% 012330 KS Equity 965 5,282 244.69 289.38 14.53 1.26% 1 HK Equity 6 3,698 15.19 15.21 0.22 0.72% 1299 HK Equity (19) 3,412 4.82 4.79 -0.53 1.07% 13 HK Equity 1,985 12,243 11.40 13.25 18.56 0.87% 16 HK Equity (62) (9,935) 12.66 12.74 -1.05 0.59% 27 HK Equity (5) 123 9.67 9.31 -1.76 2.14% 2914 JP Equity (23) (4,719) 32.47 32.63 -0.39 1.26% 3382 JP Equity 129 3,411 37.70 39.13 3.24 1.16% 40631P Equity 82 (4,536) 56.40 55.39 1.33 1.35% 4502 JP Equity 25 2,102 46.69 47.25 1.70 0.71% 4689 JP Equity 13 941 6.03 6.11 0.90 1.56% 5 HK Equity 7 1,915 10.81 10.85 0.49 0.73% 5108 JP Equity (107) 3,498 36.32 35.24 -2.36 1.30% 54011P Equity 52 (3,709) 2.99 2.95 0.89 1.57% 63011P Equity 26 (3,515) 20.64 20.48 0.54 1.39% 67521P Equity 1,072 4,145 9.01 11.34 9.62 2.69% 69021P Equity 2,635 9,730 41.48 52.71 21.73 1.25% 6954 JP Equity 297 6,393 157.65 164.98 2.71 1.71% 72011P Equity (49) (3,743) 8.85 8.96 .1.05 1.24% 7203 JP Equity (33) (3,073) 57.44 58.05 -0.85 1.26% 7267 JP Equity 59 (4,885) 36.43 35.99 0.94 1.29% 762 HK Equity 359 (4,155) 1.43 1.31 8.07 1.07% 7751 JP Equity 239 (6,865) 31.44 30.34 3.27 1.06% 80311P Equity (3) 2,413 15.32 15.30 -0.10 1.15% 8058 P Equity 14 3,003 19.28 19.37 0.42 1.14% 8106 JP Equity (24) (2,979) 5.88 5.93 -0.59 1.34% 8316 JP Equity (21) (2,364) 46.29 46.70 -0.57 1.55% 8411 JP Equity (57) 3,774 2.12 2.09 -1.10 1.37% 8604 JP Equity (44) (2,403) 6.77 6.90 -1.26 1.46% 88011P Equity 10 (2,516) 31.09 30.96 0.25 1.62% 8802 JP Equity 52 (3,308) 24.73 24.34 1.09 1.45% 90201P Equity 134 (3,967) 77.53 74.91 3.18 1.07% 941 HK Equity 802 (11,351) 10.25 9.53 10.41 0.68% 94321P Equity 246 6,077 53.19 55.34 2.88 1.40% 94331P Equity 3,318 9,476 42.13 56.89 22.04 1.59% 94371P Equity (216) (5,749) 15.71 16.30 -3.55 1.06% 99831P Equity (198) 3,177 367.64 346.05 -3.70 1.69% EFTA00292979 9984 JP Equity 2,158 2,797 42.69 75.63 46.62 1.65% AAPL US Equity 158 7,877 518.25 528.64 1.82 1.10% ABB US Equity 652 10,408 23.59 25.07 5.96 1.05% ABBN VX Equity 575 8,703 23.63 25.19 5.89 1.12% ABBV US Equity 203 5,335 49.49 51.37 3.76 1.01% ABEV US Equity 219 (7,232) 7.25 7.03 2.01 1.50% ABEV3 BZ Equity 212 (6,923) 7.29 7.07 2.21 1.39% ABI BB Equity 21 3,833 101.09 101.66 0.61 0.92% ABT US Equity 19 4,097 38.87 39.05 0.63 0.75% ABX CN Equity 7 766 20.80 20.99 0.54 1.70% ABX US Equity 7 785 20.80 20.97 0.49 1.68% ACA FP Equity 6,691 5,408 6.83 15.29 97.68 1.27% ACE US Equity 137 3,677 93.86 97.35 5.54 0.67% ACN US Equity 799 9,052 77.04 83.85 10.78 0.82% ADP US Equity 69 1,193 72.36 76.53 8.92 0.65% AFL US Equity (23) 4,556 62.74 62.42 -0.86 0.58% AGN US Equity 1,346 7,558 106.55 125.53 16.37 1.09% Al FP Equity 5 4,497 135.51 135.67 0.17 0.70% AIG US Equity 39 4,012 48.66 49.13 0.97 1.00% AIR FP Equity 4,496 6,526 42.47 71.73 64.03 1.08% ALV GR Equity 3,121 7,550 125.64 177.59 45.61 0.91% ALVG IX Equity 2,341 5,742 126.13 177.55 44.90 0.91% AMGN US Equity 7,249 22,886 94.49 124.41 32.21 0.98% AMT US Equity 1,110 10,655 76.29 84.24 13.88 0.75% AMZN US Equity 3,064 14,103 287.66 350.15 17.26 1.26% ANZ AU Equity 9 3,602 28.48 28.56 0.28 0.90% APA US Equity (204) (6,870) 82.74 MAERSKB DC -3.03 0.98% APC US Equity (129) (5,635) 80.96 82.82 -2.49 0.92% AXP US Equity 2,513 10,373 71.56 88.90 23.41 1.04% AZN LN Equity 4,365 12,676 49.80 66.95 34.86 0.99% AZN SS Equity 3,905 11,669 50.40 67.27 33.19 1.01% AZN US Equity 4,206 12,432 49.96 66.86 30.44 1.11% BA US Equity 11,011 17,951 79.84 128.82 55.02 1.11% BAC US Equity 9,283 10,884 8.82 16.35 98.78 0.86% BARC LN Equity (150) 5,295 4.41 4.29 .2.32 1.22% BAS GR Equity 1,183 7,333 97.30 112.99 20.04 0.80% BATS LN Equity 26 3,136 52.06 52.49 0.86 0.96% BAX US Equity (330) (8,047) 66.82 69.56 .7.32 0.56% BAYN GR Equity 9,583 11,757 76.64 139.10 83.16 0.98% BBAS3 BZ Equity 20 (1,954) 8.70 8.61 0.61 1.70% BBD US Equity 757 (6,743) 12.96 11.50 8.67 1.30% BBDC4 BZ Equity 693 (7,252) 12.74 11.53 8.76 1.09% BBL US Equity 616 65.76 65.76 0.00 1.14% BBVA SM Equity 1,201 5,723 10.09 12.21 19.14 1.10% BCE CN Equity 39 (6,644) 43.17 42.92 0.95 0.62% BCS US Equity (187) 6,397 17.71 17.21 •2.22 1.31% BEN US Equity 42 4,618 52.08 52.55 0.88 1.02% EFTA00292980 BG/ LN Equity (171) (3,003) 17.35 18.34 •4.01 1.42% BHP AU Equity 91 4,603 34.47 35.16 2.11 0.94% BHP US Equity 109 4,501 69.12 70.80 2.52 0.96% BBB US Equity 427 1,066 245.93 344.41 27.64 1.45% BIL Sl Equity 10 1,219 32.91 33.18 0.69 1.21% BK US Equity 31 1,976 30.91 31.39 1.80 0.86% BLK US Equity 113 1,171 274.17 300.58 10.24 0.94% BLT LN Equity 5 1,374 32.74 32.86 0.37 1.02% BMO CN Equity 2 4,839 65.26 65.29 0.07 0.65% BMW GR Equity 917 5,076 98.63 116.44 21.20 0.85% BMY US Equity 7,048 13,669 35.71 54.12 38.40 1.34% BN FP Equity 21 (3,684) 70.54 70.14 0.62 0.92% BNP FP Equity 1,665 5,498 61.78 80.49 27.32 1.11% BNS CN Equity (20) 3,512 57.51 57.17 -0.76 0.77% BP/ LN Equity 751 9,460 7.74 8.36 11.96 0.66% BRK/B US Equity (26) 4,878 114.00 113.40 -0.86 0.61% BSBR US Equity 1,642 (8,171) 6.18 4.94 11.43 1.76% BUD US Equity 25 3,909 100.95 101.59 0.76 0.84% BX US Equity 167 2,976 30.31 32.01 5.23 1.07% C US Equity (28) 1,099 49.56 48.31 •2.26 1.14% CA FP Equity 380 1,959 30.49 36.41 18.49 1.05% CAT US Equity 1,212 10,300 87.23 97.49 11.42 1.03% CBA AU Equity (41) 6,284 67.73 67.30 -0.78 0.84% CBS US Equity 432 1,267 49.35 66.18 25.93 1.32% CCL US Equity 691 7,821 36.20 39.40 8.19 1.08% CELG US Equity 13,579 15,111 85.54 162.40 78.42 1.15% CFR VX Equity 5 2,756 99.34 99.50 0.15 1.11% CL US Equity 955 18,685 58.99 62.01 8.46 0.60% CM CN Equity 3 5,611 81.17 81.21 0.10 0.54% CMCSA US Equity 4,572 17,408 40.65 51.32 28.55 0.92% CMCSK US Equity 6,911 18,900 36.26 49.52 40.88 0.89% CNI US Equity 1,086 12,873 51.38 55.71 11.97 0.70% CNQ CN Equity 304 5,482 35.23 37.18 5.83 0.95% CNR CN Equity 1,078 12,425 51.30 55.74 12.70 0.68% COF US Equity 308 6,077 67.68 71.11 5.53 0.91% COP US Equity 220 (7,980) 66.64 64.80 4.19 0.66% COST US Equity (62) 4,526 115.29 113.72 .1.83 0.75% COV LN Equity 186 2,442 IN/A N/A 25.05 0.30% COV US Equity 796 6,347 63.38 71.33 14.45 0.87% CRM US Equity 255 2,054 56.89 63.95 10.03 1.24% CS FP Equity 2,540 6,734 19.39 26.70 39.56 0.95% CSCO US Equity (102) (4,977) 21.79 22.24 •2.32 0.89% CSX US Equity 838 8,914 25.07 27.43 8.76 1.07% CVE CN Equity 1,065 (10,449) 28.70 25.77 15.86 0.64% CVS US Equity 1,407 10,312 62.75 71.31 18.31 0.75% CVX US Equity (66) (8,207) 112.39 113.30 •1.08 0.75% D US Equity 2,357 12,109 59.94 71.61 26.45 0.74% EFTA00292981 DAI GR Equity 6,574 13,908 62.20 91.61 42.65 1.11% DBK GR Equity 148 4,052 46.61 48.32 2.98 1.23% DD US Equity 2,434 12,305 54.46 65.23 23.02 0.86% DDAIF US Equity 3,787 8,377 63.20 91.78 38.13 1.19% DE US Equity (67) 8,122 85.65 84.94 •1.30 0.63% DELL US Equity 14 6,715 14N/A N/A 2.65 0.08% DG FP Equity 4,069 9,889 51.34 72.46 44.85 0.92% DGE LN Equity (248) (2,161) 28.32 31.57 4.43 2.59% DHR US Equity 4,213 14,097 58.57 76.07 42.01 0.71% DIS US Equity 1,684 9,908 68.36 79.98 16.17 1.05% DISCA US Equity 26 3,650 82.02 82.60 0.67 1.08% DNB NO Equity 1,012 9,735 15.77 17.41 14.63 0.71% DOW US Equity 2,040 6,446 35.84 47.17 27.40 1.15% DPW GR Equity 156 547 28.24 36.29 31.17 0.91% DTE GR Equity 5,141 13,640 12.22 16.82 36.77 1.03% DTV US Equity 2,344 9,349 60.30 75.42 29.17 0.86% DUK US Equity (275) (8,822) 69.60 71.77 4.04 0.52% DVN US Equity 269 7,132 61.93 64.26 4.59 0.82% EBAY US Equity 194 5,059 52.95 54.98 4.04 0.95% Ea US Equity 47 3,983 101.15 102.35 1.69 0.70% EDF FP Equity 6,124 9,189 23.45 39.07 69.66 0.96% EMC US Equity 268 8,839 24.88 25.63 3.63 0.84% EMR US Equity 0 (752) 63.76 63.74 0.05 0.69% ENB CN Equity (207) (7,004) 41.70 42.93 .5.87 0.50% ENEL IM Equity 1,472 7,503 4.32 5.17 19.75 0.99% ENI IM Equity 10 4,493 23.70 23.75 0.32 0.72% EOAN GR Equity 128 2,606 18.66 19.58 5.48 0.90% EOG US Equity 1,366 5,573 143.99 179.29 24.95 0.98% EPD US Equity 514 10,466 62.42 65.48 7.56 0.65% ERICB SS Equity 186 6,004 12.27 12.65 3.77 0.82% ESRX US Equity 1,101 9,815 66.69 74.17 14.11 0.80% ETN US Equity 134 3,006 70.48 73.61 4.28 1.04% F US Equity (92) (3,621) 14.82 15.19 -2.38 1.07% F8 US Equity 1,503 2,630 44.06 69.23 38.20 1.50% FCX US Equity 2 2,391 33.62 33.65 0.09 1.17% FDX US Equity 608 5,338 120.94 134.70 12.66 0.90% FOX US Equity 23 3,520 31.89 32.11 0.69 0.95% FOXA US Equity 21 3,246 32.65 32.87 0.60 1.07% FP FP Equity 376 8,334 59.78 62.47 6.34 0.71% G IM Equity 406 5,607 21.32 22.86 8.02 0.90% GE US Equity 2,012 16,425 22.32 25.05 13.26 0.92% GILD US Equity 34,151 13,861 24.02 83.22 175.56 1.40% GIS US Equity 179 8,762 48.73 49.72 3.74 0.55% GLE FP Equity 993 3,248 49.51 64.64 22.08 1.38% GLEN LN Equity (4) 988 5.63 5.61 -0.33 1.26% GLW US Equity 2,008 11,376 16.17 19.03 15.58 1.13% GM US Equity 752 2,560 28.27 36.57 26.71 1.10% EFTA00292982 GOOG US Equity 5,043 12,428 857.75 1,205.84 45.88 0.88% GS US Equity 6,645 13,671 110.98 164.91 72.69 0.67% GSK LN Equity 396 4,319 25.71 28.06 7.53 1.22% GSZ FP Equity 210 5,466 23.77 24.69 4.91 0.78% HAL US Equity 854 4,356 46.48 55.58 20.67 0.95% HD US Equity 2,219 13,333 66.67 77.76 29.55 0.56% HMB SS Equity 520 6,110 40.79 44.26 9.29 0.92% HON US Equity 6,449 11,930 61.10 94.13 85.21 0.63% HPC1 US Equity 1,310 6,580 24.97 29.94 18.85 1.06% HSBA LN Equity 3 1,529 10.87 10.89 0.08 2.32% IBE SM Equity 1,204 6,971 5.49 6.43 29.46 0.59% IBM US Equity 48 (8,393) 184.74 183.68 0.81 0.70% IMT LN Equity 1,092 10,924 35.95 39.54 8.07 1.24% INTC US Equity 317 9,784 23.81 24.58 3.80 0.85% ISP IM Equity 3,290 5,585 1.91 3.04 48.64 1.21% ITUB US Equity 286 (5,909) 13.81 13.15 3.30 1.47% ITUB4 BZ Equity 179 (6,366) 13.59 13.21 2.17 1.29% ITW US Equity 2,805 14,011 67.84 81.42 31.32 0.64% ITX SM Equity 127 (4,648) 149.71 145.60 3.06 0.90% JO US Equity 4,539 9,883 34.13 49.80 42.81 1.07% JNJ US Equity 4,097 12,630 69.31 91.80 44.47 0.73% JPM US Equity 864 8,516 52.29 57.59 13.30 0.76% KMB US Equity 286 7,934 106.69 110.54 5.30 0.68% KMI US Equity 377 (6,752) 35.17 33.21 7.98 0.70% KO US Equity 266 (6,962) 38.83 37.35 5.42 0.70% LBTYA US Equity 56 2,272 84.93 87.01 2.82 0.87% LBTYK US Equity 201 1,975 78.04 85.97 11.67 0.87% LIN GR Equity 233 8,087 198.03 203.74 3.88 0.74% LLOY LN Equity 3,582 7,073 0.89 1.35 48.39 1.05% LLY US Equity (379) (3,830) 52.96 58.21 -10.32 0.96% LMT US Equity 692 2,016 122.48 164.53 33.73 1.02% LNKD US Equity (16) (2,082) 192.19 193.68 -0.46 1.70% LOW US Equity 7 3,575 46.89 46.99 0.25 0.79% LVS US Equity 2,170 6,808 61.33 80.87 23.85 1.34% LYB US Equity 1,038 2,297 59.29 86.08 40.14 1.13% MA US Equity 10,895 17,711 47.01 75.92 48.21 1.28% MAERSKB DC Equity 6,459 14,148 8,212.58 11,962.05 42.75 1.07% MC FP Equity 93 2,801 182.10 188.14 3.59 0.93% MCD US Equity (131) (6,973) 94.88 96.66 -3.98 0.47% MCK US Equity 168 1,762 161.77 177.23 9.58 1.00% MDIZ US Equity 2,737 13,641 28.68 34.44 24.63 0.81% MDT US Equity 6,808 20,811 43.22 57.36 37.55 0.87% MET US Equity 1,083 7,556 44.37 50.73 13.11 1.09% MFC CN Equity 4,410 8,003 12.38 19.19 53.45 1.03% MHS US Equity 1,755 13,962 NN/A N/A 11.02 1.14% MMM US Equity 7,685 21,331 96.89 131.80 50.45 0.71% MO US Equity (21) 3,964 35.60 35.42 -0.76 0.69% EFTA00292983 MON US Equity 705 11,917 106.02 112.29 7.68 0.77% MOS US Equity (148) (2,683) 45.85 48.38 -5.09 1.09% MRK US Equity 1,395 9,350 48.80 56.09 15.09 0.99% MS US Equity 124 1,649 27.57 29.64 6.93 1.09% MSFT US Equity 671 7,177 34.82 38.08 9.85 0.95% MUV2 GR Equity 715 7,645 197.70 216.19 15.25 0.61% NAB AU Equity (46) 5,164 31.15 30.88 -0.92 0.97% NCM AU Equity 2,778 (5,096) 21.94 9.98 24.21 2.25% NEE US Equity 4,069 14,649 72.62 92.79 38.70 0.72% NEM US Equity 2,467 (7,392) 34.95 23.28 17.77 1.88% NESN VX Equity 617 9,821 69.64 74.01 7.62 0.83% NG/ IN Equity 2,112 11,765 11.77 13.88 26.17 0.69% NKE US Equity 845 2,940 59.26 76.30 34.00 0.85% NOK US Equity 3,941 4,498 3.96 7.44 59.18 1.48% NOV US Equity (62) 4,620 76.19 75.18 •1.75 0.77% NOVN VX Equity 5,496 18,291 63.81 82.98 44.26 0.68% NOVOB DC Equity 1,082 7,721 39.08 44.55 12.10 1.16% NSC US Equity 1,223 9,590 80.49 90.76 10.94 1.17% NVS US Equity 4,243 15,510 65.07 82.87 40.71 0.67% OGXP3 BZ Equity 5,051 (5,180) 4.43 0.11 21.50 4.53% OR FP Equity (1) 3,253 167.89 167.84 -0.02 1.07% ORA FP Equity 140 3,351 12.43 12.95 4.73 0.88% ORCL US Equity 1,100 7,418 33.31 38.25 21.28 0.70% OXY US Equity 62 4,632 94.24 95.50 1.68 0.80% PBR US Equity 403 (2,814) 13.30 11.40 9.31 1.54% PBR/A US Equity 369 (2,795) 13.87 12.04 8.53 1.54% PCLN US Equity 1,166 3,043 956.05 1,322.40 30.16 1.27% PCP US Equity 2,916 13,710 212.47 257.66 24.70 0.86% PEP US Equity (1) (831) 78.28 78.34 •0.14 0.64% PETR3 BZ Equity 377 (2,923) 6.54 5.70 9.39 1.37% PETR4 BZ Equity 413 (3,123) 6.95 6.03 9.72 1.36% PFE US Equity 4,597 21,828 26.10 31.60 26.85 0.78% PG US Equity 62 4,762 77.33 78.34 1.71 0.76% PHIA NA Equity 1,575 11,244 30.43 34.69 16.82 0.83% PM US Equity 731 (10,166) 85.47 79.32 9.02 0.80% PNC US Equity 505 7,645 75.28 80.25 6.93 0.95% POT CN Equity (83) (2,183) 32.18 33.40 -3.55 1.07% POT US Equity (93) (2,151) 32.16 33.56 -3.97 1.10% PRU LN Equity 7,961 10,521 12.76 22.42 61.43 1.23% PSA US Equity 461 9,413 158.54 166.29 7.80 0.63% PSX US Equity 984 6,030 64.65 75.20 16.98 0.96% PX US Equity 2,112 16,099 113.30 128.16 17.52 0.75% QCOM US Equity 1,717 12,547 66.83 75.97 18.27 0.75% QQQ US Equity 6,312 19,920 68.46 90.15 50.39 0.63% RAI US Equity (60) (2,860) 47.66 48.67 •3.44 0.61% RDS/A US Equity 873 73.52 73.52 0.00 0.80% RDS/B US Equity 200 3,994 75.03 78.78 5.91 0.85% EFTA00292984 RDSA LN Equity 262 4,065 34.51 36.73 8.07 0.80% RDSA NA Equity 826 36.80 36.80 0.00 0.85% RDSB LN Equity 253 3,982 37.08 39.44 7.12 0.89% REGN US Equity 696 4,722 292.33 335.40 8.06 1.83% RIO AU Equity 277 5,779 60.05 62.93 5.55 0.86% RIO IN Equity 554 5,748 54.73 60.00 8.10 1.19% RIO US Equity 549 4,934 54.04 60.05 8.09 1.38% ROG VX Equity 6,965 17,035 212.78 299.79 50.33 0.81% RY CN Equity 7 4,764 65.13 65.23 0.22 0.69% SAS LN Equity 13 3,321 46.59 46.78 0.44 0.90% SAN FP Equity 135 (6,174) 103.67 101.40 2.67 0.82% SAN SM Equity 462 7,256 8.35 8.88 8.19 0.78% SAN US Equity 402 5,315 8.28 8.90 7.07 1.07% SAP GR Equity (121) 5,241 81.50 79.66 -3.02 0.76% SAP US Equity (189) 7,101 81.55 79.43 -3.31 0.80% SBUX US Equity (19) 861 74.54 72.97 -2.03 1.06% SGO FP Equity 2,509 7,778 44.00 58.19 34.91 0.92% SI US Equity 1,513 11,259 114.69 130.10 18.16 0.74% SIE GR Equity 1,202 8,908 114.81 130.31 17.92 0.75% SLB US Equity 882 6,528 79.94 90.74 17.62 0.77% SMSN LI Equity 279 (7,260) 644.47 619.68 3.74 1.03% SO US Equity 935 42.50 42.50 0.00 0.49% SPG US Equity 1 1,683 159.81 159.89 0.07 0.74% SREN VX Equity 1,694 9,709 80.14 94.12 21.79 0.80% STAN LN Equity 82 (5,283) 22.30 21.95 1.36 1.15% STL NO Equity 286 6,281 25.39 26.55 4.72 0.96% STT US Equity 0 3,457 68.60 68.61 0.00 1.06% SU CN Equity (21) 3,655 33.24 33.05 .0.85 0.68% SU FP Equity 466 6,518 84.31 90.34 7.70 0.93% SU US Equity (25) 3,685 33.25 33.02 -1.02 0.68% SWEDA SS Equity 617 5,950 24.71 27.27 11.51 0.90% SYNN VX Equity (186) (6,282) 357.49 368.07 -2.90 1.02% T US Equity 327 (8,522) 34.31 32.99 4.90 0.78% TD CN Equity (3) 4,716 44.82 44.79 -0.14 0.51% TEF SM Equity 4 1,745 15.52 15.56 0.30 0.72% TEF US Equity 8 3,406 15.48 15.52 0.25 0.93% TGT US Equity 1,194 (10,717) 63.57 56.49 13.10 0.85% TJX US Equity 2,845 9,492 46.31 60.19 35.33 0.85% TLS AU Equity 206 6,561 4.59 4.73 4.81 0.65% TLSN SS Equity 3 3,730 7.61 7.61 0.11 0.76% TM US Equity 56 (5,170) 117.86 116.58 1.36 0.80% TMO US Equity 9,679 10,218 63.59 123.82 105.30 0.90% TOT US Equity 364 4,406 57.66 62.42 9.86 0.84% TRP CN Equity (47) (6,953) 43.75 44.05 •1.06 0.64% TRV US Equity 1 1,959 83.78 83.83 0.08 0.74% TSCO LN Equity 112 (7,398) 5.65 5.57 2.03 0.74% TWC US Equity 888 4,834 118.89 140.73 22.43 0.82% EFTA00292985 TWX US Equity (20) 4,212 65.11 64.80 .0.64 0.75% TXN US Equity 3,268 12,205 34.93 44.28 33.46 0.80% TYC US Equity 10,944 24,080 29.17 42.42 68.16 0.67% UBS US Equity 382 5,489 19.43 20.79 7.62 0.91% UBSN VX Equity 376 5,158 19.51 20.93 9.88 0.74% UCG IM Equity 2,353 5,391 5.58 8.02 30.51 1.43% ULVR LN Equity (159) (4,933) 39.29 40.55 -3.48 0.93% UNA NA Equity (181) (6,295) 38.14 39.23 -3.06 0.94% UNH US Equity 1,515 10,037 64.08 73.75 19.20 0.79% UNP US Equity 1,089 9,767 161.46 179.46 13.96 0.80% UPS US Equity 3,045 14,806 79.87 96.30 34.95 0.59% USB US Equity 2,338 14,238 34.71 40.41 25.67 0.64% UTX US Equity 6,213 15,190 82.05 115.61 53.49 0.76% V US Equity 3,913 3,914 111.85 223.67 104.97 0.95% VALE US Equity 92 (3,908) 15.08 14.72 1.81 1.30% VALE3 BZ Equity 99 (4,586) 15.04 14.72 1.72 1.25% VIAB US Equity 4,103 7,376 55.90 86.99 57.28 0.97% VIV FP Equity 247 2,668 26.19 28.61 11.88 0.78% VMW US Equity 451 4,244 87.26 96.55 8.69 1.22% VOD LN Equity 1,894 7,591 3.94 4.92 24.59 1.01% VOD US Equity 1,756 7,517 39.50 48.73 23.10 1.01% VOWS GR Equity 1,374 6,826 228.75 274.78 17.96 1.12% VRX CN Equity 938 1,611 92.95 147.04 50.47 1.15% VRX US Equity 1,085 1,880 93.20 147.03 57.59 1.00% VTI US Equity 556 5,134 86.91 96.33 20.17 0.54% VWO US Equity 232 (7,247) 40.33 39.04 3.40 0.94% VZ US Equity 70 (6,121) 48.12 47.57 1.37 0.84% WBC AU Equity 43 3,018 29.45 29.87 1.50 0.95% WES AU Equity 32 4,743 39.02 39.28 0.82 0.81% WFC US Equity 2,184 10,067 37.56 45.71 33.46 0.65% WLP US Equity 1,988 10,369 74.31 88.56 19.51 0.98% WM7 US Equity (63) 2,403 75.02 73.10 4.35 0.60% WOW AU Equity (373) (8,665) 31.30 32.65 -6.14 0.70% XOM US Equity 580 10,902 90.48 95.29 7.48 0.71% XTA LN Equity 2 (2,238) IN/A N/A 0.04 2.26% YHOO US Equity 285 1,282 30.64 37.45 17.09 1.30% YUM US Equity 1 5,221 72.83 72.85 0.03 1.02% ZURN VX Equity 150 6,394 291.95 298.80 3.16 0.74% Current Portfolio - Global Macro Portfolio Current Price P/L in Vol 30P Realized Security MTM Galn/(Loss) Exp. # Cost Avg. Price (In USD) Days Vol SPX Index 16,279 62,272 1,455.70 1,836.25 38.08 0.69% NDX Index 13,710 46,686 2,831.19 3,662.60 35.70 0.82% RTY Index 13,619 39,938 868.48 1,164.63 36.36 0.94% EFTA00292986 SPTSX Index 9 19,447 12,764.15 12,770.33 0.09 0.57% MEXBOL Index 1,232 (26,146) 3,142.70 2,994.65 4.85 0.97% IBOV Index 1,966 (22,524) 22,076.65 20,149.80 6.94 1.26% MERVAL Index (81) 4,427 767.58 753.73 .0.82 2.25% UKK Index 4,235 39,963 10,288.22 11,378.53 16.92 0.63% DAX Index 9,170 36,674 10,610.77 13,263.82 38.82 0.64% CAC Index 1,407 18,831 5,599.03 6,017.39 12.74 0.59% IBEX Index 7,824 38,422 11,492.37 13,832.52 26.35 0.77% SMI Index 6,861 43,402 8,201.97 9,498.46 30.31 0.52% FTSEMIB Index 5,343 24,516 22,996.24 28,008.28 30.94 0.70% P5120 Index 5,754 24,289 8,026.78 9,928.33 24.05 0.99% ISEQ Index 24,816 40,099 4,246.25 6,874.16 91.50 0.68% ICEXI Index 5,971 35,800 6.60 7.69 29.78 0.56% AEX Index 5,724 42,240 484.27 549.89 22.41 0.60% BEL20 Index 6,541 43,551 3,605.64 4,147.20 26.66 0.56% LUXXX Index 9,418 39,715 1,655.49 2,048.08 34.83 0.68% KFX Index 10,286 38,048 100.82 128.08 34.58 0.78% HEX Index 8,742 40,933 8,513.92 10,332.17 27.95 0.76% OMX Index 1,856 21,684 190.26 206.55 12.75 0.67% ATX Index 3,889 28,102 3,213.33 3,658.00 16.59 0.83% ASE Index 6,682 17,693 1,246.19 1,716.82 29.95 1.26% OSEBX Index 1,837 22,138 84.29 91.28 12.19 0.68% INDEXCF Index (99) (14,836) 41.60 41.88 .0.76 0.88% TOP40 Index 113 16,821 3,903.12 3,929.25 0.80 0.83% SENSEX Index (121) (16,223) 330.60 333.08 0.88 0.85% NKY Index 574 9,180 136.31 144.83 4.45 1.41% HSI Index 7 12,462 2,908.03 2,909.74 0.07 0.82% SHCOMP Index (242) (33,700) 344.53 347.01 0.94 0.76% KOSPI Index 26 16,497 1.82 1.82 0.21 0.74% AS51 Index 132 12,591 4,825.68 4,876.33 1.49 0.71% STBCNZL Index 31,202 73,231 444.47 633.85 83.66 0.51% EEM US Equity 199 (6,119) 40.76 39.43 3.16 1.03% IYR US Equity 1 2,416 67.60 67.64 0.10 0.55% MDY US Equity 4,881 14,269 184.03 246.98 38.99 0.88% JNK US Equity 2 1,848 41.12 41.15 0.43 0.20% XLF US Equity 5,162 13,610 15.57 21.48 45.84 0.83% XLU US Equity 411 7,997 38.57 40.55 8.49 0.61% XLK US Equity 2,150 12,860 30.80 35.95 24.12 0.69% XLI US Equity 5,575 16,147 38.20 51.39 42.50 0.81% XLP US Equity 39 7,329 41.38 41.60 0.92 0.59% XLY US Equity 8,125 20,539 46.72 65.20 49.53 0.80% XLE US Equity 120 4,209 84.01 86.41 3.54 0.81% XLB US Equity 3,424 14,930 37.57 46.19 27.96 0.82% XLV US Equity 12,491 24,346 38.87 58.81 62.07 0.83% SXXP Index 6,623 43,407 400.51 461.62 27.88 0.55% SXAP Index 10,538 28,526 520.28 712.49 39.50 0.94% SXKP Index 6,503 47,032 366.14 416.76 19.94 0.69% EFTA00292987 SX6P Index 5,300 32,732 350.61 407.38 26.02 0.62% SXEP Index 1,305 29,339 441.65 461.29 7.10 0.63% SXIP Index 12,421 28,923 222.31 317.77 56.60 0.76% SXNP Index 4,860 28,384 482.69 565.33 26.49 0.65% SX3P Index 322 15,055 659.00 673.08 3.15 0.68% SXDP Index 24,995 61,075 609.16 858.45 68.50 0.60% SX4P Index 3,377 25,840 917.36 1,037.25 19.25 0.68% SX8P Index 2,503 17,778 343.07 391.38 20.38 0.69% SXOP Index 8,579 40,520 380.28 460.80 26.47 0.80% SXQP Index 199 20,335 796.99 804.77 1.33 0.73% SXRP Index 720 29,339 434.81 445.48 4.57 0.54% SXMP Index 12,866 35,766 261.12 355.05 56.37 0.64% SXTP Index 22,238 39,247 172.05 269.54 89.06 0.64% SX7E Index 5,827 18,322 158.64 209.10 31.10 1.02% SXSE Index 6,413 38,898 3,692.60 4,301.35 26.85 0.61% SPGSCITR Index 3,309 4,974.00 4,974.00 0.00 0.50% XAG Curncy 871 (20,150) 22.78 21.79 4.21 1.03% CO1 Comdty (215) (24,622) 108.90 109.85 .1.64 0.53% CL1 Comdty 949 23,341 98.21 102.20 5.12 0.79% NG1 Comdty 10,435 16,608 3.77 6.14 14.76 4.26% XAU Comdty 2,892 (33,009) 112.76 102.88 13.22 0.66% IBOXHY Index 2,590 53,418 220.12 230.80 47.34 0.10% US_TSY CREDIT 1 3,988 758.07 758.23 0.16 0.13% CA_TSY CREDIT 7,131 (97,153) 1,274.46 1,180.92 20.04 0.37% MX_TSY CREDIT 63 (13,747) 208.23 207.28 0.89 0.51% AU TSY CREDIT 1,709 (79,133) 1,465.81 1,434.15 4.78 0.45% JP_TSY CREDIT 1,014 (59,678) 825.68 811.65 4.24 0.40% MY_TSY CREDIT 1,542 (92,252) 166.80 164.01 6.35 0.26% SG_TSY CREDIT 975 (95,749) 219.93 217.69 4.32 0.24% AT_TSY CREDIT 2,478 64,350 352.99 366.58 12.83 0.30% BE_TSY CREDIT 3,271 67,610 471.11 493.90 16.56 0.29% FI_TSY CREDIT 2,423 66,540 344.67 357.22 12.56 0.29% FR_TSY CREDIT 2,831 63,924 1,655.13 1,728.43 15.14 0.29% DE_TSY CREDIT 2,065 66,681 1,230.56 1,268.67 10.34 0.30% IE_TSY CREDIT 29,291 78,270 335.59 461.17 119.73 0.31% IT_TSY CREDIT 6,868 54,111 1,605.22 1,808.95 36.87 0.34% NL_TSY CREDIT 2,345 65,372 1,311.78 1,358.84 12.40 0.29% ES_TSY CREDIT 9,157 50,187 390.47 461.72 54.00 0.34% DK_TSY CREDIT 2,236 60,407 722.45 749.20 11.31 0.33% NO_TSY CREDIT (221) (27,378) 331.43 334.11 .1.62 0.50% PL_TSY CREDIT 912 22,143 416.86 434.03 7.80 0.53% ZA_TSY CREDIT 2,013 (33,149) 82.52 77.51 6.97 0.87% SE_TSY CREDIT (307) (21,138) 451.96 458.52 4.72 0.31% CH_TSY CREDIT 3,053 60,555 997.29 1,047.57 14.64 0.34% GB_TSY CREDIT 598 56,841 1,483.81 1,499.41 3.07 0.34% EFTA00292988