EFTA00292989.pdf

Atorus, LLC Current Date: 2/24/2014 712M Return: 49.02% Total Return since 1/1/12: 84.51% Current Long Exposure @ Cost: 4,531,767 Current Short Exposure @ Cost: (1,138,643) Net Exposure: 3,393,123 Current No. of Positions: 456 Starting Capital: 1,000,000 Current NAV: 1,845,055 Current Leverage (Gross Exposures): 3.07 2/24/2014 Change on Day: 0.8 2i MSCI World Change on Day 0.51% 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. 1.341 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 2,000,000.00 1,800,000.00 1.600.000.00 1.400.000.00 1.200.000.00 1,000,000.00 600,000.00 600,000.00 st" 1 19. 19, 19 9 c9 9 9' 19' 411° 5' 41 ° 9 4% 4 4' 4% 4 1 1 N. 4 4 4 4 — NAV EFTA00292989 Atorus, LLC 2/24/2014 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 23.34% 53 Positions 31.79% COI Comdty (24,622) 0.43% ASE Index 6,090 0.33% XAU Comdty (24,757) 0.44% EDF FP Equity 6,194 0.34% MEXBOL Index (26,146) 0.46% SX7E Index 6,194 0.34% NO_TSY CREDIT (27,378) 0.48% QQQ US Equity 6,433 0.35% ZA_TSY CREDIT (33,149) 0.58% UTX US Equity 6,446 0.35% SHCOMP Index (33,700) 0.59% HON US Equity 6,508 0.35% JP_TSY CREDIT (59,678) 1.05% MAERSKB DC Equity 6,669 0.36% CH_TSY CREDIT 60,555 1.07% CA_TSY CREDIT 6,683 0.36% SXDP Index 61,075 1.08% ACA FP Equity 6,734 0.36% SPX Index 62,272 1.10% IT_TSY CREDIT 6,758 0.37% FR_TSY CREDIT 63,924 1.13% DAI GR Equity 6,770 0.37% AT_TSY CREDIT 64,350 1.13% SX5E Index 6,790 0.37% NL_TSY CREDIT 65,372 1.15% GS US Equity 6,855 0.37% FI_TSY CREDIT 66,540 1.17% SXXP Index 6,943 0.38% DE_TSY CREDIT 66,681 1.18% BEL20 Index 6,969 0.38% BETSY CREDIT 67,610 1.19% MDT US Equity 7,001 0.38% STBCNZL Index 73,231 1.29% CMCSK US Equity 7,016 0.38% lE_TSY CREDIT 78,270 1.38% SMI Index 7,112 0.39% AU_TSY CREDIT (79,133) 1.40% ROG VX Equity 7,144 0.39% MY_TSY CREDIT (92,252) 1.63% SXKP Index 7,186 0.39% SG_TSY CREDIT (95,749) 1.69% BMY US Equity 7,191 0.39% CA_TSY CREDIT (97,153) 1.71% NG1 Comdty 7,393 0.40% AMGN US Equity 7,597 0.41% MMM US Equity 7,871 0.43% PRU LN Equity 8,219 0.45% XLY US Equity 8,244 0.45% IBEX Index 8,391 0.45% HEX Index 8,977 0.49% ES_TSY CREDIT 9,097 0.49% SXOP Index 9,251 0.50% DAX Index 9,423 0.51% LUXXX Index 9,490 0.51% BAC US Equity 9,492 0.51% TMO US Equity 9,720 0.53% BAYN GR Equity 9,731 0.53% SXAP Index 10,102 0.55% KFX Index 10,901 0.59% MA US Equity 11,053 0.60% TYC US Equity 11,126 0.60% BA US Equity 11,255 0.61% EFTA00292990 SXIP Index 12,691 0.69% XLV US Equity 12,767 0.69% SXMP Index 13,230 0.72% CELG US Equity 13,823 0.75% RTY Index 14,075 0.76% NDX Index 14,093 0.76% SPX Index 16,765 0.91% SXTP Index 22,726 1.23% ISEQ Index 25,466 1.38% SXDP Index 25,734 1.39% lE_TSY CREDIT 29,251 1.59% STBCNZL Index 32,451 1.76% GILD US Equity 34,395 1.86% No. Names APAC Long 29 APAC Short 23 EMEA Long 81 EMEA Short 11 AMER Long 172 AMER Short 45 EquityCom Long 63 EquityCom Short 9 G20 Rates Long 14 G20 Rates Short 9 Total Long 359 Total Short 97 EFTA00292991 Atorus, LLC 2/24/2014 Historical Net Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodlites, G20 Gov. Credit) 2,000,000 1,500,000 1,000,000 5,000,000 -----APAC El$tiEA -----AMER 4,000,000 3,000,000 2,000,000 500,000 1,000,000 11.000.0001 12,000,0001 -----Eq IpC —G20 Rates . .......NexEpcmweRHS Q9% 04001 '1, elf c SI ..‘s . Ise' rat \ \ \ %I. . 091G _ of 15Sb ?a ?‘ \ 15)4? \ 190 O. isce 4 1944 (LAKOmm (1000.00:4 Historical Gross Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodlites, G20 Gov. Credit) EFTA00292992 Atorus, LLC 2/24/2014 Current Gross Notional Risk by Category 239,955 1,309,777 I I! 593, • 932 4It • APAC • EMEA • AMER • EquityCom • G20 Rates Performance Vs. MCI World Index Rolling 30 Day Realized Volatility Atorus EFTA00292993 Atorus, LLC 2/24/2014 Percentile Distribution of Current MTM Gains in Vol Days by Position (ex-99pct & ex-1st percentiles) Percentile No. Vol Days 0.00,:, -8.11 5.00% -2.20 10.00% .0.85 15.00% .0.10 20.00% 0.62 25.00% 1.14 30.00% 1.94 35.00% 3.14 40.00% 4.39 45.00% 6.37 50.00% 8.50 55.00% 9.97 60.00% 13.22 65.00% 16.18 70.00% 20.49 75.00% 25.39 80.00% 29.08 85.00% 35.76 90.00% 43.77 95.00% 56.60 100.00% 178.81 Days by Position MTM Gains(Losses) % of NAV "Signficant" (<7 Vol Days) MTM Gains(Losses) % of NAV "Signficant" (>7 Vol Days) 1.33% 52.06% EFTA00292994 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 2/24/2014 000270 KS Equity 173 (4,506) 51.62 49.64 3.49 1.10% 005380 KS Equity (19) 1,080 216.03 212.29 .1.26 1.39% 005490 KS Equity 49 (3,782) 273.49 269.96 1.56 0.83% 005930 KS Equity 210 (6,558) 1,285.62 1,244.46 3.29 0.97% 012330 KS Equity 969 5,282 244.69 289.58 14.66 1.25% 1 HK Equity 22 4,619 15.20 15.28 0.67 0.71% 1299 HK Equity (37) 3,412 4.82 4.77 .1.01 1.09% 13 HK Equity 1,992 12,243 11.40 13.26 18.78 0.87% 16 HK Equity 88 (9,935) 12.66 12.55 1.44 0.62% 27 HK Equity (5) 123 9.66 9.29 .1.90 2.13% 2914 JP Equity (48) (4,719) 32.47 32.80 .0.85 1.20% 3382 JP Equity 92 3,411 37.70 38.72 2.24 1.20% 4063 JP Equity 77 (4,536) 56.40 55.44 1.32 1.29% 4502 JP Equity 28 2,102 46.69 47.30 1.88 0.70% 4689 JP Equity 21 941 6.03 6.16 1.49 1.49% 5 HK Equity 1 2,850 10.82 10.82 0.04 0.73% 5108 JP Equity (59) 3,498 36.35 35.74 -1.28 1.33% 54011P Equity 55 (3,709) 2.99 2.94 0.96 1.55% 63011P Equity (28) (3,515) 20.64 20.80 -0.57 1.42% 67521P Equity 1,155 4,145 9.01 11.52 10.35 2.69% 69021P Equity 2,627 9,730 41.48 52.68 21.72 1.24% 6954 JP Equity 363 6,393 157.65 166.62 3.36 1.69% 72011P Equity (32) (3,743) 8.85 8.92 -0.69 1.23% 7203 JP Equity (31) (3,073) 57.44 58.01 -0.79 1.26% 7267 JP Equity 62 (4,885) 36.43 35.97 0.98 1.29% 762 HK Equity 418 (4,155) 1.43 1.29 9.31 1.08% 77511P Equity 200 (6,865) 31.44 30.52 2.82 1.04% 80311P Equity (8) 3,010 15.31 15.27 -0.24 1.15% 80581P Equity 21 3,003 19.28 19.41 0.62 1.14% 8106 JP Equity (11) (2,979) 5.88 5.91 -0.28 1.35% 83161P Equity (5) (1,182) 46.29 46.47 -0.26 1.55% 84111P Equity (61) 3,774 2.12 2.08 -1.19 1.36% 8604 JP Equity (25) (1,802) 6.77 6.87 -0.98 1.44% 88011P Equity 14 (2,516) 31.09 30.92 0.34 1.61% 8802 JP Equity 63 (3,308) 24.73 24.26 1.32 1.44% 90201P Equity 175 (3,967) 77.53 74.12 4.02 1.09% 941 HK Equity 870 (11,351) 10.25 9.47 11.33 0.68% 94321P Equity 312 6,077 53.19 55.93 3.57 1.44% 94331P Equity 3,529 9,476 42.13 57.83 23.50 1.58% 94371P Equity (261) (5,749) 15.71 16.42 4.27 1.06% 99831P Equity (179) 3,177 367.91 348.30 .3.47 1.62% EFTA00292995 9984 JP Equity 2,149 2,797 42.69 75.49 46.41 1.65% AAPL US Equity 125 7,877 518.25 526.47 1.45 1.10% ABB US Equity 696 10,408 23.59 25.17 6.36 1.05% ABBN VX Equity 565 8,703 23.63 25.16 5.86 1.11% ABBV US Equity 176 5,335 49.49 51.13 3.30 1.00% ABEV US Equity 176 (7,232) 7.25 7.07 1.67 1.46% ABEV3 BZ Equity 167 (6,923) 7.29 7.11 1.74 1.39% ABI BB Equity 45 4,411 101.25 102.29 1.14 0.90% ABT US Equity 29 4,097 38.87 39.15 0.97 0.74% ABX CN Equity 15 1,178 20.94 21.21 0.77 1.66% ABX US Equity 16 1,202 20.94 21.21 0.77 1.70% ACA FP Equity 6,734 5,408 6.83 15.34 100.36 1.24% ACE US Equity 129 3,677 93.86 97.16 5.33 0.66% ACN US Equity 846 9,052 77.04 84.24 11.67 0.80% ADP US Equity 77 1,193 72.36 77.02 10.05 0.64% AFL US Equity (22) 4,556 62.74 62.44 -0.85 0.56% AGN US Equity 1,324 7,808 107.06 125.22 15.65 1.08% Al FP Equity 8 4,497 135.51 135.76 0.27 0.68% AIG US Equity 72 4,012 48.66 49.54 1.80 1.00% AIR FP Equity 4,592 6,526 42.47 72.36 65.68 1.07% ALV GR Equity 3,188 7,550 125.64 178.71 46.68 0.90% ALVG IX Equity 2,380 5,742 126.13 178.42 46.02 0.90% AMGN US Equity 7,597 22,886 94.49 125.85 34.09 0.97% AMT US Equity 1,030 10,655 76.29 83.67 12.64 0.77% AMZN US Equity 3,077 14,103 287.66 350.42 17.48 1.25% ANZ AU Equity 53 3,602 28.48 28.90 1.67 0.88% APA US Equity (192) (6,870) 82.74 85.05 -2.93 0.95% APC US Equity (223) (6,360) 81.31 84.16 -3.65 0.96% AXP US Equity 2,664 10,373 71.56 89.94 24.36 1.05% AZN LN Equity 4,575 12,676 49.80 67.78 35.21 1.03% AZN SS Equity 3,935 11,669 50.40 67.40 33.50 1.01% AZN US Equity 4,479 12,432 49.96 67.96 31.80 1.13% BA US Equity 11,255 17,951 79.84 129.90 56.25 1.11% BAC US Equity 9,492 10,884 8.82 16.52 100.21. 0.87% BARC LN Equity (133) 5,295 4.41 4.30 •2.13 1.18% BAS GR Equity 1,229 7,333 97.30 113.61 20.56 0.82% BATS LN Equity 35 3,649 52.14 52.64 1.08 0.89% BAX US Equity (345) (8,047) 66.82 69.69 •7.63 0.56% BAYN GR Equity 9,731 11,757 76.64 140.06 85.32 0.97% BBAS3 BZ Equity 48 (1,954) 8.70 8.48 1.44 1.72% BBD US Equity 637 (6,743) 12.96 11.73 7.43 1.27% BBDC4 BZ Equity 556 (7,252) 12.74 11.77 6.63 1.16% BBL US Equity (8) 1,289 65.38 64.98 -0.55 1.09% BBVA SM Equity 1,292 5,723 10.09 12.37 21.06 1.07% BCE CN Equity (17) (6,644) 43.17 43.29 -0.42 0.62% BCS US Equity (149) 6,397 17.71 17.31 .1.79 1.30% BEN US Equity 124 4,618 52.08 53.48 2.52 1.07% EFTA00292996 BG/ LN Equity (199) (3,003) 17.35 18.50 4.66 1.42% BHP AU Equity 168 5,172 34.61 35.73 3.28 0.99% BHP US Equity 107 4,501 69.12 70.76 2.59 0.91% BBB US Equity 449 1,066 245.93 349.56 29.32 1.44% BIL Sl Equity (2) 1,796 32.89 32.85 -0.10 1.19% BK US Equity 57 2,721 31.15 31.80 2.33 0.90% BLK US Equity 123 1,171 274.17 303.03 11.05 0.95% BLT LN Equity (9) 2,062 32.67 32.53 -0.41 1.04% BMO CN Equity 20 4,839 65.26 65.53 0.62 0.66% BMW GR Equity 914 5,076 98.63 116.38 21.49 0.84% BMY US Equity 7,191 13,669 35.71 54.50 41.37 1.27% BN FP Equity 37 (3,684) 70.54 69.83 1.08 0.93% BNP FP Equity 1,707 5,498 61.78 80.96 27.99 1.11% BNS CN Equity (11) 4,379 57.47 57.34 -0.31 0.77% BP/ LN Equity 791 9,797 7.76 8.39 12.33 0.65% BRK/B US Equity (23) 4,878 114.00 113.45 -0.79 0.61% BSBR US Equity 1,543 (8,171) 6.18 5.02 10.72 1.76% BUD US Equity 75 4,497 101.20 102.88 1.94 0.86% BX US Equity 242 2,976 30.31 32.77 7.14 1.14% C US Equity (11) 1,703 49.40 49.08 -0.57 1.17% CA FP Equity 400 1,959 30.49 36.71 19.52 1.04% CAT US Equity 1,246 10,300 87.23 97.78 11.66 1.04% CBA AU Equity 35 6,284 67.74 68.11 0.66 0.84% CBS US Equity 446 1,267 49.35 66.74 26.96 1.31% CCL US Equity 756 7,821 36.20 39.70 9.01 1.07% CELG US Equity 13,823 15,111 85.54 163.78 80.68 1.13% CFR VX Equity (1) 2,756 99.34 99.31 -0.03 1.08% CL US Equity 982 18,685 58.99 62.09 9.50 0.55% CM CN Equity 27 5,611 81.17 81.56 0.91 0.54% CMCSA US Equity 4,654 17,408 40.65 51.51 29.08 0.92% CMCSK US Equity 7,016 18,900 36.26 49.72 41.58 0.89% CNI US Equity 1,233 12,873 51.38 56.30 13.53 0.71% CNQ CN Equity 338 5,939 35.39 37.40 6.30 0.90% CNR CN Equity 1,201 12,425 51.30 56.26 14.19 0.68% COF US Equity 368 6,077 67.68 71.78 6.51 0.93% COP US Equity 34 (7,980) 66.64 66.36 0.59 0.73% COST US Equity (42) 4,526 115.30 114.23 -1.39 0.67% COV LN Equity 186 2,442 NN/A N/A 25.05 0.30% COV US Equity 763 6,347 63.38 71.01 14.22 0.85% CRM US Equity 249 2,054 56.89 63.78 9.79 1.24% CS FP Equity 2,615 6,734 19.39 26.92 40.62 0.96% CSCO US Equity (83) (4,977) 21.79 22.16 -1.91 0.87% CSX US Equity 926 8,914 25.07 27.68 9.71 1.07% CVE CN Equity 940 (10,449) 28.70 26.11 13.22 0.68% CVS US Equity 1,486 10,312 62.75 71.79 19.08 0.76% CVX US Equity (151) (8,207) 112.39 114.46 -2.39 0.77% D US Equity 2,366 12,109 59.94 71.66 29.04 0.67% EFTA00292997 DAI GR Equity 6,770 13,908 62.20 92.48 43.51 1.12% DBK GR Equity 183 4,052 46.61 48.72 4.02 1.12% DD US Equity 2,340 12,305 54.46 64.82 22.84 0.83% DDAIF US Equity 3,925 8,377 63.20 92.82 38.65 1.21% DE US Equity (58) 8,122 85.65 85.04 •1.17 0.61% DELL US Equity 14 6,715 UN/A N/A 2.65 0.08% DG FP Equity 4,200 9,889 51.34 73.14 44.99 0.94% DGE LN Equity 201 31.67 31.67 0.00 2.58% DHR US Equity 4,372 14,097 58.57 76.73 43.38 0.71% DIS US Equity 1,837 9,908 68.36 81.04 17.24 1.08% DISCA US Equity 38 3,650 82.02 82.86 0.97 1.06% DNB NO Equity 1,071 9,735 15.77 17.51 15.97 0.69% DOW US Equity 2,024 6,446 35.84 47.09 27.42 1.15% DPW GR Equity 157 547 28.24 36.34 31.62 0.91% DTE GR Equity 5,413 13,640 12.22 17.07 37.65 1.05% DTV US Equity 2,329 9,349 60.30 75.32 29.62 0.84% DUK US Equity (244) (8,822) 69.60 71.52 -5.26 0.52% DVN US Equity 307 7,132 61.93 64.59 5.34 0.81% EBAY US Equity 312 5,059 52.95 56.22 6.31 0.98% Ea US Equity 45 3,983 101.15 102.31 1.67 0.68% EDF FP Equity 6,194 9,189 23.45 39.25 73.58 0.92% EMC US Equity 316 8,839 24.88 25.77 4.32 0.83% EMR US Equity (21) (1,694) 63.75 64.54 •1.74 0.72% ENB CN Equity (203) (7,004) 41.70 42.90 -5.76 0.50% ENEL IM Equity 1,446 7,503 4.32 5.15 19.90 0.97% ENI IM Equity 18 5,197 23.71 23.79 0.48 0.71% EOAN GR Equity 157 2,606 18.66 19.78 6.48 0.93% EOG US Equity 1,397 5,573 143.99 180.07 25.30 0.99% EPD US Equity 525 10,466 62.42 65.55 7.73 0.65% ERICB SS Equity 229 6,004 12.27 12.74 4.74 0.81% ESRX US Equity 1,199 9,815 66.69 74.83 16.24 0.75% ETN US Equity 192 3,456 71.04 74.98 5.10 1.09% F US Equity (106) (3,621) 14.82 15.25 -2.86 1.02% F8 US Equity 1,586 2,630 44.06 70.62 39.04 1.54% FCX US Equity (22) 2,977 33.56 33.30 -0.65 1.15% FDX US Equity 649 5,338 120.94 135.64 13.31 0.91% FOX US Equity 60 3,520 31.89 32.44 1.95 0.88% FOXA US Equity 67 3,246 32.65 33.33 1.98 1.05% FP FP Equity 480 8,334 59.78 63.22 7.98 0.72% G IM Equity 359 5,607 21.32 22.68 7.36 0.87% GE US Equity 2,186 16,425 22.32 25.29 14.13 0.94% GILD US Equity 34,395 13,861 24.02 83.64 178.81 1.39% GIS US Equity 210 9,905 48.86 49.89 3.89 0.54% GLE FP Equity 1,052 3,248 49.51 65.55 23.39 1.39% GLEN LN Equity (5) 791 5.63 5.60 -0.52 1.26% GLW US Equity 2,198 11,376 16.17 19.30 16.69 1.16% GM US Equity 752 2,560 28.27 36.58 26.74 1.10% EFTA00292998 GOOG US Equity 5,173 12,428 857.75 1,214.77 47.38 0.88% GS US Equity 6,855 13,671 110.98 166.62 72.12 0.70% GSK LN Equity 374 4,319 25.71 27.93 7.31 1.19% GSZ FP Equity 207 5,466 23.77 24.68 4.88 0.78% HAL US Equity 947 4,619 46.95 56.58 20.42 1.00% HD US Equity 2,231 13,333 66.67 77.82 30.04 0.56% HMB SS Equity 558 6,110 40.79 44.51 9.98 0.91% HON US Equity 6,508 11,930 61.10 94.43 85.30 0.64% HPC1. US Equity 1,313 6,721 25.06 29.95 18.70 1.04% HSBA LN Equity (48) 1,529 10.86 10.53 .1.31 2.40% IBE SM Equity 1,292 7,010 5.49 6.50 34.61 0.53% IBM US Equity 25 (8,393) 184.74 184.18 0.43 0.70% IMT LN Equity 1,164 10,924 35.95 39.78 8.63 1.23% INTC US Equity 376 9,784 23.81 24.72 4.46 0.86% ISP IM Equity 3,280 5,585 1.91 3.04 48.77 1.20% ITUB US Equity 220 (5,909) 13.81 13.30 2.61 1.43% ITUB4 BZ Equity 106 (6,366) 13.59 13.37 1.26 1.32% ITW US Equity 2,965 14,011 67.84 82.19 31.56 0.67% ITX SM Equity 126 (4,648) 149.71 145.66 3.09 0.88% JO US Equity 4,580 9,883 34.13 49.94 42.86 1.08% JNJ US Equity 4,027 12,630 69.31 91.41 44.04 0.72% JPM US Equity 931 8,516 52.29 58.00 13.99 0.78% KMB US Equity 291 7,934 106.69 110.60 5.46 0.67% KMI US Equity 564 (6,752) 35.17 32.23 10.55 0.79% KO US Equity 239 (6,962) 38.83 37.50 4.97 0.69% LBTYA US Equity 51 2,272 84.93 86.84 2.60 0.86% LBTYK US Equity 204 1,975 78.04 86.10 12.00 0.86% LIN GR Equity 224 8,087 198.03 203.51 3.77 0.74% LLOY LN Equity 3,601 7,073 0.89 1.35 49.08 1.04% LLY US Equity S62 58.34 58.34 0.00 0.92% LMT US Equity 735 2,016 122.48 167.12 34.59 1.05% LNKD US Equity (58) (2,082) 192.19 197.54 .1.62 1.72% LOW US Equity 42 4,470 47.00 47.44 1.15 0.81% LVS US Equity 2,511 6,808 61.33 83.95 25.63 1.44% LYB US Equity 1,054 2,297 59.29 86.49 41.62 1.10% MA US Equity 11,053 17,711 47.01 76.34 48.56 1.29% MAERSKB DC Equity 6,669 14,148 8,212.58 12,083.88 46.60 1.01% MC FP Equity 115 3,133 182.86 189.60 3.96 0.93% MCD US Equity (129) (6,973) 94.88 96.63 .4.02 0.46% MCK US Equity 167 1,762 161.77 177.14 10.69 0.89% MDIZ US Equity 2,765 13,641 28.68 34.50 25.96 0.78% MDT US Equity 7,001 20,811 43.22 57.76 41.14 0.82% MET US Equity 1,119 7,556 44.37 50.94 13.72 1.08% MFC CN Equity 4,396 8,003 12.38 19.17 53.16 1.03% MHS US Equity 1,755 13,962 NN/A N/A 11.02 1.14% MMM US Equity 7,871 21,331 96.89 132.65 50.58 0.73% MO US Equity (15) 3,964 35.61 35.47 .0.55 0.69% EFTA00292999 MON US Equity 474 11,917 106.02 110.24 5.38 0.74% MOS US Equity (148) (2,683) 45.85 48.38 .5.32 1.04% MRK US Equity 1,462 9,350 48.80 56.44 15.84 0.99% MS US Equity 164 1,649 27.57 30.30 8.57 1.16% MSFT US Equity 617 7,177 34.82 37.81 9.05 0.95% MUV2 GR Equity 756 7,645 197.70 217.25 15.82 0.63% NAB AU Equity (12) 5,811 31.14 31.08 .0.22 0.94% NCM AU Equity 2,155 (4,077) 21.94 10.35 22.53 2.35% NEE US Equity 3,952 14,649 72.62 92.21 37.68 0.72% NEM US Equity 2,400 (7,392) 34.95 23.60 17.14 1.89% NESN VX Equity 685 9,821 69.64 74.50 8.42 0.83% NG/ IN Equity 2,166 11,939 11.80 13.94 27.22 0.67% NKE US Equity 917 3,381 61.16 77.75 30.13 0.90% NOK US Equity 4,105 4,498 3.96 7.58 60.21 1.52% NOV US Equity 3 3,696 76.21 76.26 0.09 0.78% NOVN VX Equity 5,637 18,291 63.81 83.47 44.34 0.70% NOVOB DC Equity 1,200 7,721 39.08 45.15 13.28 1.17% NSC US Equity 1,295 9,590 80.49 91.36 11.75 1.15% NVS US Equity 4,413 15,510 65.07 83.59 41.70 0.68% OGXP3 BZ Equity 5,047 (5,180) 4.43 0.11 21.08 4.62% OR FP Equity 22 3,253 167.89 169.04 0.64 1.07% ORA FP Equity 189 3,741 12.50 13.13 5.72 0.89% ORCL US Equity 1,102 7,418 33.31 38.26 21.61 0.69% OXY US Equity 94 4,632 94.24 96.16 2.50 0.81% PBR US Equity 370 (2,814) 13.30 11.55 8.72 1.51% PBR/A US Equity 335 (2,795) 13.87 12.21 7.95 1.51% PCLN US Equity 1,141 3,043 956.05 1,314.55 29.58 1.27% PCP US Equity 2,976 13,710 212.47 258.59 25.84 0.84% PEP US Equity (17) (1,765) 78.31 79.08 .1.51 0.65% PETR3 BZ Equity 350 (2,923) 6.54 5.76 8.73 1.37% PETR4 BZ Equity 380 (3,123) 6.95 6.10 8.85 1.37% PFE US Equity 4,886 21,828 26.10 31.95 27.35 0.82% PG US Equity 54 4,762 77.33 78.20 1.48 0.76% PHIA NA Equity 1,689 11,244 30.43 35.00 17.71 0.85% PM US Equity 740 (10,166) 85.47 79.25 9.21 0.79% PNC US Equity 619 7,645 75.28 81.38 8.33 0.97% POT CN Equity (70) (3,323) 32.57 33.26 .1.98 1.06% POT US Equity (70) (3,554) 32.66 33.30 .1.79 1.10% PRU LN Equity 8,219 10,521 12.76 22.73 63.25 1.24% PSA US Equity 511 9,413 158.54 167.14 9.21 0.59% PSX US Equity 1,134 6,030 64.65 76.81 19.00 0.99% PX US Equity 2,050 16,099 113.30 127.72 17.01 0.75% QCOM US Equity 1,659 12,547 66.83 75.66 17.94 0.74% QQQ US Equity 6,433 19,920 68.46 90.56 50.78 0.64% RAI US Equity (60) (1,907) 47.66 49.15 .4.83 0.65% RDS/A US Equity 4 1,696 73.67 73.83 0.26 0.81% RDS/B US Equity 220 3,994 75.03 79.16 6.47 0.85% EFTA00293000 RDSA LN Equity 282 4,065 34.51 36.90 8.72 0.80% RDSA NA Equity 0 1,638 36.81 36.82 0.02 0.84% RDSB LN Equity 256 3,982 37.08 39.47 7.34 0.88% REGN US Equity 850 4,722 292.33 344.92 9.74 1.85% RIO AU Equity 321 5,779 60.05 63.38 6.56 0.85% RIO IN Equity 441 5,748 54.73 58.92 6.17 1.24% RIO US Equity 433 4,934 54.04 58.78 6.39 1.37% ROG VX Equity 7,144 17,035 212.78 302.02 50.58 0.83% RY CN Equity 19 4,764 65.13 65.39 0.58 0.70% SAS LN Equity 75 4,132 46.80 47.65 1.88 0.96% SAN FP Equity 94 (6,174) 103.67 102.09 1.94 0.79% SAN SM Equity 558 7,256 8.35 8.99 9.67 0.79% SAN US Equity 516 5,315 8.28 9.08 8.72 1.11% SAP GR Equity (111) 5,241 81.51 79.81 -2.88 0.74% SAP US Equity (166) 7,101 81.56 79.70 -2.99 0.78% SBUX US Equity (8) 287 74.53 72.61 -2.49 1.06% SGO FP Equity 2,792 7,778 44.00 59.79 37.37 0.96% SI US Equity 1,607 11,259 114.69 131.05 18.84 0.76% SIE GR Equity 1,241 8,908 114.81 130.81 18.66 0.75% SLB US Equity 1,049 6,528 79.94 92.79 19.27 0.83% SMSN LI Equity 296 (7,260) 644.51 618.26 4.23 0.96% SO US Equity (2) 544 42.50 42.35 .0.70 0.50% SPG US Equity 7 2,618 160.05 160.49 0.37 0.74% SREN VX Equity 1,687 9,709 80.14 94.06 21.96 0.79% STAN LN Equity 146 (5,283) 22.30 21.68 2.36 1.17% STL NO Equity 303 6,281 25.39 26.62 5.10 0.94% STT US Equity 32 3,457 68.60 69.24 0.86 1.08% SU CN Equity 22 4,576 33.28 33.44 0.71 0.68% SU FP Equity 435 6,518 84.31 89.94 7.25 0.92% SU US Equity 23 4,606 33.29 33.46 0.72 0.69% SWEDA SS Equity 645 5,950 24.71 27.38 12.16 0.89% SYNN VX Equity (138) (8,069) 359.52 365.66 -1.67 1.02% T US Equity 431 (8,522) 34.31 32.57 6.65 0.76% TD CN Equity (13) 4,716 44.82 44.70 -0.55 0.50% TEF SM Equity 20 2,629 15.58 15.70 1.02 0.73% TEF US Equity 28 3,406 15.48 15.61 0.88 0.93% TGT US Equity 1,269 (10,717) 63.57 56.04 14.05 0.84% TJX US Equity 2,944 9,492 46.31 60.67 35.74 0.87% TLS AU Equity 50 6,561 4.59 4.62 1.10 0.69% TLSN SS Equity 36 4,427 7.62 7.68 1.06 0.77% TM US Equity 72 (5,170) 117.86 116.22 1.73 0.80% TMO US Equity 9,720 10,218 63.59 124.08 106.29 0.90% TOT US Equity 426 4,406 57.66 63.23 11.07 0.87% TRP CN Equity (76) (6,953) 43.75 44.23 -1.70 0.64% TRV US Equity 2 2,894 83.81 83.88 0.11 0.74% TSCO LN Equity 127 (7,398) 5.65 5.56 2.36 0.73% TWC US Equity 876 4,914 119.19 140.42 21.57 0.83% EFTA00293001 TWX US Equity (3) 4,212 65.11 65.07 0.10 0.76% TXN US Equity 3,380 12,205 34.93 44.60 33.62 0.82% TYC US Equity 11,126 24,080 29.17 42.64 68.53 0.67% UBS US Equity 396 5,489 19.43 20.84 7.96 0.91% UBSN VX Equity 345 5,158 19.51 20.81 9.81 0.68% UCG IM Equity 2,380 5,391 5.58 8.05 31.90 1.38% ULVR LN Equity (168) (3,946) 39.29 40.97 4.52 0.94% UNA NA Equity (220) (6,295) 38.14 39.47 -3.68 0.95% UNH US Equity 1,871 10,037 64.08 76.02 21.14 0.88% UNP US Equity 1,140 9,767 161.46 180.29 14.65 0.80% UPS US Equity 3,064 14,806 79.87 96.40 35.17 0.59% USB US Equity 2,487 14,238 34.71 40.78 27.16 0.64% UTX US Equity 6,446 15,190 82.05 116.87 53.57 0.79% V US Equity 4,004 3,914 111.85 226.26 103.78 0.99% VALE US Equity 143 (3,908) 15.08 14.52 2.90 1.26% VALE3 BZ Equity 158 (4,586) 15.04 14.52 2.71 1.27% VIAB US Equity 4,168 7,376 55.90 87.48 57.91 0.98% VIV FP Equity 277 2,668 26.19 28.91 13.32 0.78% VMW US Equity 472 4,244 87.26 96.96 9.34 1.19% VOD LN Equity 292 4,554 3.91 4.16 4.39 1.46% VOD US Equity 226 4,510 39.50 41.48 3.34 1.50% VOWS GR Equity 859 6,826 228.75 257.55 9.53 1.32% VRX CN Equity 934 1,611 92.95 146.84 52.75 1.10% VRX US Equity 1,085 1,880 93.20 147.00 58.97 0.98% VII US Equity 593 5,134 86.91 96.95 20.76 0.56% VWO US Equity 207 (7,247) 40.33 39.18 3.11. 0.92% VZ US Equity 208 (6,121) 48.12 46.48 4.01 0.85% WBC AU Equity 86 3,018 29.45 30.29 3.06 0.93% WES AU Equity (46) 4,743 39.01 38.64 .1.18 0.82% WFC US Equity 2,307 10,067 37.56 46.17 34.72 0.66% WLP US Equity 2,333 10,369 74.31 91.03 21.67 1.04% WMT US Equity (17) 801 75.04 73.46 4.50 0.61% WOW AU Equity (382) (6,932) 31.30 33.03 4.11 0.68% XOM US Equity 751 10,902 90.48 96.71 9.38 0.73% XTA LN Equity 2 (2,238) tIN/A N/A 0.04 2.26% YHOO US Equity 279 1,282 30.64 37.31 17.12 1.27% YUM US Equity 24 5,221 72.83 73.16 0.47 0.96% ZURN VX Equity 184 6,394 291.95 300.33 3.88 0.74% Current Portfolio - Global Macro Portfolio Current Price P/L in Vol 30P Realized Security MTM Gain/(Lass) Exp. (a Cost Avg. Price (in USD) Days Vol SPX Index 16,765 62,272 1,455.70 1,847.61 38.14 0.71% NDX Index 14,093 46,686 2,831.19 3,685.81 36.38 0.83% RTY Index 14,075 39,938 868.48 1,174.55 36.57 0.96% EFTA00293002 SPTSX Index 127 19,447 12,764.15 12,847.28 1.14 0.57% MEXBOL Index 1,079 (26,146) 3,142.70 3,013.02 4.63 0.89% IBOV Index 1,829 (22,524) 22,076.65 20,283.97 6.38 1.27% MERVAL Index (35) 5,530 766.60 761.83 -0.28 2.26% UKK Index 4,434 39,963 10,288.22 11,429.60 17.64 0.63% DAX Index 9,423 36,674 10,610.77 13,337.17 39.43 0.65% CAC Index 1,586 18,831 5,599.03 6,070.56 13.85 0.61% IBEX Index 8,391 38,422 11,492.37 14,002.26 27.59 0.79% SMI Index 7,112 43,402 8,201.97 9,546.05 31.81 0.52% FTSEMIB Index 5,473 24,704 23,028.14 28,129.94 31.68 0.70% PSI20 Index 6,088 24,289 8,026.78 10,038.59 25.03 1.00% ISEQ Index 25,466 40,099 4,246.25 6,942.94 94.51 0.67% ICEXI Index 5,496 35,800 6.60 7.61 26.13 0.59% AEX Index 5,899 42,240 484.27 551.90 22.86 0.61% BEL20 Index 6,969 44,003 3,610.75 4,182.59 27.16 0.58% LUXXX Index 9,490 39,715 1,655.49 2,051.06 36.17 0.66% KFX Index 10,901 38,048 100.82 129.70 34.83 0.82% HEX Index 8,977 40,933 8,513.92 10,381.17 28.51 0.77% OMX Index 2,334 21,684 190.26 210.75 14.81 0.73% ATX Index 4,071 28,102 3,213.33 3,678.78 17.30 0.84% ASE Index 6,090 17,693 1,246.19 1,675.13 26.19 1.31% OSEBX Index 2,081 22,138 84.29 92.21 13.66 0.69% INDEXCF Index (137) (15,948) 41.62 41.98 -0.98 0.88% TOP40 Index 293 19,014 3,910.85 3,971.21 1.80 0.86% SENSEX Index (285) (16,223) 330.60 336.40 -2.13 0.82% NKY Index 566 12,023 138.21 144.72 3.45 1.36% HSI Index (97) 15,574 2,903.37 2,885.38 -0.76 0.82% SHCOMP Index 391 (33,700) 344.53 340.54 1.53 0.76% KOSPI Index (1) 16,497 1.82 1.82 -0.01 0.74% AS51 Index 248 12,591 4,825.68 4,920.68 2.79 0.71% STBCNZL Index 32,451 73,231 444.47 641.43 92.19 0.48% EEM US Equity 199 (6,119) 40.76 39.43 3.22 1.01% IYR US Equity 5 3,315 67.64 67.75 0.29 0.56% MDY US Equity 4,951 14,269 184.03 247.88 39.15 0.89% JNK US Equity 5 2,782 41.15 41.22 0.86 0.20% XLF US Equity 5,302 13,610 15.57 21.64 46.37 0.84% XLU US Equity 391 8,406 38.65 40.45 7.82 0.59% XLK US Equity 2,209 12,860 30.80 36.09 25.09 0.68% XLI US Equity 5,740 16,147 38.20 51.78 43.27 0.82% XLP US Equity 66 7,329 41.38 41.75 1.55 0.58% XLY US Equity 8,244 20,539 46.72 65.47 49.43 0.81% XLE US Equity 186 4,209 84.01 87.71 5.19 0.85% XLB US Equity 3,361 14,930 37.57 46.03 27.50 0.82% XLV US Equity 12,767 24,346 38.87 59.25 63.44 0.83% SXXP Index 6,943 43,407 400.51 464.57 28.41 0.56% SXAP Index 10,102 28,526 520.28 704.53 37.96 0.93% SXKP Index 7,186 47,032 366.14 422.08 20.90 0.73% EFTA00293003 SX6P Index 5,481 33,234 351.37 409.32 26.62 0.62% SXEP Index 1,546 29,339 441.65 464.92 8.29 0.64% SXIP Index 12,691 28,923 222.31 319.85 56.84 0.77% SXNP Index 5,145 28,384 482.69 570.18 27.22 0.67% SX3P Index 420 16,612 660.68 677.39 3.69 0.68% SXDP Index 25,734 61,075 609.16 865.83 68.65 0.61% SX4P Index 3,557 25,840 917.36 1,043.64 19.91 0.69% SX8P Index 2,689 17,778 343.07 394.97 21.12 0.72% SXOP Index 9,251 40,520 380.28 467.10 27.97 0.82% SXQP Index 364 20,335 796.99 811.27 2.43 0.74% SXRP Index 891 29,339 434.81 448.02 5.57 0.55% SXMP Index 13,230 35,766 261.12 357.71 56.53 0.65% SXTP Index 22,726 39,247 172.05 271.68 89.20 0.65% SX7E Index 6,194 18,322 158.64 212.28 33.65 1.00% SXSE Index 6,790 38,898 3,692.60 4,337.20 27.46 0.64% SPGSCITR Index 7 6,049 4,980.90 4,986.51 0.23 0.48% XAG Curncy 712 (20,150) 22.78 21.97 3.48 1.01% CO1 Comdty (394) (24,622) 108.90 110.64 -2.95 0.54% CL1 Comdty 1,096 23,341 98.21 102.82 5.95 0.79% NG1 Comdty 7,393 16,608 3.77 5.45 9.97 4.47% XAU Comdty 1,952 (24,757) 112.07 103.23 11.56 0.68% IBOXHY Index 2,691 53,418 220.12 231.21 48.47 0.10% US_TSY CREDIT (1) 1,994 758.73 758.42 -0.32 0.13% CA_TSY CREDIT 6,683 (97,153) 1,269.35 1,182.03 18.97 0.36% MX_TSY CREDIT 10 (13,747) 209.03 208.88 0.14 0.51% AU TSY CREDIT 1,019 (79,133) 1,457.62 1,438.85 2.91 0.44% JP_TSY CREDIT 860 (59,678) 822.10 810.26 3.75 0.38% MY_TSY CREDIT 1,239 (92,252) 167.43 165.18 5.01 0.27% SG_TSY CREDIT 801 (95,749) 219.11 217.28 3.66 0.23% AT_TSY CREDIT 2,322 64,350 354.64 367.44 11.82 0.31% BE_TSY CREDIT 3,114 67,610 473.36 495.16 15.54 0.30% FI_TSY CREDIT 2,285 66,540 346.05 357.93 11.60 0.30% FR_TSY CREDIT 2,694 63,924 1,662.89 1,732.98 14.10 0.30% DE_TSY CREDIT 1,905 66,681 1,235.81 1,271.11 9.36 0.31% IE_TSY CREDIT 29,251 78,270 336.92 462.84 120.62 0.31% IT_TSY CREDIT 6,758 54,111 1,612.72 1,814.12 35.76 0.35% NL_TSY CREDIT 2,191 65,372 1,317.53 1,361.69 11.33 0.30% ES_TSY CREDIT 9,097 50,187 392.28 463.39 53.98 0.34% DK_TSY CREDIT 2,067 60,407 725.64 750.48 10.30 0.33% NO_TSY CREDIT (375) (27,378) 333.32 337.88 -2.80 0.49% PL_TSY CREDIT 932 22,143 420.32 438.00 8.07 0.52% ZA_TSY CREDIT 1,646 (33,149) 83.13 79.00 5.66 0.88% SE_TSY CREDIT (413) (21,138) 452.11 460.94 -6.11 0.32% CH_TSY CREDIT 2,961 60,555 1,000.12 1,049.03 14.09 0.35% GB_TSY CREDIT 505 56,841 1,489.15 1,502.38 2.61 0.34% EFTA00293004