EFTA00293005.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): 2/25/2014 58.43% 84.98% 4,578,721 (1,124,868) 3,453,852 456 1,000,000 1,849,776 3.08 2/25/2014 Change on Day: 0.26% MSC' World Change on Day 0.07% 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% 1.02% -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. 1.351 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 2,006000.00 1,000,000.00 1.600.000.00 1.400.000.00 120600060 100600060 800,000.00 600,000.00 % rt. ?), 11) C> sr OS Q> ft>% Cil‘r ' r Cieseb CYr 441' 4% ,S1.• 9.• 9.• 4 4 A\ .4 N 4 AC' 4% 4" 4' — NAV EFTA00293005 Atorus, LLC 2/25/2014 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 23.19% 53 Positions 31.91% IBOV Index (22,524) 0.39% EDF FP Equity 6,245 0.34% COI Comdty (24,622) 0.43% P5120 Index 6,263 0.34% MEXBOL Index (26,146) 0.46% SX7E Index 6,272 0.34% NO_TSY CREDIT (27,378) 0.48% UTX US Equity 6,281 0.34% ZA_TSY CREDIT (33,149) 0.58% OE/El US Equity 6,364 0.34% SHCOMP Index (33,700) 0.59% HON US Equity 6,387 0.35% JP_TSY CREDIT (59,678) 1.05% CA_TSY CREDIT 6,583 0.36% CH_TSY CREDIT 60,555 1.06% CMCSK US Equity 6,601 0.36% SXDP Index 61,075 1.07% GS US Equity 6,612 0.36% SPX Index 62,272 1.09% DAI GR Equity 6,724 0.36% AT_TSY CREDIT 64,350 1.13% ACA FP Equity 6,824 0.37% FR_TSY CREDIT 65,370 1.15% MDT US Equity 6,842 0.37% NL_TSY CREDIT 65,372 1.15% SXSE Index 6,843 0.37% FI_TSY CREDIT 66,540 1.17% IT_TSY CREDIT 6,858 0.37% DE_TSY CREDIT 66,681 1.17% ME Index 6,946 0.38% BE_TSY CREDIT 67,610 1.19% BEL20 Index 6,973 0.38% STBCNZL Index 73,231 1.28% MAERSKB DC Equity 6,980 0.38% lE_TSY CREDIT 78,270 1.37% BMY US Equity 7,007 0.38% AU_TSY CREDIT (79,133) 1.39% SXXP Index 7,027 0.38% MY_TSY CREDIT (92,252) 1.62% SXKP Index 7,143 0.39% SG_TSY CREDIT (95,749) 1.68% AMGN US Equity 7,322 0.40% CA_TSY CREDIT (97,153) 1.70% SMI Index 7,368 0.40% ROG VX Equity 7,382 0.40% MMM US Equity 7,915 0.43% PRU LN Equity 8,300 0.45% XLY US Equity 8,446 0.46% IBEX Index 8,670 0.47% HEX Index 9,086 0.49% ES_TSY CREDIT 9,166 0.50% BAC US Equity 9,381 0.51% DAX Index 9,428 0.51% BAYN GR Equity 9,636 0.52% TMO US Equity 9,662 0.52% LUXXX Index 9,703 0.52% SXOP Index 9,780 0.53% SXAP Index 10,176 0.55% BA US Equity 10,762 0.58% TYC US Equity 10,953 0.59% MA US Equity 11,119 0.60% KFX Index 12,347 0.67% EFTA00293006 XLV US Equity 12,673 0.69% SXIP Index 12,787 0.69% SXMP Index 13,318 0.72% CELG US Equity 13,861 0.75% NDX Index 13,983 0.76% RTY Index 14,047 0.76% SPX Index 16,659 0.90% SXTP Index 23,239 1.26% SXDP Index 26,371 1.43% ISEQ Index 26,790 1.45% IE_TSY CREDIT 29,328 1.59% STBCNZL Index 32,344 1.75% GILD US Equity 34,477 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 EFTA00293007 Atorus, LLC 2/25/2014 Historical Net Exposure by Geography (Listed Equities) & Macro (Equity Indices & Comrnodlites, G20 Gov. Credit) 2,000,000 1,500,000 1,000,000 500,003 5,000,000 —APAC — EWA —AMER — Eq leC —G20 Rates t t NexEposure MIS 4,000,000 3,000,000 2,000,000 1,000,000 11,000,0001 12,030,0001 • $19% 0\0001 0 5 se ,e 1 V \ \eo•resQ",.,,,e,./..„9 .N. \ V \- \- v 4> picb eic.)4. \ \ (L000,ocog 13.030,0001 Historical Gross Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodiltes, G20 Gov. Credit) EFTA00293008 Atorus, LIC 2/25/2014 Current Gross Notional Risk by Category ■ APAC ■ EMEA ■ AMER ■ EquityCom ■ G20 Rates Performance Vs. MSCI World Index Rolling 30 Day Realized Volatility - Atorus EFTA00293009 Atorus, LLC 2/25/2014 Percentile Distribution of Current MTM Gains in Vol Days by Position (ex-99pct & ex-1st percentiles) 60.110 40.00 30.00 20.00 10.03 0.110 10* 4° dr e dr dr tee der dree as* tee e Percentile No. Vol Days 0.00,1; 8.4S 5.00% -2.34 10.00% 4.15 15.00% .0.22 20.00% 0.50 25.00% 1.13 30.00% 1.81 35.00% 3.48 40.00% 4.29 45.00% 5.87 50.00% 8.34 55.00% 10.08 60.00% 12.48 65.00% 16.22 70.00% 20.06 75.00% 25.09 80.00% 29.01 85.00% 36.82 90.00% 43.96 95.00% 55.79 100.00% 178.82 Days by Position MTM Gains(Losses) % of NAV "Signficant" (<7 Vol Days) MTM Gains(Losses) % of NAV "Signficant" (>7 Vol Days) 1.24% 52.21% EFTA00293010 Atorus, LLC Current Portfolio -Listed Equity Portfolio Current Price P/1 in Vol 30P Realized Security MTM Gain/(Loss) Exp. # Cost Avg. Price (in USD) Days Vol 2/25/2014 000270 KS Equity 149 (4,506) 51.62 49.91 3.11 1.06% 005380 KS Equity 1 1,439 216.14 216.26 0.04 1.38% 005490 KS Equity 39 (3,782) 273.49 270.69 1.26 0.81% 005930 KS Equity 213 (6,558) 1,285.62 1,243.89 3.38 0.96% 012330 KS Equity 994 5,282 244.69 290.74 15.02 1.25% 1 MK Equity 51 4,619 15.20 15.37 1.50 0.73% 1299 HK Equity (10) 3,412 4.82 4.81 -0.26 1.11% 13 HK Equity 1,913 12,243 11.40 13.18 18.33 0.85% 16 HK Equity (is) (9,935) 12.66 12.68 -0.23 0.65% 27 HK Equity (1) 123 9.68 9.61 -0.34 2.20% 2914 JP Equity (41) (4,719) 32.47 32.75 -0.72 1.20% 3382 JP Equity 156 3,411 37.70 39.42 3.63 1.26% 4063 JP Equity (4) (4,536) 56.40 56.45 -0.06 1.35% 4502 JP Equity 54 2,102 46.69 47.90 3.59 0.72% 4689 JP Equity 55 941 6.03 6.38 3.88 1.52% 5 HK Equity (72) 3,785 10.74 10.54 -2.32 0.82% 5108 JP Equity (5) 3,498 36.36 36.31 -0.10 1.36% 54011P Equity 47 (3,709) 2.99 2.95 0.82 1.54% 63011P Equity (60) (3,515) 20.64 20.99 .1.19 1.44% 67521P Equity 1,250 4,145 9.01 11.73 11.31 2.67% 69021P Equity 2,794 9,730 41.48 53.39 23.09 1.24% 6954 JP Equity 487 6,393 157.65 169.65 4.52 1.68% 72011P Equity (69) (3,743) 8.85 9.01 -1.50 1.23% 7203 JP Equity (57) (3,073) 57.44 58.50 -1.46 1.27% 7267 JP Equity 19 (4,885) 36.43 36.29 0.29 1.31% 762 HK Equity 388 (4,155) 1.43 1.30 8.57 1.09% 7751 JP Equity 73 (6,865) 31.44 31.10 0.98 1.09% 80311P Equity 8 3,010 15.31 15.35 0.22 1.15% 80581P Equity 53 3,003 19.28 19.61 1.50 1.17% 83061P Equity (42) (2,383) 5.88 5.99 -1.29 1.37% 83161P Equity (12) (946) 46.29 46.87 -0.81 1.55% 84111P Equity (21) 3,774 2.12 2.11 -0.41 1.32% 8604 JP Equity (31) (1,201) 6.77 6.95 -1.79 1.46% 8801 JP Equity 36 (2,516) 31.09 30.65 0.88 1.60% 8802 JP Equity 41 (3,308) 24.73 24.42 0.89 1.40% 90201P Equity 77 (3,967) 77.53 76.03 1.66 1.17% 941 HK Equity 830 (11,351) 10.25 9.50 10.85 0.67% 94321P Equity 390 6,077 53.19 56.61 4.41 1.45% 94331P Equity 4,023 9,476 42.13 60.02 25.20 1.69% 94371P Equity (273) (4,599) 15.71 16.64 .5.61 1.06% 99831P Equity (90) 3,177 368.78 358.59 •1.73 1.64% EFTA00293011 9984 JP Equity 2,358 2,797 42.69 78.69 48.37 1.74% AAPL US Equity 99 7,877 518.25 524.74 1.17 1.07% ABB US Equity 703 10,408 23.59 25.18 6.62 1.02% ABBN VX Equity 578 8,703 23.63 25.20 6.03 1.10% ABBV US Equity 137 5,335 49.49 50.76 2.53 1.01% ABEV US Equity 167 (7,232) 7.25 7.08 1.62 1.43% ABEV3 BZ Equity 161 (6,923) 7.29 7.12 1.70 1.37% ABI BB Equity 40 4,988 101.36 102.18 0.93 0.87% ABT US Equity 43 4,097 38.87 39.28 1.46 0.73% ABX CN Equity 18 1,590 21.02 21.26 0.69 1.63% ABX US Equity 17 1,618 21.02 21.24 0.66 1.63% ACA FP Equity 6,824 5,408 6.83 15.46 102.33 1.23% ACE US Equity 107 3,677 93.86 96.60 4.36 0.67% ACN US Equity 745 9,052 77.04 83.38 9.94 0.83% ADP US Equity 75 1,193 72.36 76.90 10.07 0.62% AFL US Equity (15) 4,556 62.74 62.54 -0.60 0.53% AGN US Equity 1,321 8,057 107.54 125.17 15.39 1.06% Al FP Equity 20 4,497 135.51 136.10 0.66 0.67% AIG US Equity 35 4,012 48.66 49.09 0.85 1.03% AIR FP Equity 4,700 6,526 42.47 73.06 65.66 1.10% ALV GR Equity 3,260 7,550 125.64 179.91 46.86 0.92% ALVG IX Equity 2,442 5,742 126.13 179.77 45.97 0.93% AMGN US Equity 7,322 22,886 94.49 124.72 32.22 0.99% AMT US Equity 647 10,655 76.29 80.92 7.13 0.85% AMZN US Equity 3,421 14,103 287.66 357.43 18.98 1.28% ANZ AU Equity 52 3,602 28.48 28.89 1.64 0.88% APA US Equity (6) (6,870) 82.74 82.81 -0.09 1.04% APC US Equity (125) (6,360) 81.31 82.91 4.01 0.98% AXP US Equity 2,651 10,373 71.56 89.86 24.30 1.05% AZN LN Equity 4,708 12,676 49.80 68.30 38.87 0.96% AZN SS Equity 4,123 11,669 50.40 68.21 37.62 0.94% AZN US Equity 4,490 12,432 49.96 68.00 33.71 1.07% BA US Equity 10,762 17,951 79.84 127.71 51.38 1.17% BAC US Equity 9,381 10,884 8.82 16.43 98.13 0.88% BARC LN Equity (143) 5,295 4.41 4.29 4.32 1.17% BAS GR Equity 1,231 7,333 97.30 113.63 20.74 0.81% BATS LN Equity 58 4,163 52.24 52.97 1.58 0.89% BAX US Equity (241) (8,047) 66.82 68.82 .4.97 0.60% BAYN GR Equity 9,636 11,757 76.64 139.44 85.98 0.95% BBAS3 BZ Equity 55 (1,954) 8.70 8.46 1.69 1.66% BBD US Equity 745 (6,743) 12.96 11.53 8.80 1.26% BBDC4 BZ Equity 660 (7,252) 12.74 11.58 7.57 1.20% BBL US Equity (27) 1,921 64.91 64.01 -1.25 1.12% BBVA SM Equity 1,381 5,723 10.09 12.53 21.72 1.11% BCE CN Equity (9) (6,644) 43.17 43.23 -0.22 0.58% BCS US Equity (186) 6,397 17.71 17.21 -2.24 1.30% BEN US Equity 68 4,618 52.08 52.85 1.38 1.07% EFTA00293012 BG/ LN Equity (171) (3,003) 17.35 18.34 -3.91 1.45% BHP AU Equity 104 5,172 34.61 35.30 2.04 0.99% BHP US Equity 40 4,501 69.12 69.74 0.95 0.94% BBB US Equity 432 1,066 245.93 345.57 27.92 1.45% BIL Sl Equity (32) 2,374 32.74 32.30 -1.12 1.22% BK US Equity 32 3,465 31.22 31.51 1.02 0.90% BLK US Equity 116 1,171 274.17 301.38 10.44 0.95% BLT IN Equity (33) 2,749 32.53 32.15 -1.10 1.08% BMO CN Equity 39 5,545 65.32 65.79 1.09 0.65% BMW GR Equity 881 5,076 98.63 115.75 20.34 0.85% BMY US Equity 7,007 13,669 35.71 54.02 41.91 1.22% BN FP Equity 6 (3,684) 70.54 70.43 0.16 0.95% BNP FP Equity 1,752 5,498 61.78 81.47 28.27 1.13% BNS CN Equity (14) 4,379 57.47 57.29 -0.41 0.77% BP/ LN Equity 890 9,797 7.76 8.47 13.50 0.67% BRK/B US Equity (17) 4,878 114.00 113.60 -0.58 0.60% BSBR US Equity 1,537 (8,171) 6.18 5.02 13.21 1.42% BUD US Equity 46 5,084 101.31 102.24 1.05 0.87% BX US Equity 253 2,976 30.31 32.89 7.83 1.09% C US Equity (26) 2,306 49.20 48.65 -0.96 1.18% CA FP Equity 405 1,959 30.49 36.80 19.88 1.04% CAT US Equity 1,093 10,300 87.23 96.48 10.19 1.04% CBA AU Equity 36 6,284 67.74 68.13 0.70 0.83% CBS US Equity 424 1,267 49.35 65.86 25.46 1.31% CCL US Equity 829 7,821 36.20 40.04 10.48 1.01% CELG US Equity 13,861 15,111 85.54 164.00 82.43 1.11% CFR VX Equity 20 3,162 99.43 100.05 0.57 1.08% CL US Equity 947 18,685 58.99 61.98 9.45 0.54% CM CN Equity 25 5,611 81.17 81.53 0.87 0.52% CMCSA US Equity 4,265 17,408 40.65 50.60 25.93 0.94% CMCSK US Equity 6,601 18,900 36.26 48.93 37.97 0.92% CNI US Equity 1,120 12,873 51.38 55.84 12.38 0.70% CNQ CN Equity 220 6,397 35.48 36.70 3.57 0.96% CNR CN Equity 1,097 12,425 51.30 55.83 12.61 0.70% COF US Equity 302 6,077 67.68 71.05 5.18 0.96% COP US Equity 11 (7,980) 66.64 66.55 0.19 0.71% COST US Equity (1) 4,526 11531 115.28 -0.03 0.70% COV LN Equity 186 2,442 14N/A N/A 25.05 0.30% COV US Equity 715 6,347 63.38 70.52 13.36 0.84% CRM US Equity 244 2,054 56.89 63.66 9.68 1.23% CS FP Equity 2,530 6,734 19.39 26.67 39.59 0.95% CSCO US Equity (34) (4,977) 21.79 21.94 -0.76 0.89% CSX US Equity 828 8,914 25.07 27.40 8.74 1.06% CVE CN Equity 1,014 (10,449) 28.70 25.91 13.80 0.70% CVS US Equity 1,517 10,312 62.75 71.98 20.13 0.73% CVX US Equity (186) (8,207) 112.39 114.94 •3.06 0.74% D US Equity 2,332 12,240 60.05 71.49 31.31 0.61% EFTA00293013 DAI GR Equity 6,724 13,908 62.20 92.28 43.76 1.10% DBK GR Equity 191 4,052 46.61 48.82 4.30 1.10% DD US Equity 2,370 12,305 54.46 64.95 23.55 0.82% DDAIF US Equity 3,817 8,377 63.20 92.00 36.96 1.23% DE US Equity (134) 8,122 85.63 84.24 •2.66 0.62% DELL US Equity 14 6,715 UN/A N/A 2.65 0.08% DG FP Equity 4,366 9,889 51.34 74.00 46.66 0.95% DGE LN Equity (0) 595 31.67 31.67 0.00 2.55% DHR US Equity 4,390 14,097 58.57 76.81 44.11 0.71% DIS US Equity 1,755 9,908 68.36 80.47 16.38 1.08% DISCA US Equity (9) 3,650 82.02 81.82 -0.22 1.10% DNB NO Equity 1,013 9,735 15.77 17.41 15.31 0.68% DOW US Equity 2,062 6,446 35.84 47.30 28.05 1.14% DPW GR Equity 165 547 28.24 36.77 32.69 0.92% DTE GR Equity 5,613 13,640 12.22 17.25 39.37 1.05% DTV US Equity 2,283 9,349 60.30 75.03 31.56 0.77% DUK US Equity (211) (8,822) 69.60 71.26 4.85 0.49% DVN US Equity 215 7,132 61.93 63.80 3.60 0.84% EBAY US Equity 297 5,059 52.95 56.07 6.18 0.95% Ea US Equity 123 3,983 101.15 104.28 4.27 0.72% EDF FP Equity 6,245 9,189 23.45 39.38 73.91 0.92% EMC US Equity 273 8,839 24.88 25.65 3.72 0.83% EMR US Equity (17) (1,356) 63.75 64.56 -1.78 0.72% ENB CN Equity (186) (7,004) 41.70 42.80 -5.50 0.48% ENEL IM Equity 1,444 7,503 4.32 5.15 20.23 0.95% ENI IM Equity 54 5,901 23.74 23.95 1.27 0.72% EOAN GR Equity 119 2,996 18.77 19.51 4.37 0.91% EOG US Equity 1,506 5,573 143.99 182.91 26.02 1.04% EPD US Equity 567 10,466 62.42 65.80 8.31 0.65% ERICB SS Equity 239 6,004 12.27 12.76 4.91 0.81% ESRX US Equity 1,110 9,815 66.69 74.23 14.92 0.76% ETN US Equity 207 3,907 71.50 75.28 4.90 1.08% F US Equity (87) (3,621) 14.82 15.17 -2.39 1.01% F8 US Equity 1,545 2,630 44.06 69.94 37.50 1.57% FCX US Equity (62) 2,977 33.54 32.85 -1.79 1.17% FDX US Equity 534 5,338 120.94 133.04 10.50 0.95% FOX US Equity 41 3,520 31.89 32.26 1.30 0.89% FOXA US Equity 56 3,246 32.65 33.21 1.69 1.01% FP FP Equity 514 8,334 59.78 63.47 8.60 0.72% G IM Equity 338 5,607 21.32 22.60 7.09 0.85% GE US Equity 2,214 16,425 22.32 25.32 14.53 0.93% GILD US Equity 34,477 13,861 24.02 83.78 178.82 1.39% GIS US Equity 243 11,048 48.98 50.06 4.09 0.54% GLE FP Equity 1,037 3,248 49.51 65.32 23.21 1.38% GLEN LN Equity (11) 791 5.63 5.55 -1.09 1.28% GLW US Equity 2,172 11,376 16.17 19.26 16.97 1.13% GM US Equity 719 2,560 28.27 36.21 25.61 1.10% EFTA00293014 GOOG US Equity 5,228 12,428 857.75 1,218.60 47.90 0.88% GS US Equity 6,612 13,671 110.98 164.65 66.79 0.72% GSK LN Equity 376 4,319 25.71 27.94 7.40 1.18% GSZ FP Equity 158 5,466 23.77 24.46 3.66 0.79% HAL US Equity 821 4,882 47.34 55.30 16.21 1.04% HD US Equity 2,687 13,333 66.67 80.10 31.41 0.64% HMB SS Equity 600 6,110 40.79 44.79 10.50 0.93% HON US Equity 6,387 11,930 61.10 93.81 82.83 0.65% HPC1 US Equity 1,276 6,863 25.14 29.81 17.88 1.04% HSBA LN Equity (56) 1,529 10.86 10.48 -1.51 2.41% IBE SM Equity 1,361 7,064 5.50 6.56 34.87 0.55% IBM US Equity 59 (8,393) 184.74 183.45 0.99 0.71% IMT LN Equity 1,286 10,924 35.95 40.18 9.69 1.22% INTC US Equity 312 9,784 23.81 24.57 3.75 0.85% ISP IM Equity 3,311 5,585 1.91 3.05 49.02 1.21% ITUB US Equity 245 (5,909) 13.81 13.24 3.00 1.38% ITUB4 BZ Equity 130 (6,366) 13.59 13.32 1.57 1.30% ITW US Equity 2,922 14,011 67.84 81.98 30.85 0.68% ITX SM Equity 140 (4,648) 149.71 145.20 3.44 0.87% JO US Equity 4,523 9,883 34.13 49.74 42.27 1.08% JNJ US Equity 3,969 12,630 69.31 91.10 43.05 0.73% JPM US Equity 821 8,516 52.29 57.33 11.91 0.81% KMB US Equity 261 7,934 106.69 110.19 4.98 0.66% KMI US Equity 493 (6,752) 35.17 32.60 8.81 0.83% KO US Equity 188 (6,962) 38.83 37.78 3.95 0.68% LBTYA US Equity 25 2,272 84.93 85.89 1.27 0.88% LBTYK US Equity 176 1,975 78.04 85.00 10.21 0.87% LIN GR Equity 305 8,087 198.03 205.49 4.95 0.76% LLOY LN Equity 3,647 7,073 0.89 1.36 51.21 1.01% LLY US Equity 1 1,210 58.38 58.43 0.09 0.92% LMT US Equity 692 2,016 122.48 164.53 31.17 1.10% LNKD US Equity (144) (1,666) 192.19 208.78 -4.68 1.84% LOW US Equity 102 4,470 47.00 48.08 2.87 0.80% LVS US Equity 2,475 6,808 61.33 83.62 25.55 1.42% LYB US Equity 1,043 2,297 59.29 86.21 40.89 1.11% MA US Equity 11,119 17,711 47.01 76.52 49.41 1.27% MAERSKB DC Equity 6,980 14,148 8,212.58 12,264.05 47.14 1.05% MC FP Equity 105 3,466 183.43 188.98 3.23 0.94% MCD US Equity (117) (6,973) 94.88 96.47 •3.68 0.46% MCK US Equity 168 1,762 161.77 177.24 10.81 0.88% MDIZ US Equity 2,625 13,641 28.68 34.20 24.98 0.77% MDT US Equity 6,842 20,811 43.22 57.43 41.28 0.80% MET US Equity 1,051 7,556 44.37 50.54 12.91 1.08% MFC CN Equity 4,371 8,003 12.38 19.14 52.58 1.04% MHS US Equity 1,755 13,962 tIN/A N/A 11.02 1.14% MMM US Equity 7,915 21,331 96.89 132.85 51.54 0.72% MO US Equity 6 3,964 35.61 35.66 0.23 0.70% EFTA00293015 MON US Equity 348 11,917 106.02 109.11 3.83 0.76% MOS US Equity (129) (2,683) 45.85 48.05 4.57 1.05% MRK US Equity 1,390 9,350 48.80 56.06 14.93 1.00% MS US Equity 139 1,649 27.57 29.88 7.14 1.18% MSFT US Equity 578 7,177 34.82 37.63 8.64 0.93% MUV2 GR Equity 784 7,645 197.70 217.97 16.55 0.62% NAB AU Equity 16 6,672 31.16 31.23 0.25 0.95% NCM AU Equity 1,598 (3,058) 21.94 10.47 23.87 2.19% NEE US Equity 3,884 14,649 72.62 91.87 39.11 0.68% NEM US Equity 2,361 (7,392) 34.95 23.79 17.35 1.84% NESN VX Equity 738 9,821 69.64 74.87 8.98 0.84% NG/ IN Equity 2,201 12,114 11.82 13.97 28.05 0.65% NKE US Equity 939 3,822 62.73 78.15 26.99 0.91% NOK US Equity 4,195 4,498 3.96 7.66 60.75 1.54% NOV US Equity (81) 3,696 76.17 74.53 •2.61 0.84% NOVN VX Equity 5,824 18,291 63.81 84.12 45.25 0.70% NOVOB DC Equity 1,615 7,721 39.08 47.25 16.16 1.29% NSC US Equity 1,204 9,590 80.49 90.60 10.86 1.16% NVS US Equity 4,491 15,510 65.07 83.91 43.80 0.66% OGXP3 BZ Equity 5,051 (5,180) 4.43 0.11 21.05 4.63% OR FP Equity 73 3,253 167.89 171.64 2.00 1.12% ORA FP Equity 197 4,131 12.56 13.16 5.40 0.88% ORCL US Equity 1,097 7,418 33.31 38.23 22.24 0.67% OXY US Equity 71 4,632 94.24 95.70 1.91 0.81% PBR US Equity 373 (2,814) 13.30 11.54 9.24 1.43% PBR/A US Equity 332 (2,795) 13.87 12.22 8.36 1.42% PCLN US Equity 1,234 3,043 956.05 1,343.92 30.62 1.33% PCP US Equity 2,789 13,710 212.47 255.69 23.59 0.86% PEP US Equity (20) (1,412) 78.31 79.43 -2.21 0.65% PETR3 BZ Equity 335 (2,923) 6.54 5.79 8.38 1.37% PETR4 BZ Equity 373 (3,123) 6.95 6.12 8.73 1.37% PFE US Equity 4,802 21,828 26.10 31.84 27.11 0.81% PG US Equity 42 4,762 77.33 78.02 1.15 0.77% PHIA NA Equity 1,663 11,244 30.43 34.93 17.44 0.85% PM US Equity 669 (10,166) 85.47 79.85 8.26 0.80% PNC US Equity 547 7,645 75.28 80.67 7.29 0.98% POT CN Equity (65) (3,323) 32.57 33.20 -1.86 1.05% POT US Equity (60) (3,554) 32.66 33.21 •1.56 1.09% PRU LN Equity 8,300 10,521 12.76 22.83 64.92 1.22% PSA US Equity 563 9,413 158.54 168.01 10.55 0.57% PSX US Equity 1,197 6,030 64.65 77.49 19.69 1.01% PX US Equity 2,179 16,099 113.30 128.63 18.25 0.74% QCOM US Equity 1,543 12,547 66.83 75.05 16.23 0.76% QQQ US Equity 6,364 19,920 68.46 90.33 49.82 0.64% RAI US Equity (171) (3,814) 47.66 49.80 -6.58 0.68% RDS/A US Equity (8) 2,548 73.55 73.31 0.42 0.78% RDS/B US Equity 192 4,593 75.48 78.64 5.15 0.81% EFTA00293016 RDSA LN Equity 260 4,065 34.51 36.72 7.90 0.81% RDSA NA Equity (3) 2,464 36.79 36.75 .0.13 0.83% RDSB LN Equity 243 4,580 37.36 39.35 6.05 0.88% REGN US Equity 775 4,722 292.33 340.30 8.69 1.89% RIO AU Equity 203 5,779 60.05 62.16 3.99 0.88% RIO IN Equity 274 5,748 54.73 57.33 3.59 1.33% RIO US Equity 267 4,934 54.04 56.96 3.74 1.44% ROG VX Equity 7,382 17,035 212.78 305.00 52.16 0.83% RY CN Equity 29 4,764 65.13 65.53 0.89 0.69% SAS LN Equity 96 4,132 46.80 47.89 2.42 0.96% SAN FP Equity 94 (6,174) 103.67 102.08 2.05 0.74% SAN SM Equity 623 7,256 8.35 9.06 10.45 0.82% SAN US Equity 525 5,315 8.28 9.10 9.20 1.07% SAP GR Equity (101) 5,241 81.51 79.97 -2.68 0.72% SAP US Equity (143) 7,101 81.57 79.96 -2.70 0.75% SBUX US Equity (12) 287 74.44 71.33 -3.91 1.11% SGO FP Equity 2,806 7,836 44.08 59.87 37.25 0.96% SI US Equity 1,742 11,259 114.69 132.43 19.71 0.78% SIE GR Equity 1,378 8,908 114.81 132.58 19.70 0.79% SLB US Equity 1,001 6,528 79.94 92.19 18.48 0.83% SMSN LI Equity 294 (7,260) 644.51 618.39 4.31 0.94% SO US Equity (3) 544 42.50 42.24 .1.40 0.44% SPG US Equity (5) 3,552 159.97 159.73 .0.21 0.71% SREN VX Equity 1,703 9,709 80.14 94.19 22.30 0.79% STAN LN Equity 203 (5,283) 22.30 21.44 3.33 1.15% STL NO Equity 277 6,281 25.39 26.51 4.64 0.95% STT US Equity (26) 3,457 68.60 68.09 -0.67 1.12% SU CN Equity (6) 4,576 33.28 33.23 -0.21 0.67% SU FP Equity 412 6,518 84.31 89.65 6.82 0.93% SU US Equity (7) 4,606 33.29 33.24 .0.24 0.68% SWEDA SS Equity 657 5,950 24.71 27.44 12.74 0.87% SYNN VX Equity (131) (8,069) 359.52 365.35 .1.59 1.02% T US Equity 528 (8,522) 34.31 32.18 7.81 0.79% TD CN Equity (24) 4,716 44.82 44.59 -1.04 0.49% TEF SM Equity 13 3,512 15.60 15.66 0.50 0.73% TEF US Equity 20 3,406 15.48 15.57 0.66 0.88% TGT US Equity 1,225 (10,717) 63.57 56.30 13.86 0.82% TJX US Equity 2,967 9,492 46.31 60.79 36.68 0.85% TLS AU Equity 70 6,561 4.59 4.63 1.57 0.68% TLSN SS Equity 58 4,427 7.62 7.72 1.70 0.77% TM US Equity 60 (5,170) 117.86 116.49 1.44 0.81% TMO US Equity 9,662 10,218 63.59 123.72 105.23 0.90% TOT US Equity 443 4,406 57.66 63.45 11.83 0.85% TRP CN Equity (87) (6,953) 43.75 44.30 -1.98 0.63% TRV US Equity (24) 3,828 83.64 83.13 .0.81 0.77% TSCO LN Equity 99 (7,398) 5.65 5.58 1.92 0.70% TWC US Equity 776 4,994 119.45 138.02 17.65 0.88% EFTA00293017 TWX US Equity (23) 4,212 65.11 64.76 -0.71 0.77% TXN US Equity 3,307 12,205 34.93 44.39 32.75 0.83% TYC US Equity 10,953 24,080 29.17 42.43 66.84 0.68% UBS US Equity 346 5,489 19.43 20.66 6.98 0.90% UBSN VX Equity 320 5,158 19.51 20.72 8.93 0.69% UCG IM Equity 2,431 5,391 S.58 8.10 32.78 1.38% ULVR LN Equity (140) (2,960) 39.29 41.14 -5.16 0.91% UNA NA Equity (238) (6,295) 38.14 39.58 -4.08 0.93% UNH US Equity 1,773 10,037 64.08 75.40 20.54 0.86% UNP US Equity 1,051 10,100 161.98 178.83 13.15 0.79% UPS US Equity 2,894 14,806 79.87 95.48 31.70 0.62% USG US Equity 2,520 14,238 34.71 40.86 28.28 0.63% UTX US Equity 6,281 15,190 82.05 115.98 50.63 0.82% V US Equity 4,039 3,914 111.85 227.25 105.68 0.98% VALE US Equity 287 (3,908) 15.08 13.97 5.39 1.36% VALE3 BZ Equity 316 (4,586) 15.04 14.01 4.99 1.38% VIAB US Equity 4,035 7,376 55.90 86.48 55.73 0.98% VIV FP Equity 223 2,668 26.19 28.38 9.98 0.84% VMW US Equity 445 4,244 87.26 96.42 8.78 1.20% VOD LN Equity 251 4,554 3.91 4.12 3.78 1.46% VOD US Equity 181 4,510 39.50 41.08 2.64 1.52% VOW3 GR Equity 962 6,826 228.75 260.99 10.94 1.29% VRX CN Equity 900 1,611 92.95 144.86 49.66 1.12% VRX US Equity 1,040 1,880 93.20 144.75 55.98 0.99% VTI US Equity 574 5,134 86.91 96.63 19.97 0.56% VWO US Equity 295 (7,247) 40.33 38.69 4.55 0.90% VZ US Equity 219 (6,121) 48.12 46.40 4.20 0.85% WBC AU Equity 81 3,018 29.45 30.24 2.91 0.92% WES AU Equity (54) 4,743 39.01 38.58 -1.37 0.82% WFC US Equity 2,280 10,067 37.56 46.07 34.72 0.6S% WLP US Equity 2,211 10,369 74.31 90.16 20.50 1.04% WMT US Equity (19) 801 75.03 73.29 -3.83 0.62% WOW AU Equity (297) (5,199) 31.30 33.09 -8.45 0.68% XOM US Equity 715 10,902 90.48 96.42 8.87 0.74% XTA LN Equity 2 (2,238) UN/A N/A 0.04 2.26% YHOO US Equity 279 1,282 30.64 37.30 17.37 1.25% YUM US Equity 29 5,221 72.83 73.24 0.58 0.96% ZURN VX Equity 229 6,394 291.95 302.39 4.75 0.7S% Current Portfolio • Global Macro Portfolio Current Price P/L in Vol 30P Realized Security MINI Gain/(Loss) Exp. @ Cost Avg. Price (in USD) Days Vol SPX Index 16,659 62,272 1,455.70 1,845.12 38.07 0.70% NDX Index 13,983 46,686 2,831.19 3,679.14 36.35 0.82% RTY Index 14,047 39,938 868.48 1,173.95 37.12 0.9S% EFTA00293018 SPTSX Index 60 19,447 12,764.15 12,803.63 0.54 0.58% MEXBOL Index 1,589 (26,146) 3,142.70 2,951.73 6.55 0.93% IBOV Index 2,104 (22,524) 22,076.65 20,014.53 7.24 1.29% MERVAL Index (165) 5,530 765.95 743.73 -1.29 2.32% UKX Index 4,340 39,963 10,288.22 11,405.57 17.67 0.61% DAX Index 9,428 36,674 10,610.77 13,338.55 40.53 0.63% CAC Index 1,587 20,042 5,625.44 6,070.89 13.36 0.59% IBEX Index 8,670 38,422 11,492.37 14,085.49 28.24 0.80% SMI Index 7,368 43,402 8,201.97 9,594.28 32.53 0.52% FTSEMIB Index 5,500 24,891 23,059.74 28,154.70 32.04 0.69% PSI20 Index 6,263 24,289 8,026.78 10,096.62 26.01 0.99% ISEQ Index 26,790 40,099 4,246.25 7,083.19 90.49 0.74% ICEXI Index 4,855 35,800 6.60 7.49 22.02 0.62% AEX Index 5,832 42,240 484.27 551.14 23.21 0.59% BEL20 Index 6,973 44,003 3,610.75 4,182.96 27.30 0.58% LUXXX Index 9,703 39,715 1,655.49 2,059.96 36.47 0.67% KFX Index 12,347 38,048 100.82 133.54 35.33 0.92% HEX Index 9,086 40,933 8,513.92 10,403.83 29.01 0.77% OMX Index 2,404 22,162 190.67 211.36 15.29 0.71% ATX Index 4,167 28,102 3,213.33 3,689.84 17.51 0.85% ASE Index 6,946 17,693 1,246.19 1,735.39 28.57 1.37% OSEBX Index 1,880 22,138 84.29 91.45 12.12 0.70% INDEXCF Index 72 (15,948) 41.62 41.43 0.50 0.90% TOP40 Index 238 21,208 3,915.86 3,959.78 1.29 0.87% SENSEX Index (331) (16,223) 330.60 337.35 -2.50 0.81% NKY Index 793 14,214 139.54 147.33 4.01 1.39% HSI Index (150) 15,574 2,903.21 2,875.52 -1.17 0.82% SHCOMP Index 1,213 (33,700) 344.53 332.13 4.29 0.84% KOSPI Index 96 16,497 1.82 1.83 0.77 0.75% ASST Index 210 12,591 4,825.68 4,906.22 2.37 0.71% STBCNZL Index 32,344 73,231 444.47 640.78 96.41 0.46% EEM US Equity 267 (6,119) 40.76 38.98 4.40 0.99% IYR US Equity 7 4,214 67.67 67.78 0.31 0.52% MOY US Equity 4,953 14,269 184.03 247.90 40.27 0.86% JNK US Equity 11 3,717 41.19 41.31 1.48 0.20% XLF US Equity 5,189 13,610 15.57 21.51 44.63 0.85% XLU US Equity 380 8,406 38.65 40.40 8.20 0.55% XLK US Equity 2,167 12,860 30.80 35.99 24.52 0.69% XLI US Equity 5,668 16,147 38.20 51.61 42.43 0.83% XLP US Equity 94 7,329 41.38 41.91 2.19 0.59% XLY US Equity 8,446 20,539 46.72 65.93 49.83 0.83% XLE US Equity 184 4,209 84.01 87.67 5.14 0.85% XLB US Equity 3,428 14,930 37.57 46.20 27.98 0.82% XLV US Equity 12,673 24,346 38.87 59.10 63.32 0.82% SXXP Index 7,027 43,407 400.51 465.35 29.10 0.56% SXAP Index 10,176 28,526 520.28 705.89 38.38 0.93% SXKP Index 7,143 47,032 366.14 421.75 21.69 0.70% EFTA00293019 SX6P Index 5,374 33,735 352.10 408.19 26.90 0.59% SXEP Index 1,536 29,339 441.65 464.78 8.26 0.63% SXIP Index 12,787 28,923 222.31 320.59 57.61 0.77% SXNP Index 5,208 28,384 482.69 571.26 27.97 0.66% SX3P Index 457 18,170 662.20 678.84 3.69 0.68% SXDP Index 26,371 61,075 609.16 872.18 68.81 0.63% SX4P Index 3,541 25,840 917.36 1,043.06 19.89 0.69% SX8P Index 2,677 17,778 343.07 394.72 21.20 0.71% SXOP Index 9,780 40,520 380.28 472.06 28.64 0.84% SXQP Index 431 20,335 796.99 813.88 2.91 0.73% SXRP Index 1,020 29,339 434.81 449.92 6.44 0.54% SXMP Index 13,318 35,766 261.12 358.35 59.41 0.63% SXTP Index 23,239 39,247 172.05 273.93 88.78 0.67% SX7E Index 6,272 18,463 158.95 212.95 33.55 1.01% SXSE Index 6,843 39,315 3,698.47 4,342.17 27.88 0.62% SPGSCITR Index (25) 9,392 4,973.47 4,960.17 -0.56 0.47% XAG Curncy 812 (20,150) 22.78 21.86 4.01 1.01% CO1 Comdty (138) (24,622) 108.90 109.51 -0.99 0.56% CL1 Comdty 861 23,341 98.21 101.83 4.71 0.78% NG1 Comdty 5,855 16,608 3.77 5.10 7.60 4.64% XAU Comdty 1,261 (16,505) 110.01 101.60 11.42 0.67% IBOXHY Index 2,779 53,418 220.12 231.57 47.88 0.11% US_TSY CREDIT 3 11,965 759.73 759.93 0.20 0.13% CA_TSY CREDIT 6,583 (97,153) 1,269.35 1,183.33 20.00 0.34% MX_TSY CREDIT 12 (13,747) 209.03 208.85 0.18 0.48% AU TSY CREDIT 915 (79,133) 1,457.62 1,440.76 2.68 0.43% JP_TSY CREDIT 653 (59,678) 822.10 813.10 2.77 0.40% MY_TSY CREDIT 1,128 (92,252) 167.43 165.38 4.50 0.27% SG_TSY CREDIT 648 (95,749) 219.11 217.63 3.04 0.22% AT_TSY CREDIT 2,476 64,350 354.64 368.29 12.72 0.30% BE_TSY CREDIT 3,277 67,610 473.36 496.30 16.78 0.29% FI_TSY CREDIT 2,439 66,540 346.05 358.73 12.48 0.29% FR_TSY CREDIT 2,858 65,370 1,664.46 1,737.23 14.82 0.30% DE_TSY CREDIT 2,044 66,681 1,235.81 1,273.69 10.11 0.30% IE_TSY CREDIT 29,328 78,270 336.92 463.17 123.26 0.30% IT_TSY CREDIT 6,858 54,111 1,612.72 1,817.12 36.87 0.34% NL_TSY CREDIT 2,346 65,372 1,317.53 1,364.82 12.22 0.29% ES_TSY CREDIT 9,166 50,187 392.28 463.93 55.50 0.33% DK_TSY CREDIT 2,256 60,407 725.64 752.74 11.40 0.33% NO_TSY CREDIT (413) (27,378) 333.32 338.35 -3.17 0.48% PL_TSY CREDIT 985 22,143 420.32 439.01 8.61 0.52% ZA_TSY CREDIT 1,172 (33,149) 83.13 80.19 3.91 0.90% SE_TSY CREDIT (438) (21,138) 452.11 461.49 -7.08 0.29% CH_TSY CREDIT 3,065 60,555 1,000.12 1,050.75 14.66 0.35% GB_TSY CREDIT 765 56,841 1,489.15 1,509.20 3.95 0.34% EFTA00293020