EFTA00293282.pdf

Atorus, LLC 3/24/2014 Current Date: 3/24/2014 Change on Day: -1.66% Total Return since 1/1/12: 78.72% MSCI World Change on 712M Return: 39.85% Day -0.45% 790 Day Return: 1.45% No of Positions T30 Day Return: -1.97% (+MTM) on Day 124 Current Long Exposure @ Cost: 4,575,226 No of Positions (-MTM) Current Short Exposure @ Cost: (1,129,428) on Day 288 Net Exposure: 3,445,798 Current No. of Starting Capital: 1,000,000 Positions: 445 Current NAV: 1,787,168 Current Leverage (Gross Exposures): 119 Profit Factor: Historically 2.25X • 3.25X, depending on measurement interval Win Ratio: 40% - 50% historically T24M (+) NAV Days 52% T24M Avg. Daily NAV (+) Change 1.02% T24M Avg. Daily NAV (-) Change -0.89% Target Vol-Adj. Risk Listed Equities 50.00% Target Vol-Adj. Risk Global Macro 50.00% Targeted Max Loss (ex-Leverage) 10.00% Leverage Target At Inception: 2X Notes on Leverage: 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. T24M Sharpe Ratio: 1.131 Historical Sharpe & Notes: 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$00,000.00 1,600,000.00 1400,000.00 1,200,000.00 1.000.000.00 1300,000.00 600)300.00 \A.Amms.rink c$ et et et ,„,, ots, "7" 441. 01, 41, 9 es 19 19, X01, AP 4' es, ts. 0, 4 4 •),‘ — NAV EFTA00293282 Atorus, LLC 3/24/2014 Largest Exposures Current Positions 97.5th Percentile 2.5th Percentile (@ cost ex- MTM) Security Notional Largest MTM Gains Current Positions (90th Percentile MTM Gains % NAV) 24 Positions IBOV Index (22,524) CO1 Comdty (24,622) MEXSOL Index (26,146) INDEXCF Index (26,563) AU TSY CREDIT (28,488) ZA_TSY CREDIT (33,149) SHCOMP Index (33,700) US_TSY CREDIT (50,168) JP_TSY CREDIT (59,678) SXDP Index 61,075 SPX Index 62,272 CH_TSY CREDIT 65,265 DK_TSY CREDIT 67,396 AT_TSY CREDIT 72,913 STBCNZL Index 73,231 FR_TSY CREDIT 74,045 FI_TSY CREDIT 74,240 DE_TSY CREDIT 74,397 BE_TSY CREDIT 75,235 NL_TSY CREDIT 76,341 IE_TSY CREDIT 78,270 MY_TSY CREDIT (92,252) SG_TSY CREDIT (95,749) CA_TSY CREDIT (97,153) NAV Impact by Category & Exposure Listed Equity Long -1.117% Listed Equity Short -0.092% EquityCom Long -0.544% EquityCom Short -0.028% G20 Rates Long 0.100% G20 Rates Short -0.036% %of Total Notional Security MTM Gain % Total NAV 25.33%l 46 Positions 28.24% 0.39% XLF US Equity 5,958 0.33% 0.43% FTSEMIB Index 6,013 0.34% 0.46% HON US Equity 6,072 0.34% 0.47% SX6P Index 6,085 0.34% 0.50% EDF FP Equity 6,179 0.35% 0.58% DAI GR Equity 6,307 0.35% 0.59% CMCSK US Equity 6,424 0.36% 0.88% HEX Index 6,492 0.36% 1.05% PSI20 Index 6,689 0.37% 1.07% ROG VX Equity 6,723 0.38% 1.09% GS US Equity 6,788 0.38% 1.14% V US Equity 6,821 0.38% 1.18% AMGN US Equity 6,850 0.38% 1.28% ACA FP Equity 7,061 0.40% 1.28% MDT US Equity 7,237 0.40% 1.30% DAX Index 7,395 0.41% 1.30% PRU LN Equity 7,523 0.42% 1.30% IBEX Index 7,548 0.42% 1.32% CA_TSY CREDIT 7,552 0.42% 1.34% BEL20 Index 7,612 0.43% 1.37% IT_TSY CREDIT 7,796 0.44% 1.62% MMM US Equity 7,838 0.44% 1.68% XLY US Equity 8,046 0.45% 1.70% ASE Index 8,478 0.47% BAYN GR Equity 8,605 0.48% SXAP Index 9,035 0.51% SXOP Index 9,138 0.51% TMO US Equity 9,165 0.51% KFX Index 9,328 0.52% ES_TSY CREDIT 10,149 0.57% LW= Index 10,154 0.57% MC US Equity 10,597 0.59% SXMP Index 10,680 0.60% TYC US Equity 10,684 0.60% SXIP Index 11,038 0.62% MA US Equity 11,201 0.63% XLV US Equity 11,690 0.65% NDX Index 12,964 0.73% RTY Index 14,244 0.80% SPX Index 17,186 0.96% EFTA00293283 SXTP Index 21,565 1.21% SXDP Index 22,538 1.26% ISEQ Index 23,460 1.31% GILD US Equity 27,188 1.52% lE_TSY CREDIT 30,536 1.71% STBCNZL Index 36,017 2.02% APAC Lon 26 APAC Short 25 EMEA Long 70 EMEA Short 18 AMER Long 162 AMER Short 51 E•ul om Lon 60 EquityCom Short 10 G20 Rates Lon 15 G20 Rates Short 8 Total Long 333 Total Short 112 Current Exposure by Geography (Listed Equl les) & Macro (Equity Indices & Commodiites, G20 Gov. Credit) $2,000,000 $1,500,000 $1,000,000 $500,000 5 5(500,000) 5(1,000,000) i 1 • APAC Long • APAC Short • EMEA Long a EMEA Short a AMER Long a AMER Short • EquityCom Long • EquityCom Short • G20 Rates Long • G20 Rates Short EFTA00293284 Atorus, LLC 3/24/2014 Historical Net Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodlites, G2O Gov. Credit) 2,000,000 1,500,0CO 1,000.000 5,000.000 APAC -EMEA -AMER —EquityCom —G20 Rates NexEpetsure RIG 4,000.000 2,000.000 1.000.OOD (1,000.0031 (2,000.0031 i 3,030.000 500.000 (RC' kTAV 19 119 Olr Olr IRV ittV \ \ 4> eeee z, RN 4Y 0 ttiC O. 0 ,. \ \ \ \ \ \ t e e 4' tZ, 0 0 0 \ \ (56600) (1.030.000) (3,000.0001 Historical Gross Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodlites, G2O Gov. Credit) EFTA00293285 Atorus, LIC 3/24/2014 Current Gross Notional Risk by Category 241,708 p;3,472 1,324,0 it ■ APAC ■ EMEA ■ AMER ■ EquityCom ■ G20 Rates Performance Vs. MSCI World Index Rolling 30 Day Realized Volatility - Atorus EFTA00293286 Atorus, LLC 3/24/2014 Percentile Distribution of Current MTM Gains in Vol Days by Position (ex-99pct & ex-1st percentiles) Percentile No. Vol Days 0.00,l. /98 5.00% -3.31 10.00% .1.72 15.00% .0.58 20.00% 0.20 25.00% 1.06 30.00% 2.40 35.00% 3.63 40.00% 4.75 45.00% 6.31 50.00% 8.33 55.00% 10.22 60.00% 12.72 65.00% 16.17 70.00% 19.39 75.00% 23.08 80.00% 28.28 85.00% 35.64 90.00% 47.35 95.00% 64.85 100.00% 156.06 Days by Position MTM Gains(Losses) % of NAV "Signficant" (<7 Vol Days) MTM Gains(Losses) % of NAV "Signficant" (>7 Vol Days) 1.40% 4933% EFTA00293287 Atorus, LLC Current Portfolio -Listed Equity Portfolio Current Price P/l. in Vol 30P Realized Change on Day Security MTM Gain/(Loss) Exp. @ Cost Avg. Price (in USD) Days Vol (In USD) 3/24/2014 000270 KS Equity (248) (5,144) 51.62 54.10 -4.68 1.03% (31.05) 005380 KS Equity 4 1,799 217.04 217.57 0.20 1.25% 7.58 005490 KS Equity (24) (3,782) 273.49 275.24 -0.59 1.09% (80.99) 005930 KS Equity 565 (6,558) 1,285.62 1,174.85 10.27 0.84% 0.17 012330 KS Equity 794 5,282 244.69 281.46 16.06 0.94% 19.94 1 HK Equity 180 8,073 15.56 15.90 2.21 1.01% 73.99 1299 HK Equity (13) 273 4.81 4.60 -5.16 0.90% 4.29 13 HK Equity 1,907 12,243 11.40 13.18 14.05 1.11% (577.06) 16 HK Equity 666 (9,935) 12.66 11.81 10.43 0.64% (68.47) 27 HK Equity 13) 123 9.64 9.09 -3.98 1.54% (0.10) 2914 JP Equity 323 (4,719) 32.47 30.25 6.23 1.10% 3382 JP Equity (41) 1,746 37.68 36.82 -1.99 1.18% 4063 JP Equity 199 (4,536) 56.40 53.93 3.46 1.27% 4502 JP Equity 74 2,417 46.86 48.29 3.84 0.79% 4689 JP Equity (73) 1,224 6.05 5.71 .4.22 1.41% 5 HK Equity (84) 1,112 10.75 9.99 -7.98 0.95% 16.48 5108 JP Equity (91) 1,399 36.20 34.00 -5.15 1.26% 54011P Equity 504 (5,511) 2.89 2.63 7.02 1.30% 6301.1P Equity 130 (3,515) 20.64 19.87 2.92 1.27% 6752 JP Equity 1,179 4,145 9.01 11.58 15.64 1.82% 6902 JP Equity 235 1,946 41.48 46.48 8.53 1.41% 6954 JP Equity 742 6,393 157.65 175.95 7.96 1.46% 7201.1P Equity 98 (3,743) 8.85 8.62 2.67 0.97% 7203 JP Equity 184 (3,937) 56.57 53.92 5.07 0.92% 7267 JP Equity 277 (4,885) 36.43 34.36 5.50 1.03% 762 HK Equity 511 (5,162) 1.38 1.24 8.33 1.19% (246.42) 7751 JP Equity 300 (6,865) 31.44 30.06 4.08 1.07% 8031 JP Equity SO (2,620) 14.15 13.88 1.74 1.10% 8058 JP Equity (16) 360 19.24 18.44 .4.61 0.94% 8106 JP Equity 295 (2,979) 5.88 5.30 8.17 1.21% 8316 JP Equity 269 (3,537) 44.63 41.23 6.42 1.19% 84111P Equity 37 (4,072) 1.99 1.97 1.04 0.87% 8604 JP Equity 154 (2,467) 6.76 6.34 5.21 1.20% 88011P Equity 0 (941) 29.08 29.07 0.02 1.58% 8802 JP Equity 443 (5,009) 24.84 22.64 6.30 1.40% 9020 JP Equity 334 (5,604) 75.60 71.10 5.48 1.09% 941 HK Equity 1,930 (11,819) 10.19 8.53 17.96 0.91% (359.44) 9432 JP Equity 125 6,077 53.19 54.28 1.43 1.44% 9433 JP Equity 3,265 9,476 42.13 56.65 23.81 1.45% 9437 JP Equity 111 (7,669) 15.62 15.39 1.54 0.94% 9983 JP Equity (144) 3,177 368.32 352.39 -3.25 1.39% EFTA00293288 9984 JP Equity 1,517 2,048 46.70 81.30 43.06 1.72% AAPL US Equity 306 7,877 518.25 538.37 5.34 0.73% 122.81 ABB US Equity 357 6,661 23.59 24.85 6.31 0.85% (77.74) ABBN VX Equity 418 6,962 23.63 25.05 6.97 0.86% (53.27) ABBV US Equity 241 5,335 49.49 51.73 4.53 1.00% (229.46) ABEV US Equity 78 (7,232) 7.25 7.17 0.95 1.14% 32.68 ABEV3 BZ Equity 66 (6,923) 7.29 7.22 0.90 1.07% (5.91) ABI BB Equity 2 6,721 102.03 102.06 0.04 0.82% 11.10 ABT US Equity (53) 4,097 38.86 38.36 -1.87 0.70% (43.22) ABX CN Equity 141 (2,500) 19.72 18.60 3.71 1.52% 116.40 ABX US Equity 129 (2,404) 19.70 18.65 3.47 1.54% 97.60 ACA FP Equity 7,061 5,408 6.83 15.76 97.93 1.33% 110.65 ACE US Equity 254 6,435 95.44 99.20 7.28 0.54% (13.97) ACN US Equity 591 10,703 77.97 82.27 9.28 0.59% (109.10) ADP US Equity 70 1,193 72.36 76.58 9.99 0.58% (25.94) AFL US Equity (112) 7,973 63.78 62.90 -2.82 0.50% (26.72) AGN US Equity 1,194 9,698 110.56 124.17 14.20 0.87% (305.99) Al FP Equity (30) 8,248 134.80 134.30 0.54 0.68% (1.20) AIG US Equity 93 4,012 48.66 49.79 2.64 0.88% (44.01) AIR FP Equity 2,846 4,177 42.47 71.41 67.31 1.01% (45.64) ALV GR Equity 487 1,510 125.64 166.13 36.77 0.88% 0.84 ALVG IX Equity 366 1,148 126.13 166.35 36.06 0.88% (2.05) AMGN US Equity 6,850 22,886 92.78 120.56 27.15 1.10% AMT US Equity 634 10,655 76.29 80.83 9.01 0.66% (57.87) AMZN US Equity 3,172 14,103 287.66 352.36 22.20 1.01% (577.38) ANZ AU Equity 143 4,457 28.64 29.56 3.74 0.86% 41.50 APA US Equity 153 (6,870) 82.74 80.90 2.64 0.84% (3.11) APC US Equity (133) (6,360) 81.31 83.01 -2.73 0.76% 31.47 AXP US Equity 2,807 10,373 71.56 90.93 35.20 0.77% (215.40) AZN LN Equity 3,669 12,676 49.80 64.22 31.11 0.93% (182.15) AZN SS Equity 3,303 11,669 50.40 64.66 30.89 0.92% (69.46) AZN US Equity 3,492 12,432 49.96 63.99 30.40 0.92% (133.56) BA US Equity 26 (4,050) 123.81 123.02 0.78 0.81% 4.74 BAC US Equity 10,597 10,884 8.82 17.41 105.16 0.93%I (391.21) BARC LN Equity 21. (2,705) 3.91 3.88 0.59 1.34% 6.93 BAS GR Equity 706 7,333 97.30 106.67 9.30 1.04% (86.91) BATS LN Equity 22 5,318 52.90 53.12 0.45 0.92% (13.45) BAX US Equity (13) (8,047) 66.82 66.93 M.26 0.60% 122.11 BAYN GR Equity 8,605 11,757 76.64 132.72 67.46 1.08% (296.08) BBAS3 BZ Equity (26) (1,954) 8.85 8.96 M.73 1.80% (19.43) BBD US Equity 271 (6,743) 12.96 12.44 2.98 1.35% (192.00) BBDC4 BZ Equity 571 (7,252) 13.53 12.47 5.59 1.41% (219.21) BBL US Equity 12 (4,057) 59.69 59.52 0.27 1.06% (10.25) BBVA SM Equity 1,052 5,790 10.12 11.96 17.23 1.05% (75.44) BCE CN Equity 100 (6,644) 43.17 42.53 3.02 0.50% 39.68 BCS US Equity 26 (2,758) 15.73 15.58 0.70 1.34% 6.36 BEN US Equity (1) 1,865 52.18 52.14 -0.07 0.98% (9.00) EFTA00293289 BG/ LN Equity (68) (4,379) 17.51 17.78 -2.12 0.74% (57.95) BHP AU Equity (329) 6,689 34.25 32.64 -4.13 1.19% 60.84 BHP US Equity (273) 6,839 67.66 65.06 4.09 0.98% 22.42 BUIS US Equity 281 1,066 245.93 310.70 16.80 1.57% (69.44) BIL SJ Equity 34 (2,643) 30.29 29.90 1.05 1.22% BK US Equity 692 6,934 32.35 35.58 11.92 0.84% 22.94 BLK US Equity 117 1,171 274.17 301.64 13.27 0.76% (0.92) BLT LN Equity 7 (3,166) 29.93 29.86 0.20 1.10% (5.74) BMO CN Equity 9 8,370 65.44 65.51 0.19 0.57% 47.06 BMW GR Equity 1,273 5,076 98.63 123.35 19.63 1.28% 90.67 BMY US Equity 5,820 13,669 35.71 50.91 34.37 1.24% (759.03) BN FP Equity 80 (3,684) 70.54 69.00 3.01 0.72% (36.57) BNP FP Equity 1,449 5,498 61.78 78.06 21.24 1.24% (63.06) BNS CN Equity 37 5,030 57.60 58.03 1.24 0.60% 16.01 BP/ LN Equity 9 9,797 7.76 7.77 0.14 0.62% 59.56 BRK/B US Equity 541 11,056 118.69 124.49 7.75 0.63% (71.29) BSBR US Equity 1,365 (8,171) 6.18 5.15 12.37 1.35% (110.49) BUD US Equity (42) 6,846 102.04 101.42 -0.74 0.83% (20.67) BX US Equity 277 2,976 30.31 33.13 8.34 1.11% (78.21) C US Equity 51 3,565 49.41 50.11 1.47 0.97% (18.03) CA FP Equity 443 2,976 32.90 37.79 14.33 1.04% (23.48) CAT US Equity 1,158 12,179 88.47 96.88 15.44 0.62% (50.26) CBA AU Equity 165 8,462 67.92 69.24 2.57 0.76% 75.44 CBS US Equity 390 1,267 49.35 64.52 33.43 0.92% (46.30) CCL US Equity 823 7,821 36.20 40.01 11.79 0.89% (22.37) CELG US Equity 1,588 2,418 85.54 141.73 51.00 1.29% (116.68) CFR VX Equity (56) 954 98.36 92.94 -6.49 0.90% (6.80) CL US Equity 1,441 18,685 58.99 63.54 14.87 0.52% (29.57) CM CN Equity 322 8,334 82.53 85.72 6.78 0.57% (13.36) CMCSA US Equity 3,980 17,408 40.65 49.94 26.45 0.86% (235.00) CMCSK US Equity 6,424 18,900 36.26 48.59 38.76 0.88% (142.78) CNI US Equity 962 12,873 51.38 55.22 12.69 0.59% (132.47) CNQ CN Equity 354 7,768 35.76 37.39 5.10 0.89% 38.09 CNR CN Equity 983 12,425 51.30 55.35 13.06 0.61% (90.54) COF US Equity 680 6,077 67.68 75.25 12.66 0.88% (57.14) COP US Equity (111) (7,980) 66.64 67.57 -2.86 0.49% 24.19 COST US Equity (133) 6,321 115.67 113.28 -3.57 0.59% (45.46) COV LN Equity 183 2,442 KWA N/A 22.97 0.33% COV US Equity 562 7,080 64.09 69.17 12.65 0.63% (145.67) CRM US Equity (21) 2,054 56.88 56.30 -0.76 1.36% (43.83) CS FP Equity 1,794 5,387 19.39 25.85 30.29 1.10% (96.67) CSCO US Equity 54 (4,977) 21.79 21.56 1.51 0.71% 51.67 CSX US Equity 1,276 8,914 25.07 28.66 21.74 0.66% (89.83) CVE CN Equity 533 (10,449) 28.70 27.23 6.54 0.78% (47.55) CVS US Equity 1,891 11,600 63.80 74.20 27.56 0.59% (91.84) CVX US Equity (269) (8,207) 112.39 116.07 -5.71 0.57% 30.85 D US Equity 1,978 12,240 60.05 69.75 22.31 0.72% (124.20) EFTA00293290 DAI GR Equity 6,307 13,908 62.20 90.41 35.60 1.27% (153.84) DBK GR Equity 34 (2,834) 44.63 44.09 0.98 1.24% 44.09 DD US Equity 2,717 12,623 54.72 66.49 33.89 0.64% (159.37) DDAIF US Equity 3,522 8,377 63.20 89.77 32.46 1.30% (162.96) DE US Equity 275 8,122 85.65 88.55 5.49 0.62% (46.13) DELL US Equity (3) 8,073 #WA N/A -0.57 0.07% DG FP Equity 4,193 9,889 51.34 73.10 46.34 0.92% (69.07) DGE LN Equity (9) 771 30.33 29.99 -0.50 2.21% 6.98 DHR US Equity 3,833 14,097 58.57 74.49 49.77 0.55% (203.14) DIS US Equity 1,647 9,908 68.36 79.73 19.15 0.87% (160.07) DISCA US Equity (5) 6,387 83.32 83.25 -0.09 0.89% (118.85) DNB NO Equity 1,267 9,735 15.77 17.82 17.39 0.75% 103.81 DOW US Equity 2,572 7,057 36.72 50.10 52.03 0.70% (56.71) DPW GR Equity 159 603 28.85 36.47 19.78 1.34% 20.42 DTE GR Equity 4,030 13,640 12.22 15.83 25.37 1.16% (72.05) DTV US Equity 2,054 10,622 61.97 73.95 25.91 0.75% (107.25) DUK US Equity 60 (8,822) 69.60 69.13 1.34 0.50% 38.19 DVN US Equity 231 9,424 62.50 64.03 4.13 0.59% 5.45 EBAY US Equity 278 6,678 54.29 56.54 5.12 0.81% (74.12) Ea US Equity 426 9,210 105.22 110.09 7.47 0.62% (60.38) EDF FP Equity 6,179 9,189 23.45 39.21 68.69 0.98% (79.93) EMC US Equity 1,072 10,986 25.35 27.83 14.54 0.67% (47.52) EMR US Equity (27) (1,185) 63.86 65.33 -3.47 0.66% 0.97 ENB CN Equity 63 6,351 44.29 44.72 1.60 0.62% 42.85 ENEL IM Equity 2,094 7,620 4.33 5.52 24.17 1.14% (167.44) ENI IM Equity 311 7,309 23.75 24.76 5.76 0.74% 60.70 EOAN GR Equity 63 2,996 18.77 19.16 2.24 0.93% 23.67 EOG US Equity 1,771 5,688 144.69 189.74 42.26 0.74% (53.57) EPD US Equity 950 12,049 63.14 68.12 14.91 0.53% (136.77) ERICB SS Equity 390 6,004 12.27 13.06 7.21 0.90% 2.25 ESRX US Equity 1,341 9,815 66.69 75.80 17.23 0.79% (234.41) ETN US Equity 4 5,260 72.48 72.53 0.08 0.91% (43.63) F US Equity (142) (3,621) 14.82 15.40 -5.66 0.69% 34.99 F8 US Equity 1,219 2,630 44.06 64.48 34.84 1.33% (156.12) FCX US Equity (14) (719) 31.11 31.71 -1.58 1.24% 7.18 FDX US Equity 632 5,338 120.94 135.26 17.95 0.66% (68.30) FOX US Equity (131) 5,624 32.28 31.55 -2.87 0.81% (97.09) FOXA US Equity (137) 5,673 33.13 32.35 -2.83 0.85% (110.57) FP FP Equity 690 11,013 60.83 64.63 8.08 0.77% (126.51) G IM Equity 84 3,588 21.32 21.81 2.67 0.87% (40.47) GE US Equity 1,814 13,140 22.32 25.40 16.74 0.82% (76.97) GILD US Equity 27,188 13,861 24.02 71.15 156.06 1.26%M -32.18) GIS US Equity 472 13,333 49.12 50.85 6.10 0.58% (117.86) GLE FP Equity 737 3,248 49.51 60.75 16.46 1.38% (74.42) GLEN LN Equity 155 (4,634) 5.24 5.06 2.17 1.54% (46.01) GLW US Equity 2,362 11,376 16.17 19.53 27.49 0.76% (4.15) GM US Equity 12 (1,904) 34.94 34.72 0.56 1.08% 18.00 EFTA00293291 GOOG US Equity 4,366 12,660 862.28 1,159.63 56.70 0.61% Fr (483.69) GS US Equity 6,788 13,671 110.98 166.08 56.90 0.87% (319.20) GSK LN Equity 60 5,707 26.22 26.49 1.43 0.74% (59.82) GSZ FP Equity 782 8,189 24.60 26.95 8.24 1.16% (6.88) HAL US Equity 1,108 5,408 48.07 57.92 22.48 0.91% (37.13) HD US Equity 2,598 13,333 66.67 79.66 27.40 0.71% (231.73) HMB SS Equity 629 6,110 40.79 44.99 10.90 0.94% 55.99 HON US Equity 6,072 11,930 61.10 92.20 93.35 0.55% (232.83) HPQ US Equity 1,843 7,393 25.45 31.80 24.62 1.01% (59.02) HSBA LN Equity (63) (4,180) 9.90 10.05 4.56 0.96% (35.43) IBE SM Equity 1,612 7,382 5.54 6.75 36.90 0.59% (54.71) IBM US Equity (79) (4,028) 184.74 188.37 •3.51 0.56% (24.05) IMT LN Equity 1,252 10,924 35.95 40.06 12.56 0.91% (56.71) INTC US Equity 531 10,787 23.94 25.12 8.60 0.57% (101.55) ISP IM Equity 3,587 5,699 1.93 3.14 50.46 1.25% (121.83) ITUB US Equity 36 (5,909) 13.81 13.73 0.42 1.47% (103.10) ITUB4 BZ Equity 94 (6,366) 14.05 13.84 1.11 1.34% (144.12) ITW US Equity 2,592 14,011 67.84 80.38 30.40 0.61% (98.80) ITX SM Equity (54) (4,597) 147.96 149.69 4.10 1.07% (15.39) JCI US Equity 1,268 3,558 34.13 46.28 40.63 0.88% (88.31) JNJ US Equity 4,682 12,994 69.83 94.99 73.83 0.49% (24.44) JPM US Equity 1,395 8,516 52.29 60.86 18.45 0.89% 53.20 KMB US Equity 311 7,934 106.69 110.87 6.32 0.62% 0.20 KMI US Equity 732 (8,600) 34.31 31.39 11.74 0.72% (35.60) KO US Equity 81 (6,962) 38.83 38.38 2.37 0.49% 35.50 LBTYA US Equity (48) 2,272 84.90 83.15 .2.16 0.97% (22.78) LBTYK US Equity 76 1,975 78.04 81.04 4.55 0.85% (21.22) LIN GR Equity (63) 8,087 198.02 196.50 4.00 0.78% 20.11 LLOY LN Equity 3,186 7,073 0.89 1.30 47.57 0.95% 58.87 LLY US Equity (75) 2,868 58.80 57.31 .2.98 0.87% (51.00) LMT US Equity 584 2,016 122.48 157.97 37.18 0.78% (16.76) LNKD US Equity 85 (1,512) 198.30 187.12 2.82 2.00% 96.14 LOW US Equity 110 7,829 48.41 49.09 1.78 0.79% (73.27) LVS US Equity 2,077 6,808 61.33 80.04 30.57 1.00% (166.43) LYB US Equity 1,178 2,297 59.29 89.68 72.66 0.71% (22.93) MA US Equity 11,201 17,711 46.99 76.71 85.99 0.74% (264.14) MAERSKB DC Equity 5,492 14,148 8,212.58 11,400.76 32.87 1.18% (63.15) MC FP Equity (96) 3,466 183.29 178.33 .3.87 0.72% 6.73 MCD US Equity (85) (5,579) 94.88 96.33 .3.23 0.47% (1.38) MCK US Equity 170 2,181 164.92 177.74 10.22 0.76% (72.61) MDIZ US Equity 2,467 13,641 28.68 33.87 31.88 0.57% (193.35) MDT US Equity 7,237 20,811 43.22 58.25 51.96 0.67% (473.22) MET US Equity 1,556 7,556 44.37 53.50 22.46 0.92% (52.64) MFC CN Equity 4,408 8,003 12.38 19.19 64.71 0.85% (46.51) MHS US Equity 1,862 13,445 #N/A N/A 12.27 1.13% MMM US Equity 7,838 21,331 96.89 132.50 64.97 0.57% (221.73) MO US Equity 94 6,937 36.13 36.61 2.57 0.52% (1.34) EFTA00293292 MON US Equity 808 11,917 106.02 113.21 11.02 0.62% MOS US Equity - • 48.44 0.82% MRK US Equity 861 11,769 50.18 53.85 10.17 032% MS US Equity 290 1,649 27.57 32.41 16.01 1.10% MSFT US Equity 1,133 7,841 35.21 40.30 19.03 0.76% MUV2 GR Equity 487 6,116 197.70 213.45 11.75 0.68% NAB AU Equity 159 7,534 31.14 31.80 2.53 0.84% NCM AU Equity • • 9.89 1.98% NEE US Equity 4,309 14,649 72.62 93.98 42.49 0.69% NEM US Equity 2,307 (7,392) 34.95 24.04 19.21 1.62% NESN VX Equity 572 9,821 69.64 73.69 10.39 0.56% NG/ IN Equity 1,717 12,114 11.82 13.50 22.78 0.62% NKE US Equity 697 5,145 66.10 75.06 14.66 0.92% NOK US Equity 3,687 4,498 3.96 7.21 74.82 1.10% NOV US Equity (56) 4,111 75.23 74.22 .1.57 0.86% NOVN VX Equity 5,189 18,291 63.81 81.91 36.13 0.79% NOVOB DC Equity 1,033 9,444 40.35 44.76 10.89 1.01% NSC US Equity 1,884 9,797 80.78 96.31 27.54 0.70% NVS US Equity 3,846 15,510 65.07 81.21 33.40 0.74% OGXP3 BZ Equity 5,052 (5,180) 4.27 0.11 31.43 3.10% OR FP Equity 22 (3,787) 160.73 159.81 0.75 0.76% ORA FP Equity 475 5,434 12.87 13.99 5.84 1.50% ORCL US Equity 1,017 7,649 33.44 37.89 20.73 0.64% OXY US Equity (99) 7,355 95.02 93.76 -1.67 0.81% PBR US Equity 307 (2,814) 13.30 11.85 6.62 1.65% PBR/A US Equity 343 (2,795) 13.87 12.17 7.70 1.60% PCLN US Equity 869 3,043 956.05 1,228.96 23.08 1.24% PCP US Equity 1,449 8,226 212.47 249.89 22.71 0.78% PEP US Equity 8 4,644 81.78 81.92 0.28 0.62% PETR3 BZ Equity 418 (2,923) 6.94 5.95 8.50 1.68% PETR4 BZ Equity 474 (3,123) 7.21 6.11 9.33 1.63% PFE US Equity 4,557 21,828 26.10 31.55 31.03 0.67% PG US Equity 132 4,762 77.33 79.47 4.33 0.64% PHIA NA Equity • 33.93 1.05% PM US Equity 578 (10,166) 85.47 80.61 9.04 0.63% PNC US Equity 1,218 8,425 75.96 86.94 19.40 0.75% POT CN Equity 1 (1,041) 34.52 34.47 0.22 0.64% POT US Equity 5 (1,080) 34.57 34.42 0.68 0.65% PRU LN Equity 7,523 10,521 12.76 21.89 70.69 1.01% PSA US Equity 560 9,413 158.54 167.97 9.61 0.62% PSX US Equity 1,197 6,030 64.65 77.48 22.14 0.90% PX US Equity 2,688 16,340 113.54 132.22 35.66 0.46% QCOM US Equity 2,062 12,547 66.83 77.81 22.59 0.73% QQQ US Equity 5,712 19,920 68.46 88.09 57.21 0.50% RAI US Equity 160 6,737 52.22 53.46 2.05 1.16% RDS/A US Equity (110) 4,217 73.23 71.37 -4.09 0.64% RDS/B US Equity (14) 5,192 75.80 75.60 .0.41 0.63% (62.94) (317.31) (15.52) (32.75) 25.07 90.25 (143.36) _ 205.39 50.93 (51.14) (86.76) (84.01) (19.04) (45.29) 74.07 (82.82) (183.70) (167.26) (4.68) (67.22) (15.18) (22.10) (90.57) (70.83) (163.39) (214.57) (13.62) [ (118.13) (94.28) (374.60) 39.47 56.72 (31.53) 1.46 4.77 I (250.63) (69.16) (84.39) (112.08) (81.41) (434.93) (53.01) (1.75) (8.96) EFTA00293293 RDSA LN Equity 146 4,065 34.51 35.75 5.86 0.61% 14.78 RDSA NA Equity (82) 4,084 36.61 35.89 -3.36 0.60% 16.97 RDSB IN Equity 61 4,580 37.36 37.87 2.08 0.64% (1.21) REGN US Equity 98 6,240 302.78 307.55 0.97 1.62% (206.81) RIO AU Equity (19) (2,870) 55.84 56.21 -0.53 1.26% (23.38) RIO IN Equity (137) 4,599 54.68 53.09 -2.27 1.32% 17.36 RIO US Equity (110) 4,934 54.02 52.83 -1.66 1.35% 8.82 ROG VX Equity 6,723 17,035 212.78 296.76 53.70 0.73% (157.49) RY CN Equity (37) 4,764 65.12 64.62 .1.59 0.49% 17.23 SAS IN Equity (70) 6,565 47.47 46.97 .1.33 0.80% 40.90 SAN FP Equity 76 (6,174) 103.67 102.38 1.46 0.85% 15.74 SAN SM Equity 525 7,256 8.35 8.95 8.49 0.85% (42.10) SAN US Equity 419 5,315 8.28 8.93 8.72 0.90% (44.60) SAP GR Equity (81) 2,995 80.20 78.10 -2.99 0.90% 13.23 SAP US Equity (106) 3,228 80.22 77.68 -3.66 0.89% (3.84) SBUX US Equity 45 4,574 75.13 75.87 1.11 0.89% (94.21) SGO FP Equity 2,583 7,836 44.08 58.62 26.28 1.25% 105.16 SI US Equity 696 4,504 114.69 132.41 14.92 1.04% (65.98) SIE GR Equity 865 5,345 114.81 133.39 16.39 0.99% (51.68) SLB US Equity 1,132 6,528 79.94 93.80 23.26 0.75% 88.85 SMSN LI Equity 636 (7,260) 644.51 588.06 9.85 0.89% 1.06 SO US Equity 11 4,573 43.02 43.12 0.43 0.54% 11.38 SPG US Equity (0) 897 160.18 160.12 -0.05 0.62% (6.46) SREN VX Equity 1,498 10,006 80.46 92.50 19.39 0.77% 29.04 STAN LN Equity 565 (6,124) 21.91 19.89 9.18 1.00% (27.89) STL NO Equity 706 8,306 25.81 28.01 10.12 0.84% 160.83 STY US Equity • - 70.06 1.07% SU CN Equity (15) (2,698) 32.62 32.81 .1.18 0.48% (18.77) SU FP Equity 305 6,518 84.31 88.25 4.34 1.08% (38.44) SU US Equity - (943) 32.74 32.74 0.00 0.47% (3.53) SWEDA SS Equity 449 6,088 24.78 26.61 6.41 1.15% (12.58) SYNN VX Equity (281) (8,069) 359.52 372.06 -4.83 0.72% (129.88) T US Equity (100) (8,928) 34.20 34.58 -1.72 0.65% (49.31) TD CN Equity 146 8,245 45.38 46.19 3.37 0.52% 7.31 TEF SM Equity (43) 3,631 15.62 15.44 -1.56 0.77% (1.93) TEF US Equity (48) 3,406 15.55 15.33 -1.74 0.81% (3.48) TGT US Equity 681 (10,717) 63.57 59.53 7.35 0.86% 23.81 TJX US Equity 3,010 9,492 46.31 61.00 51.31 0.62% (130.37) TLS AU Equity (29) 6,561 4.59 4.57 -0.69 0.63% 18.37 TLSN SS Equity (39) 4,427 7.59 7.52 -1.04 0.85% (34.25) TM US Equity 476 (6,829) 115.81 107.73 9.02 0.77% 9.73 TMO US Equity 9,165 10,218 63.59 120.62 127.99 0.70% (467.37) TOT US Equity 487 5,823 59.06 64.00 10.51 0.80% (22.60) TRP CN Equity (213) (6,953) 43.75 45.09 -5.13 0.60% (46.62) TRV US Equity 17 4,763 83.58 83.89 0.61 0.60% 9.57 TSCO LN Equity 1,040 (7,398) 5.65 4.86 12.76 1.10% (99.28) TWC US Equity 713 5,234 120.22 136.60 14.48 0.94% (48.85) EFTA00293294 TWX US Equity (95) 7,395 66.39 65.55 -1.79 0.72% (122.94) TXN US Equity 4,059 12,205 34.93 46.54 42.06 0.79% (201.23) TYC US Equity 10,684 24,080 29.17 42.11 67.46 0.66% (516.15) UBS US Equity 228 5,489 19.43 20.24 4.44 0.93% (54.85) UBSN VX Equity 229 5,158 19.51 20.38 4.55 0.98% (106.94) UCG IM Equity 3,232 5,391 5.58 8.93 35.48 1.69% (102.48) ULVR LN Equity (44) (3,892) 39.50 39.94 -1.53 0.73% (15.99) UNA NA Equity (168) (6,295) 38.14 39.16 -3.85 0.69% (62.44) UNH US Equity 2,672 10,037 64.08 81.14 27.78 0.96% (139.20) UNP US Equity 1,579 12,014 165.36 187.10 18.72 0.70% (85.28) UPS US Equity 3,191 14,806 79.87 97.08 42.03 0.51% (22.29) USB US Equity 3,516 14,238 34.71 43.29 42.76 0.58% 60.00 UTX US Equity 5,857 15,190 82.05 113.69 60.99 0.63% (335.66) V US Equity 6,821 7,870 118.43 221.09 116.73 0.74% (311.77) VALE US Equity 508 (3,908) 15.08 13.12 10.34 1.26% (6.40) VALE3 BZ Equity 276 (4,586) 14.01 13.17 4.65 1.29% (23.42) VIAB US Equity 3,896 9,272 60.42 85.80 56.84 0.74% (300.65) VIV FP Equity 117 2,668 26.19 27.34 5.12 0.86% 1.76 VMW US Equity 1,036 4,683 88.80 108.45 17.93 1.23% (45.98) VOD LN Equity 211 (2,998) 3.98 3.70 4.32 1.63% 49.41 VOD US Equity 219 (2,893) 39.69 36.69 4.55 1.66% 56.78 VOW3 GR Equity 19 218 228.75 248.61 6.19 1.40% 0.11 VRX CN Equity 665 1,611 92.95 131.32 30.55 1.35% (111.49) VRX US Equity 766 1,880 93.20 131.18 32.02 1.27% (112.34) VTI US Equity 603 5,134 86.91 97.11 25.86 0.45% (65.39) VWO US Equity 246 (7,247) 40.33 38.96 3.84 0.88% (16.65) VZ US Equity 176 (6,121) 48.12 46.74 3.73 0.77% 39.90 WBC AU Equity 130 5,265 29.97 30.71 2.86 0.87% 35.35 WES AU Equity (175) 8,616 38.63 37.86 -2.94 0.69% 17.54 WFC US Equity 3,108 11,232 38.43 49.06 42.79 0.65% (130.51) WLP US Equity 3,711 10,369 74.31 100.91 39.57 0.90% 76.87 WMT US Equity 104 4,005 74.59 76.53 3.99 0.65% 5.93 WOW AU Equity (270) (6,932) 31.30 32.52 -4.94 0.79% (10.85) XOM US Equity 623 13,076 90.48 94.79 6.84 0.70% (24.41) XTA LN Equity (36) (2,238) RWA WA -0.72 2.21% YHOO US Equity 257 1,282 30.64 36.78 16.03 1.25% (50.50) YUM US Equity 70 7,151 73.86 74.58 1.61 0.61% (102.31) ZURN VX Equity 202 6,394 291.95 301.16 4.70 0.67% 29.81 Current Portfolio - Global Macro Portfolio Current Price P/L in Vol 30P Realized Change on Day Security MTM Gain/(Loss) Exp. @ Cost Avg. Price (In USD) Days Vol (in USD) SPX Index 17,186 62,272 1,455.70 1,857.44 60.62 0.46% (386.53) NDX Index 12,964 46,686 2,831.19 3,617.39 47.33 0.59%i (582.58) RTY Index 14,244 39,938 868.48 1,178.23 51.52 0.69% (703.50) EFTA00293295 SPTSX Index 1 19,447 12,764.15 12,764.66 0.01 0.42% (55.10) MEXBOL Index 1,011 (26,146) 3,142.70 3,021.24 3.89 0.99% 49.83 IBOV Index 1,413 (22,524) 22,076.65 20,691.28 4.87 1.29% (339.75) MERVAL Index (281) (5,408) #N/A N/A -3.26 1.60% UKK Index 1,918 39,963 10,288.22 10,782.12 7.29 0.66% (133.93) DAX Index 7,395 36,674 10,610.77 12,750.34 20.13 1.00% (475.88) CAC Index 1,099 20,042 5,625.44 5,933.85 7.03 0.78% (166.49) IBEX Index 7,548 39,644 11,555.30 13,755.42 22.40 0.85% (387.35) SMI Index 5,947 44,078 8,219.62 9,328.65 21.73 0.62% (339.69) FTSEMIB Index 6,013 25,266 23,118.99 28,621.44 25.40 0.94% (337.15) P5120 Index 6,689 24,289 8,026.78 10,237.32 23.30 1.18% (195.58) ISEQ Index 23,460 40,099 4,246.25 6,730.60 58.67 1.00% (468.31) ICEXI Index 4,174 37,337 6.63 7.37 23.07 0.48% 223.26 AEX Index 4,748 42,240 484.27 538.71 14.80 0.76% (105.51) BEL20 Index 7,612 44,003 3,610.75 4,235.34 21.52 0.80% (240.65) LUXXX Index 10,154 39,715 1,655.49 2,078.74 36.79 0.69% (145.90) KFX Index 9,328 38,048 100.82 125.54 25.26 0.97% (31.94) HEX Index 6,492 40,933 8,513.92 9,864.27 18.51 0.86% (233.89) OMX Index 2,160 23,118 191.41 209.30 9.59 0.97% (115.54) ATX Index 120 3,583 3,268.32 3,377.89 2.91 1.15% (38.98) ME Index 8,478 19,369 1,282.88 1,844.40 36.90 1.19% 130.12 OSEBX Index 2,048 22,138 84.29 92.09 12.86 0.72% 141.82 INDEXCF Index 2,413 (26,563) 39.61 36.01 4.91 1.85% 52.01 TOP40 Index (115) 25,595 3,920.59 3,903.02 -0.48 0.93% SENSEX Index 295 15,120 356.76 363.71 2.41 0.81% 285.20 NKY Index 80 7,278 140.17 141.71 0.96 1.14% HSI Index SHCOMP Index (164) 1,076 (8,413) (33,700) 2,762.19 344.53 2,816.14 333.53 -2.39 3.35 0.82% 0.95% (157.99) I (498.19) KOSPI Index (74) 16,618 1.81 1.80 -0.62 0.72% 110.00 AS51 Index 149 14,469 4,842.07 4,891.87 1.46 0.70% 106.20 STBCNZL Index 36,017 73,231 444.47 663.07 112.64 0.44% (121.79) EEM US Equity 210 (6,119) 40.76 39.36 3.62 0.95% (61.70) IYR US Equity 67.55 MDY US Equity 5,022 14,269 184.03 248.79 68.29 0.52% (146.97) .INK US Equity (7) 5,353 41.26 41.21 -0.68 0.19% 11.70 XLF US Equity 5,958 13,610 15.57 22.39 76.98 0.57% (8.74) XLU US Equity 428 8,406 38.65 40.62 9.29 0.55% 23.99 XLK US Equity 2,288 12,860 30.80 36.28 34.10 0.52% (12.52) XLI US Equity 5,613 16,147 38.20 51.48 60.57 0.57% (71.62) XLP US Equity 182 9,167 41.63 42.46 4.78 0.42% (8.80) XLY US Equity 8,046 20,539 46.72 65.02 77.00 0.51% (287.24) XLE US Equity 128 7,366 85.40 86.88 2.97 0.58% (15.49) XLB US Equity 3,746 14,930 37.57 47.00 41.60 0.60% (145.88) XLV US Equity 11,690 24,346 38.87 57.53 74.29 0.65% (402.60) SXXP Index 5,377 43,407 400.51 450.12 17.47 0.71% (243.83) SXAP Index 9,035 28,526 520.28 685.07 26.52 1.19% (422.35) SXKP Index 4,302 47,032 366.14 399.63 10.92 0.84% (404.38) EFTA00293296 SX6P Index 6,085 34,738 353.52 415.45 24.17 0.72% SXEP Index 653 29,339 441.65 451.48 3.51 0.63% SXIP Index 11,038 28,923 222.31 307.15 47.94 0.80% SXNP Index 4,503 28,384 482.69 559.26 18.96 0.84% SX3P Index 46 18,170 662.20 663.87 0.44 0.58% SXDP Index 22,538 61,075 609.16 833.95 51.99 0.71% SX4P Index 2,436 25,840 917.36 1,003.85 9.81 0.96% SX8P Index 2,394 17,778 343.07 389.26 16.53 0.81% SXOP Index 9,138 40,520 380.28 466.04 24.70 0.91% SXQP Index (580) 26,331 793.32 776.21 -3.20 0.69% SXRP Index (49) 17,603 434.81 433.60 M.39 0.72% SXMP Index 10,680 35,766 261.12 339.09 41.91 0.71% SXTP Index 21,565 39,247 172.05 266.59 66.69 0.82% SX7E Index 5,470 18,886 159.85 206.14 26.99 1.07% SXSE Index 5,704 40,148 3,709.25 4,236.22 18.02 0.79% SPGSCITR Index (14) (17,320) 4,911.08 4,915.02 0.16 0.51% XAG Curncy 2,503 (20,150) 22.78 19.95 10.81 1.15% CO1 Comdty 472 (24,622) 108.90 106.81 2.97 0.65% CL1 Comdty 123 29,347 99.19 99.60 0.51 0.82% NG1 Comdty 2,240 16,608 3.77 4.28 4.14 3.26% XAU Comdty 93.92 IBOXHY Index 2,844 53,418 220.12 231.84 51.41 0.10% US_TSY CREDIT (41) (50,168) 757.73 758.35 0.64 0.13% CA_TSY CREDIT 7,552 (97,153) 1,269.35 1,170.68 19.85 0.39% MX_TSY CREDIT 1 (5,073) 211.75 211.70 0.07 0.36% AU TSY CREDIT (17) (28,488) 1,457.62 1,458.51 0.15 0.42% JP_TSY CREDIT 728 (59,678) 822.10 812.07 4.12 0.30% MY_TSY CREDIT 1,360 (92,252) 167.43 164.96 4.54 0.32% SG_TSY CREDIT 1,290 (95,749) 219.11 216.16 6.16 0.22% AT_TSY CREDIT 3,189 72,913 356.44 372.03 14.43 0.30% BE_TSY CREDIT 4,299 75,235 476.07 503.28 19.48 0.29% FI_TSY CREDIT 2,972 74,240 347.46 361.37 13.61 0.29% FR_TSY CREDIT 3,545 74,045 1,674.72 1,754.90 16.45 0.29% DE_TSY CREDIT 2,536 74,397 1,240.95 1,283.25 11.47 0.30% lE_TSY CREDIT 30,536 78,270 336.92 468.37 153.46 0.25% IT_TSY CREDIT 7,796 54,111 1,612.72 1,845.06 43.88 0.33% NL_TSY CREDIT 2,986 76,341 1,325.77 1,377.62 13.20 0.30% ES_TSY CREDIT 10,149 50,187 392.28 471.61 61.16 0.33% DK_TSY CREDIT 2,660 67,396 729.23 758.01 11.77 0.34% NO_TSY CREDIT (50) 5,430 341.44 338.35 -2.34 0.39% PL_TSY CREDIT 946 22,143 420.32 438.28 9.84 0.43% ZA_TSY CREDIT 1,407 (33,149) 83.13 79.60 5.51 0.77% SE_TSY CREDIT (105) 15,487 471.14 467.96 -2.16 0.31% CH_TSY CREDIT 3,342 65,265 1,004.77 1,056.23 16.18 0.32% GELTSY CREDIT 425 56,841 1,489.15 1,500.29 2.09 0.36% (189.43) (144.40) (165.60) (215.42) 118.66 (723.33) (322.51) (208.25) (402.79) (29.09) 36.49 L (151.24) (255.71) (362.67) (383.18) (10.89) 425.20 25.82 41.48 (161.70) 35.62 (21.16) 32.19 (16.11) (105.21) (29.02) (273.19) (71.88) 221.57 209.15 169.16 182.59 211.01 (9.29) 1.34 207.26 26.88 200.20 21.39 44.34 (165.76) 50.12 53.30 235.71 EFTA00293297