EFTA00292957.pdf

Atorus, LLC 2/20/2014 Current Date: 2/20/2014 Change on Day: -0.614 1 T12M Return: 48.49% WISCI World Change on Total Return since 1/1/12: 79.65% Day 0.06% Current Long Exposure @ Cost: 4,438,572 Current Short Exposure @ Cost: (1,171,556) Net Exposure: 3,267,016 Current No. of Positions: 455 Starting Capital: 1,000,000 Current NAV: 1,796,495 Current Leverage (Gross Exposures): 3.12 Profit Factor: Historically 2.25X - 3.25X, depending on measurement interval Win Ratio: 40% 50% historically T24M (+) NAV Days 51% T24M Avg. Daily NAV (+) Change 1.03% T24M Avg. Daily NAV (-) Change -0.88% 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: 1.301 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 L00%000.00 1,800,000.00 1,630,000.00 1,430,000.00 1,230,000.00 — NAV 1,000,000.00 800,000.00 600)300.00 o,1r o•Qg 4> 4,1r 4> "I• "' 1" e or orO O's ei• et• .• 4''L (L1 •»\ 4 A\ 0,‘ 0 44' 0 ''' N•C' EFTA00292957 Atorus, LLC 2/20/2014 Largest Exposures 99th Percentile 1st Largest MTM Gains (95th Percentile MTM Gains % Percentile (@ cost ex-MTM) NAV) Security Notional % of Total Notional Security MTM Gain % Total NAV 22 Positions 23.84% 53 Positions 31.48% CO1 Comdty (24,622) 0.44% SXKP Index 5,867 0.33% MEXBOL Index (26,146) 0.47% ICEXI Index 5,900 0.33% NO_TSY CREDIT (27,378) 0.49% EDF FP Equity 5,949 0.33% ZA_TSY CREDIT (33,149) 0.59% UTX US Equity 6,066 0.34% SHCOMP Index (33,700) 0.60% MAERSKB DC Equity 6,072 0.34% XAU Comdty (41,262) 0.74% SXSE Index 6,157 0.34% CH_TSY CREDIT 59,299 1.06% DAI GR Equity 6,186 0.34% JP_TSY CREDIT (59,678) 1.06% BEL20 Index 6,198 0.34% SXDP Index 61,075 1.09% QQQ US Equity 6,226 0.35% SPX Index 62,272 1.11% SXXP Index 6,304 0.35% FR_TSY CREDIT 62,478 1.11% HON US Equity 6,349 0.35% AT_TSY CREDIT 64,350 1.15% SMI Index 6,409 0.36% NL_TSY CREDIT 65,372 1.17% MDT US Equity 6,523 0.36% FI_TSY CREDIT 66,540 1.19% GS US Equity 6,559 0.37% DE_TSY CREDIT 66,681 1.19% ACA FP Equity 6,576 0.37% BETSY CREDIT 67,610 1.21% IT_TSY CREDIT 6,584 0.37% STBCNZL Index 73,231 1.31% ME Index 6,627 0.37% lE_TSY CREDIT 78,270 1.40% ROG VX Equity 6,710 0.37% AU_TSY CREDIT (79,133) 1.41% CA_TSY CREDIT 6,768 0.38% MY_TSY CREDIT (92,252) 1.64% BMY US Equity 6,897 0.38% SG_TSY CREDIT (95,749) 1.71% AMGN US Equity 7,040 0.39% CA_TSY CREDIT (97,153) 1.73% CMCSK US Equity 7,241 0.40% MMM US Equity 7,603 0.42% IBEX Index 7,669 0.43% SXOP Index 7,845 0.44% PRU LN Equity 7,901 0.44% XLY US Equity 8,068 0.45% HEX Index 8,287 0.46% DAX Index 8,876 0.49% ES_TSY CREDIT 8,883 0.49% LUXXX Index 9,068 0.50% BAC US Equity 9,210 0.51% BAYN GR Equity 9,402 0.52% KFX Index 9,737 0.54% TMO US Equity 9,743 0.54% SXAP Index 9,824 0.55% NG1 Comdty 10,122 0.56% TYC US Equity 10,675 0.59% MA US Equity 10,737 0.60% BA US Equity 11,053 0.62% EFTA00292958  SXIP Index 12,269 0.68% XLV US Equity 12,560 0.70% SXMP Index 12,775 0.71% RTY Index 13,503 0.75% CELG US Equity 13,653 0.76% NDX Index 13,864 0.77% SPX Index 16,430 0.91% SXTP Index 21,958 1.22% SXDP Index 24,294 1.35% ISEQ Index 24,415 1.36% IE_TSY CREDIT 28,863 1.61% ST8CN2L Index 31,202 1.74% GILD US Equity 33,899 1.89% No. Names APAC Long 29 APAC Short 22 EMEA Long 79 EMEA Short 13 AMER Long 170 AMER Short 47 EquityCom Long 61 EquityCom Short 9 G20 Rates Long 15 G20 Rates Short 9 Total Long 354 Total Short 100 EFTA00292959 Atorus, LLC 2/20/2014 Historical Net Exposure by Geography (Listed Equities) & Macro (Equity Indices & Comrnodikes, G20 Gov. Credit) 2,000,000 5,000,000 4,000,000 1,500,000 3,000,000 1,000,000 —AREA i li 2,000,000 — EMEA —AMER 500.000 1,000,000 — Eq leC —G20 Rates 0 NexEposure RSIS tp ti\it.4 A r rr e #1, (586\ 30DI nos‘ Qt% l• e O . % * 10. AO 9 .,$) Av Av eg Sv S. , ..\ V 4,.., 4... A 11) ds, ,f,t. tsQ. RSV (1,000,000i ,) N\ 12.000,0001 (1.,000,0001 13.030,0001 Historical Gross Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodlites, G20 Gov. Credit) EFTA00292960 Atorus, LIC 2/20/2014 Current Gross Notional Risk by Category ■ APAC ■ EMEA ■ AMER ■ EquityCom ■ G20 Rates Performance Vs. MSCI World Index Rolling 30 Day Realized Volatility - Ator EFTA00292961 Atorus, LLC 2/20/2014 Percentile Distribution of Current MTM Gains in Vol Days by Position (ex-99pct & ex-1st percentiles) S0.C0 i ipfl.Vol Days by 30.00 Position 20.00 10.00 0.CO co dr co tette", cssirtette Percentile No. Vol Days 0.00.:, -9.62 MTM Gains(Losses) % of NAV "Signficant" 5.00% -2.81 (<7 Vol Days) 0.97% 10.00% -1.15 MTM Gains(Losses) % of NAV "Signficant" 15.00% 43.39 (>7 Vol Days) 52.13% 20.00% 0.00 25.00% 0.57 30.00% 1.57 35.00% 2.98 40.00% 4.26 45.00% 5.93 50.00% 7.71 55.00% 9.89 60.00% 12.66 65.00% 16.58 70.00% 19.24 75.00% 24.25 80.00% 28.39 85.00% 34.80 90.00% 42.46 95.00% 54.02 100.00% 173.22 EFTA00292962 Atorus, LLC 2/20/2014 -Listed Equity Portfolio Current Price PA in Vol 30P Realized Security NMI Gain/(Loss) Exp. @ Cost Avg. Price (in USD) Days Vol 000270 KS Equity 246 (4,505) 51.62 48.80 4.99 1.09% 005380 KS Equity (53) 1,079 217.51 207.27 -3.67 1.35% 005490 KS Equity 49 (3,299) 274.02 269.96 1.68 0.88% 005930 KS Equity 436 (6,555) 1,285.62 1,200.11 7.52 0.88% 012330 KS Equity 864 5,279 244.69 284.74 13.17 1.24% 1 HK Equity (27) 2,778 15.18 15.03 -1.41 0.69% 1299 HK Equity 15 2,733 4.83 4.85 0.52 1.03% 13 HK Equity 1,789 12,238 11.40 13.07 17.61 0.83% 16 HK Equity (22) (9,935) 12.66 12.69 -0.37 0.59% 27 HK Equity (6) 123 9.66 9.21 -2.16 2.23% 2914 JP Equity 54 (4,718) 32.47 32.10 0.87 1.31% 3382 JP Equity 78 3,411 37.70 38.56 1.78 1.28% 4063 JP Equity 185 (4,534) 56.40 54.11 3.18 1.28% 4502 JP Equity 7 2,101 46.69 46.85 0.49 0.70% 4689 JP Equity (4) 941 6.03 6.00 -0.26 1.68% 5 HK Equity 922 10.78 10.78 0.00 0.75% 5108 JP Equity (130) 3,498 36.31 35.01 -2.82 1.32% 5401 JP Equity 88 (3,711) 2.99 2.92 1.52 1.56% 6301 JP Equity 75 (3,514) 20.64 20.19 1.55 1.38% 6752 JP Equity 927 4,144 9.01 11.03 8.52 2.62% 6902 JP Equity 2,624 9,729 41.48 52.67 21.35 1.26% 6954 JP Equity 277 6,390 157.65 164.48 2.50 1.73% 7201 JP Equity (44) (3,742) 8.85 8.95 -0.87 1.34% 7203 JP Equity (1) (3,075) 57.44 57.47 -0.04 1.23% 7267 JP Equity 82 (4,888) 36.43 35.82 1.31 1.27% 762 HK Equity 383 (4,154) 1.43 1.30 8.62 1.07% 7751 JP Equity 258 (6,864) 31.44 30.25 3.53 1.07% 8031 JP Equity (8) 1,818 15.32 15.26 -0.36 1.16% 8058 JP Equity (7) 3,005 19.28 19.23 -0.20 1.12% 8306 JP Equity (29) (2,569) 5.87 5.94 -0.85 1.35% 8316 JP Equity (12) (1,183) 46.29 46.74 -0.64 1.55% 8411 JP Equity (36) 3,774 2.12 2.10 -0.70 1.39% 8604 JP Equity (18) (3,005) 6.77 6.81 -0.39 1.49% 8801 JP Equity (6) (2,518) 31.09 31.16 -0.16 1.60% 8802 JP Equity 46 (3,310) 24.73 24.39 0.95 1.45% 9020 JP Equity 179 (3,967) 77.53 74.03 4.30 1.05% 941 HK Equity 928 (11,347) 10.25 9.41 12.80 0.64% 9432 JP Equity 220 6,077 53.19 55.12 2.56 1.41% 9433 JP Equity 3,150 9,475 42.13 56.14 21.43 1.55% 9437 JP Equity (172) (5,752) 15.71 16.18 -2.80 1.07% 9983 JP Equity (251) 3,176 366.77 339.92 -4.77 1.66% EFTA00292963 9984 JP Equity 2,059 2,797 42.69 74.12 46.21 1.59% AAPL US Equity 206 7,874 518.25 531.81 2.39 1.09% ABB US Equity 661 10,404 23.59 25.09 6.05 1.05% ABBN VX Equity 499 8,699 23.63 24.99 5.08 1.13% ABBV US Equity 225 5,335 49.49 51.58 4.19 1.01% ABEV US Equity 292 (7,230) 7.25 6.96 2.75 1.47% ABEV3 BZ Equity 287 (6,921) 7.29 6.99 3.02 1.37% ABI BB Equity (13) 3,835 101.09 100.75 -0.38 0.90% ABT US Equity 6 4,096 38.87 38.93 0.21 0.74% ABX CN Equity 420 20.58 20.58 0.00 1.65% ABX US Equity 420 20.61 20.61 0.00 1.66% ACA FP Equity 6,576 5,407 6.83 15.14 96.74 1.26% ACE US Equity 107 3,677 93.86 96.60 4.26 0.69% ACN US Equity 736 9,048 77.04 83.31 9.99 0.81% ADP US Equity 68 1,193 72.36 76.50 8.57 0.67% AFL US Equity 8 4,559 62.74 62.85 0.30 0.58% AGN US Equity 1,412 7,305 106.00 126.49 17.04 1.13% Al FP Equity (36) 4,499 135.50 134.44 -1.12 0.71% AIG US Equity 45 4,015 48.66 49.21 1.10 1.02% AIR FP Equity 4,463 6,526 42.47 71.52 62.97 1.09% ALV GR Equity 3,038 7,549 125.64 176.22 43.81 0.92% ALVG IX Equity 2,266 5,741 126.13 175.92 43.48 0.91% AMGN US Equity 7,040 22,885 94.49 123.55 31.75 0.97% AMT US Equity 1,090 10,651 76.29 84.10 13.12 0.78% AMZN US Equity 2,973 14,103 287.66 348.31 16.62 1.27% ANZ AU Equity 0 3,033 28.47 28.47 0.01 0.92% APA US Equity (124) (6,873) 82.74 84.23 -1.87 0.97% APC US Equity (153) (5,634) 80.96 83.15 -2.98 0.91% AXP US Equity 2,478 10,372 71.56 88.66 22.92 1.04% AZN LN Equity 4,198 12,675 49.80 66.30 32.92 1.01% AZN SS Equity 3,641 11,669 50.40 66.13 30.98 1.01% AZN US Equity 4,086 12,432 49.96 66.38 30.14 1.09% BA US Equity 11,052 17,949 79.84 129.01 55.19 1.12% BAC US Equity 9,208 10,881 8.82 16.29 98.60 0.86% BARC LN Equity (206) 5,292 4.40 4.24 -3.21 1.21% BAS GR Equity 1,099 7,333 97.30 111.88 18.65 0.80% BATS LN Equity 10 2,624 51.98 52.16 0.37 0.97% BAX US Equity (314) (8,044) 66.82 69.43 -6.88 0.57% BAYN GR Equity 9,400 11,756 76.64 137.92 82.69 0.97% BBAS3 BZ Equity 33 (1,955) 8.70 8.55 0.96 1.74% BBD US Equity 883 (6,741) 12.96 11.26 10.18 1.29% BBDC4 BZ Equity 809 (7,250) 12.74 11.32 10.35 1.08% BBL US Equity (340) (4,012) 60.45 65.57 -7.46 1.13% BBVA SM Equity 1,159 5,721 10.09 12.14 18.71 1.08% BCE CN Equity 52 (6,642) 43.17 42.84 1.24 0.63% BCS US Equity (225) 6,395 17.70 17.10 -2.61 1.35% BEN US Equity 56 4,616 52.08 52.71 1.17 1.03% EFTA00292964 BG/ LN Equity (142) (3,005) 17.35 18.18 •3.36 1.41% BHP AU Equity 59 4,037 34.38 34.88 1.57 0.93% BHP US Equity 88 3,919 68.88 70.42 2.33 0.96% BBB US Equity 372 1,066 245.93 331.90 24.03 1.45% BIL Sl Equity 592 32.66 32.66 0.00 1.18% BK US Equity 18 1,231 30.62 31.08 1.79 0.83% BLK US Equity 113 1,171 274.17 300.64 10.25 0.94% BLT LN Equity 695 32.62 32.62 0.00 1.00% BMO CN Equity 4 3,900 65.25 65.31 0.14 0.65% BMW GR Equity 841 5,076 98.63 114.97 20.10 0.82% BMY US Equity 6,896 13,668 35.71 53.73 37.92 1.33% BN FP Equity (20) (3,682) 70.54 70.93 -0.60 0.92% BNP FP Equity 1,563 5,498 61.78 79.35 26.71 1.06% BNS CN Equity (7) 2,646 57.62 57.46 -0.37 0.76% BP/ LN Equity 686 9,119 7.72 8.30 11.59 0.65% BRK/B US Equity (42) 3,939 114.13 112.93 .1.72 0.62% BSBR US Equity 1,722 (8,169) 6.18 4.88 12.17 1.73% BUD US Equity 14 3,912 100.95 101.30 0.42 0.84% BX US Equity 132 2,975 30.31 31.65 4.27 1.04% C US Equity (42) 1,467 49.55 48.16 -2.48 1.17% CA FP Equity 348 1,959 30.49 35.90 17.35 1.02% CAT US Equity 1,125 10,296 87.23 96.76 10.75 1.02% CBA AU Equity (58) 6,288 67.73 67.11 .1.11 0.84% CBS US Equity 419 1,267 49.35 65.67 24.94 1.33% CCL US Equity 612 7,819 36.20 39.04 7.31 1.07% CELG US Equity 13,652 15,110 85.54 162.82 77.18 1.17% CFR VX Equity (34) 2,758 99.32 98.10 -1.06 1.18% CL US Equity 903 18,685 58.99 61.84 7.71 0.63% CM CN Equity (6) 4,888 81.16 81.06 -0.23 0.54% CMCSA US Equity 4,636 16,947 40.65 51.77 29.62 0.92% CMCSK US Equity 7,130 18,611 36.26 50.16 42.75 0.90% CNI US Equity 1,061 12,868 51.38 55.61 10.74 0.77% CNQ CN Equity 247 5,486 35.23 36.82 4.75 0.95% CNR CN Equity 1,024 12,420 51.30 55.52 11.79 0.70% COF US Equity 267 6,075 67.68 70.66 4.90 0.90% COP US Equity 193 (7,982) 66.64 65.03 3.59 0.67% COST US Equity (18) 4,528 11531 114.86 .0.51 0.77% COV LN Equity 186 2,442 14N/A N/A COV US Equity 788 6,344 63.38 71.26 14.17 0.88% CRM US Equity 208 2,054 56.89 62.65 8.01 1.26% CS FP Equity 2,529 6,733 19.39 26.67 38.25 0.98% CSCO US Equity (119) (4,976) 21.79 22.31 -2.72 0.88% CSX US Equity 765 8,914 25.07 27.22 8.07 1.06% CVE CN Equity 1,122 (10,448) 28.70 25.62 16.54 0.65% CVS US Equity 1,356 10,309 62.75 71.00 17.82 0.74% CVX US Equity (168) (8,212) 112.39 114.69 .2.72 0.75% D US Equity 2,303 12,108 59.94 71.34 25.86 0.74% EFTA00292965 DAI GR Equity 6,185 13,908 62.20 89.87 42.46 1.05% DBK GR Equity 122 4,052 46.61 48.01 2.37 1.27% DD US Equity 2,404 12,304 54.46 65.10 22.28 0.88% DDAIF US Equity 3,634 8,376 63.20 90.63 37.54 1.16% DE US Equity (62) 8,118 85.65 85.00 -1.15 0.66% DELL US Equity 14 6,712 14N/A N/A DG FP Equity 3,800 9,889 51.34 71.06 44.59 0.86% DGE LN Equity (122) (1,081) 28.32 31.53 -4.26 2.66% DHR US Equity 4,176 14,096 58.57 75.92 41.33 0.72% DIS US Equity 1,565 9,904 68.36 79.17 14.87 1.06% DISCA US Equity 11 3,652 82.02 82.27 0.27 1.14% DNB NO Equity 991 9,734 15.77 17.38 14.29 0.71% DOW US Equity 2,000 6,446 35.84 46.95 27.23 1.14% DPW GR Equity 145 546 28.24 35.71 30.00 0.88% DTE GR Equity 4,917 13,639 12.22 16.62 36.32 0.99% DTV US Equity 2,267 9,349 60.30 74.92 28.39 0.85% DUK US Equity (278) (8,819) 69.60 71.80 -5.82 0.54% DVN US Equity 294 7,129 61.93 64.48 5.00 0.82% EBAY US Equity 193 5,057 52.95 54.97 3.96 0.96% Ea US Equity 20 3,981 101.15 101.66 0.71 0.70% EDF FP Equity 5,949 9,188 23.45 38.63 69.09 0.94% EMC US Equity 182 8,838 24.88 25.39 2.47 0.83% EMR US Equity (0) 928 63.76 63.76 0.00 0.70% ENB CN Equity (183) (7,001) 41.70 42.79 -5.08 0.52% ENEL IM Equity 1,373 7,345 4.30 5.11 19.03 0.98% ENI IM Equity (2) 3,791 23.69 23.67 -0.07 0.73% EOAN GR Equity 89 2,605 18.66 19.30 3.81 0.90% EOG US Equity 1,416 5,573 143.99 180.58 26.12 0.97% EPD US Equity 580 10,462 62.42 65.88 8.23 0.67% ERICB SS Equity 86 6,004 12.27 12.44 1.70 0.84% ESRX US Equity 1,472 9,814 66.69 76.69 20.95 0.72% ETN US Equity 95 3,004 70.48 72.72 3.14 1.01% F US Equity (104) (3,623) 14.82 15.24 -2.67 1.08% F8 US Equity 1,418 2,629 44.06 67.82 37.64 1.43% FCX US Equity (11) 1,806 33.61 33.40 -0.52 1.19% FDX US Equity 522 5,336 120.94 132.78 11.44 0.86% FOX US Equity (10) 3,522 31.89 31.80 -0.30 0.98% FOXA US Equity 7 3,248 32.65 32.73 0.21. 1.11% FP FP Equity 214 7,624 59.53 61.21 4.24 0.66% G IM Equity 380 5,605 21.32 22.76 7.54 0.90% GE US Equity 2,122 16,621 22.32 25.17 13.90 0.92% GILD US Equity 42,394 17,334 24.02 82.78 173.22 1.41% GIS US Equity 172 7,619 48.58 49.67 3.71 0.61% GLE FP Equity 910 3,246 49.51 63.39 20.67 1.36% GLEN LN Equity 539 5.66 5.66 0.00 1.29% GLW US Equity 1,990 11,371 16.17 19.00 15.45 1.13% GM US Equity 728 2,560 28.27 36.31 26.15 1.09% EFTA00292966 GOOG US Equity 5,014 12,427 857.75 1,203.87 44.57 0.91% GS US Equity 6,559 13,669 110.98 164.22 71.03 0.68% GSK LN Equity 390 4,319 25.71 28.03 7.37 1.23% GSZ FP Equity 151 5,469 23.77 24.43 3.65 0.76% HAL US Equity 823 4,092 45.99 55.24 20.67 0.97% HD US Equity 2,110 13,333 66.67 77.22 28.99 0.55% HMB SS Equity 404 6,107 40.79 43.49 7.45 0.89% HON US Equity 6,348 11,929 61.10 93.61 84.69 0.63% HPC1US Equity 1,296 6,436 24.88 29.89 17.97 1.12% HSBA LN Equity (3) 1,225 10.87 10.84 -0.12 2.35% IBE SM Equity 1,168 6,917 5.48 6.41 27.73 0.61% IBM US Equity 25 (8,389) 184.74 184.19 0.42 0.71% IMT LN Equity 1,016 10,919 35.95 39.29 7.58 1.23% INTC US Equity 384 9,780 23.81 24.74 4.60 0.85% ISP IM Equity 3,229 5,585 1.91 3.02 48.31 1.20% ITUB US Equity 324 (5,907) 13.81 13.05 3.76 1.46% ITUB4 BZ Equity 212 (6,364) 13.59 13.14 2.53 1.31% ITW US Equity 2,620 14,010 67.84 80.52 30.03 0.62% ITX SM Equity 187 (4,651) 149.71 143.69 4.71 0.85% JO US Equity 4,500 9,883 34.13 49.66 41.24 1.10% JNJ US Equity 4,187 12,629 69.31 92.29 46.56 0.71% JPM US Equity 870 8,515 52.29 57.63 13.14 0.78% KMB US Equity 248 7,931 106.69 110.02 4.53 0.69% KMI US Equity 394 (6,749) 35.17 33.11 8.35 0.70% KO US Equity 279 (6,962) 38.83 37.28 5.47 0.73% LBTYA US Equity 67 2,271 84.93 87.43 3.36 0.87% LBTYK US Equity 216 1,974 78.04 86.59 12.66 0.87% LIN GR Equity 150 8,092 198.03 201.70 2.53 0.73% LLOY LN Equity 3,555 7,072 0.89 1.34 46.98 1.07% LLY US Equity (180) (1,916) 52.96 57.95 -9.62 0.98% LMT US Equity 693 2,015 122.48 164.60 33.74 1.02% LNKD US Equity (29) (1,647) 191.50 194.83 -0.99 1.75% LOW US Equity (7) 2,680 46.86 46.74 -0.34 0.77% LVS US Equity 2,157 6,808 61.33 80.76 22.80 1.39% LYB US Equity 1,008 2,297 59.29 85.30 39.02 1.12% MA US Equity 10,777 17,776 47.03 75.54 47.80 1.27% MAERSKB DC Equity 6,071 14,148 8,212.58 11,736.96 40.51 1.06% MC FP Equity 73 2,802 182.10 186.81 2.70 0.96% MCD US Equity (72) (6,971) 94.88 95.86 .2.12 0.49% MCK US Equity 172 1,762 161.77 177.52 8.35 1.17% MDIZ US Equity 2,774 13,640 28.68 34.52 25.08 0.81% MDT US Equity 6,522 20,809 43.22 56.77 35.53 0.88% MET US Equity 1,083 7,556 44.37 50.73 12.78 1.12% MFC CN Equity 4,344 8,002 12.38 19.09 49.92 1.09% MHS US Equity 1,773 14,102 SIN/A N/A MMM US Equity 7,602 21,329 96.89 131.43 49.21 0.72% MO US Equity (19) 3,962 35.60 35.43 -0.70 0.70% EFTA00292967 MON US Equity 478 11,913 106.02 110.27 5.21 0.77% MOS US Equity (188) (3,580) 45.85 48.26 .4.69 1.12% MRK US Equity 1,315 9,347 48.80 55.67 14.31 0.98% MS US Equity 99 1,648 27.57 29.22 5.78 1.04% MSFT US Equity 592 7,174 34.82 37.69 8.57 0.96% MUV2 GR Equity 661 7,642 197.70 214.79 14.58 0.59% NAB AU Equity 56 4,521 31.19 31.58 1.36 0.91% NCM AU Equity 2,866 (5,096) 21.94 9.60 25.98 2.16% NEE US Equity 4,021 14,648 72.62 92.55 38.18 0.72% NEM US Equity 2,259 (7,391) 34.95 24.27 17.16 1.78% NESN VX Equity 577 9,816 69.64 73.73 7.08 0.83% NG/ IN Equity 2,088 11,590 11.74 13.86 25.72 0.70% NKE US Equity 808 2,940 59.26 75.54 32.93 0.83% NOK US Equity 3,768 4,497 3.96 7.28 58.79 1.43% NOV US Equity 1 4,623 76.21 76.23 0.04 0.78% NOVN VX Equity 5,139 18,289 63.81 81.73 41.23 0.68% NOVOB DC Equity 946 7,720 39.08 43.87 10.77 1.14% NSC US Equity 1,252 9,586 80.49 91.01 11.04 1.18% NVS US Equity 4,059 15,508 65.07 82.10 40.22 0.65% OGXP3 BZ Equity 5,058 (5,180) 4.43 0.10 22.36 4.37% OR FP Equity (13) 3,255 167.88 167.19 -0.38 1.10% ORA FP Equity 106 2,959 12.37 12.81 3.75 0.95% ORCL US Equity 1,072 7,415 33.31 38.12 21.03 0.69% OXY US Equity 49 4,635 94.24 95.23 1.32 0.80% PBR US Equity 421 (2,813) 13.30 11.31 9.59 1.56% PBR/A US Equity 380 (2,794) 13.87 11.98 8.67 1.57% PCLN US Equity 1,026 3,041 956.05 1,278.59 28.93 1.17% PCP US Equity 2,886 13,709 212.47 257.20 24.23 0.87% PEP US Equity 928 78.28 78.28 0.00 0.65% PETR3 BZ Equity 396 (2,922) 6.54 5.66 9.66 1.40% PETR4 BZ Equity 429 (3,122) 6.95 5.99 9.79 1.40% PFE US Equity 4,574 21,828 26.10 31.57 26.75 0.78% PG US Equity 44 4,765 77.33 78.05 1.18 0.79% PHIA NA Equity 1,739 11,243 30.43 35.14 18.03 0.86% PM US Equity 681 (10,163) 85.47 79.74 8.02 0.84% PNC US Equity 457 7,642 75.28 79.78 6.14 0.97% POT CN Equity (83) (1,747) 32.18 33.71 •4.50 1.06% POT US Equity (83) (1,722) 32.16 33.71 •4.12 1.17% PRU LN Equity 7,900 10,520 12.76 22.35 59.32 1.27% PSA US Equity 464 9,414 158.54 166.34 7.68 0.64% PSX US Equity 993 6,027 64.65 75.29 16.84 0.98% PX US Equity 2,080 16,098 113.30 127.94 17.23 0.75% QCOM US Equity 1,705 12,542 66.83 75.91 17.91 0.76% QQQ US Equity 6,225 19,917 68.46 89.85 49.65 0.63% RAI US Equity (52) (3,816) 47.66 48.32 •2.23 0.62% RDS/A US Equity (189) (3,679) 69.48 73.05 -6.46 0.80% RDS/B US Equity 183 3,994 75.03 78.46 5.42 0.84% EFTA00292968 RDSA LN Equity 227 4,065 34.51 36.44 6.88 0.81% RDSA NA Equity (176) (3,490) 34.65 36.40 -5.81 0.87% RDSB LN Equity 223 3,982 37.08 39.16 6.08 0.92% REGN US Equity 558 4,722 292.33 326.91 6.66 1.78% RIO AU Equity 263 5,777 60.05 62.78 5.26 0.86% RIO IN Equity 489 5,437 54.45 59.35 7.77 1.16% RIO US Equity 518 4,932 54.04 59.72 7.71 1.36% ROG VX Equity 6,709 17,034 212.78 296.60 48.42 0.81% RY CN Equity 21 4,767 65.13 65.41 0.63 0.69% SAS LN Equity (16) 2,512 46.53 46.24 -0.74 0.87% SAN FP Equity 198 (6,172) 103.67 100.34 4.04 0.79% SAN SM Equity 443 7,253 8.35 8.86 7.80 0.78% SAN US Equity 409 5,313 8.28 8.92 7.03 1.10% SAP GR Equity (150) 5,240 81.48 79.21 -3.77 0.76% SAP US Equity (199) 7,099 81.54 79.32 -3.29 0.85% SBUX US Equity (19) 1,149 74.56 73.31 -1.58 1.07% SGO FP Equity 2,154 7,778 44.00 56.19 30.73 0.90% SI US Equity 1,488 11,254 114.69 129.85 17.02 0.78% SIE GR Equity 1,145 8,904 114.81 129.58 17.45 0.74% SLB US Equity 888 6,528 79.94 90.82 17.35 0.78% SMSN LI Equity 469 (7,258) 644.51 602.84 6.87 0.94% SO US Equity (112) (7,207) 41.73 42.38 -3.12 0.50% SPG US Equity 921 159.71 159.71 0.00 0.76% SREN VX Equity 1,579 9,708 80.14 93.17 19.68 0.83% STAN LN Equity 91 (5,283) 22.30 21.92 1.44 1.19% STL NO Equity 217 6,281 25.39 26.27 3.37 1.03% STT US Equity (43) 3,456 68.59 67.75 -1.20 1.03% SU CN Equity (18) 2,736 33.31 33.09 -0.92 0.70% SU FP Equity 372 6,522 84.31 89.13 6.00 0.95% SU US Equity (15) 2,766 33.33 33.14 -0.82 0.68% SWEDA SS Equity 542 5,948 24.71 26.96 10.35 0.88% SYNN VX Equity (146) (5,394) 356.15 365.78 -2.68 1.01% T US Equity 286 (8,519) 34.31 33.16 4.07 0.83% TD CN Equity 3 4,719 44.82 44.85 0.11 0.51% TEF SM Equity 0 923 15.49 15.49 0.00 0.75% TEF US Equity 2 2,863 15.47 15.48 0.06 0.94% TGT US Equity 1,164 (10,713) 63.57 56.67 12.71 0.85% TJX US Equity 2,784 9,491 46.31 59.90 34.91 0.84% TLS AU Equity 198 5,886 4.57 4.72 5.09 0.66% TLSN SS Equity (28) 2,846 7.60 7.53 -1.28 0.77% TM US Equity 117 (5,169) 117.86 115.19 2.93 0.77% TMO US Equity 9,742 10,218 63.59 124.22 100.59 0.95% TOT US Equity 296 4,029 57.25 61.45 8.95 0.82% TRP CN Equity (44) (6,952) 43.75 44.03 -0.98 0.64% TRV US Equity 901 83.73 83.73 0.00 0.77% TSCO LN Equity 103 (7,395) 5.65 5.57 1.84 0.75% TWC US Equity 935 4,832 118.89 141.89 23.63 0.82% EFTA00292969 TWX US Equity (16) 4,214 65.11 64.87 -0.47 0.80% TXN US Equity 3,192 12,204 34.93 44.06 32.51 0.80% TYC US Equity 10,675 24,081 29.17 42.10 67.10 0.66% UBS US Equity 378 5,488 19.43 20.77 7.03 0.98% UBSN VX Equity 317 5,157 19.51 20.71 8.30 0.74% UCG IM Equity 2,305 5,390 5.58 7.97 30.24 1.41% ULVR LN Equity (125) (4,931) 39.29 40.29 -2.74 0.92% UNA NA Equity (107) (6,292) 38.14 38.79 -1.83 0.93% UNH US Equity 1,499 10,037 64.08 73.65 18.35 0.81% UNP US Equity 983 9,763 161.46 177.70 12.77 0.79% UPS US Equity 2,903 14,805 79.87 95.53 33.97 0.58% USB US Equity 2,276 14,237 34.71 40.26 25.37 0.63% UTX US Equity 6,065 15,188 82.05 114.82 53.48 0.75% V US Equity 4,494 4,505 111.85 223.41 104.02 0.96% VALE US Equity 114 (3,906) 15.08 14.64 2.24 1.31% VALE3 BZ Equity 125 (4,585) 15.04 14.63 2.18 1.25% VIAB US Equity 4,101 7,490 55.90 86.51 57.27 0.96% VIV FP Equity 228 2,667 26.19 28.43 10.53 0.81% VMW US Equity 382 4,242 87.26 95.12 7.52 1.20% VOD LN Equity 1,594 7,590 3.14 3.80 22.87 0.92% VOD US Equity 1,596 7,516 31.63 38.35 22.14 0.96% VOW3 GR Equity 1,245 6,826 228.75 270.47 16.36 1.11% VRX CN Equity 947 1,610 92.95 147.63 49.62 1.19% VRX US Equity 1,101 1,879 93.20 147.83 51.21 1.14% VTI US Equity 535 5,134 86.91 95.97 19.84 0.53% VWO US Equity 295 (7,244) 40.33 38.69 4.43 0.92% VZ US Equity 38 (6,119) 48.12 47.82 0.73 0.85% WBC AU Equity 28 3,020 29.45 29.72 0.95 0.97% WES AU Equity (56) 4,746 39.01 38.56 -1.57 0.75% WFC US Equity 2,163 10,067 37.56 45.63 32.26 0.67% WLP US Equity 1,869 10,368 74.31 87.71 18.38 0.98% WMT US Equity (70) 3,203 75.04 73.44 -3.55 0.61% WOW AU Equity (321) (8,662) 31.30 32.46 -5.32 0.70% XOM US Equity 576 10,898 90.48 95.27 7.37 0.72% XTA LN Equity 2 (2,238) XN/A N/A YHOO US Equity 294 1,282 30.64 37.67 17.23 1.33% YUM US Equity 7 5,219 72.83 72.94 0.14 1.01% ZURN VX Equity 117 6,393 291.95 297.27 2.36 0.77% 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 16,428 62,264 1,455.70 1,839.78 38.76 0.68% NDX Index 13,863 46,682 2,831.19 3,671.93 36.07 0.82% RTY Index 13,502 39,933 868.48 1,162.12 36.31 0.93% EFTA00292970 SPTSX Index 33 16,953 12,763.24 12,788.31 0.34 0.57% MEXBOL Index 1,308 (26,143) 3,142.70 2,985.45 5.19 0.96% IBOV Index 2,162 (22,516) 22,076.65 19,957.21 7.44 1.29% MER