Atorus, LLC

Atorus, LLC 5/1/2014 Current Date: 5/1/2014 Change on Day: 0.26% Total Return since 1/1/12: 86.25% MSCI World Change on 712M Return: 32.93% Day 0.19% T9O Day Return: 12.23% No of Positions T3O Day Return: 0.30% (+MTM) on Day 175 Current Long Exposure @ Cost: 4,984,191 No of Positions (-WM) Current Short Exposure @ Cost: (538,547) on Day 160 Net Exposure: 4,445,643 Current No. of Starting Capital: 1,000,000 Positions: 443 Current NAV: 1,862,467 Current Leverage (Gross Exposures): 2.97 Profit Factor: Win Ratio: T24M (4) 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 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. 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 a 2,000,000.00 1,800,000.00 1600,000.00 1,400,000.00 1,200,000.00 1,000,000.00 800,000.00 600 000 00 11, Oft 15 0, b [repeated 3 times] 19% 19% coe' 19iN e %ON str 19% if> ,trn .09%. te% 4 ' A\ cbte oy 4 A\ 4% 4 ." or - Series]. PROT0 Atorus, LLC 5/1/2014 Largest Exposures Current Positions 97.5th Percentile 2.5th Percentile (@ cost ex- MTM) Largest MTM Gains Current Posi ions (90th Percentile MTM Gains % NAV) Security Notional 24 Positions 941 HK Equity (9,455) NO_TSY CREDIT (14,615) XAG Curncy (15,640) CO1 Comdty (19,698) MEXBOL Index (20,915) INDEXCF Index (21,271) JP_TSY CREDIT (22,684) XAU Comdty (23,727) MY_TSY CREDIT (24,154) SHCOMP Index (26,960) CA_TSY CREDIT (54,099) SE_TSY CREDIT (55,416) SPX Index 62,272 DK_TSY CREDIT 67,396 CH_TSY CREDIT 68,798 STEICNZL Index 73,207 AT_TSY CREDIT 78,218 lE_TSY CREDIT 78,270 GB_TSY CREDIT 78,399 BE_TSY CREDIT 79,180 FR_TSY CREDIT 79,196 NL_TSY CREDIT 80,312 DE_TSY CREDIT 81,052 FI_TSY CREDIT 81,747 NAV Impact of MTM by Category & Exposure Listed Equity Long 0.098% Listed Equity Short -0.033% EquityCom Long 0.057% EquityCom Short 0.028% G20 Rates Long 0.034% G20 Rates Short -0.006% %of Total Notional Security MTM Gain % Total NAV 22.03%1 45 Positions 26.06% 0.17% HON US Equity 6,120 0.33% 0.26% AEX Index 6,213 0.33% 0.28% XLI US Equity 6,213 0.33% 0.36% SX7E Index 6,351 0.34% 0.38% ROG VX Equity 6,422 0.34% 0.39% ME Index 6,426 0.35% 0.41% MAERSKB DC Equity 6,432 0.35% 0.43% UTX US Equity 6,526 0.35% 0.44% NOVN VX Equity 6,540 0.35% 0.49% AZN SS Equity 6,606 0.35% 0.98% SX6P Index 6,625 0.36% 1.00% DAI GR Equity 6,730 0.36% 1.13% SXMP Index 6,851 0.37% 1.22% P5120 Index 6,999 0.38% 1.25% ACA FP Equity 7,086 0.38% 1.33% SXXP Index 7,470 0.40% 1.42% SMI Index 7,560 0.41% 1.42% MDT US Equity 7,704 0.41% 1.42% AZN LN Equity 7,708 0.41% 1.43% FTSEMIB Index 7,744 0.42% 1.43% AZN US Equity 7,776 0.42% 1.45% SXSE Index 7,865 0.42% 1.47% HEX Index 8,079 0.43% 1.48% TMO US Equity 8,169 0.44% BEL20 Index 8,205 0.44% PRO LN Equity 8,574 0.46% DAX Index 9,350 0.50% IT_TSY CREDIT 9,441 0.51% MMM US Equity 9,611 0.52% TYC US Equity 9,620 0.52% NDX Index 10,068 0.54% IBEX Index 10,111 0.54% LLD= Index 10,491 0.56% SXAP Index 10,672 0.57% KFX Index 11,160 0.60% ES_TSY CREDIT 11,647 0.63% XLV US Equity 12,141 0.65% SXIP Index 12,361 0.66% SXOP Index 12,649 0.68% SPX Index 18,308 0.98% PROT1 SXTP Index 22,460 1.21% ISEQ Index 24,074 1.29% SXDP Index 27,419 1.47% IE_TSY CREDIT 33,219 1.78% STBCNZL Index 35,483 1.91% APAC Lon 22 APAC Short 26 EMEA Long 76 EMEA Short 12 AMER Long 178 AMER Short 34 E • ultyCom Lon 64 EquityCom Short 8 G20 Rates Lon 16 G20 Rates Short 7 Total Long 356 Total Short 87 Current Exposure by Geography (Listed Equl les) & Macro (Equity Indices & Commodiites, G20 Gov. Credit) $2,000,000 $1,500,000 $1,000,000 5500,000 $(500,000) 1 ■ APAC Long ■ APAC Short ■ EMEA Long ■ EMEA Short ■ AMER Long ■ AMER Short ■ EquityCom Long ■ EquityCom Short ■ G20 Rates Long ■ G20 Rates Short PROT2 Atorus, LLC 5/1/2014 Historical Net Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodites, G20 Gov. Credit) - APAC - EMEA - AMER - EquityCom - G20 Rates ,NexEposule REG 0000,000 3,000.030 4,000.000 3030000 0000.000 1,030000 0 Moscow) (2,000,000) 0500000 0000,000 500000 t•e - (6/1. Al. \ #1. eceeee 'V O. Ail. <1. 'V \''sx co \''sa kb c) OG O' 'V (1. I. ISO akts 0 7 el. (1. \ INPa s, (SOB• ) (1.000.000) (3.000.003) Historical Gross Exposure by Geography (Listed Equities) & Macro (Equity Indices & Commodlites, G20 Gov. Credit) 'V [repeated 5 times] el• "i> "1, "b IS> ct: " %ON' A10% 10 10% 15:> e "Q.% svo% %ON' I t re ise <3 'N?" 4 4' 4 Ava qv' s 0, 4 - APAC - I1CA - AMER EquityCorn G20 R PROT3 Atorus, LIC 5/1/2014 Current Gross Notional Risk by Category 1,239,3 245,639 580,035 41 • APAC • EMEA • AMER • EquityCom • G20 Rates Performance Vs. MCI World Index 2.15 1.95 1.75 1.55 1.35 1.15 0.95 0.75 Series' - Series2 S), .Q• 4,19 19 '77 111 eb '5 "is la 1:* OS' OS' ts 19 Asti9 19 4, 0 4 4 43 0 43 0 (3.S' C. AC. CoN' C. t Q> C. C. C. AC1 cfe ,s0, 4 4 Rolling 30 Day Realized Volatility - Atorus PROT4 Atorus, LLC 5/1/2014 Percentile Distribution of Current MTM Gains in Vol Days by Position (ex-99pct & ex-1st percentiles) 7000 €000 93.00 40.00 30.00 20.00 10.00 °CO o 40.09," Vol Days by Poblion T (). 4 r 4:r 0. IP' 4r 4). 0. Of 0 . 0 . 4P' 4r 4Y 4r 4' 4r 4X 4r of of Percentile No. Vol Days O.00,1. -16.14 5.00% -3.23 10.00% -1.42 15.00% -0.46 20.00% 0.08 25.00% 1.16 30.00% 2.01 35.00% 3.28 40.00% 4.24 45.00% 5.93 50.00% 7.90 55.00% 10.28 60.00% 13.47 65.00% 16.63 70.00% 20.43 75.00% 23.60 80.00% 26.58 85.00% 34.52 90.00% 41.86 95.00% 57.80 100.00% 239.74 MTM Gains(Losses) % of NAV "Signficant" (<7 Vol Days) MTM Gains(Losses) % of NAV "Signficant" (>7 Vol Days) 1.05% 44.89% PROT5 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) 000270 KS Equity 30 (2,475) XN/A N/A 1.17 1.05% 005380 KS Equity (16) 3,149 XN/A N/A -0.47 1.06% 005490 KS Equity (251) (3,011) XN/A N/A -7.15 1.17% 005930 KS Equity (15) (1,591) XN/A N/A -0.99 0.93% 012330 KS Equity 873 5,584 XN/A N/A 15.58 1.00% 1 HK Equity 729 12,607 XN/A N/A 7.97 0.73% 1299 HK Equity 139 5,954 XN/A N/A 2.32 1.01% 13 HK Equity 2,522 12,243 XN/A N/A 25.74 0.80% 16 HK Equity XN/A N/A 27 HK Equity (8) 49 XN/A N/A -9.40 1.84% 2914 JP Equity (2) (3,020) 32.46 32.48 -0.06 1.00% 41.09 3382 JP Equity 70 1,728 38.11 39.66 4.17 0.98% 11.25 40631P Equity (88) 1,875 60.20 57.50 -4.02 1.17% (44.28) 4502 JP Equity (42) (1,576) 44.14 45.33 -3.08 0.87% (13.34) 4689 JP Equity 26 (1,097) 4.53 4.42 1.15 2.09% (9.23) 5 HK Equity 2 (3,197) PN/A N/A 0.06 0.77% 5108 JP Equity (12) 2,593 36.11 35.95 -0.48 0.94% (14.51) 54011P Equity 317 (4,597) 2.85 2.66 6.54 1.06% (29.96) 63011P Equity (28) (413) 20.69 22.11 -6.39 1.07% (1.83) 67521P Equity 11.08 6902 JP Equity 45.69 6954 JP Equity 790 6,629 6,392.98 177.22 11.43 1.04% (115.76) 7201 JP Equity 62 (2,999) (3,742.97) 8.67 2.33 0.88% (12.01) 7203 JP Equity 95 (4,207) (5,259.85) 54.82 2.36 0.96% (34.60) 7267 JP Equity 246 (4,675) (4,885.01) 33.48 4.93 1.07% (57.32) 762 HK Equity (312) (2,947) (5,161.69) #WA WA -7.33 1.44% 7751 JP Equity (34) (5,492) (6,865.02) 31.63 -0.85 0.73% (23.48) 80311P Equity (53) (3,821) (4,775.88) 14.29 -1.65 0.84% (17.34) 8058 JP Equity 10 (1,381) (4,383.01) 18.12 0.89 0.85% (12.43) 81061P Equity 151 (3,668) (4,603.66) 5.40 2.95 1.40% (43.82) 83161P Equity 29 (1,984) (2,000.57) 40.55 1.10 1.33% (51.88) 8411 JP Equity (31) (2,155) 1.98 -2.00 0.73% (26.34) 8604 JP Equity 203 (3,335) (3,504.39) 6.08 4.51 1.35% (171.98) 88011P Equity (27) 2,660 30.47 30.17 -0.79 1.27% 47.06 8802 JP Equity 250 (4,920) 24.34 23.11 3.57 1.42% (107.04) 9020 JP Equity 208 (5,379) 75.21 72.30 3.59 1.08% 1.90 941 HK Equity 665 (9,455) i/N/A N/A 5.62 1.25% 94321P Equity 362 6,077 53.19 56.36 5.75 1.04% 116.75 94331P Equity (20) (333) 51.14 54.24 -5.21 1.16% (1.94) 94371P Equity (110) (6,149) 15.59 15.87 -1.87 0.96% 19.42 99831P Equity 111 (3,406) 323.49 312.91 2.42 1.35% (5.03) S/1/2014 PROT6 9984 JP Equity (9) 2,175 75.59 75.29 -0.23 AAPL US Equity 886 7,016 524.99 591.30 13.90 ABB US Equity 31 2,664 23.59 23.87 1.43 ABBN VX Equity 102 4,177 #WA N/A 2.85 ABBV US Equity 106 2,296 49.39 51.67 3.32 ABEV US Equity (158) 2,607 7.58 7.15 .6.07 ABEV3 BZ Equity (128) 3,315 #N/A N/A .3.75 ABI BB Equity 538 8,888 #N/A N/A 8.06 ABT US Equity (21) 4,097 38.87 38.66 A.73 ABX CN Equity 308 (3,366) 18.97 17.24 6.53 ABX US Equity 307 (3,243) 18.99 17.19 7.01 ACA FP Equity 7,086 5,408 #N/A N/A 117.91 ACE US Equity 488 9,434 97.12 102.14 11.62 ACN US Equity 294 10,703 77.97 80.11 3.37 ADP US Equity 110 3,867 75.63 77.78 4.14 AFL US Equity 20 4,556 62.88 63.15 0.64 AGN US Equity 5,083 9,698 110.56 168.51 25.90 Al FP Equity 485 9,831 #WA N/A 8.03 AIG US Equity 415 7,022 49.93 52.88 7.46 AIR FP Equity 189 939 #N/A N/A 22.10 ALV GR Equity 179 5,509 #N/A N/A 4.45 ALVG IX Equity 174 5,509 #WA N/A 4.24 AMGN US Equity 701 112.34 112.34 0.00 AMT US Equity 1,301 11,545 76.79 85.45 19.19 AMZN US Equity 10 (2,547) 309.06 307.88 0.19 ANZ AU Equity 818 12,218 29.67 31.66 10.08 APA US Equity (17) 3,377 87.37 86.93 A.62 APC US Equity 35 2,501 97.78 99.15 1.16 AXP US Equity 2,225 10,373 71.56 86.91 24.39 AZN LN Equity 7,708 12,676 49.80 80.08 37.47 AZN SS Equity 6,606 12,119 #N/A N/A 36.48 AZN US Equity 7,776 12,812 50.30 80.83 39.22 BA US Equity 112 4,613 125.87 128.93 3.10 BAC US Equity 1,557 2,177 8.82 15.13 63.39 BARC LN Equity 274 4,770 4.09 4.32 5.16 BAS GR Equity 1,377 7,333 #N/A N/A 20.59 BATS LN Equity 595 7,532 53.98 58.24 10.00 BAX US Equity 46 3,874 73.20 74.08 1.33 BAYN GR Equity 204 5,104 #N/A N/A 3.97 BBAS3 BZ Equity (21) (486) #WA N/A .2.07 BBD US Equity 63 3,222 14.49 14.77 1.17 BBDC4 BZ Equity 77 3,172 #WA N/A 1.41 BBL US Equity (35) (2,068) 62.89 63.96 •1.90 BBVA SM Equity 1,220 5,790 #WA N/A 22.26 BCE CN Equity 24 4,559 44.34 44.57 1.21 BCS US Equity 265 4,056 16.26 17.32 6.09 BEN US Equity 2 2,447 52.46 52.50 0.07 1.72% 11.65 0.91% (43.98) 0.83% (10.42) 0.86% 1.39% (8.28) 1.00% (31.92) 1.03% 0.75% 0.71% (11.15) 1.40% 69.79 1.35% 69.62 1.11% 0.45% 30.87 0.81% 10.84 0.69% 8.10 0.68% 50.86 2.02% 295.47 0.61% 0.79% 0.87 0.91% 0.73% 0.75% 1.19% 5.29 0.59% 1.98% 0.66% 0.82% 3.93 1.20% 7.86 0.88% 1.62% 1.49% 1.55%. 561.92 0.79% 1.46 1.13% (11.27) 1.11% 91.00 0.91% 0.79% 67.00 0.90% 77.49 1.00% 2.09% 1.67% (28.13) 1.71% 0.89% 24.40 0.95% 0.44% 13.84 1.07% 66.51 1.04% 17.02 305.61 (51.21) (119.21) r (67.53) 388.21 PROT7 BG/ IN Equity (670) (3,971) 17.79 20.80 -16.14 1.05% (87.86) BHP AU Equity 124 8,431 34.33 34.83 1.73 0.85% (53.55) BHP US Equity 165 6,839 67.77 69.40 2.60 0.93% (112.33) BBB US Equity 181 1,066 245.93 287.73 9.18 1.85% 4.01 BIL S.I Equity (13) (1,199) MO N/A .1.32 0.85% BK US Equity 289 8,609 32.86 33.97 4.31 0.78% 45.58 BLK US Equity 82 3,418 293.93 301.01 2.49 0.97% 5.62 BLT LN Equity 3 (2,546) 32.13 32.09 0.13 0.86% 22.03 BMO CN Equity 427 11,017 66.19 68.76 8.22 0.47% (24.23) BMW GR Equity 1,345 5,212 BN/A N/A 26.15 0.99% BMY US Equity (22) 2,161 49.90 49.39 0.84 1.24% (24.44) BN FP Equity 29 5,044 BN/A N/A 0.77 0.74% BNP FP Equity 916 4,399 BN/A N/A 19.82 1.05% BNS CN Equity 455 10,072 58.15 60.78 9.74 0.46% 0.55 BP/ LN Equity 862 9,797 7.76 8.45 10.89 0.81% (5.05) BRK/B US Equity 970 13,637 120.24 128.80 14.59 0.49% (1.88) BSBR US Equity (126) (1,634) 6.18 6.66 4.88 1.58% (4.38) BUD US Equity 267 9,049 103.62 106.67 3.81 0.77% 16.44 BX US Equity (14) 624 30.34 29.66 .1.27 1.81% 3.72 C US Equity (23) 3,763 48.12 47.82 0.64 0.96% (17.94) CA FP Equity 516 3,932 BN/A N/A 15.25 0.86% CAT US Equity 2,382 14,434 90.25 105.14 23.09 0.71% (49.85) CBA AU Equity 859 14,765 69.11 73.13 10.29 0.57% (26.34) CBS US Equity (0) (678) 57.70 57.73 0.05 1.18% (0.39) CCL US Equity 449 6,257 36.20 38.80 7.38 0.97% (97.15) CELG US Equity 503 148.45 148.45 0.00 1.66% 7.64 PROT16 VX Equity 331 7,019 BN/A N/A 5.94 0.79% CL US Equity 2,492 20,847 59.76 66.91 22.98 0.52% (146.32) CM CN Equity 670 10,682 83.55 88.78 13.12 0.48% (52.93) CMCSA US Equity 175 4,527 50.01 51.94 4.00 0.97% 21.57 CMCSK US Equity 4,977 12,096 36.26 51.18 45.79 0.90% 55.18 CNI US Equity 1,781 12,873 51.38 58.49 19.59 0.71% 85.06 CNQ CN Equity 1,170 10,769 36.73 40.72 15.06 0.72% (31.43) CNR CN Equity 1,755 12,425 51.30 58.54 20.41 0.69% 44.47 COF US Equity 534 7,124 68.86 74.02 11.80 0.64% 29.35 COP US Equity 29 4,333 74.40 74.90 0.99 0.67% 30.61 COST US Equity 120 9,550 114.02 115.44 2.65 0.47% (0.01) COV LN Equity MO N/A COV US Equity 803 7,080 64.09 71.36 13.05 0.87% 44.78 CRM US Equity 468 52.60 52.60 0.00 1.79% 15.62 CS FP Equity 749 2,155 //N/A N/A 37.37 0.93% CSCO US Equity (34) 4,006 23.24 23.04 -1.01 0.85% (5.23) CSX US Equity 999 8,914 25.07 27.88 15.02 0.75% (105.07) CVE CN Equity 29.27 CVS US Equity 1,665 11,815 63.98 73.00 23.40 0.60% 51.33 CVX US Equity 125.00 D US Equity 2,542 13,256 60.80 72.46 37.55 0.51% (69.38) PROT8 DAI GR Equity 6,730 13,908 #N/A N/A 42.27 1.14% DBK GR Equity (9) 2,586 #N/A N/A -0.32 1.07% DD US Equity 2,802 12,980 54.99 66.86 37.77 0.57% (93.83) DDAIF US Equity 3,907 8,377 63.20 92.68 35.47 1.32% 30.48 DE US Equity 715 9,783 86.71 93.05 11.08 0.66% (48.74) DELL US Equity #N/A N/A DG FP Equity 4,625 10,090 #N/A N/A 70.05 0.65% DGE LN Equity 1 2,332 30.86 30.88 0.06 0.96% 13.85 DHR US Equity 11. 4,378 73.55 73.73 0.35 0.72% 30.36 DIS US Equity 1,621 9,908 68.36 79.55 18.71 0.87% 87.25 DISCA US Equity 80 (4,082) 77.65 76.13 2.27 0.87% (24.35) DNB NO Equity 188 3,191 #N/A N/A 5.92 0.99% DOW US Equity 2,374 7,396 37.11 49.02 27.75 1.16% (116.67) DPW GR Equity 179 660 #N/A N/A 20.97 1.30% DTE GR Equity 884 3,835 #N/A N/A 25.63 0.90% DTV US Equity 3,370 10,622 61.97 81.63 26.86 1.18% 91.16 DUK US Equity 152 9,295 73.23 74.43 3.60 0.46% (31.11) DVN US Equity 1,166 11,143 63.30 69.93 12.81 0.82% (11.64) EBAY US Equity (160) 4,007 54.20 52.12 -3.77 1.06% 29.18 Ea US Equity (61) 9,210 105.21 104.53 0.91 0.72% 0.94 EDF FP Equity 5,776 9,189 #N/A N/A 67.52 0.93% EMC US Equity 124 10,986 25.35 25.64 1.40 0.80% (23.05) EMR US Equity 142 8,739 66.80 67.88 2.21 0.73% (16.26) ENS CN Equity 822 11,028 45.29 48.67 14.22 0.52% 101.72 ENEL IM Equity 2,319 8,590 #N/A N/A 35.93 0.75% ENI IM Equity 815 11,929 #N/A N/A 10.73 0.64% EOAN GR Equity 60 2,996 #N/A N/A 3.01 0.67% EOG US Equity 1,976 5,841 72.84 97.48 34.29 0.99% (11.53) EPD US Equity 1,935 13,127 63.70 73.09 21.55 0.68% 13.04 ERICB SS Equity (253) 7,934 #WA N/A -3.39 0.94% ESRX US Equity (21) 5,889 66.69 66.45 0.40 0.89% (13.74) ETN US Equity 28 5,260 72.48 72.86 0.52 1.02% 30.95 F US Equity (233) (2,897) 14.82 16.01 -9.49 0.85% 6.56 F8 US Equity 1,036 2,630 44.06 61.41 16.60 2.37% 165.98 FCX US Equity 156 5,057 33.25 34.28 2.99 1.03% 4.11 FDX US Equity 233 2,491 124.78 136.46 14.21 0.66% 6.52 FOX US Equity (57) 3,508 32.02 31.51 •1.44 1.13% 34.21 FOXA US Equity (61) 3,236 32.96 32.35 •1.64 1.15% 36.00 FP FP Equity 1,988 13,022 #N/A N/A 20.44 0.75% G IM Equity 363 5,030 #WA N/A 9.47 0.76% GE US Equity 2,597 13,140 22.32 26.73 37.64 0.53% (60.76) GILD US Equity 95 2,407 76.09 79.11 2.07 1.91% 54.91 GIS US Equity 1,042 19,548 50.02 52.69 11.48 0.46% (107.41) GLE FP Equity 819 3,248 #WA N/A 21.68 1.16% GLEN LN Equity (88) (3,693) 5.22 5.35 -2.94 0.82% (16.86) GLW US Equity 3,453 11,635 16.25 21.08 33.10 0.90% 165.01 GM US Equity (24) (945) 34.16 35.01 -2.73 0.91% (18.32) PROT9 GOOG US Equity (42) (2,406) 519.52 528.69 -1.24 1.42% (14.85) GS US Equity (15) (561) 156.31 160.39 -2.62 1.00% (3.43) GSK LN Equity 310 5,707 26.22 27.64 5.62 0.97% (7.76) GSZ FP Equity (23) 11,150 #N/A N/A .0.26 0.80% HAL US Equity 1,731 6,543 49.74 62.91 24.96 1.06% (2.05) HD US Equity 565 7,619 73.80 79.26 10.03 0.74% (10.68) HMB SS Equity 48 (4,077) #N/A N/A 1.50 0.79% HON US Equity 6,120 11,930 61.10 92.44 77.18 0.66% (73.18) HPQ US Equity 2,124 7,393 25.45 32.76 25.29 1.14% (80.27) HSBA LN Equity 46 4,565 10.16 10.27 1.69 0.60% 27.52 IBE SM Equity 1,921 7,501 #N/A N/A 41.93 0.61% IBM US Equity (20) (935) 190.16 194.17 -2.50 0.84% 9.62 IMT LN Equity 2,161 13,136 36.73 42.77 23.81 0.69% (165.42) INTC US Equity 1,146 12,041 24.19 26.50 14.73 0.65% (46.72) ISP IM Equity 4,382 5,699 #WA N/A 57.84 1.33% ITUB US Equity 196 4,335 15.61 16.32 3.21 1.41% (15.22) ITUB4 BZ Equity 211 3,252 #WA N/A 4.24 1.53% ITW US Equity 3,605 14,011 67.84 85.29 34.73 0.74% 29.23 ITX SM Equity (87) (3,652) #N/A N/A -3.24 0.73% JCI US Equity (10) (832) 44.73 45.27 -0.92 1.32% (9.98) JNJ US Equity 5,750 17,142 75.17 100.38 60.87 0.55% (170.44) JPM US Equity 1 3,804 55.75 55.76 0.02 0.83% (11.02) KMB US Equity 346 9,903 107.52 111.29 6.17 0.57% (78.93) KMI US Equity 249 (6,775) 33.81 32.56 4.84 0.76% 35.22 KO US Equity (28) 4,509 40.78 40.53 -1.12 0.55% (24.27) LBTYA US Equity (8) (332) 39.65 40.60 -2.26 1.06% (6.57) LBTYK US Equity (60) (2,669) 38.19 39.04 -2.11 1.06% (48.18) LIN GR Equity 360 8,087 #WA N/A 7.17 0.62% LLOY LN Equity 411 1,914 1.10 1.33 16.62 1.29% 110.16 LLY US Equity 23 4,953 59.03 59.31 0.61 0.77% 28.19 LMT US Equity 674 2,016 122.48 163.41 36.15 0.92% (5.34) LNKD US Equity 319 (2,461) 183.83 159.99 5.12 2.53% (151.49) LOW US Equity (168) 4,479 48.12 46.38 4.54 0.83% 45.30 LVS US Equity 1,184 4,085 61.33 79.10 15.48 1.87% 41.93 LYB US Equity 1,280 2,297 59.29 92.32 64.83 0.86% 0.48 MA US Equity 30 1,668 73.93 75.27 1.32 1.37% 56.90 MAERSKB DC Equity 6,432 14,148 1,642.52 2,389.17 45.65 1.00% 90.75 MC FP Equity 305 5,711 #N/A N/A 6.96 0.77% MCD US Equity 15 7,954 100.51 100.69 0.44 0.42% (51.87) MCK US Equity 38 2,181 164.92 167.82 1.94 0.91% (9.04) MDIZ US Equity 3,267 13,641 28.68 35.55 41.59 0.58% (23.94) MDT US Equity 7,704 20,811 43.22 59.22 43.98 0.84% 266.17 MET US Equity 1,232 7,556 44.37 51.60 16.44 0.99% (74.22) MFC CN Equity 1,716 3,201 12.38 19.01 61.01 0.88% 71.83 MHS US Equity #WA N/A MMM US Equity 9,611 21,331 96.89 140.55 67.29 0.67%r 472.91 MO US Equity 980 11,341 36.83 40.01 16.80 0.51% (7.57) PROT10 MON US Equity 466 11,917 106.02 110.16 5.22 0.75% (45.87) MOS US Equity 49.80 - MRK US Equity 2,153 11,769 50.18 59.37 18.93 0.97% 217.82 MS US Equity 57 2,280 30.40 31.15 1.89 1.31% 24.66 MSFT US Equity 1,081 8,007 35.30 40.07 15.13 0.89% (59.27) MUV2 GR Equity 1,041 6,116 #WA N/A 25.29 0.67% NAB AU Equity 343 13,313 31.52 32.33 3.68 0.70%' (166.63) NCM AU Equity 9.62 NEE US Equity 5,489 14,972 73.03 99.80 53.20 0.69% (110.96) NEM US Equity 455 (1,819) 32.73 24.55 14.42 1.73% 24.70 NESN VX Equity 1,045 9,821 #WA N/A 17.78 0.60% NG/ LN Equity 2,440 13,258 11.96 14.17 30.73 0.60% (32.73) NKE US Equity 211 2,940 68.03 72.92 8.06 0.89% 3.76 NOK US Equity 3,997 4,498 3.96 7.49 54.82 1.62% (3.86) NOV US Equity 152 9,753 77.58 78.78 1.81 0.86% 66.49 NOVN VX Equity 6,540 18,291 #N/A N/A 43.42 0.82% NOVOB DC Equity 869 9,444 40.35 44.06 9.76 0.94% Mr (268.02) NSC US Equity 1,566 9,797 80.78 93.69 22.08 0.72% (90.41) NVS US Equity 5,195 15,510 65.07 86.87 42.17 0.79% 55.88 OGXP3 BZ Equity 4,024 (4,107) #N/A N/A 55.01 1.78% OR FP Equity 249 5,025 #N/A N/A 6.86 0.72% ORA FP Equity 1,445 7,118 #N/A N/A 19.31 1.05% ORCL US Equity 1,729 7,995 33.68 40.96 21.28 1.02% 67.99 OXY US Equity 12 7,355 95.04 95.19 0.19 0.84% (47.65) PBR US Equity (18) (590) 13.35 13.75 -1.33 2.26% 8.32 PBR/A US Equity (33) (559) 13.87 14.69 -2.59 2.28% 4.18 PCLN US Equity 581 2,920 983.89 1,179.59 11.36 1.75% 87.23 PCP US Equity (22) 4,727 255.28 254.07 0.44 1.08% 21.67 PEP US Equity 301 10,723 83.02 85.35 6.02 0.47% (58.29) PETR3 BZ Equity (19) (281) #N/A N/A -2.84 2.39% PETR4 BZ Equity (41) (625) #N/A N/A -2.65 2.47% PFE US Equity 83 5,476 30.70 31.16 1.68 0.90% (55.84) PG US Equity 405 11,013 79.25 82.16 8.00 0.46% (46.12) PHIA NA Equity #N/A N/A PM US Equity (12) (4,880) 85.47 85.67 0.40 0.59% (20.93) PNC US Equity 847 9,010 76.60 83.81 11.90 0.79% (13.50) POT CN Equity 83 4,291 35.54 36.23 2.05 0.94% 20.10 POT US Equity 39 4,552 35.90 36.21 0.95 0.91% 21.03 PRU LN Equity 8,574 10,521 12.76 23.16 80.11 1.02% 254.12 PSA US Equity 1,038 12,888 161.78 174.81 20.42 0.39% (47.30) PSX US Equity 1,817 6,222 65.09 84.10 34.52 0.85% 51.21 PX US Equity 2,385 16,340 113.54 130.12 22.84 0.64% 21.99 QCOM US Equity 2,302 12,547 66.83 79.09 25.00 0.73% 98.91 QQQ US Equity 2,243 7,968 68.46 87.73 35.40 0.80% 74.33 RAI US Equity 528 10,690 53.26 55.90 7.03 0.70% (96.28) RDS/A US Equity 621 9,763 74.20 78.92 12.52 0.51% (24.49) RDS/B US Equity 887 9,236 77.31 84.73 16.07 0.60% (19.59) PROT11 RDSA LN Equity 777 7,572 35.91 39.60 16.95 0.61% (36.11) RDSA NA Equity 601 8,082 #WA N/A 13.02 0.57% RDSB LN Equity 977 9,209 38.45 42.53 15.79 0.67% (37.28) REGN US Equity (90) 6,240 302.72 298.40 A.74 1.95% 35.86 RIO AU Equity (248) 5,122 59.26 56.52 -5.09 0.95% (62.17) RIO LN Equity (79) 4,819 54.82 53.93 -1.61 1.02% (31.09) RIO US Equity (22) 4,934 54.04 53.80 -0.42 1.05% (25.60) ROG VX Equity 6,422 17,035 #N/A N/A 52.88 0.71% RY CN Equity 144 8,293 65.48 66.62 3.79 0.46% (15.99) SAB LN Equity 1,100 9,453 48.63 54.28 11.77 0.99% 8.54 SAN FP Equity 34 2,971 #WA N/A 1.30 0.87% SAN SM Equity 1,376 8,230 #N/A N/A 21.19 0.79% SAN US Equity 1,149 7,021 8.57 9.98 19.11 0.86% 37.44 SAP GR Equity (14) 5,241 #WA N/A -0.33 0.79% SAP US Equity 11 5,649 80.63 80.78 0.23 0.81% 8.71 SBUX US Equity (1) (171) 70.43 70.86 A.64 0.95% (0.85) SGO FP Equity 3,047 7,836 #N/A N/A 39.30 0.99% SI US Equity 635 5,671 118.49 131.76 13.37 0.84% 5.91 SIE GR Equity 777 5,345 #N/A N/A 18.43 0.79% SLB US Equity 1,731 8,483 83.83 100.94 28.81 0.71% (52.30) SMSN LI Equity 3 (2,599) 644.63 644.00 0.09 1.07% (8.21) SO US Equity 291 11,861 44.11 45.20 3.91 0.63% (194.68) SPG US Equity 332 8,703 166.53 172.89 7.65 0.50% 5.29 SREN VX Equity #N/A N/A STAN LN Equity 31 (2,352) 22.09 21.80 1.37 0.95% (10.27) STL NO Equity 1,610 9,825 #N/A N/A 18.45 0.89% STT US Equity 740 64.60 64.60 0.00 1.13% 1.32 SU CN Equity 586 8,181 36.12 38.71 7.28 0.98% 23.59 SU FP Equity 699 7,775 #N/A N/A 8.52 1.06% SU US Equity 498 9,658 36.78 38.68 5.23 0.99% 26.22 SWEDA SS Equity 246 3,653 #N/A N/A 6.51 1.04% SYNN VX Equity (382) (3,873) #N/A N/A .15.70 0.63% T US Equity 0 4,067 35.61 35.61 0.01 0.80% 1.12 TD CN Equity 492 10,892 45.74 47.81 9.76 0.46% (45.51) TEF SM Equity 349 6,355 #N/A N/A 8.10 0.68% TEF US Equity 371 6,344 15.95 16.88 8.57 0.68% 58.11 TGT US Equity 256 (8,574) 63.57 61.67 4.74 0.63% (3.44) TJX US Equity 1,447 5,695 46.52 58.33 34.52 0.74% 1.64 TLS AU Equity 501 10,727 4.62 4.83 9.35 0.50% 6.05 TLSN SS Equity (187) (4,646) #N/A N/A -3.93 1.02% TM US Equity 269 (5,442) 115.49 109.79 5.66 0.87% (85.46) TMO US Equity 8,169 10,218 63.59 114.43 80.07 1.00% 76.34 TOT US Equity 1,215 7,204 60.49 70.69 24.08 0.70% (37.55) TRP CN Equity (12) (592) 45.78 46.73 -3.20 0.65% (0.95) TRV US Equity 631 9,845 85.22 90.68 11.70 0.55% 21.51 TSCO LN Equity 854 (6,286) 5.60 4.83 11.68 1.16% 158.14 TWC US Equity 942 5,234 120.22 141.86 19.77 0.91% 22.07 PROT12 TWX US Equity 71 4,244 65.75 66.85 1.71 0.97% 58.71 TXN US Equity 3,677 12,205 34.93 45.45 26.36 1.14% (81.83) TYC US Equity 9,620 24,080 29.17 40.82 51.39 0.78% (125.60) UBS US Equity 434 5,489 19.43 20.97 8.90 0.89% 32.03 UBSN VX Equity 353 5,158 RWA N/A 7.63 0.90% UCG IM Equity 3,285 5,412 RN/A N/A 54.76 1.11% ULVR LN Equity 205 6,329 42.99 44.38 3.58 0.91% (32.03) UNA NA Equity 163 5,283 RN/A N/A 3.83 0.80% UNH US Equity 1,686 10,191 64.28 74.91 22.22 0.74% (62.80) UNP US Equity 1,745 12,014 165.36 189.39 20.56 0.71% (75.15) UPS US Equity 3,395 14,806 79.87 98.18 46.64 0.49% (46.93) USB US Equity 2,370 14,238 34.71 40.49 25.01 0.67% (100.05) UTX US Equity 6,526 15,190 82.05 117.30 51.16 0.84% (188.53) V US Equity 139 2,163 193.59 206.00 5.43 1.18% 38.06 VALE US Equity 323 (2,664) 14.92 13.11 7.48 1.62% 5.26 VALE3 BZ Equity 380 (2,939) RWA N/A 7.90 1.64% VIAB US Equity 3,566 9,272 60.42 83.65 42.05 0.91% (143.37) VIV FP Equity 68 2,668 RWA N/A 3.44 0.74% VMW US Equity 188 4,785 89.16 92.67 2.39 1.64% 39.70 VOD LN Equity 139 (3,581) 3.85 3.70 4.22 0.92% 66.33 VOD US Equity 117 (3,458) 38.42 37.12 3.69 0.91% 64.62 VOWS GR Equity 111 3,208 RN/A N/A 3.39 1.02% VRX CN Equity 763 1,611 92.95 136.94 25.29 1.87% 66.92 VRX US Equity 878 1,880 93.20 136.74 24.94 1.87% 78.29 VTI US Equity 626 5,134 86.91 97.50 22.38 0.54% 16.56 VWO US Equity (11) (3,940) 40.84 40.95 A.36 0.79% (17.75) VZ US Equity 195 (6,492) 48.44 46.98 5.58 0.54% (37.33) WBC AU Equity 541 11,480 30.81 32.27 6.61 0.71% (118.34) WES AU Equity 279 13,490 39.08 39.89 3.24 0.64% 110.47 WFC US Equity 3,275 11,756 38.82 49.64 49.31 0.56% 6.15 WLP US Equity 3,674 10,369 74.31 100.64 35.80 0.99% 22.16 WMT US Equity 387 9,262 76.31 79.50 9.14 0.46% (20.09) WOW AU Equity (62) 5,490 34.32 33.94 -1.23 0.92% (91.15) XOM US Equity 1,636 14,815 91.56 101.67 22.54 0.49% (2.56) XTA LN Equity #WA N/A YHOO US Equity 33 1,773 35.71 36.37 1.04 1.77% 35.38 YUM US Equity 228 7,151 73.86 76.22 3.51 0.91% (61.79) ZURN VX Equity (190) 7,208 RWA N/A *3.61 0.73% Current Portfolio - Global Macro Portfolio Current Price P/L In Vol 3OP Realized Charge on Day Security NEW Gain/(Loss) Exp. @ Cost Avg. Price (in USD) Days Vol (in USD) SPX Index 18,308 62,272 1,455.70 1,883.68 49.86 0.59% (11.55) NDX Index 10.068 37,348 2,831.19 3,594.36 28.92 0.93% 163.37 RTY Index 5.684 19,170 868.48 1,125.97 32.60 0.91% (19.56) PROT13 SPTSX Index 1,169 28,839 12,859.70 13,380.85 8.89 0.46% 0.32 MEXBOL Index 212 (20,915) #WA N/A 1.40 0.73% IBOV Index (28) 4,519 #N/A N/A 0.48 1.29% MERVAL Index (436) (2,596) #N/A N/A •14.03 1.20% UKK Index 4,721 39,964 10,288.22 11,503.59 21.05 0.56% 248.59 DAX Index 9,350 36,674 #N/A N/A 32.46 0.79% CAC Index 2,167 24,884 #N/A N/A 14.60 0.60% IBEX Index 10,111 39,948 #N/A N/A 34.56 0.73% SMI Index 7,560 45,428 #N/A N/A 33.41 0.50% FTSEMIB Index 7,744 25,266 #N/A N/A 31.50 0.97% P512O Index 6,999 24,289 #N/A N/A 34.55 0.83% ISEQ Index 24,074 40,099 4,246.25 6,795.53 71.49 0.84% 50.15 ICEXI Index 4,932 37,337 #N/A N/A 26.05 0.51% AEX Index 6,213 43,155 #N/A N/A 28.87 0.50% BEL20 Index 8,205 45,020 #N/A N/A 35.87 0.51% LUXXX Index 10,491 41,468 #N/A N/A 47.72 0.53% KFX Index 11,160 38,048 100.82 130.39 37.46 0.78% (149.96) HEX Index 8,079 40,933 #N/A N/A 24.58 0.80% OMX Index 2,222 23,118 #N/A N/A 12.24 0.79% ATX Index 249 9,226 #N/A N/A 2.97 0.91% ASE Index 6,426 19,369 #N/A N/A 24.54 1.35% OSEBX Index 3,510 24,683 #N/A N/A 19.76 0.72% INDEXCF Index 1,619 (21,271) #N/A N/A 5.15 1.48% TOP40 Index 1,598 32,175 #N/A N/A 6.28 0.79% SENSEX Index 677 36,412 #N/A N/A 3.25 0.57% NKY Index 49 10,616 140.99 141.64 0.49 0.94% 121.23 HSI Index (605) 29,992 #N/A N/A .2.55 0.79% SHCOMP Index 1,628 (26,960) #N/A N/A 7.67 0.79% KOSPI Index 839 29,082 #N/A N/A 4.60 0.63% AS51 Index 871 25,533 4,890.10 5,057.00 5.41 0.63%[ (182.61) STBCNZL Index 35,483 73,207 #N/A N/A 97.96 0.49% EEM US Equity (3) (3,879) 41.34 41.38 0.13 0.68% (4.69) IYR US Equity 87 5,558 69.18 70.26 3.30 0.48% 43.73 MDY US Equity 4,889 14,269 184.03 247.08 47.77 0.72% 18.63 MIK US Equity (18) 8,156 41.27 41.18 .1.50 0.15% (33.46) XLF US Equity 5,617 13,610 15.57 22.00 64.61 0.64% 35.02 XLU US Equity 1,105 10,859 39.38 43.39 20.34 0.50% 49.84 XLK US Equity 2,376 12,860 30.80 36.49 23.29 0.79% 16.72 XLI US Equity 6,213 16,147 38.20 52.90 57.41 0.67% (54.81) XLP US Equity 610 11,090 41.90 44.20 14.87 0.37% (10.58) XLY US Equity 1,234 5,441 52.24 64.09 26.73 0.85% 26.14 XLE US Equity 724 9,734 87.06 93.53 11.88 0.63% (23.43) XLB US Equity 3,893 14,930 37.57 47.37 33.22 0.78% (118.46) XLV US Equity 12,141 24,346 38.87 58.25 60.67 0.82% 81.61 SXXP Index 7,470 44,347 401.76 469.43 30.86 0.55% 101.03 SXAP Index 10,672 28,526 520.28 714.92 33.59 1.11% 17.07 SXKP Index 5,191 37,626 366.14 416.65 21.31 0.65% 9.03 PROT14 SX6P Index 6,625 37,653 357.87 420.84 36.47 SXEP Index 4,649 45,842 452.16 498.01 17.18 SXIP Index 12,361 28,923 222.31 317.31 61.42 SXNP Index 5,120 28,384 482.69 569.75 27.26 SX3P Index 1,270 24,886 672.15 706.46 10.28 SXDP Index 27,419 61,074 609.16 882.63 76.33 SX4P Index 4,064 25,840 917.36 1,061.62 22.47 SX8P Index 2,098 17,778 343.07 383.55 15.49 SXOP Index 12,649 42,452 384.13 498.58 38.92 SXQP Index 1,142 34,762 799.27 825.53 6.69 SXRP Index 56 16,765 432.46 433.90 0.61 SXMP Index 6,851 22,890 261.12 339.27 46.75 SXTP Index 22,460 39,247 172.05 270.51 68.39 SX7E Index 6,351 18,886 159.85 213.59 31.24 SXSE Index 7,865 40,565 3,715.50 4,435.90 30.11 SPGSCITR Index (153) 9,150 5,061.57 4,978.46 -3.64 XAG Curncy 1,645 (15,640) 21.28 19.04 16.64 CO1 Comdty 206 (19,698) 108.90 107.76 1.60 CL1 Comdty 7 30,849 99.40 99.42 0.03 NG1 Comdty 4,189 18,950 3.86 4.72 15.01 XAU Comdty 138 (23,727) 91.52 90.99 1.00 IBOXHY Index 3,282 53,418 220.12 233.65 112.12 US_TSY CREDIT 118 54,181 762.80 764.46 2.12 CA_TSY CREDIT 1,841 (54,099) 1,245.64 1,203.25 14.99 MX_TSY CREDIT (53) (8,377) 214.16 215.52 -1.94 AU TSY CREDIT 295 52,225 1,495.06 1,503.49 1.83 JP_TSY CREDIT 278 (22,684) 821.88 811.81 4.96 MY_TSY CREDIT 6 (24,154) 168.01 167.97 0.09 SG_TSY CREDIT 35 35,688 220.78 221.00 0.48 AT_TSY CREDIT 4,541 78,218 357.54 378.30 24.38 BE_TSY CREDIT 5,745 79,180 477.51 512.16 30.30 FI_TSY CREDIT 4,252 81,747 348.81 366.95 24.61 FR_TSY CREDIT 5,023 79,196 1,680.58 1,787.17 27.43 DE_TSY CREDIT 3,636 81,052 1,245.20 1,301.05 19.73 IE_TSY CREDIT 33,219 78,270 336.92 479.92 239.74 IT_TSY CREDIT 9,441 54,986 1,616.07 1,893.56 83.37 NL_TSY CREDIT 4,362 80,312 1,328.68 1,400.84 23.81 ES_TSY CREDIT 11,647 50,187 392.28 483.32 117.86 DK_TSY CREDIT 3,586 67,396 729.23 768.03 19.36 NO_TSY CREDIT (215) (14,615) 341.94 346.96 -5.23 PL_TSY CREDIT 1,377 31,505 426.98 445.65 18.96 ZA_TSY CREDIT (57) (8,711) 83.22 83.77 -0.94 SE_TSY CREDIT (631) (55,416) 464.03 469.32 -3.55 CH_TSY CREDIT 4,049 68,798 1,007.78 1,067.08 25.58 GB_TSY CREDIT 2,347 78,399 1,501.92 1,546.88 12.48 0.48% (3.83) 0.59% 166.68 0.70% 60.16 0.66% 37.49 0.50% (0.85) 0.59%' 311.36 0.70% 34.04 0.76% (5.04) 0.77% 0.49% 0.54% (27.63) 0.64% 164.42 0.84% 304.55 1.08% 5.28 0.64% 11.07 0.46% 0.63% 0.65% 57.09 0.64% 1.47% 0.58% 0.05% 12.89 0.10% 73.26 0.23% 0.33% 0.31% 68.91 0.25% 22.04 0.27% (2.88) 0.20% 85.88 0.24% 6.56 0.24% 8.29 0.21% 7.03 0.23% 6.60 0.23% 5.86 0.18% 11.62 0.21% 6.81 0.23% 6.04 0.20% 6.40 0.27% 6.47 0.28% (45.80) 0.23% 42.11 0.69% 0.32% 0.23% 0.24% 78.55 150.55 (53.79) 146.56 (98.99) (461.34) 328.52 (67.96) 148.32 (41.52) (128.71) 88.17 198.32 PROT15