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January 3, 2011




David Karsbøl
Chief Economist
dka@saxobank.com
+45 3977 4330
                   Saxo Asset Allocation for January 2011
                   Moderately Bullish


                   Our Asset Allocation Model maintains its “Moderately Bullish” stance as the Global
                   Business Cycle Indicator improved slightly in December. The model suggests big positions
                   in equities and bonds.

                                                                      Asset Allocation Weights

                   Scenario                          MSCI World                  MSCI EM                Commodities              Bonds

                   Moderate Bullish                           43%                     6%                     11%                 40%



                   Portfolio
                   In order to directly or synthetically create the suggested exposure in the present
                   scenario, an investor should allocate capital as follows:

                   Position                     Exposure            Name (ticker)

                   Long                          43%                iShares MSCI World (IQQW:xetr)

                   Long                           6%                iShares MSCI IM (IEMM:xams)

                   Long                          11%                Lyxor CRB ETF (CRB:xpar)

                   Long                          20%                iShares 1-3 Year US Treasuries (SHY)

                   Long                          20%                iShares 1-3 Year EUR Treasuries (IBCA)

                   * A EUR-denominated investor should get rid of the implicit currency exposure in the portfolio by buying EURUSD worth
                   10% of the capital allocated to the portfolio. For an investor with a 1 million EUR portfolio, this would equal 100,000
                   EURUSD.



                   Performance
                   Our benchmark (grey line) is a constant weight index consisting of returns from 33%
                   EFFA +10 year Treasuries, 33% MSCI World and 33% CS Tremont Long/Short Equities.
                   The model return for December was 2.68%* (EUR) before costs and taxes, primarily due
                   to the equity exposure.

                                                                        Performance (EUR)
                      Accumulative capital
                      6.0

                      5.0

                      4.0

                      3.0

                      2.0

                      1.0

                      0.0
                            1994




                                                                                                              2006




                                                                                                                          2008




                                                                                                                                   2010
                                         1996




                                                       1998




                                                                      2000




                                                                                   2002




                                                                                                2004




                                                                      Model                Benchmark
                             Backtesting performance: July 1994 - November 2008. Realised performance: December 2008 -

                   Source: Bloomberg and Saxo Bank Strategy & Research
January 31, 2011




*Past performance disclaimer

This publication refers to past performance. Past performance is not a reliable indicator of future performance. Indications of past performance
displayed on this publication will not necessarily be repeated in the future. No representation is being made that any investment will or is
likely to achieve profits or losses similar to those achieved in the past or that significant losses will be avoided.



Statements contained on this publication that are not historical facts and which may be simulated past performance or future performance
data are based on current expectations, estimates, projections, opinions and beliefs of the Saxo Bank Group. Such statements involve known
and unknown risks, uncertainties and other factors, and undue reliance should not be placed thereon. Additionally, this publication may
contain 'forward-looking statements'. Actual events or results or actual performance may differ materially from those reflected or
contemplated in such forward-looking statements.




Global Business Cycle Indicator
Our global business indicator in an expression of how much global economic activity is
accelerating or decelerating. We now have acceleration, but the momentum is fading
out.

                                       Saxo Bank Global Business Cycle Indicator
   1.5
   1.0
   0.5
   0.0
  -0.5
  -1.0
  -1.5
  -2.0
  -2.5
  -3.0
  -3.5
         1987



                   1989



                              1991



                                        1993



                                                   1995



                                                              1997



                                                                        1999



                                                                                   2001



                                                                                             2003



                                                                                                        2005



                                                                                                                   2007



                                                                                                                             2009
Source: Bloomberg and Saxo Bank Strategy & Research

                                Saxo Bank Global Business Cycle Momentum Indicator
   4.0

   3.0

   2.0

   1.0

   0.0

  -1.0

  -2.0

  -3.0

  -4.0

  -5.0
         1987



                   1989



                              1991



                                        1993



                                                  1995



                                                             1997



                                                                       1999



                                                                                  2001



                                                                                            2003



                                                                                                      2005



                                                                                                                 2007



                                                                                                                           2009




Source: Bloomberg and Saxo Bank Strategy & Research




Methodology
The Saxo Asset Allocation is based on the Saxo Global Business Cycle Indicator, which is
again based on country indicators for the following ten (10) countries: NZD, AUD, CAD,
JPY, EUR, GBP, USD, CHF, SEK, and NOK. These country indicators, which are designed
to reflect the macroeconomic strength of each economy, are based on 22 individual
economic time series for each country. The Saxo Global Business Cycle Indicator takes
the country indicators and weighs them by the size of their Gross Domestic Product
(GDP).
The Saxo Global Business Cycle Indicator is constructed to show the activity in the global
economy, as represented by the ten (10) countries. The interpretation behind the scale
is that zero (0) reflects a global economy, which is growing at trend. A positive value
(>0) means that the global economy is growing above trend while a negative value (<0)


                                                                                                                                             2
January 31, 2011




indicates that the global economy is growing below trend. Therefore a value below zero
(0) does not necessarily reflect a shrinking global economy.
The Saxo Global Business Cycle Momentum Indicator is simply the smoothed change in
the Saxo Global Business Cycle Indicator and is therefore an indication of whether the
global economy is gaining or losing momentum.
The allocation weights have been designed to reflect four (4) underlying economic
scenarios ranging from „Outright Bearish‟ over „Moderately Bearish‟ and „Moderately
Bullish‟ to „Outright Bullish‟. The Saxo Bank Global Business Cycle Momentum Indicator
captures the strength of the changes in the economy and selects the appropriate
scenario accordingly.
                                                      Asset Allocation Weights

Scenario                                        MSCI World                 MSCI EM                Commodities                   Bonds

Outright Bullish                                     30%                       5%                      45%                       20%

Moderate Bullish                                     43%                       6%                      11%                       40%

Moderate Bearish                                     12%                       8%                       0%                       80%

Outright Bearish                                     -20%                      -5%                      -5%                      70%



Backtesting
The model has been backtested from July 1994 to November 2008 and has in this period
yielded 285% or 0.79% per month before costs and taxes*. Future performance is
dependent on costs as charged by your provider and slippage, and may therefore not be
identical to the realised return reported in this publication. Performance in this
publication is based on end-of-month prices from Bloomberg.


*Past performance disclaimer

This publication refers to past performance. Past performance is not a reliable indicator of future performance. Indications of past performance
displayed on this publication will not necessarily be repeated in the future. No representation is being made that any investment will or is
likely to achieve profits or losses similar to those achieved in the past or that significant losses will be avoided.



Statements contained on this publication that are not historical facts and which may be simulated past performance or future performance
data are based on current expectations, estimates, projections, opinions and beliefs of the Saxo Bank Group. Such statements involve known
and unknown risks, uncertainties and other factors, and undue reliance should not be placed thereon. Additionally, this publication may
contain 'forward-looking statements'. Actual events or results or actual performance may differ materially from those reflected or
contemplated in such forward-looking statements.




Model rebalancing
The model is rebalanced once a month on the first Danish business day before 12:00
CET. The model is rebalanced according to the scenario indicated by the Saxo Global
Business Cycle Momentum Indicator.




                                                                                                                                             3
January 31, 2011




For more trading commentary on forex, equities, and commodities go to www.tradingfloor.com or www.saxobank.com



NON-INDEPENDENT INVESTMENT RESEARCH

This investment research has not been prepared in accordance with legal requirements designed to promote the independence of investment
research. Further it is not subject to any prohibition on dealing ahead of the dissemination of investment research. Saxo Bank, its affiliates or
staff, may perform services for, solicit business from, hold long or short positions in, or otherwise be interested in the investments (including
derivatives), of any issuer mentioned herein.

None of the information contained herein constitutes an offer (or solicitation of an offer) to buy or sell any currency, product or financial
instrument, to make any investment, or to participate in any particular trading strategy. This material is produced for marketing and/or
informational purposes only and Saxo Bank A/S and its owners, subsidiaries and affiliates whether acting directly or through branch offices
(“Saxo Bank”) make no representation or warranty, and assume no liability, for the accuracy or completeness of the information provided herein.
In providing this material Saxo Bank has not taken into account any particular recipient‟s investment objectives, special investment goals,
financial situation, and specific needs and demands and nothing herein is intended as a recommendation for any recipient to invest or divest in a
particular manner and Saxo Bank assumes no liability for any recipient sustaining a loss from trading in accordance with a perceived
recommendation. All investments entail a risk and may result in both profits and losses. In particular investments in leveraged products, such as
but not limited to foreign exchange, derivates and commodities can be very speculative and profits and losses may fluctuate both violently and
rapidly. Speculative trading is not suitable for all investors and all recipients should carefully consider their financial situation and consult financial
advisor(s) in order to understand the risks involved and ensure the suitability of their situation prior to making any investment, divestment or
entering into any transaction. Any mentioning herein, if any, of any risk may not be, and should not be considered to be, neither a
comprehensive disclosure or risks nor a comprehensive description such risks. Any expression of opinion may be personal to the author and may
not reflect the opinion of Saxo Bank and all expressions of opinion are subject to change without notice (neither prior nor subsequent).

This publication refers to past performance. Past performance is not a reliable indicator of future performance. Indications of past performance
displayed on this publication will not necessarily be repeated in the future. No representation is being made that any investment will or is likely to
achieve profits or losses similar to those achieved in the past, or that significant losses will be avoided.

Statements contained on this publication that are not historical facts and which may be simulated past performance or future performance
data are based on current expectations, estimates, projections, opinions and beliefs of the Saxo Bank Group. Such statements involve known and
unknown risks, uncertainties and other factors, and undue reliance should not be placed thereon. Additionally, this publication may contain
'forward-looking statements'. Actual events or results or actual performance may differ materially from those reflected or contemplated in such
forward-looking statements.

This material is confidential and should not be copied, distributed, published or reproduced in whole or in part or disclosed by recipients to any
other person.

Any information or opinions in this material are not intended for distribution to, or use by, any person in any jurisdiction or country where such
distribution or use would be unlawful. The information in this document is not directed at or intended for “US Persons” within the meaning of the
United States Securities Act of 1993, as amended and the United States Securities Exchange Act of 1934, as amended.

This disclaimer is subject to Saxo Bank's Full Disclaimer available at www.saxobank.com/disclaimer.



Supervision

The Saxo Bank Group is under the supervision of the Danish Financial Supervisory Authority (In Danish: "Finanstilsynet") and is subject to the
Danish Executive Order on Good Business Practice for Financial Undertakings.

Saxo Bank A/S

Philip Heymans Allé 15

2900 Hellerup

Denmark

Phone: +45 39 77 40 00

Reg. No. 1149

CVR. No. 15731249




                                                                                                                                                        4

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Saxo Asset Allocation for January 2011

  • 1. January 3, 2011 David Karsbøl Chief Economist dka@saxobank.com +45 3977 4330 Saxo Asset Allocation for January 2011 Moderately Bullish Our Asset Allocation Model maintains its “Moderately Bullish” stance as the Global Business Cycle Indicator improved slightly in December. The model suggests big positions in equities and bonds. Asset Allocation Weights Scenario MSCI World MSCI EM Commodities Bonds Moderate Bullish 43% 6% 11% 40% Portfolio In order to directly or synthetically create the suggested exposure in the present scenario, an investor should allocate capital as follows: Position Exposure Name (ticker) Long 43% iShares MSCI World (IQQW:xetr) Long 6% iShares MSCI IM (IEMM:xams) Long 11% Lyxor CRB ETF (CRB:xpar) Long 20% iShares 1-3 Year US Treasuries (SHY) Long 20% iShares 1-3 Year EUR Treasuries (IBCA) * A EUR-denominated investor should get rid of the implicit currency exposure in the portfolio by buying EURUSD worth 10% of the capital allocated to the portfolio. For an investor with a 1 million EUR portfolio, this would equal 100,000 EURUSD. Performance Our benchmark (grey line) is a constant weight index consisting of returns from 33% EFFA +10 year Treasuries, 33% MSCI World and 33% CS Tremont Long/Short Equities. The model return for December was 2.68%* (EUR) before costs and taxes, primarily due to the equity exposure. Performance (EUR) Accumulative capital 6.0 5.0 4.0 3.0 2.0 1.0 0.0 1994 2006 2008 2010 1996 1998 2000 2002 2004 Model Benchmark Backtesting performance: July 1994 - November 2008. Realised performance: December 2008 - Source: Bloomberg and Saxo Bank Strategy & Research
  • 2. January 31, 2011 *Past performance disclaimer This publication refers to past performance. Past performance is not a reliable indicator of future performance. Indications of past performance displayed on this publication will not necessarily be repeated in the future. No representation is being made that any investment will or is likely to achieve profits or losses similar to those achieved in the past or that significant losses will be avoided. Statements contained on this publication that are not historical facts and which may be simulated past performance or future performance data are based on current expectations, estimates, projections, opinions and beliefs of the Saxo Bank Group. Such statements involve known and unknown risks, uncertainties and other factors, and undue reliance should not be placed thereon. Additionally, this publication may contain 'forward-looking statements'. Actual events or results or actual performance may differ materially from those reflected or contemplated in such forward-looking statements. Global Business Cycle Indicator Our global business indicator in an expression of how much global economic activity is accelerating or decelerating. We now have acceleration, but the momentum is fading out. Saxo Bank Global Business Cycle Indicator 1.5 1.0 0.5 0.0 -0.5 -1.0 -1.5 -2.0 -2.5 -3.0 -3.5 1987 1989 1991 1993 1995 1997 1999 2001 2003 2005 2007 2009 Source: Bloomberg and Saxo Bank Strategy & Research Saxo Bank Global Business Cycle Momentum Indicator 4.0 3.0 2.0 1.0 0.0 -1.0 -2.0 -3.0 -4.0 -5.0 1987 1989 1991 1993 1995 1997 1999 2001 2003 2005 2007 2009 Source: Bloomberg and Saxo Bank Strategy & Research Methodology The Saxo Asset Allocation is based on the Saxo Global Business Cycle Indicator, which is again based on country indicators for the following ten (10) countries: NZD, AUD, CAD, JPY, EUR, GBP, USD, CHF, SEK, and NOK. These country indicators, which are designed to reflect the macroeconomic strength of each economy, are based on 22 individual economic time series for each country. The Saxo Global Business Cycle Indicator takes the country indicators and weighs them by the size of their Gross Domestic Product (GDP). The Saxo Global Business Cycle Indicator is constructed to show the activity in the global economy, as represented by the ten (10) countries. The interpretation behind the scale is that zero (0) reflects a global economy, which is growing at trend. A positive value (>0) means that the global economy is growing above trend while a negative value (<0) 2
  • 3. January 31, 2011 indicates that the global economy is growing below trend. Therefore a value below zero (0) does not necessarily reflect a shrinking global economy. The Saxo Global Business Cycle Momentum Indicator is simply the smoothed change in the Saxo Global Business Cycle Indicator and is therefore an indication of whether the global economy is gaining or losing momentum. The allocation weights have been designed to reflect four (4) underlying economic scenarios ranging from „Outright Bearish‟ over „Moderately Bearish‟ and „Moderately Bullish‟ to „Outright Bullish‟. The Saxo Bank Global Business Cycle Momentum Indicator captures the strength of the changes in the economy and selects the appropriate scenario accordingly. Asset Allocation Weights Scenario MSCI World MSCI EM Commodities Bonds Outright Bullish 30% 5% 45% 20% Moderate Bullish 43% 6% 11% 40% Moderate Bearish 12% 8% 0% 80% Outright Bearish -20% -5% -5% 70% Backtesting The model has been backtested from July 1994 to November 2008 and has in this period yielded 285% or 0.79% per month before costs and taxes*. Future performance is dependent on costs as charged by your provider and slippage, and may therefore not be identical to the realised return reported in this publication. Performance in this publication is based on end-of-month prices from Bloomberg. *Past performance disclaimer This publication refers to past performance. Past performance is not a reliable indicator of future performance. Indications of past performance displayed on this publication will not necessarily be repeated in the future. No representation is being made that any investment will or is likely to achieve profits or losses similar to those achieved in the past or that significant losses will be avoided. Statements contained on this publication that are not historical facts and which may be simulated past performance or future performance data are based on current expectations, estimates, projections, opinions and beliefs of the Saxo Bank Group. Such statements involve known and unknown risks, uncertainties and other factors, and undue reliance should not be placed thereon. Additionally, this publication may contain 'forward-looking statements'. Actual events or results or actual performance may differ materially from those reflected or contemplated in such forward-looking statements. Model rebalancing The model is rebalanced once a month on the first Danish business day before 12:00 CET. The model is rebalanced according to the scenario indicated by the Saxo Global Business Cycle Momentum Indicator. 3
  • 4. January 31, 2011 For more trading commentary on forex, equities, and commodities go to www.tradingfloor.com or www.saxobank.com NON-INDEPENDENT INVESTMENT RESEARCH This investment research has not been prepared in accordance with legal requirements designed to promote the independence of investment research. Further it is not subject to any prohibition on dealing ahead of the dissemination of investment research. Saxo Bank, its affiliates or staff, may perform services for, solicit business from, hold long or short positions in, or otherwise be interested in the investments (including derivatives), of any issuer mentioned herein. None of the information contained herein constitutes an offer (or solicitation of an offer) to buy or sell any currency, product or financial instrument, to make any investment, or to participate in any particular trading strategy. This material is produced for marketing and/or informational purposes only and Saxo Bank A/S and its owners, subsidiaries and affiliates whether acting directly or through branch offices (“Saxo Bank”) make no representation or warranty, and assume no liability, for the accuracy or completeness of the information provided herein. In providing this material Saxo Bank has not taken into account any particular recipient‟s investment objectives, special investment goals, financial situation, and specific needs and demands and nothing herein is intended as a recommendation for any recipient to invest or divest in a particular manner and Saxo Bank assumes no liability for any recipient sustaining a loss from trading in accordance with a perceived recommendation. All investments entail a risk and may result in both profits and losses. In particular investments in leveraged products, such as but not limited to foreign exchange, derivates and commodities can be very speculative and profits and losses may fluctuate both violently and rapidly. Speculative trading is not suitable for all investors and all recipients should carefully consider their financial situation and consult financial advisor(s) in order to understand the risks involved and ensure the suitability of their situation prior to making any investment, divestment or entering into any transaction. Any mentioning herein, if any, of any risk may not be, and should not be considered to be, neither a comprehensive disclosure or risks nor a comprehensive description such risks. Any expression of opinion may be personal to the author and may not reflect the opinion of Saxo Bank and all expressions of opinion are subject to change without notice (neither prior nor subsequent). This publication refers to past performance. Past performance is not a reliable indicator of future performance. Indications of past performance displayed on this publication will not necessarily be repeated in the future. No representation is being made that any investment will or is likely to achieve profits or losses similar to those achieved in the past, or that significant losses will be avoided. Statements contained on this publication that are not historical facts and which may be simulated past performance or future performance data are based on current expectations, estimates, projections, opinions and beliefs of the Saxo Bank Group. Such statements involve known and unknown risks, uncertainties and other factors, and undue reliance should not be placed thereon. Additionally, this publication may contain 'forward-looking statements'. Actual events or results or actual performance may differ materially from those reflected or contemplated in such forward-looking statements. This material is confidential and should not be copied, distributed, published or reproduced in whole or in part or disclosed by recipients to any other person. Any information or opinions in this material are not intended for distribution to, or use by, any person in any jurisdiction or country where such distribution or use would be unlawful. The information in this document is not directed at or intended for “US Persons” within the meaning of the United States Securities Act of 1993, as amended and the United States Securities Exchange Act of 1934, as amended. This disclaimer is subject to Saxo Bank's Full Disclaimer available at www.saxobank.com/disclaimer. Supervision The Saxo Bank Group is under the supervision of the Danish Financial Supervisory Authority (In Danish: "Finanstilsynet") and is subject to the Danish Executive Order on Good Business Practice for Financial Undertakings. Saxo Bank A/S Philip Heymans Allé 15 2900 Hellerup Denmark Phone: +45 39 77 40 00 Reg. No. 1149 CVR. No. 15731249 4