Saxo Asset Allocation for February 2011

728 views

Published on

Our Asset Allocation Model maintains its “Moderately Bullish” stance even though the
Global Business Cycle Momentum Indicator decelerated in January. The model suggests
big positions in equities and bonds

Published in: Economy & Finance
0 Comments
0 Likes
Statistics
Notes
  • Be the first to comment

  • Be the first to like this

No Downloads
Views
Total views
728
On SlideShare
0
From Embeds
0
Number of Embeds
1
Actions
Shares
0
Downloads
4
Comments
0
Likes
0
Embeds 0
No embeds

No notes for slide

Saxo Asset Allocation for February 2011

  1. 1. February 01, 2011 Saxo Asset Allocation for February 2011 Still moderately bullishDavid Karsbøl Our Asset Allocation Model maintains its “Moderately Bullish” stance even though the Global Business Cycle Momentum Indicator decelerated in January. The model suggestsChief Economist big positions in equities and bonds.dka@saxobank.com+45 3977 4330 Asset Allocation Weights Scenario MSCI World MSCI EM Commodities Bonds Moderate Bullish 43% 6% 11% 40%Note to clients: This willbe the last publication of Portfoliothe Saxo Bank Asset In order to directly or synthetically create the suggested exposure in the presentAllocation model. 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 20% of the capital allocated to the portfolio. Performance Our benchmark (the grey line in the table below) 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 January was -1.14%* (EUR) before costs and taxes. Performance (EUR) Accumulative capital 6.0 5.0 4.0 3.0 2.0 1.0 0.0 1994 1996 1998 2000 2002 2004 2006 2008 2010 Model Benchmark Backtesting performance: July 1994 - November 2008. Realised performance: December 2008 - Source: Bloomberg and Saxo Bank Strategy & Research *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.
  2. 2. February 01, 2011Global Business Cycle IndicatorOur proprietary global business cycle indicator in an expression of how much globaleconomic activity is accelerating or decelerating. We now have acceleration, but themomentum 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 1997 1999 2007 2009 1991 1993 1995 2001 2003 2005Source: 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 1989 1991 1999 2001 2003 1987 1993 1995 1997 2005 2007 2009Source: Bloomberg and Saxo Bank Strategy & ResearchMethodologyThe Saxo Asset Allocation is based on the proprietary Saxo Global Business CycleIndicator, which is based on country indicators for the following ten (10)countries/currencies: NZD, AUD, CAD, JPY, EUR, GBP, USD, CHF, SEK, and NOK. Thesecountry indicators, which are designed to reflect the macroeconomic strength of eacheconomy, are based on 22 individual economic time series for each country. The SaxoGlobal Business Cycle Indicator takes the country indicators and weighs them by the sizeof their Gross Domestic Product (GDP).The Saxo Global Business Cycle Indicator is constructed to show the activity in the globaleconomy, as represented by the ten (10) countries. The interpretation behind the scaleis 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)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 inthe Saxo Global Business Cycle Indicator and is therefore an indication of whether theglobal economy is gaining or losing momentum.The allocation weights have been designed to reflect four (4) underlying economicscenarios ranging from „Outright Bearish‟ over „Moderately Bearish‟ and „ModeratelyBullish‟ to „Outright Bullish‟. The Saxo Bank Global Business Cycle Momentum Indicator 2
  3. 3. February 01, 2011captures the strength of the changes in the economy and selects the appropriatescenario accordingly. Asset Allocation WeightsScenario MSCI World MSCI EM Commodities BondsOutright Bullish 30% 5% 45% 20%Moderate Bullish 43% 6% 11% 40%Moderate Bearish 12% 8% 0% 80%Outright Bearish -20% -5% -5% 70%BacktestingThe model has been back-tested from July 1994 to November 2008 and has in thisperiod yielded 285% or 0.79% per month before costs and taxes*. Transaction costs,slippage and taxes will obviously result in variations in an individual‟s performanceagainst the model‟s output. Costs and taxes have not been included in the modelbecause they will vary by client and by the client‟s broker. Performance in thispublication is based on end-of-month prices from Bloomberg.Model rebalancingThe model is rebalanced once a month on the first Danish business day before 12:00CET. The model is rebalanced according to the scenario indicated by the Saxo GlobalBusiness Cycle Momentum Indicator.*Past performance disclaimerThis publication refers to past performance. Past performance is not a reliable indicator of future performance. Indications of past performancedisplayed on this publication will not necessarily be repeated in the future. No representation is being made that any investment will or islikely 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 performancedata are based on current expectations, estimates, projections, opinions and beliefs of the Saxo Bank Group. Such statements involve knownand unknown risks, uncertainties and other factors, and undue reliance should not be placed thereon. Additionally, this publication maycontain forward-looking statements. Actual events or results or actual performance may differ materially from those reflected orcontemplated in such forward-looking statements. 3
  4. 4. February 01, 2011NON-INDEPENDENT INVESTMENT RESEARCHThis investment research has not been prepared in accordance with legal requirements designed to promote the independence ofinvestment 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 beinterested 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 orfinancial instrument, to make any investment, or to participate in any particular trading strategy. This material is produced formarketing and/or informational purposes only and Saxo Bank A/S and its owners, subsidiaries and affiliates whether acting directlyor through branch offices (“Saxo Bank”) make no representation or warranty, and assume no liability, for the accuracy orcompleteness of the information provided herein. In providing this material Saxo Bank has not taken into account any particularrecipient‟s investment objectives, special investment goals, financial situation, and specific needs and demands and nothing hereinis intended as a recommendation for any recipient to invest or divest in a particular manner and Saxo Bank assumes no liability forany recipient sustaining a loss from trading in accordance with a perceived recommendation. All investments entail a risk and mayresult 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. Speculativetrading is not suitable for all investors and all recipients should carefully consider their financial situation and consult financialadvisor(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 tobe, neither a comprehensive disclosure or risks nor a comprehensive description such risks. Any expression of opinion may bepersonal to the author and may not reflect the opinion of Saxo Bank and all expressions of opinion are subject to change withoutnotice (neither prior nor subsequent).This publication refers to past performance. Past performance is not a reliable indicator of future performance. Indications of pastperformance displayed on this publication will not necessarily be repeated in the future. No representation is being made that anyinvestment will or is likely to achieve profits or losses similar to those achieved in the past, or that significant losses will beavoided.Statements contained on this publication that are not historical facts and which may be simulated past performance or futureperformance data are based on current expectations, estimates, projections, opinions and beliefs of the Saxo Bank Group. Suchstatements 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 differmaterially 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 byrecipients 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 countrywhere 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.The Saxo Bank Group is under the supervision of the Danish Financial Supervisory Authority (In Danish: "Finanstilsynet") and issubject to the Danish Executive Order on Good Business Practice for Financial Undertakings.Saxo Bank A/SPhilip Heymans Allé 152900 HellerupDenmarkPhone: +45 39 77 40 00Reg. No. 1149CVR. No. 15731249This disclaimer is subject to Saxo Banks Full Disclaimer available at www.saxobank.com/disclaimer. 4

×