The Saxo Asset Allocation report for February 2011 maintains a 'moderately bullish' stance despite a deceleration in global business cycle momentum. The recommended asset allocation includes significant positions in equities, commodities, and bonds, with specific weights assigned to different asset classes. The document emphasizes that past performance is not a reliable indicator of future results and includes multiple disclaimers regarding investment risks.

1. February 01, 2011
Saxo Asset Allocation for February 2011
Still moderately bullish
David Karsbøl Our Asset Allocation Model maintains its “Moderately Bullish” stance even though the
Global Business Cycle Momentum Indicator decelerated in January. The model suggests
Chief 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 will
be the last publication of Portfolio
the Saxo Bank Asset
In order to directly or synthetically create the suggested exposure in the present
Allocation 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. February 01, 2011
Global Business Cycle Indicator
Our proprietary global business cycle 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
1997
1999
2007
2009
1991
1993
1995
2001
2003
2005
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
1989
1991
1999
2001
2003
1987
1993
1995
1997
2005
2007
2009
Source: Bloomberg and Saxo Bank Strategy & Research
Methodology
The Saxo Asset Allocation is based on the proprietary Saxo Global Business Cycle
Indicator, which is based on country indicators for the following ten (10)
countries/currencies: 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)
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
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3. February 01, 2011
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 back-tested from July 1994 to November 2008 and has in this
period 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 performance
against the model‟s output. Costs and taxes have not been included in the model
because they will vary by client and by the client‟s broker. Performance in this
publication is based on end-of-month prices from Bloomberg.
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.
*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.
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4. February 01, 2011
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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.
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