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)

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 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

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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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