This month the basis of the Saxo Fundamental FX Portfolio model, the proprietary macro strength indicators, have been revised to make them more comparable across economies. There is also a change to how funds are allocated in the portfolio model – from an absolute value to a percentage allocation, making the portfolio easier to use. Next month there will be an additional table detailing the changes to the portfolio allocation. Back-test performance (December 1994 – February 2011)* EUR USD GBP

1. Saxo Fundamental FX Portfolio for March 2011
Mads Koefoed This month the basis of the Saxo Fundamental FX Portfolio model, the
Macro Strategist proprietary macro strength indicators, have been revised to make them
mkof@saxobank.com more comparable across economies. There is also a change to how
+45 3977 4942 funds are allocated in the portfolio model – from an absolute value to a
percentage allocation, making the portfolio easier to use. Next month
there will be an additional table detailing the changes to the portfolio
allocation.
Back-test performance (December 1994 – February 2011)* EUR USD GBP
Average monthly return (%) 0.36 0.43 0.47
Standard deviation of monthly returns (%) 1.16 1.50 1.57
Annualised return (%) 4.32 5.15 5.62
Annualised standard deviation (%) 4.01 5.19 5.43
Max drawdown (%) -8.61 -11.64 -12.21
Max drawdown length (months) 26 27 22
Allocation for March 2011
EUR-denominated account USD-denominated account GBP-denominated account
Weight (percent) Weight (percent) Weight (percent)
EURAUD 9.22 AUDUSD -9.13 GBPAUD 9.22
EURGBP -6.24 GBPUSD 3.85 GBPUSD 36.11
EURUSD 36.11 USDCAD 8.05 GBPCAD 8.05
EURCAD 8.05 USDCHF -4.90 GBPCHF -4.90
EURCHF -4.90 USDJPY -13.54 GBPJPY -13.54
EURJPY -13.54 USDNOK 32.54 GBPNOK 32.54
EURNOK 32.54 USDSEK -46.44 GBPSEK -46.44
EURSEK -46.44 EURUSD 7.93 EURGBP 12.87
EURNZD -3.87 NZDUSD 5.23 NZDGBP 8.49
EUR-denominated account USD-denominated account GBP-denominated account
Net exposure (percent) Net exposure (percent) Net exposure (percent)
85.92 85.92 85.92
Source: Saxo Fundamental FX Portfolio
*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. March 02, 2011
Saxo Macro Strength Indicators
The Saxo Fundamental FX Portfolio model is based on Saxo Bank’s
macro strength indicators which attempt to capture the ten of the
world’s largest economies’ deviation of trend growth.
Source: Saxo Bank Strategy & Research
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3. March 02, 2011
The portfolio model input
The model’s inputs are proprietary individual country indicators which
measure the underlying economic strength (contraction or expansion)
of 10 currencies: NZD, AUD, CAD, JPY, EUR, GBP, USD, CHF, SEK, and
NOK. The country indicators, derived from public macroeconomic data,
are designed to reflect the macroeconomic strength of each economy.
The allocation signals are generated by changes in spreads between
the fundamental country indicators. More capital is allocated to
currencies with relatively strong economic activity (and positive rate
outlook), funded by short positions on currencies with weak economic
activity (weak rate outlook). For example, if the Eurozone fundamental
country index suddenly drops (increases) relative to the US
fundamental index, the model, all else being equal, would reduce
(increase) exposure to EURUSD. Additionally, positions are scaled up
or down according to the volatility of the currency crosses in question
so the expected risk-adjusted return for positions in EURCHF is the
same as for positions in the normally more volatile EURCAD.
Allocations are presented as net exposures against EUR, USD, or GBP
to reduce both the number of possible combinations and most illiquid
crosses.
Returns are based on Bloomberg monthly carry-adjusted currency
data. The model therefore does not include costs related to minimum
trading size, slippage, rollover, spreads, and taxes.
Allocation update
The model will be published on www.tradingfloor.com by Saxo Bank on
the first banking day of the calendar month. While Saxo Bank
publishes the model’s suggested allocation, the bank is not responsible
for the monthly reweighting of the portfolio.
The net exposure of a portfolio does not necessarily equal the nominal
portfolio amount. As an example, in a EUR-denominated account the
sum of all EUR positions following the model can deviate from the
amount allocated to follow the model. Assuming the holder of a EUR 1
million account might choose to allocate EUR 1 million to follow the
model, but the sum of EUR exposure will not equal EUR 1 million. The
reason is that one needs to look at the net exposures. If the model is
long 100,000 EURUSD and short 100,000 EURJPY, the net exposure in
EUR on these two positions is actually zero. The sum of total position
sizes in EUR might therefore deviate from EUR 1 million, since the
model is only looking at net exposures of the currencies in question.
The reason is that the model follows 10 currencies, but the net
exposures are established via only nine crosses. The sum of all these
exposures is then either net long or short, depending on the model’s
prediction on EUR itself.
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4. March 02, 2011
Attractive features
The model is always well diversified and is always in the market. It is
therefore not exposed to “timing issues”. It does not use stops, since
the overall volatility of returns tends to be low (especially on single
leverage). Returns tend to be almost completely uncorrelated to
returns in risky asset classes. So, if the back-testing since December
1994 is indicative of future returns*, one might allocate part of one’s
portfolio to the FX Model and thereby decrease the overall portfolio
volatility without lowering returns too much (depending on the
leverage used) or at all.
*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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5. March 02, 2011
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.
Risk Warnings FX
Trade Currency and Price Currency
When an investor trades in the Forex market, they always trade a combination of two currencies (a cross or currency pair) in which
one currency is bought (long) and the other is sold (short). This means the investor is speculating on the prospect of one of the
currencies appreciating in value in relation to the other.
Forex Margin Trading
Margin trading allows investors to buy and sell assets that have a greater value than the capital in their account. Forex trading is
typically executed on margin accounts, and the industry practice is to trade on relatively small margin amounts since currency
exchange rate fluctuations tend to be less than one or two percent on any given day.
Margin trading does involve a certain amount of risk. Since a position is being held that exceeds the actual value of the account, a
trader could incur substantial losses if the market moves against his position. Thus, margin trading requires close monitoring of
margin utilization, i.e. the amount of collateral being used to hold margined positions.
If margin utilization exceeds collateral available for margin trading, positions must be closed, reduced, or additional funds must be
posted to cover the position.
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
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