Inv_datawatch 050811
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Citigroup Surprise Macro Index 8/7/2011 Page 1 Market Datawatch August 5, 2011 PX_LAST Chg 1D Chg 5D Chg 1M Chg MTD Chg QTD Surprise Index ADE _1D _5D _1M _MTD _QTD CESIUSD Index USD -76.1 11.9 15.3 5.2 15.3 17.5 CESIEUR Index EUR 0.2 -5.7 3.2 13.3 3.2 9.5 CESIJPY Index JPY -9.3 0.2 1.3 48.2 1.3 52.8 CESIG10 Index G10 -38.6 2.0 6.5 10.3 6.5 13.9 CESIAPAC Index Asia 1.4 -0.3 9.9 0.0 9.9 -5.3 CESICMEA Index CCE -39.5 -8.5 -8.6 -9.8 -8.6 -13.2 CESILTAM Index LtAm -23.4 2.3 10.6 7.6 10.6 23.0 CESIEM Index EM -10.9 -0.8 7.3 0.5 7.3 0.6 CESIGBP Index GBP -51.5 0.2 13.8 0.5 13.8 -0.7 CESICAD Index CAD -47.8 -25.5 -56.9 -71.6 -35.9 -75.8 CESICHF Index CHF -57.7 -14.8 -4.3 -15.8 -4.3 -43.1 CESIAUD Index AUD -29.1 0.4 -5.5 22.3 -6.4 7.7 CESINOK Index NOK -28.6 -3.1 0.7 -31.3 0.7 -32.3 CESISEK Index SEK -21.1 -0.6 -11.8 43.7 -11.8 34.0 CESINZD Index NXD 41.3 -0.3 -2.7 37.1 -2.7 37.6 Limus Average -24.9 2.9 8.9 4.0 8.9 5.7 USD EUR JPY G10 Asia CCE LtAm EM GBP CAD CHF AUD NOK SEK NXD -100 -80 -60 -40 -20 0 20 40 60 -80 -60 -40 -20 0 20 Level 5 Day Change USD EUR JPY G10 Asia CCE LtAm EM GBP CAD CHF AUD NOK SEK NXD -100 -80 -60 -40 -20 0 20 40 60 -40.0 -30.0 -20.0 -10.0 0.0 10.0 20.0 Level Month to Data
description
Weekly global macro and portfolios updates
Transcript of Inv_datawatch 050811
Citigroup Surprise Macro Index
8/7/2011 Page 1Market Datawatch August 5, 2011
PX_LAST Chg 1D Chg 5D Chg 1M Chg MTD Chg QTD
Surprise Index
LAST_TR
ADE
CHG_NET
_1D
CHG_NET
_5D
CHG_NET
_1M
CHG_NET
_MTD
CHG_NET
_QTD
CESIUSD Index USD -76.1 11.9 15.3 5.2 15.3 17.5
CESIEUR Index EUR 0.2 -5.7 3.2 13.3 3.2 9.5
CESIJPY Index JPY -9.3 0.2 1.3 48.2 1.3 52.8
CESIG10 Index G10 -38.6 2.0 6.5 10.3 6.5 13.9
CESIAPAC Index Asia 1.4 -0.3 9.9 0.0 9.9 -5.3
CESICMEA Index CCE -39.5 -8.5 -8.6 -9.8 -8.6 -13.2
CESILTAM Index LtAm -23.4 2.3 10.6 7.6 10.6 23.0
CESIEM Index EM -10.9 -0.8 7.3 0.5 7.3 0.6
CESIGBP Index GBP -51.5 0.2 13.8 0.5 13.8 -0.7
CESICAD Index CAD -47.8 -25.5 -56.9 -71.6 -35.9 -75.8
CESICHF Index CHF -57.7 -14.8 -4.3 -15.8 -4.3 -43.1
CESIAUD Index AUD -29.1 0.4 -5.5 22.3 -6.4 7.7
CESINOK Index NOK -28.6 -3.1 0.7 -31.3 0.7 -32.3
CESISEK Index SEK -21.1 -0.6 -11.8 43.7 -11.8 34.0
CESINZD Index NXD 41.3 -0.3 -2.7 37.1 -2.7 37.6
Limus Average -24.9 2.9 8.9 4.0 8.9 5.7
USD
EUR
JPY
G10
Asia
CCE
LtAm
EM
GBPCAD
CHF
AUDNOKSEK
NXD
-100
-80
-60
-40
-20
0
20
40
60
-80 -60 -40 -20 0 20
Leve
l
5 Day Change
USD
EURJPY
G10
Asia
CCE
LtAm
EM
GBPCAD
CHF
AUD NOKSEK
NXD
-100
-80
-60
-40
-20
0
20
40
60
-40.0 -30.0 -20.0 -10.0 0.0 10.0 20.0
Leve
lMonth to Data
Citigroup Surprise Macro Index
8/7/2011 Page 2Market Datawatch August 5, 2011
-45.0
-40.0
-35.0
-30.0
-25.0
-20.0
-15.0
-10.0
-5.0
0.0
5.0
-140
-120
-100
-80
-60
-40
-20
0
20
40
60
CESI Limus (RH)
CESIEUR
CESIUSD
CESIAPAC
... Limus CESI vs S&P 500
8/7/2011 Page 3Market Datawatch August 5, 2011
1180
1200
1220
1240
1260
1280
1300
1320
1340
1360
1380
-140.00
-120.00
-100.00
-80.00
-60.00
-40.00
-20.00
-
Citigroup USD Surprise Index and S&P 500
CESI Limus (RH) ES1 Index
1180
1200
1220
1240
1260
1280
1300
1320
1340
1360
1380
-45.0
-40.0
-35.0
-30.0
-25.0
-20.0
-15.0
-10.0
-5.0
0.0
5.0
Citigroup Limus Surprise Index and S&P 500
CESI Limus (RH) ES1 Index
... CESI USD
8/7/2011 Page 4Market Datawatch August 5, 2011
-140.00
-120.00
-100.00
-80.00
-60.00
-40.00
-20.00
-
-30.00
-25.00
-20.00
-15.00
-10.00
-5.00
-
5.00
10.00
15.00
09/05/2011 09/06/2011 09/07/2011
Citi US Macro Surprise
Chg. CESIUSD CESIUSD
ECRI, CESIUD and CM
8/7/2011Market Datawatch August 5, 2011
Page 5
Consumer Metric
8/7/2011Market Datawatch August 5, 2011
Page 6
Consumer Metric - Underlying
8/7/2011Market Datawatch August 5, 2011
Page 7
88
93
98
103
108
113
118
80
90
100
110
120
130
14005/0
6/2
011
07/0
6/2
011
09/0
6/2
011
11/0
6/2
011
13/0
6/2
011
15/0
6/2
011
17/0
6/2
011
19/0
6/2
011
21/0
6/2
011
23/0
6/2
011
25/0
6/2
011
27/0
6/2
011
29/0
6/2
011
01/0
7/2
011
03/0
7/2
011
05/0
7/2
011
07/0
7/2
011
09/0
7/2
011
11/0
7/2
011
13/0
7/2
011
15/0
7/2
011
07/1
7/2
011
07/1
9/2
011
07/2
1/2
011
07/2
3/2
011
07/2
5/2
011
07/2
7/2
011
07/2
9/2
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07/3
1/2
011
08/0
2/2
011
08/0
4/2
011
Total (RHS)
Automotive
Entertainment
Financial
Health
Household
Housing
Recreation
Retail
Technology
Travel
Change Since Last Update (Aug 2)
8/7/2011 Page 8Market Datawatch August 5, 2011
Todays Last Week
Meeting Meeting Change Change%
S&P Dec Fut 1,197.75 1,277.00 -79.25 -6.21
IQQE(EEM in EUR) 28.26 31.61 -3.35 -10.60
DJ Eurostoxx 50 2,380 2,753 -373.00 -13.55
EUR 1.4282 1.4502 -0.0220 -1.52
JPY 78.40 78.08 0.3200 0.41
DXY 74.5980 73.5760 1.0220 1.39
AUD 1.0443 1.0928 -0.0485 -4.44
T-Notes 127.05 123.91 3.14 2.53
Bunds 132.36 127.99 4.37 3.41
3M USD Dec11 99.58 99.53 0.05 0.05
3M EUR Dec11 98.73 98.24 0.48 0.49
Gold 1,651.80 1,626.10 25.70 1.58
Oil 86.88 99.65 -12.77 -12.81
DBA 32.20 32.51 -0.31 -0.95
-15.00 -10.00 -5.00 0.00 5.00
Asset Class Performance
8/7/2011 Page 9Market Datawatch August 5, 2011
Bticker Name
CRN
CY
LAST_pr
ice
CHG_
PCT_1
D
CHG_P
CT_5D
REAL_T
IME_TR
R_MTD
REAL_T
IME_TR
R_QTD
REAL_T
IME_TR
R_YTD
YtD in
DKK
VOLATIL
ITY_30D
SPY US Equity SPDR S&P 500 ETF TRUST USD 120.08 -0.15 -7.15 -7.15 -9.01 -3.62 -9.93 21.96
EFA US Equity ISHARES MSCI EAFE INDEX FUND USD 53.75 1.77 -8.46 -8.46 -10.63 -5.88 -12.19 31.19
XESX GY Equity DBX-TRACKERS EURO STXX 50-1D EUR 23.90 -1.48 -10.92 -10.92 -16.60 -12.99 -12.92 27.07
XACTOMX SS EquityXACT OMXS30 SEK 91.00 0.94 -10.96 -10.96 -14.63 -15.07 -18.02 25.91
KFX Index OMX COPENHAGEN 20 INDEX DKK 375.00 -3.72 -10.83 -10.75 -12.92 -17.04 -17.04 21.66
PSP Equity POWERSHARES GLOBAL LISTED PR USD 9.04 -0.66 -11.63 -11.63 -15.20 -11.21 -17.52 34.84
EEM US Equity ISHARES MSCI EMERGING MKT IN USD 42.58 -0.65 -9.62 -9.62 -10.55 -9.72 -16.03 26.65
CAF US Equity MORGAN STANLEY CHINA A SHARE USD 24.56 1.24 -4.84 -4.84 -10.04 -10.20 -16.51 26.91
IEF US Equity ISHARES BARCLAYS 7-10 YEAR USD 99.92 -1.16 1.28 1.52 4.74 8.37 2.06 10.11
X710 GY Equity DB X-TR IBX EUR SOV EZ 7-10 EUR 171.81 0.01 0.21 0.21 0.11 0.47 0.55 5.22
TIP US Equity ISHARES BARCLAYS TIPS BOND USD 113.63 -1.14 -0.47 0.03 3.93 9.57 3.26 8.02
LQD US Equity ISHARES IBOXX INV GR CORP BD USD 112.59 -1.24 0.20 0.57 3.02 6.69 0.37 7.90
HYG US Equity ISHARES IBOXX H/Y CORP BOND USD 86.86 -0.10 -4.60 -4.02 -3.69 0.50 -5.81 11.77
EMB US Equity ISHARES JP MORGAN EM BOND FD USD 109.89 -1.34 -1.02 -0.65 1.31 5.64 -0.67 6.30
IYR US Equity ISHARES DJ US REAL ESTATE USD 53.61 -2.06 -11.29 -11.29 -11.09 -2.49 -8.80 24.64
USO US Equity UNITED STATES OIL FUND LP USD 33.95 0.66 -9.27 -9.27 -8.83 -12.95 -19.26 29.37
DBA US Equity POWERSHARES DB AGRICULTURE F USD 32.20 0.59 -0.16 -0.16 1.45 -0.46 -6.78 16.61
DBC US Equity POWERSHARES DB COMMODITY IND USD 28.82 0.42 -4.82 -4.82 -0.48 4.61 -1.70 19.03
GLD US Equity SPDR GOLD TRUST USD 161.75 0.69 2.19 2.19 10.79 16.60 10.29 12.78
XEON Gy Equity DB X-TR II EONIA EUR 139.23 -0.27 0.02 0.02 0.09 0.45 0.53 1.19
Three Portfolios
8/7/2011 Page 10Market Datawatch August 5, 2011
-10.00%
-8.00%
-6.00%
-4.00%
-2.00%
0.00%
2.00%
4.00%
03/01/2011 28/02/2011 25/04/2011 20/06/2011
Price Appriciation 03-01-2011 to 09-08-2011, DKK
El_Erian V-Shaped Crisis 2.0
Alternative Portfolio Performance
8/7/2011 Page 11Market Datawatch August 5, 2011
Alternativ Portfolio Overview
Asset Class PX_LAST
REAL_TI
ME_TRR
_1D
REAL_TI
ME_TRR
_5D
REAL_TI
ME_TRR
_MTD
REAL_TI
ME_TRR
_Qtd
REAL_TI
ME_TRR_
YTD
1 El_Erian Local 71.02 -0.15 -6.09 -6.05 -6.32 -2.36
2 El_Erian New Local 71.74 -0.31 -6.37 -6.31 -6.36 -2.48
3 Benchmark - 3 Local 131.96 -0.96 -5.97 -5.89 -5.76 -3.58
4 Equities + Div. Fixed incomeLocal 75.31 -0.13 -6.72 -6.58 -7.36 -3.49
5 Stocks / TIPS Local 102.60 -0.60 -4.33 -4.18 -3.69 -0.38
6 Cash70 / EM & Com Local 108.86 -0.28 -2.39 -2.39 -2.09 -1.17
7 Equal Asset Class Local 94.21 -0.38 -5.11 -5.00 -4.91 -2.44
8 DK Classisk Lav Local 132.53 -1.19 -3.87 -3.70 -3.27 -0.14
9 DK Classisk Middel Local 157.36 -1.45 -4.92 -4.75 -4.89 -2.57
10 DK Classisk High Local 150.29 -1.33 -5.92 -5.81 -6.84 -5.12
11 LD Benchmark Local 58.94 0.84 -7.96 -7.96 -9.53 -6.40
12 Limus Beta Local 80.91 -0.34 -4.23 -4.17 -4.13 -0.90
13 Long / LShort Local -11.17 -2.42 -1.16 -1.16 0.09 -3.85
14 Beta 2 Local 97.99 0.03 -4.72 -4.65 -4.08 -0.34
15 Beta Local 89.43 -0.08 -4.44 -4.37 -3.54 0.33
16 CAF Local 24.56 1.24 -4.84 -4.84 -10.04 -10.20
17 Sweet Spot Local 72.54 0.09 -6.08 -6.01 -5.44 -2.21
18 V-Shaped Local 78.42 -0.15 -5.44 -5.31 -4.92 -2.01
19 Crisis 2.0 Local 126.56 -0.16 -0.84 -0.76 1.48 4.05
20 0 Local 0.00 0.00 0.00 0.00 0.00 0.00
Local
REAL_TI
ME_TRR
_1D
REAL_TI
ME_TRR
_5D
REAL_TI
ME_TRR
_MTD
REAL_TI
ME_TRR
_Qtd
REAL_TI
ME_TRR_
YTD
-0.85 -5.34 -5.29 -4.94 -8.03
-1.04 -5.59 -5.52 -4.94 -8.34
-1.46 -5.42 -5.33 -4.75 -7.67
-0.91 -5.89 -5.75 -5.85 -9.80
-1.22 -3.65 -3.49 -2.45 -5.41
-0.51 -2.09 -2.09 -1.53 -3.01
-1.00 -4.59 -4.48 -3.80 -7.31
-1.70 -3.31 -3.14 -2.25 -4.22
-1.90 -4.42 -4.25 -3.99 -6.19
-1.74 -5.47 -5.35 -6.01 -8.42
0.14 -7.20 -7.20 -8.16 -12.07
-1.01 -3.51 -3.45 -2.82 -6.25
-2.42 -1.16 -1.16 0.09 -3.85
-0.67 -3.97 -3.89 -2.70 -6.02
-0.87 -3.61 -3.54 -2.02 -5.98
0.45 -4.01 -4.01 -8.52 -16.51
-0.66 -5.28 -5.22 -4.00 -8.21
-0.82 -4.72 -4.59 -3.61 -7.37
-0.59 -0.35 -0.27 2.38 0.62
0.00 0.00 0.00 0.00 0.00
DKK
Cross Assets - Technical Status - NEW
8/7/2011 Market Datawatch August 5, 2011 Page 12
LAST_PRI
CE
HIGH_30
d Low_30d RSI_3D RSI_14D
MOV_AV
G_5D
O/U
21D
DMI_DI
P DMI
DMI_A
DX
EQY_BOLL
INGER_LO
WER
EQY_BOLL
INGER_MI
D
EQY_BOLLI
NGER_UPP
ER
Boll
Range
VOLATIL
ITY_30D
CHG_NET
_1D
Last H30D L30D Now RSI3 RSI14 MOV5
5-21
MA
O/B
DMI+/D
MI- DMI
ADX
14d bLow21d bMed21d bUp21d Boll_Lev 30D Vol 1DVaR 1DChg
1DayC
hgVar
Aroon_
dn10d
Aroon_
up10d
EUR 1.4282 1.4578 1.3837 60% 55.25 49.74 1.4238 O 1.4335 B 1.3938 O B 0.77 Neutral 11.26 1.3986 1.4241 1.4495 58.2% 11.4 0.0166 0.0119 72% 18 68
JPY 78.40 81.48 76.30 41% 68.18 46.56 77.60 O 79.71 B 81.74 B B 1.26 Neutral 36.80 76.56 78.40 80.25 49.9% 10.1 0.81 -0.37 46% 82 9
GBP 1.6391 1.6476 1.5781 88% 60.99 57.88 1.6334 O 1.6209 O 1.6082 O O 1.77 UP 23.33 1.5933 1.6229 1.6524 77.5% 8.1 0.0135 0.0095 70% 18 82
DXY 74.60 76.72 73.42 36% 52.90 50.03 74.51 O 74.70 B 76.71 B B 0.98 Neutral 14.74 73.31 74.67 76.03 47.4% 9.7 0.74 -0.71 96% 68 18
JYEU 111.97 117.74 108.72 36% 78.19 47.06 110.48 O 114.27 B 113.89 B B 0.94 Neutral 28.40 109.54 111.64 113.75 57.7% 12.2 1.40 0.41 29% 82 5
AUD 1.0443 1.1081 1.0376 10% 3.12 33.99 1.0690 B 1.0692 B 1.0302 O B 0.50 DOWN 16.19 1.0452 1.0771 1.1091 -1.4% 12.8 0.0136 -0.0091 67% 100 68
NKEU 7.8198 7.8896 7.6347 73% 85.11 56.27 7.7272 O 7.7988 O 7.8644 B B 1.20 Neutral 16.11 7.6636 7.7791 7.8946 67.6% 7.4 0.0588 0.0509 87% 86 36
SKEU 9.2501 9.2789 8.9630 91% 90.81 61.59 9.1363 O 9.1135 O 9.0200 O B 1.90 UP 21.18 8.9986 9.1413 9.2839 88.2% 9.0 0.0854 0.0488 57% 86 36
ESA 1197.75 1354.50 1163.25 18% 6.36 24.72 1235.60 B 1295.82 B 1275.69 B B 0.25 DOWN 22.90 1214.59 1295.59 1376.59 -10.4% 21.8 26.62 -1.00 4% 100 9
VG1 2,380 2,893 2,321 10% 1.03 21.19 2,489 B 2,733 B 2,799 B B 0.23 DOWN 29.34 2,435 2,652 2,869 -12.7% 24.7 60 -29 48% 100 5
GX1 6,258 7,547 6,125 9% 0.58 17.18 6,629 B 7,187 B 7,133 B B 0.18 DOWN 28.10 6,483 7,101 7,719 -18.2% 22.6 144 -160 111% 100 9
SHCOMP 2,626 2,827 2,605 9% 7.94 30.45 2,674 B 2,733 B 2,859 B B 0.37 DOWN 23.55 2,628 2,741 2,854 -0.9% 16.4 44 -58 132% 100 36
UKX 5246.99 6084.08 5202.62 5% 0.94 19.83 5543.49 B 5823.61 B 5878.95 B B 0.25 DOWN 22.18 5431.27 5787.21 6143.14 -25.9% 20.1 107.50 -146.15 136% 100 9
OMX 947.78 1142.11 901.01 19% 13.01 22.17 984.13 B 1089.76 O 1122.12 O O 0.14 DOWN 35.70 961.49 1058.90 1156.30 -7.0% 25.6 24.73 8.15 33% 100 9
KFX 375.00 441.80 367.37 10% 0.44 16.59 397.43 B 430.21 B 448.53 B B 0.18 DOWN 29.84 389.24 422.34 455.45 -21.5% 21.7 8.29 -14.50 175% 100 9
OBX 335.83 396.33 332.11 6% 0.89 21.16 358.08 B 383.61 B 391.93 B B 0.23 DOWN 24.16 348.98 378.71 408.45 -22.1% 26.3 9.02 -9.10 101% 100 9
EEM 42.58 48.63 41.32 17% 1.94 25.23 44.72 B 46.77 B 46.99 B B 0.29 DOWN 17.34 43.65 46.38 49.10 -19.6% 26.7 1.16 -0.28 24% 100 5
DBA 32.20 33.42 31.63 32% 37.79 44.98 32.44 B 32.55 B 32.53 B B 0.92 Neutral 8.61 32.10 32.64 33.19 9.2% 16.6 0.55 0.19 35% 100 23
SBA 27.54 31.68 25.18 36% 11.05 43.09 28.03 B 26.92 O 24.46 O B 0.85 Neutral 25.69 27.15 29.41 31.67 8.6% 42.9 1.21 -0.25 21% 95 59
CCA 2975.00 3267.00 2908.00 19% 52.22 40.20 2964.40 O 3053.68 B 3103.07 B B 0.79 Neutral 19.14 2894.01 3078.80 3263.60 21.9% 24.8 75.42 34.00 45% 100 45
CLA 86.88 100.62 82.87 23% 5.57 27.42 90.82 B 97.01 B 97.75 B B 0.22 DOWN 22.20 88.72 96.03 103.34 -12.6% 29.9 2.65 0.25 9% 100 64
GCA 1651.80 1684.90 1481.00 84% 57.34 69.31 1648.66 O 1562.40 O 1454.73 O O 2.50 UP 34.12 1553.68 1611.37 1669.06 85.0% 12.3 20.67 -7.20 35% 5 95
SIA 38.21 42.30 33.40 54% 26.04 47.61 39.76 B 37.31 O 33.72 O O 0.90 Neutral 17.27 36.36 39.34 42.32 31.0% 44.1 1.72 -1.22 71% 18 95
HGA 411.70 454.00 405.05 14% 2.97 32.35 429.67 B 426.02 B 421.85 B B 0.50 DOWN 25.01 422.45 439.10 455.75 -32.3% 21.0 8.82 -11.85 134% 100 82
RXA 132.36 133.77 125.22 84% 72.86 71.88 131.99 O 127.33 O #N/A N/A O O 2.46 UP 36.33 126.35 129.54 132.73 94.2% 8.9 1.20 -0.43 36% 5 100
TYA 127.05 128.73 121.70 76% 55.12 65.66 127.04 O 124.06 O 120.32 O O 4.18 UP 31.18 122.92 125.21 127.50 90.2% 7.8 1.01 -0.95 94% 9 100
DUA 109.17 109.35 107.43 91% 96.71 77.86 108.82 O 107.93 O #N/A N/A O O 3.95 UP 33.29 107.77 108.38 108.98 115.7% 2.2 0.25 0.17 68% 5 100
WNA 138.63 143.22 124.91 75% 65.46 69.73 137.34 O 129.76 O #N/A N/A O O 5.76 UP 29.38 123.88 131.40 138.91 98.1% 17.9 2.53 -2.25 89% 5 100
EDZ1 99.58 99.59 99.43 94% 83.45 59.56 99.53 O 99.54 O 99.40 O O 1.11 Neutral 20.34 99.45 99.51 99.57 108.3% 0.5 0.05 0.01 20% 36 95
ERZ1 98.73 98.77 98.06 94% 99.38 84.23 98.50 O 98.22 O 98.20 O O 6.43 UP 35.41 98.11 98.34 98.58 131.9% 0.9 0.09 0.14 156% 5 100
XLB 34.32 40.72 33.36 13% 4.01 22.09 36.04 B 38.40 B 38.22 B B 0.23 DOWN 23.74 35.17 38.50 41.84 -12.7% 28.6 1.00 -0.08 8% 100 5
XLI 31.76 38.43 30.97 11% 7.59 21.66 32.96 B 36.04 B 35.85 B B 0.22 DOWN 28.88 32.10 35.49 38.87 -5.0% 26.6 0.86 0.00 0% 100 5
XLE 68.07 79.97 64.47 23% 0.73 25.03 72.23 B 74.89 B 72.30 B B 0.26 DOWN 21.83 69.86 75.96 82.06 -14.7% 30.8 2.14 -0.66 31% 100 59
XLU 31.89 34.11 31.30 21% 23.30 31.78 32.44 B 33.28 B 32.26 B B 0.25 DOWN 21.79 32.04 33.26 34.48 -6.1% 15.5 0.50 0.26 52% 100 55
IYT 84.53 101.60 81.98 13% 3.93 20.92 88.06 B 95.26 B 93.32 B B 0.24 DOWN 25.30 86.04 94.24 102.44 -9.2% 25.6 2.21 -0.39 18% 100 5
XLP 29.91 31.92 29.22 26% 36.50 33.60 30.18 B 31.22 B 30.10 B B 0.23 DOWN 25.63 29.86 31.07 32.27 2.1% 14.6 0.45 0.42 93% 100 5
XLY 36.34 41.78 35.36 15% 6.90 25.22 37.67 B 39.46 B 38.50 B B 0.22 DOWN 26.43 36.98 39.73 42.48 -11.6% 25.0 0.93 -0.03 3% 100 5
XLK 24.33 26.88 23.61 22% 10.75 31.60 25.07 B 25.59 B 25.64 B B 0.28 DOWN 23.80 24.62 25.89 27.16 -11.4% 22.3 0.55 -0.15 27% 100 64
XLV 31.81 36.12 31.04 15% 17.58 22.03 32.52 B 34.97 B 33.19 B B 0.17 DOWN 29.73 31.98 34.43 36.88 -3.5% 18.7 0.61 0.24 39% 100 5
IYR 53.61 63.00 52.76 8% 0.63 20.70 56.68 B 60.36 B 58.32 B B 0.25 DOWN 23.93 55.38 60.26 65.13 -18.2% 24.6 1.35 -1.13 84% 100 5
MOV_AVG_
50D
MOV50
MOV_AVG_2
00D
MOV200
Cross Assets - Technical Status - LW
8/7/2011 Market Datawatch August 5, 2011 Page 13
LAST_PRI
CE
HIGH_30
d Low_30d RSI_3D RSI_14D
MOV_AV
G_5D
O/U
21D
DMI_DI
P DMI
DMI_A
DX
EQY_BOLL
INGER_LO
WER
EQY_BOLL
INGER_MI
D
EQY_BOLLI
NGER_UPP
ER
Boll
Range
VOLATIL
ITY_30D
CHG_NET
_1D
Last H30D L30D Now RSI3 RSI14 MOV5
5-21
MA
O/B
DMI+/D
MI- DMI
ADX
14d bLow21d bMed21d bUp21d Boll_Lev 30D Vol 1DVaR 1DChg
1DayC
hgVar
Aroon_
dn10d
Aroon_
up10d
EUR 1.4232 1.4578 1.3837 53% 30.02 46.73 1.4309 B 1.4332 B 1.3933 O O 0.86 Neutral 11.86 1.3996 1.4252 1.4508 46.1% 11.6 0.0168 -0.0007 4% 35 9
JPY 77.35 81.48 76.30 20% 46.67 29.24 77.40 B 79.92 B 81.79 B B 0.19 DOWN 38.66 76.45 78.86 81.27 18.7% 7.3 0.57 0.45 79% 96 26
GBP 1.6304 1.6476 1.5781 75% 43.91 55.60 1.6337 B 1.6211 O 1.6075 O O 1.90 UP 20.67 1.5870 1.6176 1.6483 70.8% 7.9 0.0132 0.0017 13% 35 96
DXY 74.37 76.72 73.42 29% 66.10 47.82 74.17 O 74.75 B 76.76 B B 0.67 DOWN 16.96 73.39 74.74 76.09 36.3% 8.6 0.66 0.08 12% 83 35
JYEU 110.08 117.74 108.72 15% 32.20 34.25 110.75 B 114.53 B 113.91 B B 0.34 DOWN 31.05 108.93 112.38 115.84 16.6% 12.2 1.37 0.60 44% 96 9
AUD 1.0903 1.1081 1.0391 74% 29.03 57.97 1.0975 B 1.0697 O 1.0291 O O 1.45 UP 15.44 1.0539 1.0802 1.1065 69.2% 11.3 0.0126 -0.0040 32% 35 83
NKEU 7.6612 7.9245 7.6446 6% 5.10 30.68 7.7131 B 7.8000 B 7.8702 B B 0.43 DOWN 15.95 7.6535 7.7728 7.8922 3.2% 6.5 0.0507 -0.0071 14% 100 52
SKEU 8.9837 9.2789 8.9748 3% 11.83 36.96 9.0408 B 9.0945 B 9.0216 B B 0.58 DOWN 23.17 8.9731 9.1209 9.2687 3.6% 8.2 0.0752 -0.0356 47% 100 52
ESA 1277.00 1354.50 1257.00 21% 5.73 37.69 1288.05 B 1301.96 B 1274.93 O B 0.68 DOWN 15.03 1273.98 1315.95 1357.93 3.6% 15.5 20.25 -3.50 17% 96 26
VG1 2,591 2,893 2,572 6% 5.87 33.32 2,653 B 2,756 B 2,804 B B 0.46 DOWN 21.74 2,581 2,714 2,846 3.8% 22.2 59 -16 27% 96 4
GX1 6,954 7,547 6,860 14% 4.29 32.82 7,125 B 7,234 B 7,137 B B 0.42 DOWN 18.38 7,000 7,261 7,522 -8.8% 17.2 122 -46 38% 96 26
SHCOMP 2,671 2,827 2,630 21% 32.53 40.55 2,708 B 2,740 B 2,863 B B 0.66 DOWN 19.71 2,679 2,769 2,859 -4.4% 17.4 47 -31 66% 100 52
UKX 5774.43 6084.08 5663.30 26% 14.50 41.58 5849.83 B 5853.65 B 5883.62 B B 0.87 Neutral 15.21 5732.84 5893.66 6054.48 12.9% 14.9 87.80 -40.76 46% 52 26
OMX 1039.05 1142.11 1035.92 3% 4.14 33.28 1064.49 B 1104.24 B 1124.64 B B 0.38 DOWN 25.35 1042.17 1089.91 1137.65 -3.3% 21.0 22.29 -26.92 121% 96 26
KFX 418.58 441.80 413.46 18% 6.94 35.59 424.78 B 435.50 B 449.11 B B 0.56 DOWN 20.39 420.49 431.55 442.61 -8.6% 15.2 6.49 -1.96 30% 91 13
OBX 377.77 396.33 366.12 39% 10.90 41.65 385.70 B 387.01 B 392.12 B B 0.75 Neutral 16.07 375.60 386.05 396.51 10.4% 20.4 7.86 0.00 0% 35 26
EEM 47.07 48.63 44.77 60% 44.34 49.96 47.13 B 46.96 O 47.03 O B 0.96 Neutral 9.96 45.87 47.17 48.47 46.2% 18.9 0.91 -0.04 4% 52 22
DBA 32.54 33.42 31.46 55% 52.02 49.09 32.56 B 32.54 B 32.46 O B 1.06 Neutral 8.73 32.23 32.67 33.11 35.2% 16.5 0.55 0.29 53% 4 39
SBA 28.97 31.68 24.30 63% 15.98 51.99 30.15 B 26.45 O 24.32 O O 1.50 UP 32.14 27.52 29.56 31.59 35.6% 41.5 1.23 -0.84 68% 4 74
CCA 2955.00 3248.00 2946.00 3% 14.97 38.49 2990.80 B 3025.64 B 3089.85 B B 0.71 Neutral 17.96 2928.89 3099.00 3269.11 7.7% 26.6 80.25 -19.00 24% 96 17
CLA 94.57 100.62 90.17 42% 8.30 41.04 95.99 B 97.74 B 97.72 B B 0.56 DOWN 14.11 94.38 97.45 100.51 3.1% 27.3 2.63 -0.35 13% 96 78
GCA 1626.10 1637.50 1481.00 93% 64.93 68.74 1622.54 O 1554.02 O 1450.16 O O 2.28 UP 29.96 1531.22 1592.01 1652.79 78.0% 13.9 23.13 4.60 20% 4 91
SIA 39.74 41.47 33.40 79% 47.07 57.69 39.90 B 37.09 O 33.48 O O 1.29 Neutral 17.56 35.38 38.80 42.22 63.7% 40.1 1.63 0.44 27% 4 83
HGA 440.60 454.00 403.35 74% 28.05 54.36 444.21 B 425.02 O 421.19 O O 1.93 UP 26.26 434.24 441.70 449.17 42.6% 17.8 8.02 -0.50 6% 4 96
RXA 131.37 131.41 125.22 99% 95.09 71.25 130.34 O 126.89 O #N/A N/A O O 2.61 UP 32.46 125.97 128.67 131.37 100.0% 8.9 1.19 0.21 18% 4 100
TYA 126.27 126.42 121.70 97% 91.08 68.05 125.37 O 123.71 O 120.24 O O 2.31 UP 24.17 122.78 124.54 126.29 99.4% 7.1 0.91 0.14 15% 4 96
DUA 108.59 108.71 107.43 91% 92.46 68.46 108.42 O 107.84 O #N/A N/A O O 2.13 UP 27.80 107.68 108.19 108.69 90.1% 2.1 0.24 0.02 8% 9 35
WNA 133.19 133.53 124.91 96% 91.69 65.65 131.32 O 129.03 O #N/A N/A O O 2.23 UP 18.90 126.01 129.49 132.97 103.2% 14.1 1.92 0.03 2% 4 96
EDZ1 99.53 99.59 99.43 62% 65.39 50.21 99.51 O 99.55 B 99.40 O B 0.88 Neutral 22.10 99.46 99.52 99.57 63.6% 0.4 0.04 0.01 25% 52 4
ERZ1 98.35 98.39 98.06 88% 87.44 65.04 98.33 O 98.19 O 98.20 O O 2.22 UP 27.73 98.11 98.27 98.42 77.4% 0.6 0.06 0.00 0% 13 35
XLB 37.88 40.72 36.44 34% 5.60 38.29 38.45 B 38.63 B 38.19 B B 0.61 DOWN 14.40 38.01 39.41 40.81 -4.6% 17.6 0.68 -0.13 19% 96 22
XLI 34.46 38.43 34.06 9% 4.96 31.34 35.05 B 36.39 B 35.84 B B 0.47 DOWN 19.70 34.46 36.55 38.65 0.0% 19.0 0.67 -0.22 33% 96 22
XLE 76.34 79.97 70.45 62% 12.33 49.07 77.32 B 75.16 O 72.05 O O 1.06 Neutral 16.38 74.17 77.09 80.00 37.2% 21.3 1.66 -0.11 7% 4 74
XLU 33.27 34.11 32.43 50% 28.81 45.85 33.50 B 33.41 B 32.26 O B 0.63 DOWN 12.38 33.03 33.57 34.10 22.4% 11.1 0.38 0.10 26% 57 70
IYT 92.36 101.60 91.59 8% 5.21 34.29 93.82 B 96.13 B 93.28 B B 0.60 DOWN 16.46 92.15 96.91 101.68 2.2% 18.9 1.78 -0.94 53% 91 22
XLP 30.72 31.92 30.44 19% 6.37 36.87 31.00 B 31.38 B 30.07 O B 0.45 DOWN 16.08 30.79 31.39 32.00 -5.8% 10.3 0.32 -0.11 34% 96 22
XLY 39.44 41.78 37.75 42% 8.31 41.89 39.94 B 39.68 B 38.45 O B 0.57 DOWN 16.93 39.41 40.55 41.68 1.3% 16.9 0.68 -0.21 31% 96 22
XLK 25.79 26.88 24.34 57% 14.94 46.51 26.09 B 25.67 O 25.63 O B 0.66 DOWN 17.48 25.49 26.19 26.88 21.6% 18.2 0.48 -0.02 4% 96 78
XLV 33.54 36.12 33.19 12% 3.80 28.27 34.24 B 35.25 B 33.17 O B 0.34 DOWN 17.95 33.89 35.15 36.42 -13.8% 13.5 0.46 -0.58 126% 96 22
IYR 59.63 63.00 58.43 26% 8.05 40.11 60.62 B 60.74 B 58.31 O B 0.71 Neutral 15.60 59.70 61.54 63.39 -1.9% 18.2 1.11 -0.80 72% 91 22
MOV_AVG_
50D
MOV50
MOV_AVG_2
00D
MOV200
Rates Overview
8/7/2011 Market Datawatch August 5, 2011 Page 14
Overview Interest Rates
Swap Rates Change
3M 2 yr 5 yr 10 yr 30 yr 3M 2 yr 5 yr 10 yr 30 yr
USD 0.27 0.55 1.53 2.69 3.52 USD 2 -5 -13 -27 -33
EUR 1.56 1.65 2.38 3.14 3.37 EUR -5 -26 -11 -2 -6
GBP 0.83 1.22 1.97 3.07 3.76 GBP 0 -8 -13 -7 -6
SEK 2.57 2.58 2.68 3.03 3.16 SEK -1 -20 -23 -15 -9
NOK 3.02 3.29 3.56 3.98 4.21 NOK 5 -13 -16 -15 -21
DKK 1.66 1.85 2.57 3.33 3.49 DKK -2 -25 -14 -2 -5
Spread to EUR Spread to EUR, Change
3M 2 yr 5 yr 10 yr 30 yr 3M 2 yr 5 yr 10 yr 30 yr
USD -1.29 -1.10 -0.85 -0.45 0.15 USD 6 21 -2 -25 -27
GBP -0.73 -0.43 -0.41 -0.06 0.39 GBP 5 18 -2 -5 -0
SEK 1.01 0.93 0.30 -0.10 -0.22 SEK 4 6 -12 -14 -3
NOK 1.46 1.64 1.18 0.85 0.84 NOK 10 13 -5 -14 -14
DKK 0.10 0.20 0.19 0.19 0.12 DKK 2 0 -3 0 2
Libor/Govt Change CHG_NET_5D
3M 2 yr 5 yr 10 yr 30 yr 3M 2 yr 5 yr 10 yr 30 yr
USD 27 25 29 18 -25 USD 11 3 3 6 8
EUR 121 89 93 79 29 EUR 21 14 16 17 14
GBP 29 57 55 30 -14 GBP -0 -11 3 1 6
07/08/2011 12:14
CHG_NET_5D
ITRAX Europe, Sov and Financials
8/7/2011 Market Datawatch August 5, 2011 Page 15
80
90
100
110
120
130
140
-190.0
-170.0
-150.0
-130.0
-110.0
-90.0
-70.0
-50.0
-30.0
-10.0
10.0
09/05/2011 09/06/2011 09/07/2011
Itrxx 5YR
EUR Corp 5YR EUR-SOV EUR-FIN
The EU Debt Crisis
8/7/2011 Market Datawatch August 5, 2011 Page 16
3.00
5.00
7.00
9.00
11.00
13.00
15.00
1.00
1.50
2.00
2.50
3.00
3.50
4.00
4.50
PIIGS 10 Yr Spread
Greece(RH) Ita Spain Por (RH) Ire
EONIA Rates
8/7/2011 Market Datawatch August 5, 2011 Page 17
EONIA Rates – ECB Meeting March 2012
8/7/2011 Market Datawatch August 5, 2011 Page 18
Correlation
8/7/2011 Market Datawatch August 5, 2011 Page 19
1 month corr – Last meeting 1 month corr
HFRXM
8/7/2011 Market Datawatch August 5, 2011 Page 20
T-Notes and Bunds
8/7/2011 Market Datawatch August 5, 2011 Page 21
EUR/USD
8/7/2011 Market Datawatch August 5, 2011 Page 22
TAA Model
8/7/2011 Market Datawatch August 5, 2011 Page 23
Gold / Silver
8/7/2011 Market Datawatch August 5, 2011 Page 24
98
103
108
113
118
123
1 23 45
Days
Gold Run 2011 / Jan-May and Jul-?
Jan 27-May 2 2011 Since Jul 1, 2011
Global Equities
8/7/2011 Market Datawatch August 5, 2011 Page 25
S&P 500 Sectors
8/7/2011 Market Datawatch August 5, 2011 Page 26
Fixed Income
8/7/2011 Market Datawatch August 5, 2011 Page 27
Commodities
8/7/2011 Market Datawatch August 5, 2011 Page 28
Greece & Portugal Bond Prices
8/7/2011 Market Datawatch August 5, 2011 Page 29
Italy & Spain Bonds
8/7/2011 Market Datawatch August 5, 2011 Page 30
