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The Financial Intelligencer BUSINESS CYCLE FAVOURED ASSET CLASSES INDICATOR

Volume I, Issue XXXI

25 September 2013

EMERGING MARKETS CURRENCIES Emerging Markets Curriencies 52-Week Returns S AFRICA ARGENTINA20% INDONESIA 15% ICELAND INDIA 10% 5% POLAND TURKEY 0% -5% S KOREA PHILIPPINES -10% -15% HUNGARY BRAZIL -20% MEXICO THAILAND

EM Carry Trade 2200 2000

Naïve

1800

Trade

1600 1400

1200

PERU

1000

SINGAPORE

800

CZECH COLOMBIA TAIWAN CHILE HONG KONG

Indicator is bullish for asset classes (bonds, equities, commodities) crossed by radial red line.

Left, the percentage return on a long position earning interest in each emerging market currency. Right, the performance of a portfolio of 20 major EM currencies. Naïve strategy weighs the 20 currencies equally; trade strategy weighs them by total exports and imports as reported by International Monetary Fund. Both rebalanced daily. (USD returns)

G-10 MAJOR CURRENCIES

G10 Currency Strategies

AUD -10.24%

NOK CAD -4.98% -4.93%

EUR CHF 4.76% SEK 3.07% NZD GBP 1.63% -0.93% -0.78%

JPY -21.19% Blend

Carry

Momentum

Value

Momentum

2400 2200 2000 1800 1600 1400 1200 1000 800 600

Value

Excess ratio of Spot to PPP 35% 30% 25% 20% 15% 10% 5% 0% -5% -10% -15%

NZD

AUD

CHF

EUR

GBP

CAD

NOK

SEK

JPY

Blend strategy is equally weighted among carry, momentum, and value strategies. Carry strategy goes long the 3 highest interest rate currencies and shorts the 3 lowest. Momentum strategy longs the 3 currencies with highest 52-week nominal currency rate return and shorts the 3 lowest. Value strategy longs the 3 currencies most undervalued as measured by ratio of spot rate to Bloomberg PPP (Purchasing Power Parity) and shorts the 3 most overvalued. All rebalanced daily. (USD returns)

US EQUITIES

S&P 500 PERFORMANCE FORECASTER

Bullish

1 Week

1 3 Month Months

Bearish

1 Week

1%

4%

34%

Return < 0%

42%

32%

34%

Return > 0%

58%

68%

66%

Return < -5%

1%

14%

28%

SCALE OF WIN INTENSITY % +

SPECIAL CASES

Return > 5%

-

SCALE OF LOSS INTENSITY % Not enough data to conclude

Few data but hard enough to conclude

-

Defensive Stocks

1 3 Month Months

+

The S&P 500 Performance Forecaster is a statistical indicator that analyzes the shape and level of the VIX Futures Curve to determine the probability that the S&P 500 Index will be higher, lower, at least 5% higher and 5% lower or less than the current level in 1 week, 1 month or 3 months. (USD returns)

1 2 3 4 5 6 7 8 9 10

SPX ORCL LIFE DELL NLSN MYL WPO DGX TRIP NVDA GME

S&P 500 INDEX ORACLE CORP LIFE TECHNOLOGIES CORP DELL INC NIELSEN HOLDINGS NV MYLAN INC WASHINGTON POST-CLASS B QUEST DIAGNOSTICS INC TRIPADVISOR INC NVIDIA CORP GAMESTOP CORP-CLASS A

Median return on Bear Days -0.43% 0.01% -0.05% -0.07% -0.17% -0.18% -0.19% -0.20% -0.20% -0.21% -0.21%

Defensive stocks are S&P 500 stocks having the best median daily return on the last 50 days the index is down. (USD returns)

SeaGate Capital Corp. is a licensed broker-dealer supervised and regulated by the Superintendent of the Securities Market of Panama. These materials have been prepared for information purposes only by SeaGate Capital Corp. and/or one of its affiliates (collectively, the “SGC Group”) and do not constitute an offer, selling material, or a recommendation to enter into any transac- tion and is not intended to be relied upon in making (or refraining to make) any specific investment or other decisions. The information contained in this presentation has been prepared without reference to a particular person´s investment re- quirements or financial situation. The SGC Group is not acting as your financial advisor or in a fiduciary capacity in respect of any transaction with you unless otherwise expressly agreed by us in writing. Before entering into any transaction you should take steps to ensure that you understand the transaction and have made an independent assessment of the appropriateness of the transaction in light of your own objectives and circumstances, including possible risks and benefits of enter- ing into such transaction. You should also consider seeking advice from your own advisors in making this assessment. The dissemination of these materials should not be construed by any consumer and/or prospective client as the SGC Group’s solicitation to effect, or attempt to effect transactions in securities, or the rendering of personalized investment advice for compensation.

The financial Itelligencer 20130925