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The Financial Intelligencer BUSINESS CYCLE FAVOURED ASSET CLASSES INDICATOR

Volume I, Issue LX

21 March 2014

EMERGING MARKETS CURRENCIES Emerging Markets Curriencies 52-Week Returns CHILE ICELAND20% 15% POLAND 10% HUNGARY 5% 0% ARGENTINA -5% -10% S KOREA -15%

TURKEY S AFRICA PHILIPPINES INDONESIA

BRAZIL

HONG KONG

THAILAND

CZECH

COLOMBIA

SINGAPORE TAIWAN

EM Carry Trade 3800 Naïve

3300

Trade

2800

LuzCap

2300 1800 1300 800

PERU MEXICO INDIA

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; LuzCap strategy selects 5 currencies with a proprietary algorithm. Each rebalanced daily. (USD returns)

G-10 MAJOR CURRENCIES

G10 Currency Strategies

Momentum

2200 2000 1800 1600 1400 1200 1000 800 600

AUD -13.42% LuzCap

Carry

Momentum

NOK JPY -3.27% CAD -6.46% -8.83%

NZD SEK 2.91% 1.03%

CHF GBP EUR 8.38% 8.96% 7.19%

Value Excess ratio of Spot to PPP 40% 30%

20% 10%

0% -10%

NZD

CHF

AUD

EUR

GBP

NOK

CAD

SEK

JPY

-20%

Value

-30%

LuzCap strategy combines carry and value strategies using a proprietary algorithm. 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

1 Week

Bearish

0%

7%

30%

Return < 0%

39%

33%

31%

Return > 0%

61%

67%

69%

Return < -5%

4%

9%

13%

SCALE OF WIN INTENSITY % +

SPECIAL CASES

Return > 5%

-

SCALE OF LOSS INTENSITY % 0. 05

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 AZO LSI RTN BEAM HD FRX ORLY TSN DPS PPG

S&P 500 INDEX AUTOZONE INC LSI CORP RAYTHEON COMPANY BEAM INC HOME DEPOT INC FOREST LABORATORIES INC O'REILLY AUTOMOTIVE INC TYSON FOODS INC-CL A DR PEPPER SNAPPLE GROUP INC PPG INDUSTRIES INC

Median return on Bear Days -0.34% -0.04% -0.05% -0.09% -0.14% -0.14% -0.15% -0.15% -0.15% -0.16% -0.16%

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 utilizing macroeconomic and other data accumulated by third parties. These materials which has not been verified by SeaGate Capital do not constitute an offer, selling material, or a recommendation to enter into any transaction 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 requirements or financial situation. SeaGate Capital 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 entering into such transaction. The dissemination of these materials should not be construed by any party as a solicitation to effect, or attempt to effect transactions in securities, or the rendering of personalized investment advice for compensation.

The Financial Intelligencer - SeaGate Capital  

Edition: March 21, 2014