03 August 2010 at 15:09 GMT
The Saxo Bank FX Portfolio Model gave a single-leverage return of -1.62% for the month of July, 2010 – due primarily to the short exposure to EURCHF and EURJPY.
The allocation has now shifted to favor long positions in CHF even more (and now a very big exposure), but the long exposure to JPY has been reduced. The model is now long EUR vs. USD, GBP and AUD.
The compound single-leverage returns since inception at TradingFloor.com is 6.45% (= 7.79% annualized).
Open the spreadsheet here to see the allocations and apply the alocation to your own portfolio.