01 September 2010 at 12:45 GMT
The Saxo Bank Forex Portfolio Model Allocation gave a return of 3.38% for the month of August. The allocation for September is still tilted heavily towards a short position in EURCHF and to some degree in EURSEK. The short position in EURJPY is now negligible. The model allocation is now long EUR vs. all other crosses.
Biggest net long position in EUR is vs. USD, AUD and then NZD.
The returns since inception appear below:
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