Thought Leadership

Multicurrency Plus Strategy 4th Quarter 2007

January 31, 2008

In the last quarterly commentary we outlined several themes:

• Our continued concerns about long-term trends in the value of the dollar;
• Intermediate concerns that markets would continue to be buffeted by a tug of war between a weakening U.S. economy and healthy growth outside of the U.S.;
• And, our strategic decision to have an overweight allocation to safe haven currencies.

These themes shaped the contours of currency market relative performance and the currency asset class a whole.  During the 4th quarter, as the U.S. financial crisis deepened, we increased our allocations to safe haven currencies such as the Swiss Franc and the Japanese Yen (please see the pie charts on the right).  Our combined allocations to these currencies rose from 30% of the strategy to 34%.  The benchmark’s combined allocation to these currencies is 17%.