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21 CURRENCY TRADER.Jun 2010


Reprinted with permission of Currency Trader Magazine,Chicago, Illinois, USA

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2010 24
 Business Solution for Banks, Brokers
and Financial Companies

1. Risk Management

2. CRM (Customer Relationship Management)

3. Operate and Update Dealing Desk

4. Telephone Banking

www.ifamagroup.com
info@ifamagroup.com
00971558806000

25 CURRENCY TRADER.Jun 2010


Reprinted with permission of Currency Trader Magazine,Chicago, Illinois, USA




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27 CURRENCY TRADER.Jun 2010



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2010 28
29 CURRENCY TRADER.Jun 2010


,
. . ( ) ,
Contract Symbol Exchange Volume OI 10-day move/% rank 20-day move/% rank 60-day move/% rank Volatility ratio/rank
EUR/USD EC CME 443.1 256.5 -0.51% / 5% -7.39% / 87% -9.54% / 95% .22 / 55%
JPY/USD JY CME 156.8 139.0 1.56% / 27% 3.44% / 67% -0.46% / 12% .56 / 55%
GBP/USD BP CME 145.8 132.0 -0.48% / 10% -5.14% / 75% -4.41% / 35% .14 / 10%
AUD/USD AD CME 140.9 126.1 -4.31% / 44% -8.26% / 65% -6.90% / 91% .66 / 75%
CAD/USD CD CME 110.9 126.3 -1.83% / 42% -3.26% / 50% -2.06% / 75% .51 / 62%
CHF/USD SF CME 62.2 46.4 -2.24% / 20% -6.91% / 94% -7.11% / 97% .21 / 10%
MXN/USD MP CME 36.8 108.1 -1.99% / 31% -4.38% / 50% -2.06% / 85% .47 / 63%
U.S. dollar index DX ICE 30.6 40.6 0.34% / 0% 5.18% / 81% 7.34% / 91% .22 / 35%
NZD/USD NE CME 11.4 21.0 -3.94% / 47% -6.67% / 93% -2.73% / 50% .65 / 87%
E-Mini EUR/USD ZE CME 7.4 5.6 -0.86% / 10% -7.05% / 83% -9.91% / 98% .23 / 55%
.PIT ( ) PIT

LEGEND:
Managed money: Barclay Trading Groups
Volume: 30-day average daily volume, in currency trader rankings for April 2010
thousands.
Top 10 currency traders managing more than $10 million
OI: 30-day open interest, in thousands. as of April 30, ranked by April 2010 return.
10-day move: The percentage price move from the 2010 $ Under
close 10 days ago to todays close. April YTD mgmt.
Rank Trading advisor return return (millions)
20-day move: The percentage price move from the
1. Goldman Sachs (Fund. Currency) 13.12% 34.17% 557.4
close 20 days ago to todays close.
2. 24FX Management Ltd 12.80% 4.33% 30.5
60-day move: The percentage price move from the
3. MIGFX Inc (Retail) 5.66% 17.12% 13.0
close 60 days ago to todays close.
4. FX Concepts (Multi-Strategy) 3.64% 10.79% 2769.0
The % rank fields for each time window (10- day
5. Gables Capital Mgmt (Global FX) 3.24% 0.07% 10.1
moves, 20-day moves, etc.) show the percentile
6. Friedberg Comm. Mgmt. (Curr.) 2.98% 19.23% 70.4
rank of the most recent move to a certain number 7. Quantica Capl (Diversied FX) 2.80% 5.97% 26.0
of the previous moves of the same size and in the 8. Excalibur Absolute Return Fund 2.58% 2.93% 45.5
same direction. For example, the % rank for the 10- 9. Auriel Currency 2X Fund 2.29% 0.50% 143.0
day move shows how the most recent 10-day move 10. FX Concepts (GCP) 2.25% 6.38% 3323.0
compares to the past twenty 10-day moves; for the
20-day move, it shows how the most recent 20-day Top 10 currency traders managing less than $10 million and more than
$1 million as of April 30, ranked by April 2010 return.
move compares to the past sixty 20-day moves; for
the 60-day move, it shows how the most recent 60- 1. Excel Capital Mgmt. (FX) 9.64% 93.31% 2.4
2. D2W Capital Mgmt (Radical Wealth) 9.60% 29.51% 1.6
day move compares to the past one-hundred-twenty
3. Rove Capital (Dresden) 2.62% 6.31% 2.2
60-day moves. A reading of %100 means the current 4. Overlay Asset Mgmt. (Emerging Mkts) 1.95% 5.35% 8.0
reading is larger than all the past readings, while a 5. Armytage AAM (Asian Currency) 1.76% 0.53% 4.0
reading of %0 means the current reading is smaller 6. Greenwave Capital Mgmt (GDS Alpha) 1.42% 2.42% 8.0
than the previous readings. 7. Wooster Asset Mgmt (Portage Fund) 1.25% 0.28% 6.9
Volatility ratio/% rank: The ratio is the short-term 8. BEAM (FX Prop) 1.13% 3.23% 1.7
9. Greenwave Capital Mgmt (GDS Beta) 0.85% 1.08% 8.0
volatility (10-day standard deviation of prices)
10. Marathon Capital (System FX) 0.43% 2.08% 10.0
divided by the long-term volatility (100-day standard
Source: BarclayHedge (www.barclayhedge.com). Based on estimates of the composite of all accounts or the
deviation of prices). The % rank is the percentile rank fully funded subset method. Does not reect the performance of any single account.
of the volatility ratio over the past 60 days. PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE PERFORMANCE.

2010 30
 arabicadmin@currencytradermag net

www currencytradermag net

31 CURRENCY TRADER.Jun 2010


CURRENCIES (vs. U.S. DOLLAR)
Current
price vs. 1-month 3-month 6-month 52-week 52-week Previous
Rank* Country Currency U.S. dollar gain/loss gain/loss gain/loss high low rank

1 Japanese yen 0.01114 4.70% -0.58% -1.94% 0.01179 0.01011 17

2 Chinese yuan 0.146395 -0.03% -0.06% -0.03% 0.14760 0.1458 14

3 Hong Kong dollar 0.128175 -0.50% -0.48% -0.66% 0.129 0.1281 15

4 Thai baht 0.03071 -1.24% 1.54% 1.87% 0.03157 0.02866 11

5 Taiwan dollar 0.03098 -2.26% -0.55% -0.27% 0.03201 0.03007 9

6 Singapore dollar 0.705305 -3.34% -0.50% -2.51% 0.7326 0.6817 2

7 Brazilian real 0.53263 -6.44% -2.43% -7.77% 0.5882 0.478 3

8 Indian rupee 0.021035 -6.51% -2.50% -2.57% 0.02263 0.01988 4

9 South African rand 0.12583 -6.74% -1.63% -6.85% 0.1389 0.1187 13

10 British pound 1.433635 -6.78% -6.19% -13.92% 1.7042 1.4235 1

11 Canadian dollar 0.928665 -7.22% -1.54% -2.23% 1.0068 0.8527 5

12 Russian ruble 0.03175 -7.43% -4.57% -8.61% 0.03497 0.03007 8

+
13 New Zealand dollar 0.66339 -7.47% -3.72% -8.98% 0.7635 0.609 7

14 Swiss franc 0.86021 -7.72% -6.75% -13.59% 1.0087 0.8549 16

15 Euro 1.226035 -8.38% -9.19% -18.42% 1.5144 1.216 12

16 Swedish krona 0.124845 -10.35% -9.73% -14.17% 0.148 0.1228 10

17 Australian dollar 0.81505 -12.12% -8.08% -12.00% 0.9405 0.7702 6

As of May 26 *based on one-month gain/loss

ACCOUNT BALANCE
Rank Country 2008 Ratio* 2007 2009+ Rank Country 2008 Ratio* 2007 2009+
1 Singapore 36.188 19.222 47.311 33.838 12 United Kingdom -40.725 -1.517 -75.483 -28.838
2 Norway 83.825 18.59 54.678 52.901 13 Belgium -12.855 -2.539 9.956 -1.254
3 Hong Kong SAR 29.296 13.618 25.529 23.373 14 Czech Republic -6.669 -3.086 -5.483 -1.942
4 Sweden 37.279 7.783 39.054 25.781 15 Italy -78.874 -3.418 -51.691 -71.27
5 Germany 245.722 6.69 253.756 160.627 16 Australia -46.683 -4.406 -57.552 -40.941
6 Taiwan Province 17 United States -706.068 -4.889 -726.572 -417.999
of China 25.122 6.239 32.975 42.572 18 Ireland -13.886 -5.189 -13.876 -6.705
7 Netherlands 41.978 4.787 67.589 41.652 19 Spain -153.665 -9.592 -144.435 -74.136
8 Japan 157.079 3.214 210.967 141.656
Totals in billions of U.S. dollars
9 Switzerland 11.947 2.388 43.531 43.102 *Account balance as percent of GDP +Estimate
10 Canada 7.606 0.507 14.53 -36.132 Source: International Monetary Fund, World Economic Outlook
11 Korea -5.776 -0.62 5.876 42.668 Database, April 2010.

2010 32
 NON-U.S. DOLLAR FOREX CROSS RATES
Currency 1-month 3-month 6-month 52-week 52-week
Rank pair Symbol May 26 gain/loss gain/loss gain/loss high low Previous
1 Yen / Real JPY/BRL 0.020915 11.90% 1.88% 6.30% 0.02227 0.01838 21
2 Pound / Aussie $ GBP/AUD 1.75895 6.08% 2.05% -2.18% 2.0859 1.6328 9
3 Euro / Aussie $ EUR/AUD 1.50423 4.26% -1.20% -7.29% 1.8005 1.377 16
4 Pound / Franc GBP/CHF 1.66664 1.00% 0.59% -0.37% 1.8112 1.5778 4
5 Pound / Canada $ GBP/CAD 1.54376 0.48% -4.72% -11.95% 1.9173 1.4894 10
6 Franc / Canada $ CHF/CAD 0.92629 -0.54% -5.29% -11.62% 1.0724 0.909 19
7 Euro / Franc EUR/CHF 1.425295 -0.71% -2.61% -5.58% 1.5383 1.3989 11
8 Canada $ / Real CAD/BRL 1.74355 -0.83% 0.91% 6.01% 1.8338 1.6003 13
9 Euro / Canada $ EUR/CAD 1.320215 -1.25% -7.76% -16.55% 1.63 1.2748 17
10 Euro / Pound EUR/GBP 0.85516 -1.70% -3.19% -5.23% 0.9411 0.8399 20
11 Euro / Real EUR/BRL 2.301855 -2.07% -6.92% -11.54% 2.8724 2.2286 18
12 Aussie $ / Franc AUD/CHF 0.947505 -4.77% -1.42% 1.86% 1.0079 0.8457 7
13 Aussie $ / New Zeal $ AUD/NZD 1.228555 -5.03% -4.53% -3.33% 1.3233 1.1931 12
14 Aussie $ / Canada $ AUD/CAD 0.87766 -5.29% -6.64% -9.99% 0.9895 0.8725 14
15 Aussie $ / Real AUD/BRL 1.530245 -6.07% -5.79% -4.58% 1.6978 1.5256 15
16 Pound / Franc GBP/JPY 128.7 -10.94% -5.67% -12.19% 163.057 127.065 1
17 Canada $ / Yen CAD/JPY 83.37 -11.39% -0.95% -0.26% 94.1955 79.6163 2
18 New Zeal $ / Yen NZD/JPY 59.56 -11.63% -3.14% -7.13% 69.5573 58.1679 5
19 Franc / Yen CHF/JPY 77.225 -11.83% -6.19% -11.85% 91.549 76.36 8
20 Euro / Yen EUR/JPY 110.07 -12.46% -8.64% -16.77% 139.2 108.8 6
21 Aussie $ / Yen AUD/JPY 73.18 -16.06% -7.54% -10.22% 88.048 46.508 3
GLOBAL STOCK INDICES
1-month 3-month 6-month 52-week 52-week
Rank Country Index May 26 gain/loss gain/loss gain/loss high low Previous
1 Canada S&P/TSX composite 11,543.90 -6.00% -0.74% 0.94% 12,321.80 9,535.50 4
2 Mexico IPC 31,328.49 -7.23% -0.97% 2.89% 34,223.90 22,956.00 7
3 India BSE 30 16,387.84 -7.65% -0.25% -2.77% 18,047.90 13,220.00 10
4 South Africa FTSE/JSE All Share 27,047.51 -7.72% 1.06% 0.08% 29,565.10 21,665.90 5
5 Germany Xetra Dax 5,758.02 -9.07% 2.85% 2.56% 6,341.52 4,524.01 2
6 Switzerland Swiss Market 6,167.50 -9.35% -8.10% -1.84% 6,990.70 5,204.80 14
7 Singapore Straits Times 2,696.02 -10.21% -1.99% -2.40% 3,037.97 2,211.81 3
8 Hong Kong Hang Seng 19,196.45 -11.07% -6.85% -13.57% 23,099.60 16,977.70 6
9 Australia All ordinaries 4,330.40 -11.86% -6.90% -8.40% 5,048.60 3,710.10 13
10 U.S. S&P 500 1,067.95 -11.89% -3.31% -2.16% 1,219.80 869.32 1
11 UK FTSE 100 5,038.10 -12.44% -5.91% -3.00% 5,833.70 4,096.10 9
12 Brazil Bovespa 60,190.00 -12.61% -9.49% -9.34% 71,989.00 48,262.00 11
13 Japan Nikkei 225 9,522.66 -14.72% -5.96% 1.49% 11,408.20 9,050.33 8
14 France CAC 40 3,408.59 -14.73% -8.09% -7.36% 4,088.18 2,957.83 12
15 Italy FTSE MIB 18,778.41 -17.58% -10.87% -14.34% 24,559 17,626 15
GLOBAL CENTRAL BANK LENDING RATES
Country Interest rate Rate (%) Last change Sept. 2009 April 2009
United States Fed funds rate 0-0.25 0.5 (Dec. 08) 0-0.25 0-0.25
Japan Overnight call rate 0.1 0.2 (Dec. 08) 0.1 0.1
Eurozone Refi rate 1 0.25 (May 09) 1 1
England Repo rate 0.5 0.5 (March 09) 0.5 0.5
Canada Overnight funding rate 0.50 0.25 (June 10) 0.25 0.25
Switzerland 3-month Swiss Libor 0.25 0.25 (March 09) 0.25 0.25
Australia Cash rate 4.5 0.25 (May 10) 3.5 3
New Zealand Cash rate 2.5 0.50 (April 09) 2.5 2.5
Brazil Selic rate 9.5 0.75 (April 10) 8.75 10.25
Korea Overnight call rate 2 0.5 (Feb. 09) 2 2
Taiwan Discount rate 1.25 0.25 (Feb. 09) 1.25 1.25
India Repo rate 5.25 0.25 (April 10) 4.75 4.75
South Africa Repurchase rate 7 0.5 (Aug. 09) 7 7.5
GLOBAL BOND RATES
Rank Country Rate May 26 1-month 3-month 6-month High Low Previous
1 U.S. 10-year T-note 121.16 3.93% 3.11% 0.57% 122.08 112.90 3
2 Germany BUND 128.72 3.76% 3.43% 4.19% 129.55 117.47 1
3 Japan Government Bond 140.6 0.97% 0.50% 0.75% 140.98 135.45 5
4 Australia 10-year bonds 94.68 0.55% 0.17% -0.03% 94.87 94.09 4
5 UK Short sterling 99.24 -0.03% -0.10% -0.14% 99.52 98.62 2

33 CURRENCY TRADER.Jun 2010



GDP*
Unemployment
Release 1-year Next
Period date Change change release Release 1-year Next
AMERICAS Period date Rate Change change release

Argentina Q4 3/17 4.8% 10.7% 6/18 AMERICAS

Brazil Q4 3/11 2.0% 4.3% 6/8 Argentina Q1 5/21 8.3% -0.1% -0.1% 8/23

Canada Q1 5/31 2.5% 5.6% 8/31 Brazil April 5/27 7.3% -0.3% -1.6% 6/24

EUROPE Canada April 5/7 8.1% -0.1% 0.0% 6/4

France Q1 5/12 0.4% 0.7% 8/13 EUROPE

Germany Q1 5/12 0.6% 3.2% 8/13 France Q4 3/4 9.6% 0.5% 1.8% 6/3

UK Q4 3/30 1.2% -1.7% 6/30 Germany April 6/1 7.1% -0.2% -0.5% 6/30

AFRICA UK Jan.-March 5/12 8.0% 0.2% 0.9% 6/16

S. Africa Q1 5/25 1.6% 1.4% 6/24 ASIA and S. PACIFIC

ASIA and S. PACIFIC Australia April 5/13 5.3% 0.0% -0.3% 6/16

Australia Q4 3/3 1.9% 1.3% 6/2 Hong Kong Feb.-April 5/18 4.4% 0.0% -0.9% 6/17

Hong Kong Q1 5/14 -6.5% 9.2% 8/13 India April 5/28 5.1% 0.1% 0.1% 6/29

India Q1 5/31 19.1% 12.2% 8/31 Japan Q1 4/30 2.2% -0.1% -1.0% 7/30

Japan Q1 5/20 1.2% 4.9% 8/16 Singapore March 4/8 5.3% 0.0% -0.2% 5/13

Singapore Q1 5/21 4.1% 15.5% NLT 8/27

* Final estimates, at current prices, seasonally adjusted

CPI PPI
Release 1-year Next Release 1-year Next
Period date Change change release Period date Change change release
AMERICAS AMERICAS
Argentina April 5/12 0.8% 10.2% 6/11 Argentina April 1/5 0.1% 14.5% 6/11
Brazil April 1/5 0.6% 2.7% 6/9 Brazil April 5/6 0.7% 3.0% 6/9
Canada April 5/21 0.3% 1.8% 6/22 Canada April 5/31 0.3% -0.4% 6/29
EUROPE EUROPE
France April 5/12 0.3% 1.7% 6/11 France March 4/30 0.6% 2.0% 6/2
Germany April 5/11 -0.1% 1.0% 6/10 Germany April 5/20 1.5% 5.5% 6/24
UK April 5/18 0.6% 3.7% 6/15 UK April 5/7 1.4% 5.7% 6/4
AFRICA AFRICA
S. Africa April 5/26 0.2% 4.8% 6/23 S. Africa April 5/27 1.5% 5.5% 6/24
ASIA and S. PACIFIC ASIA and S. PACIFIC
Australia Q1 4/28 0.9% 2.9% 7/28 Australia Q1 4/27 1.0% -0.1% 7/26
Hong Kong April 5/20 0.4% 2.4% 6/22 Hong Kong Q1 3/12 1.8% -0.3% 6/14
India April 5/31 0.0% 13.3% 6/30 India April 5/15 1.2% 9.6% 6/10
Japan April 5/28 0.0% -1.2% 6/25 Japan April 5/17 0.4% -0.2% 6/10
Singapore April 5/24 0.9% 3.2% 6/23 Singapore April 5/27 1.5% 11.6% 6/29

2010 34
35 CURRENCY TRADER.Jun 2010


June 18 Germany: May PPI

1 U.S.: May ISM manufacturing report 19
Canada: Bank of Canada interest- 20
rate announcement 21 Hong Kong: Q1 GDP
France: April CPI 22 Canada: May CPI
Germany: April employment report Hong Kong: May CPI
2 Australia: Q1 GDP South Africa: Q1 employment report
3 23 U.S.: FOMC interest-rate announce-
4 U.S.: May employment report ment
Canada: May employment report South Africa: May CPI
5 24 U.S.: May durable goods
6 Brazil: May employment report
7 Mexico: May Employment report;
8 Brazil: Q1 GDP June 15 CPI
9 U.S.: Fed beige book South Africa: May PPI
Brazil: May CPI and PPI 25 U.S.: Q1 GDP (third)
Mexico: May 31 CPI; May PPI Japan: May CPI
10 U.S.: April trade balance 26
Australia: May employment report 27
Germany: May CPI 28 U.S.: May personal income
Japan: May PPI 29 Canada: May PPI
ECB: Governing council interest-rate Japan: May employment report
announcement 30 India: May CPI
UK: Bank of England interest-rate UK: Q1 GDP
announcement July
11 U.S.: May retail sales 1 U.S.: June ISM manufacturing report
France: May PPI France: May PPI

JUNE 2010 UK: May PPI 2 U.S.: June employment report

30 31 1 2 3 4 5 12 3
6 7 8 9 10 11 12 13 4
13 14 15 16 17 18 19 14 Hong Kong: Q1 PPI 5
20 21 22 23 24 25 26 15 Japan: Bank of Japan interest-rate 6
27 28 29 30 31 1 2
announcement 7 Brazil: June CPI and PPI
UK: May CPI 8 Australia: June employment report
16 U.S.: May PPI and housing starts Mexico: June 30 CPI; June PPI

UK: April employment report 9 Canada: June employment report

FDD: June currency futures (CME) Germany: June CPI
17 U.S.: May CPI and leading indicators
Hong Kong: March-May employment
report

2010 36

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37 CURRENCY TRADER.Jun 2010


Carry trades involve buying (or lending) a currency True range True range (TR): A measure of price
with a high interest rate and selling (or borrowing) a
currency with a low interest rate. Traders looking to
earn carry will buy a high-yielding currency while
simultaneously selling a low-yielding currency.
Fibonacci series: A number progression in which
each successive number is the sum of the two
immediately preceding it: 1, 2, 3, 5, 8, 13, 21, 34,
55, and so on. As the series progresses, the ratio of
a number in the series divided by the immediately
preceding number approaches 1.618, a number that
is attributed significance by many traders because of
its appearance in natural phenomena (the progression
of a shells spiral, for example), as well as in art
and architecture (including the dimensions of the
Parthenon and the Great Pyramid). The inverse,
0.618 (0.62), has a similar significance.
Some traders use fairly complex variations of
Fibonacci numbers to generate price forecasts, but
a basic approach is to use ratios derived from the
series to calculate likely price targets. For example,
if a stock broke out of a trading range and rallied
from 25 to 55, potential retracement levels could be
calculated by multiplying the distance of the move
(30 points) by Fibonacci ratios say, 0.382, 0.50,
and 0.618 and then subtracting the results from
the high of the price move. In this case, retracement
levels of 43.60 [55 - (30 * 0.38)], 40 [55 - (30 *
0.50)], and 36.40 [55 - (30 * 0.62)] would result.
Similarly, after a trading range breakout and an up
move of 10 points, a Fibonacci follower might
project the size of the next leg up in terms of a
Fibonacci ratio e.g., 1.382 times the first move,
or 13.82 points in this case.
The most commonly used ratios are 0.382, 0.50,
0.618, 0.786, 1.00, 1.382, and 1.618. Depending
on circumstances, other ratios, such as 0.236 and
2.618, are used.
While Fibonacci retracements are used to calculate
the possible partial correction levels of a previous
price move (i.e., a reversal of up to 100 percent of
a previous price swing), Fibonacci extension levels
are used to extrapolate moves in the same direction
as a previous price swing for example, projecting
a target for a new upswing that represents a 161.8-
percent gain from a certain price level
based on the size of the previous upswing.
2010
movement or volatility that accounts for the gaps
that occur between price bars. This calculation
provides a more accurate reflection of the size of
a price move over a given period than the standard
range calculation, which is simply the high of a
price bar minus the low of a price bar. The true range
calculation was developed by Welles Wilder and
discussed in his book New Concepts in Technical
Trading Systems (Trend Research, 1978).
True range can be calculated on any time frame
or price bar five-minute, hourly, daily, weekly,
etc. The following discussion uses daily price bars
for simplicity. True range is the greatest (absolute)
distance of the following:
1. Todays high and todays low.
2. Todays high and yesterdays close.
3. Todays low and yesterdays close.
Average true range (ATR) is simply a moving average
of the true range over a certain time period. For
example, the five-day ATR would be the average of
the true range calculations over the last five days.
Variance and standard deviation: Variance
measures how spread out a group of values are in
other words, how much they vary. Mathematically,
variance is the average squared deviation (or
difference) of each number in the group from the
groups mean value, divided by the number of
elements in the group. For example, for the numbers
8, 9, and 10, the mean is 9 and the variance is:
Now look at the variance of a more widely distributed
set of numbers: 2, 9, and 16:
The more varied the prices, the higher their variance
the more widely distributed they will be. The
more varied a markets price changes from day to
day (or week to week, etc.), the more volatile that
market is. A common application of variance in
trading is standard deviation, which is the square
root of variance. The standard deviation of 8, 9, and
10 is: sq. rt. 0.667 = .82; the standard deviation of 2,
9, and 16 is: sq. rt. 32.67 = 5.72.
38


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39 CURRENCY TRADER.Jun 2010



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2010 40