United States Dollar Analysis Friday, November 20, 2009

Table 1: Current Position   Last is the most recent volume of foreign currency that can be bought with one United States Dollar. Index is the position of the United States Dollar relative to its 1-year low (=0) and 1-year high (=100). A high index indicates appreciation tendency, while a low index indicates depreciation tendency. Bandwidth is the percentage difference of the 1-year high relative to the 1-year low. The table is sorted by the position index.

ISO 4217 Currency Last 1-Year Low 1-Year High Index Band- width  CAD   Canadian Dollars   1.0696   1.0292    1.3    14.9    26.3   GBP   British Pounds    0.605   0.5891   0.7327    11.1    24.4   MXN   Mexican Pesos   13.092   12.821   15.417    10.4    20.2   JPY   Japanese Yen   88.911   87.808   100.74    8.5    14.7   EUR   European Euros   0.6725   0.6654   0.7985    5.4    20.0   CHF   Swiss Francs   1.0179   1.0065    1.224    5.2    21.6

Table 2: Appreciation in Percent   Change refers to the appreciation of the United States Dollar against the listed foreign currencies. A positive number refers to appreciation, a negative number refers to depreciation. Change Index is the value of the United States Dollar relative to its value one year ago set to 100 at that time. The table is sorted by the index of 1-year appreciation.

ISO 4217 Currency 1 Year 90 days 30 days Trend Index  MXN   Mexican Pesos    -3.5    1.9    1.5       96.5   JPY   Japanese Yen    -6.4    -5.9    -2.3       93.6   GBP   British Pounds   -10.5    -0.7    0.5       89.5   EUR   European Euros   -15.8    -3.7    0.9       84.2   CHF   Swiss Francs   -16.6    -4.0    1.1       83.4   CAD   Canadian Dollars   -16.8    -0.4    2.7       83.2

Table 3: Volatility   Volatility refers to measures of the standard deviation of the daily percentage change. The volatility index is the ratio of the 30-day volatility measure and the 1-year volatility measure times 100. An index lower than 100 indicates volatility decrease, and an index higher than 100 indicates an increase in volatility. The table is sorted by the volatility index.

ISO 4217 Currency 1 Year 90 days 30 days Trend Index  EUR   European Euros    0.937    0.559    0.677       72.3   CHF   Swiss Francs    0.983    0.596    0.710       72.2   CAD   Canadian Dollars    1.032    0.841    0.746       72.2   MXN   Mexican Pesos    1.028    0.736    0.721       70.1   GBP   British Pounds    1.050    0.723    0.712       67.9   JPY   Japanese Yen    0.876    0.582    0.505       57.7

Table 4: Comovements   This table shows the correlation between pairs of United States Dollar (USD) exchange rates. Comovements capture the extent to which two foreign currencies move together relative to the base currency. The comovement measure determines the need for currency diversification. The Pearson correlation coefficient is a number between -1 and +1, indicating negative or positive correlation of the daily exchange rate changes.

USD CAD EUR JPY GBP CHF EUR  0.338              JPY  0.034   0.334           GBP  0.271   0.670   0.340        CHF  0.199   0.889   0.500   0.618     MXN  0.209   0.020   -0.091   0.071   -0.057

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