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SGI Curve Carry Spread USD Index

Index level: 984.06 as of 20/10/2020

Main characteristics

Bloomberg Code SGIXCCSU
Inception Date 01/07/2014
Return Type Excess Return
Currency USD
Calculated By S&P Dow Jones


The SGI Curve Carry Spread USD Index provides an exposure to the performance of a portfolio of forward interest rate swaps aiming to capture the roll down on the USD forward swaps rate while keeping the duration risk close to zero.


Depending on the shape of forward swap rates curve, the Index takes opportunistic long or short positions in order to capture the alternative carry by exploiting the potential concavity or convexity of the curve. The duration risk is hedged: the notional of each forward swap is equal to one divided by its sensitivity. The Index presents strong diversification with the other asset classes and the others SGI Alpha Indices on rates.

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