The SGI Euro Return Index is a cash index which aims at outperforming the EONIA rate in a short to mid-term horizon while locking the principal and past years performances. The index limits its exposure to the short-term euro rates with a maximum duration of one year.
In the context of current historically low interest rates, the SGI Euro Return Index offers investors the possibility to improve the returns of their money market portfolio.
The SGI Euro Return Index follows a simple strategy which aims at capturing EUR short-term rate trends created by the European Central Bank (ECB) monetary policy (refinancing rate revisions).
The SGI Euro Return Index relies on the three following strategies:
- Detecting trends by using signals on short-term interest rates and taking position to capture those trends
- Performance monitoring through a volatility control and a smoothing of the performance when the trend-following strategy strongly outperforms the objective
- Annual lock of the principal and performance