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The SGI Future Interest Rate Momentum EUR 2 (“FIRM EUR 2”) is a systematic strategy on short term EUR interest rates. It aims to take advantage of the trends observed on 3m Euribor rate based on the European Central Bank’s decisions (ECB). The strategy takes long or short positions on Euribor 3M futures contracts. Risk is dynamically managed through a daily mechanism that aims to maintain volatility at around 3%.
The European Central Bank (ECB) revises its rates periodically, and these repeated moves create trends in short-term interest rates. The FIRM EUR 2 strategy aims to make the most of this continuity. The FIRM EUR 2 is based on 2 main strategies:
- In order to capture these trends, the Trend Detection Strategy takes long or short positions on 3M Euribor futures contracts, depending on the 3M Euribor volatility and past 3M Euribor movements.
- The Roll-down strategy: rolling long futures positions when rates are constant or decreasing generates a gain.