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Main characteristics

Bloomberg Code SGIXFMEU
Inception Date 22/02/2011
Return Type Excess Return
Currency EUR
CALCULATED_BY Standard & Poor's

Objective

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%.

Mechanism

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.


The SGI FIRM EUR 2 (EUR - ER) (The “Index”) is the property of SG, which has contracted with S&P Opco, LLC (a subsidiary of S&P Dow Jones Indices LLC) (“S&P Dow Jones Indices”) to maintain and calculate the Index. S&P® is a registered trademarks of Standard & Poor’s Financial Services LLC (“SPFS”); Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”) and these trademarks have been licensed to S&P Dow Jones Indices. “Calculated by S&P Dow Jones Indices Custom” and its related stylized mark(s) are service marks of S&P Dow Jones Indices and have been sublicensed for certain purposes by SG. Neither S&P Dow Jones Indices, SPFS, Dow Jones nor any of their affiliates shall be liable for any errors or omissions in calculating the Index.
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