Main characteristics
| Bloomberg Code | SGIXFMGS |
|---|---|
| Inception Date | 22/02/2011 |
| Return Type | Excess Return |
| Currency | EUR |
| Calculated By |
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Objective
The SGI Future Interest Rate Momentum GULF STREAM ( “FIRM GULF STREAM” ) is an equally-weighted composite of the SGI FIRM EUR 2 and SGI FIRM USD. It aims to benefit from the trends created on the short term interest rates by the European Central Bank (ECB) and the Federal Reserve (Fed) monetary policies. The index takes long or short positions in NYSE Liffe 3M Euribor Futures Contracts (for the SGI FIRM EUR 2) and CME Eurodollar 3M Futures contracts (for the SGI FIRM USD), depending on market conditions. Risk is dynamically managed for each component of this basket through a daily mechanism that aims to maintain volatility at around 3%.
Mechanism
The ECB and the Fed revise their refinancing rates periodically. These repeated moves create trends in short-term interest rates. The FIRM EUR 2 and FIRM USD strategies aim to make the most of these trends. Both the SGI FIRM EUR 2 and the SGI FIRM USD are based on 2 strategies:
- In order to capture these trends and generate performance, each sub-index takes long or short positions in NYSE Liffe 3M Euribor Futures Contracts (for the SGI FIRM EUR 2) or CME Eurodollar 3M Futures contracts (for the SGI FIRM USD), depending on market context.
- The Roll-down strategy: rolling long futures positions when rates are constant or decreasing generates a gain
Gulf Stream is the equally-weighted basket of SGI FIRM EUR 2 and SGI FIRM USD. Being exposed to both short term interest rates markets implies diversification.
The SGI FIRM Gulf Stream (EUR / USD - 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.