The SGI Future Interest Rate Momentum US Index (the Index) began publishing on February 23, 2011 and seeks to take advantage of trends in short-term interest rates movements and the shape of the forward cure for CME 3M Eurodollar Futures.
The Index seeks to capture trends in interest rate movements by taking either long or short positions on CME 3M Eurodollar futures contracts based on a signal given by Fed decisions on the level of its target Fed Funds Rate as announced after its Federal Open Market Committee (FOMC) meeting. The Index invests in the CME 3M Eurodollar future contracts depending on the Trend Following Strategy and the volatility target mechanism.
The Index varies its exposure to the Trend Following Strategy depending on the historical volatility of such underlying as compared to a Target Volatility of 3%. If the historical volatility is greater or less than 3,% the Index increases or decreases its exposure to the Trend Following Strategy in order to maintain the volatility of the Index as close to 3% as possible.