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Main characteristics

Bloomberg Code SGIXMOEU
Inception Date 01/02/2012
Return Type Excess Return
Currency EUR
CALCULATED_BY Standard & Poor's

Objective

The SGI Monetary Policy Driven strategy EUR (“MOD EUR”) index is a systematic strategy on short term EUR interest rates that seeks to exploit the non realisation of the 3M interest rate forwards by taking into account the momentum tendencies in the short term interest rate market.  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 close to 3%.

Mechanism

The European Central Bank (ECB) revises its rates periodically, and these repeated moves create trends in short-term interest rates. Whenever the ECB is starting to hike or cut its target rate, it is generally maintaining the same trend over several months. The MOD EUR strategy aims to make the most of this continuity.

 

The index combines 2 performance engines:

- The Roll-down premium: rolling long futures positions when rates are constant or decreasing generally generates a positive gain.

The Trend Following strategy: In order to follow the trends created on the short term interest rates markets, the strategy takes long or short positions on 3M Euribor futures contracts, depending on the direction of the ECB revisions of its target rate and on the impact of ECB speech on forward rates


The SGI MOD EUR (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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