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The SGI MOnetary policy Driven GULF STREAM (“MOD GULF STREAM”) is an equally-weighted composite of the SGI MOD EUR and SGI MOD USD. The index 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 index takes long or short positions in NYSE Liffe 3M Euribor futures contracts (for the SGI MOD EUR) and CME Eurodollar 3M futures contracts (for the SGI MOD 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%.
The ECB and the Fed revise their refinancing rates periodically. These moves create trends in short-term interest rates. Whenever the Fed or the ECB are starting to hike or cut its target rate, it is generally maintaining the same trend over several months. The MOD EUR and MOD USD strategies aim to make the most of these trends. Both the SGI MOD EUR and the SGI MOD USD are based on 2 strategies:
- 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 capture the trends created on the short term interest rates markets, the MOD USD and MOD EUR strategies take long or short positions respectively on CME Eurodollar 3M futures contracts and on NYSE Liffe Euribor 3M futures contracts, depending on the direction of the Fed revisions of its target rate (for the SGI MOD USD) and on the direction of the ECB revisions of its target rate and on the impact of ECB speech on forward rates (for the SGI MOD EUR).
The SGI MOD Gulf Stream provides a strategy of diversification through an exposure on both short term interest rates markets.