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Main characteristics

Bloomberg code SGIXFMUS
Inception date 02/22/2011
Return type Excess Return
Currency USD

Objective

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.

Mechanism

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.


The SGI FIRM USD Index began publishing on February 22, 2011. Therefore, all data for the Index for the period prior to February 22, 2011 represents Standard & Poor's ("S&P"’s) application of the Index methodology in order to reconstruct hypothetical historical data for the period prior to February 22, 2011 consistent with the Index methodology. Results prior to February 22, 2011 may have been different had the Index actually been in existence. The SGI FIRM USD Index (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 trademark 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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