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Main characteristics

Bloomberg code SGIXMOUS
Inception date 02/01/2012
Return type Excess Return
Currency USD

Objective

The SGI MOD USD Index (the Index) was launched on February 1, 2012 and seeks to take advantage of trends in short-term interest rates movements and the shape of the forward curve 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 (i.e., when the Fed hikes or cuts its target Fed Funds Rate or keeps such rate unchanged).

The Index takes long or short positions 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 Trend Following Strategy 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 Index began publishing on February 1, 2012. Therefore, all data for the Index for the period prior to February 1, 2012 represent Standard & Poor's ("S&P"s) application of the Index methodology in order to reconstruct hypothetical historical data. Results during the period prior to February 1, 2012 may have been different(perhaps considerably) had the Index actually been in existence. The SGI MOD 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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