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