STIRM: Short Term Interest Rate Model

Investment Thesis

Directional persistence of central bank base rates creates trends in front end of the yield curve. Research shows that 80% of the time policy rates are raised or lower in the same direction as the previous move with a fluid transition mechanism of this autocorrelative behavior to tradeable instruments. Additionally, recent innovations in forward guidance term-out this momentum to further parts of the yield curve.

Investment Thesis

Directional persistence of central bank base rates creates trends in front end of the yield curve. Research shows that 80% of the time policy rates are raised or lower in the same direction as the previous move with a fluid transition mechanism of this autocorrelative behavior to tradeable instruments. Additionally, recent innovations in forward guidance term-out this momentum to further parts of the yield curve.

Instruments

Global portfolio of short-term interest rate futures traded on a long / short basis according to a trend following model.

Instruments

Global portfolio of short-term interest rate futures traded on a long / short basis according to a trend following model.

AUM

€980 million

Delivery Platforms

Protected structured notes, UCITS fund, trading IP licensing agreement

AUM

€980 million
Delivery Platforms

Protected structured notes, UCITS fund, trading IP licensing agreement

Structuring Partner

UBS AG, London

Structuring Partner

UBS AG, London

Fortinbras is proud to be an equal opportunity workplace.  We are registered in the Austrian companies registry (Firmenbuch) under the number FN 281026z with managing director (handelsrechtlich) being Christopher John Kennedy.  Our VAT ID is ATU72796218.

This website is not an offer to, or solicitation of, any potential clients or investors for the provision by Fortinbras of asset management, advisory or any other related services. No material listed on this website is or should be construed as investment advice, nor is anything on this website an offer to sell, or a solicitation of an offer to buy, any security or other instrument.

Strategies

  • STIRM
  • TFM
  • PRISM
  • Pipeline Development

Founders

  • Christopher Kennedy
  • Jochen Renz

Contact

  • +43 6645300018
  • office@fortinbras-am.com

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© 2019 Fortinbras Asset Management GmbH

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