STIRM: Short Term Interest Rate Model

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.

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

Protected structured notes, UCITS fund, trading IP licensing agreement

UBS AG, London

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Fortinbras Asset Management GmbH is a tied-agent according to § 2 Abs. 10 KWG of the German Banking Act and falls under the regulation and authorization of BaFin, the Federal Financial Supervisory Authority in Germany. License number 80177742 in BaFin’s public register. Responsible investment firm is MEX Asset Management GmbH; managing director is Christopher Kennedy.



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