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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