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.
€980 million
Protected structured notes, UCITS fund, trading IP licensing agreement
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.
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.
Strategies
Team
- Christopher Kennedy
- Jochen Renz
- Simon Crooks
- Lee Bostock
Contact
- +43 (1) 25 300 25 – 352
- office@fortinbras-am.com