Slide 1: CMCI Active (January 2011): Flexibility & Performance
CMCI Active (January 2011) Flexibility & Performance
Slide 2: Executive Summary
Executive Summary CMCI Active index gives you the benefit of innovative UBS Bloomberg CMCI methodology and the flexibility to change the Index exposure to reflect the market outlook and developments Constant and stable outperformance with REAL track record As a result of the methodology that min
Slide 3: Agenda
1. Actively Managed Version of the CMCI 2. Opportunities for Outperformance 3. Appendix
Slide 4: A Move to Active Management
A Move to Active Management Active management introduces opportunities for outperformance over benchmark indices and algorithmic solutions Despite the long term secular trends widely predicted for the commodity asset class, individual commodities will continue to display a certain amount of cyclic
Slide 5: CMCI Active – Determination of Target Weights
CMCI Active – Determination of Target Weights In order to capture the performance based on the views of the leading research analysts, UBS Commodity Research Analysts knowledge is applied to the CMCI Active in the following ways: Component Management – exposure to any commodity within the CMCI ben
Slide 6: CMCI Active – Determination of Target Weights
CMCI Active – Determination of Target Weights CMCI Active brings investors closer still to the underlying trends of the commodities markets by allowing UBS research analysts to modify component, tenor and sector weights in response to developments in the markets Exchange CMCI Target Weight % TW % Ad
Slide 7: Investors Receive Tailored Report from UBS Research
Investors Receive Tailored Report from UBS Research … Fully transparent index with market commentary tailored to CMCI 6
Slide 8: CMCI Active – Outperforming the Benchmark
CMCI Active – Outperforming the Benchmark The CMCI Active has out-performed the CMCI Benchmark Index since its inception in August 2007* CMCI CMCI Active Performance p.a. 3.4% 7.2% 160% Volatility p.a. 23.6% 23.2% Sharpe Ratio 0.14 0.31 140% 120% 100% 80% CMCI CMCI Active 60% Aug-07 Nov-07 Feb-08 Ma
Slide 9: CMCI Active – Best Performing Index over 2009
CMCI Active – Best Performing Index over 2009 Source: Bloomberg. Data from 31 December 2008 to 31 December 2009 *Important disclaimer: Past performance is not indicative of future performance. 8
Slide 10: Agenda
1. Actively Managed Version of the CMCI 2. Opportunities for Outperformance 3. Appendix
Slide 11: Capture Performance from Individual Commodities
… Capture Performance from Individual Commodities Experts in each commodity sector analyze the relative value of each commodity within that sector Active management can consider timing and seasonality issues that are unique to individual commodities Relative value can be added even when commod
Slide 12: Capture Performance from Seasonality
… Capture Performance from Seasonality Some commodities, such as Natural Gas and Agricultural commodities, exhibit a lot of seasonality in their performance CMCI Active would allow to maximize individual commodity weight at the points of forward curve peaks by re-distributing the tenor weights acc
Slide 13: Capture Performance from the Commodity Curve
… Capture Performance from the Commodity Curve Commodity returns are based on both price performance and roll yield Investable Commodity Index = Price returns + Roll returns (Excess Return) have commodity futures prices Can be either positive or negative and result from increased or decreased? repla
Slide 14: Capture Relative Sector Performance
.. Capture Relative Sector Performance The primary difference between most commodity index returns comes down to sector weightings Commodity sectors often exhibit autocorrelation and momentum – this can be maintained by an expert using technical and fundamental analysis and can be constantly tun
Slide 15: Agenda
1. Actively Managed Version of the CMCI 2. Opportunities for Outperformance 3. Appendix
Slide 16: UBS – A Leader in Commodity Index Investments
UBS – A Leader in Commodity Index Investments What We Have Extensive team of professionals across North America, Europe and Asia specializing in indexed commodities Industry leading research and trading platform First-in-class operations and risk management infrastructure What We Offer Expos
Slide 17: Global Quality of Research - II Rankings
Global Quality of Research- II Rankings Clients have recognised our commitment to research over the years Region UBS Citi CS BoA/ML GS MS DB JPM LB/BC 11 Asia 2007 2 2 9 6 4 8 7 1 9 2008 3 1 4 7 5 8 9 2 9 2009 2 1 4 5 7 8 8 3 - 2010 6 2 1 8 9 4 11 4 - Emerging Europe 2007 1 5 - 3 - - 2 8 - 2008 3 4
Slide 18: CMCI Website: www.ubs.com/cmci
CMCI Website: www.ubs.com/cmci Wide range of CMCI documents available for download: Educational materials on: CMCI Manual Commodity Index Presentation development Factsheets CMCI Methodology Chart book (index Products comparison) etc. etc. 17
Slide 19: UBS Commodities – Contacts
UBS Commodities – Contacts Global Head of Commodities: Jean Bourlot +44 207 567 8376 Jean Bourlot joined UBS in August 2010 as a Managing Director, Global Head of Commodities. From 1995 to 2007 he was trading options on Oil and Refined products, joint-head of the Options book at Morgan Stanley from
Slide 20: Disclaimer Information
Disclaimer Information S&P GSCI Index The Product is not sponsored, endorsed, sold or promoted by Standard & Poor's, a division of The McGraw-Hill Companies, Inc. ("S&P"). Standard & Poor’s does not make any representation or warranty, express or implied, to the owners of the Products or any member
Slide 21: Disclaimer
Disclaimer Disclaimer: please refer to www.ubs.com/cmci. Issued by UBS AG and/or affiliates to institutional investors; not for private persons. This is a product of a sales or trading desk and not the Research Dept. This material is for distribution only under such circumstances as may be permitted