Ubs Group Ag · SIX:UBSG
Ubs — Investor Presentation (January 2011)
28 slides from Ubs's investor presentation, January 2011
Slide 1: UBS Bloomberg DJUBS Constant Maturity
UBS Bloomberg DJUBS Constant Maturity (January 2011) Combining the Dow Jones-UBS CISM composition and weighting with the innovative CMCI methodology
Slide 2: Summary
Summary Background on the CMCI Flex products Investor demand in commodities has grown significantly over the last few years with the majority of new investment being in long only index products However many investors have been disappointed with the performance of traditional indices during times
Slide 3: Agenda
1. Reference Index Comparison 2. UBS Bloomberg DJUBS Constant Maturity 3. Appendix 1 : finding Value through Curve Asymmetries 4. Appendix 2
Slide 4: Reference Index Comparison
Reference Index Comparison DJUBS Commodity Index UBS Bloomberg CMCI S&P Livestock, Precious Metals, 5.91% Livestock, 4.0% 14.19% Energy, 27.66% Agriculture, 29.2% Energy, 34.2% Composition Industrial Metals, 17.73% Agriculture, 34.51% Precious Metals, Industrial 5.5% Metals, 27.1% Creation Date Janu
Slide 5: Dow Jones-UBS Commodity Index
Dow Jones – UBS Commodity IndexSM Fundamentals: broad-based commodity index representing unleveraged, long only positions in a basket of exchange-traded futures on commodities One of the most widely followed commodity indices Weighting Engine that is based on a combination of liquidity (2/3) a
Slide 6: UBS Bloomberg CMCI
UBS Bloomberg CMCI The UBS Bloomberg CMCI (“CMCI”) is a unique index that demonstrates: Constant and stable outperformance with REAL track record As a result of the methodology that minimises the impact of roll yield on returns, the CMCI has outperformed S&P GSCI by more than 180% since 1998 and
Slide 7: CMCI vs. Traditional Indices
CMCI vs. Traditional Indices Better performance at lower volatility, compared to traditional commodity indices Performance drivers Annualized Roll & Collateral Performance vs. Price Return Indices (Past 5 Years) • Significant outperformance thanks to the exposure to longer dated 0% commodity futures
Slide 8: Agenda
1. Reference Index Comparison 2. UBS Bloomberg DJUBS Constant Maturity 3. Appendix 1 : finding Value through Curve Asymmetries 4. Appendix 2
Slide 9: UBS Bloomberg DJUBS Constant Maturity
UBS Bloomberg DJUBS Constant Maturity What is the DJUBS Constant Maturity ? The UBS Bloomberg CMCI introduced two unique concepts to commodity index investment – constant maturity and diversification across the commodities futures curve The DJUBS has historically been the one of the most widely
Slide 10: DJUBS Constant Maturity vs. DJUBS CI comparison
DJUBS Constant Maturity vs. DJUBS CI comparison DJUBS CI DJUBS Constant Maturity Composition 19 commodities 19 commodities - Energy 27.66% - Energy 27.66% - Industrial Metals 17.73% - Industrial Metals 17.73% Sector Weights - Precious Metals 14.19% - Precious Metals 14.19% - Agriculture 34.51% - Agr
Slide 11: CMCI – not just a contango beater
CMCI – not just a contango beater Positive returns may arise from both contango and backwardated commodities 2007 2008 2009 2010YTD Outperformance Curve Outperformance Curve Outperformance Curve Outperformance Curve Commodity CMCI vs S&PGSCI Shape Commodity CMCI vs S&PGSCI Shape Commodity CMCI vs S&
Slide 12: Historical Performance
Historical Performance The advantage of the CMCI methodology over that of a traditional index can be seen by applying the constant maturity approach of the CMCI to an index like the DJ UBS 600% DJ UBS CMCI with DJ UBS Weights The advantage of the CMCI methodology over that of a traditional index is
Slide 13: Agenda
1. Reference Index Comparison 2. UBS Bloomberg DJUBS Constant Maturity 3. Appendix 1 : finding Value through Curve Asymmetries 4. Appendix 2
Slide 14: Excess returns lagging spot
Excess returns lagging spot Traditional commodity indices have been a popular vehicle for investors during the commodity markets expansion phase (2002-2005). However, the changing nature of commodity forward curves across the entire commodity spectrum has meant that traditional commodity indices, re
Slide 15: Negative roll yield adding up
Negative roll yield adding up Roll yields have turned negative over the last few years Historically roll yield has been a key component of returns Roll yield and curve slope must be considered when constructing a commodity portfolio 4.00% 3.00% Monthly roll yield has been largely negative 2.00%
Slide 16: What Shapes the Forward Curve?
What Shapes the Forward Curve? Commodity price and forward curves are affected by many factors, including macro-economic cycles, geopolitical events, inflation, weather and of course supply/demand (im)balances A Contango curve would be considered by many investors to be ‘normal’, where longer-term
Slide 17: Curve Asymmetries
Curve Asymmetries The roll yield experienced at one point in the curve can be very different from the returns experienced at another point; this is a function of convexity. Convexity is simply the change in the slope of the line (or curvature) over time. This is important because convexity creates d
Slide 18: Curve Asymmetries
Curve Asymmetries Asymmetry at the Near End of the Curve Empirical evidence from commodity markets shows asymmetry: UBS analysis suggest that there is greater curvature in contango, especially in the front months Backwardated curves are often more linear, leading to similar roll returns on fro
Slide 19: Curve Asymmetries – More convexity in contango
Curve Asymmetries – More convexity in contango Contango curves have shown more convexity. Backwardated curves tend to be more linear. Changing slope along the curve (convexity) can create differentiation in roll returns achieved If secular then opportunities may exist for out-performance in cont
Slide 20: Curve Asymmetries – Contango Prevails
Curve Asymmetries – Contango Prevails High Correlation between Notional Amounts Tracking Commodity Indices and Contango 1998-2001 2002-2005 2006-2010 -80% -60% -40% -20% 0% 20% 40% 60% 80% 100% 120% -100% -80% -60% -40% -20% 0% 20% 40% 60% 80% 100% 120% -60% -40% -20% 0% 20% 40% 60% 80% 100% 120% Ba
Slide 21: Dealing With the Problem of Roll Yield
Dealing With the Problem of Roll Yield The shape of commodity futures curves has generated substantial interest among investors, and many market participants have developed variations on traditional indices, which in many cases use rule driven engines aiming at avoiding negative roll A number of t
Slide 22: Agenda
1. Reference Index Comparison 2. UBS Bloomberg DJUBS Constant Maturity 3. Appendix 1 : finding Value through Curve Asymmetries 4. Appendix 2
Slide 23: 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. 22
Slide 24: 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 25: Bloomberg Cheat Sheet
Bloomberg Cheat Sheet UBS Bloomberg CMCI functions CMCN - Entry page CMCX – CMCI monitor CMCITR Index GP* – CMCI graph General functions CRR – Commodity Ranked Returns CCRV – Commodity Futures Curves CLA Comdty CT* – WTI Crude Oil Futures Table CLA Comdty CTG* – WTI Crude Oil Futures G
Slide 26: 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 27: 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 28: 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