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UBS Investment Bank Launches Algorithmic Strategy System for Commodities
UBS Investment Bank is pleased to announce the launch of the UBS Commodities Portfolio Algorithmic Strategy System (Comm-PASS), a portfolio based algorithmic strategy which exploits momentum in the commodity markets to generate returns through automated long and short strategies.
The portfolio consists of a basket of strategies on 19 commodity futures markets from the five different commodity sectors: Energy, Precious Metals, Base Metals, Agriculture and Livestock. The portfolio is weighted to maintain a diversified portfolio, taking into account liquidity issues.
Peter Ghavami, global head of Commodities at UBS, said: "As familiarity with the commodities asset class grows, an increasing number of investors are recognizing the value of taking a more active approach with their investment strategy. UBS Comm-PASS is the first of a new generation of portfolio-based algorithmic strategy products for the commodities asset class which allows for the generation of returns in both bull and bear markets."
Each strategy generates dynamic long or short signals in an individual commodity, taking into account both the trend and counter-trend characteristics of specific commodities in combination with the asymmetric return distribution seen in the commodity markets. The system adjusts positions based on signals generated from current market conditions in order to constantly capture new market opportunities for each commodity.
For each strategy within UBS Comm-PASS, the algorithm's parameters are chosen independently of the other strategies. This independence leads to a lower correlation between returns of individual strategies and to higher Sharpe and Calmar ratios for the overall portfolio.
James Paget, co-head of EMEA Structured Commodity Sales, said: "For the last few years, commodity price volatility has been substantially greater than other asset classes, largely due to supply concerns as well as changes in global consumption and the influx of financial commodity investments. High volatility offers trading opportunities provided an appropriate trading strategy is implemented. We believe Comm-PASS offers investors the opportunity to generate high returns by exploiting commodity market characteristics."
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