CMCI Volatility Target Indices
The CMCI Volatility Target Indices are part of the CMCI Strategy Indices and have been developed to optimize the risk/return profile of UBS Bloomberg CMCI Index family.
Based on a proprietary UBS Volatility Target mechanism, the Index provides a dynamic, risk adjusted exposure to the CMCI index designed to maintain the volatility of the index at a specified level. The Volatility Target can be set at various levels. The indices currently available are the UBS Bloomberg CMCI T15, where the target volatility is 15%.
The Volatility Target mechanism has been designed to maintain the volatility of the Index around 15% *, while having a dynamic leveraged exposure up to 150%.
Thus, by increasing the exposure to the CMCI index in stable conditions and reducing it in volatile markets, the index aims at capturing performance in both rising and falling markets while maintaining a directional, long-only approach to commodities.