CMCI Strategy indices have been developed in order to allow customers to benefit from longer tenors and constant maturity of the CMCI, while introducing an element of discretionary management. This can achieve a number of outcomes, including adapting to evolving market conditions, removing the mismatch with traditional commodity indices or allowing users to define own commodity composition and weightings.
CMCI Essence Family
CMCI Essence Family
The UBS CMCI Essence (CMLS) is a diversified market neutral commodity strategy. It aims to generate alpha from commodity markets by benefiting from the different investment methodologies of the CMCI and the traditional commodity indices. The long leg of the strategy is the UBS Bloomberg SPGSCI Constant Maturity Light Energy Index (CMSPLE) and the short leg of the strategy is the S&P GSCI Light Energy Index (SPGCLE). CMLS rebalances quarterly to have equal exposure to long leg and short leg. The index is available in USD, EUR, CHF, GBP and risk controlled formats.
CMCI Volatility Target Indices
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 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 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.
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