UBS European Volatility Arbitrage Index ("EVA")

UBS European Volatility Arbitrage Index

Index Characteristics:
Total return
Net of costs

Currency:
EUR

Bloomberg ticker:
MLTAEVA

Geographical focus:
Europe

Live date:
30 Jun 2005

Benchmark:
Not applicable

Other versions:
US TR (MLTAAVAU)

Objective and Concept

  • The Index aims at capturing the difference between implied volatility and realised volatility
  • The premium can be seen as a compensation to option sellers for the downside risk in periods when realised vol. spikes
  • The magnitude of the volatility premium may be supported structurally by an imbalance between supply and demand. This might cause index implied volatility to trade, on average, at a premium compared to fair value

Backtested and historical performance

Period:

Performance

Cumulative

Return (p.a.)

5.24%

Volatility

9.79%

Return/Volatility

0.53

Drawdown

-34.19%

Sortino Ratio

0.42

Calmar Ratio

0.15

Live date: 30 Jun 2005

Data updated:

03 May 2019

Backtested and historical monthly performance

Sep-20

Aug-20

Jul-20

Jun-20

May-20

Apr-20

Mar-20

Feb-20

Jan-20

Dec-19

Nov-19

Oct-19

n.a.

n.a.

n.a.

n.a.

n.a.

n.a.

n.a.

n.a.

n.a.

n.a.

n.a.

n.a.

Live date: 30 Jun 2005

Data updated:

03 May 2019

3 largest drawdowns

Drawdown

Start Date

End Date

Recovery Date

-34.2%

25 Jun 2008

13 Oct 2008

21 Jul 2011

-15.9%

29 May 2002

03 Sep 2002

21 Aug 2003

-12.7%

03 Jan 2018

08 Feb 2018

n.a.

Live date: 30 Jun 2005

Data updated:

03 May 2019

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This material contains data derived as a result of backtesting of data and is provided by UBS in good faith using its standard methodology for information of this kind. That methodology relies on proprietary models, empirical data, assumptions and such other information that we believe to be accurate and reasonable. The current data that UBS selected for preparation of this material may be substantially different if the date is selected from a different time period and this may have substantial impact on the backtesting results.
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Data as of:

03 May 2019