UBS Multi Asset Inflation Aware Index

UBS Multi Asset Inflation Aware Index

A global multi-asset Index that adapts to inflation regimes.

 

Index building blocks

The UBS Multi Asset Inflation Aware Index (the “Index” or the “UBS-MAIA Index”) aims to provide a diversified and global exposure to equities, bonds and commodities using a risk-based allocation that is informed by market implied U.S. inflation environment.

Each asset class features a specific investment mechanism. Equities use an intraday rebalancing methodology to quickly react to changes in equity markets. Bonds use a dynamic weighting mechanism allowing it to adapt to various rates environments. In addition, a diversified commodity strategy is used as an uncorrelated source of returns particularly in periods of high inflation.

Finally, the Index targets a volatility of 5% with the goal of providing smooth and stable returns over the long run.

Ticker:

UBSMAIA5 Index

Previous day closing level:

516.8359

Single-day % change

0.27%

 

Inflation regime using market implied inflation expectations

  • Level of inflation expectations relative to historical levels: low, medium or high
  • Recent change in inflation expectations: decrease, stable or increase
  • Nine different inflation regimes

 

Monthly allocation to a global exposure, informed by current inflation regime

  • Global equities, covering US (S&P 500 ®), Europe (Euro Stoxx 50 ®) and Japan (Topix 100 ®) with intraday risk control
  • Global dynamic bonds exposure covering US 10Y Treasuries, German 10Y Bunds and Japanese 10Y JGB
  • Diversified commodity strategy harvesting supply/demand imbalances across 21 different commodities

 

Multi-layer volatility control

  • Volatility control on each of the Index sub-components
  • Top level volatility control
  • Rebalancing the overall Index daily, targeting 5% volatility (equity component might be rebalanced intraday)
 

Watch the short video on UBS-MAIA Index

 

Inflation regime and risk budget determination

The allocation to the three asset classes uses a risk budgeting approach with target risk budgets based on current inflation regime. Inflation regime is updated on a monthly basis. 

For illustrative purposes only

Inflation regime and associated risk budget

 

Global multi-asset exposure

 

Exposure to the US, European and Japanese equity markets through the S&P 500®, Euro Stoxx 50® and Topix 100® futures

The Equity Intraday Strategy aims to adjust equity exposure intraday during times of market stress or large equity movements.

  • The Equities component of the Index can react to the intraday performance of the S&P 500®, Euro Stoxx 50® and Topix 100® futures during each of their respective time zones.
  • The target weights are consistent with global equity benchmarks at, respectively, 55%, 30% and 15% for S&P 500®, Euro Stoxx 50® and Topix 100®.

Around the Clock Trading

  • Observing and potentially adjusting equity exposures for a combined 19 out of 24 hours a day*.
  • The equity components can rebalance intraday to react to market moves, taking both volatility and drawdown into consideration.
  • In the case of a significant market sell-off** in any of the three markets during the day, the strategy will respond intraday and decrease exposure by reducing the futures positions in that market and reallocating the proceeds to cash.
  • Turnover controls are in place to avoid excessive rebalancing.

* assuming the 3 relevant markets are open on that day.
** -1% for S&P 500® futures, -1.5% for Euro Stoxx 50® futures and Topix 100® futures compared to their last closing prices.

 

Exposure to the US, European and Japanese bond markets through 10Y US Treasuries, 10Y German Bunds and 10Y Japanese Government Bonds futures

Exposure to three sovereign bonds via futures, with volatility control and dynamic weighting mechanisms.

  • The target weight of each country in the Global Bonds component is determined in line with the Global Equities basket
  • Weights are adjusted to ensure that each sub-component contributes to the bond portfolio according to their realized volatility (up to a cap)
  • Sub-component weights are also adjusted utilizing a combination of bond signals (carry, trend and value). Each sub-component can dynamically adapt to its country’s rates environment, designed to reduce bond exposure in a rising rates environment.

 

Exposure to commodities market (excluding precious metals) to harvest supply/ demand imbalances accross 21 commodities

The commodities component applies a volatility control mechanism on the UBS Commodity Alpha Beta- Neutral Strategy Index ("CABNS"), which has been live since March 2011.

  • The CABNS Index is designed to generate alpha from inefficiencies across various commodity futures curves that persist due to structural features such as storage costs and supply-demand dynamics
  • The exposure to the CABNS Index is dynamically adjusted to target a volatility around 5%
  • The CABNS Index takes short positions in components of the Bloomberg Commodity Index and long positions in components of the Bloomberg Commodity Index 3 Month Forward. It excludes precious metals in both positions
  • Long positions are scaled monthly using a dynamic hedge ratio (between 0.5 and 1.5, aiming to be market neutral).
 

Multi-layer volatility control

To target a volatility around 5% over the long term, the Index applies a multi-layer risk control in 2 steps:

 

Performance Statistics

 

YTD

1y

3y

5y

10y

All

Annualized Return

4.52%

4.26%

3.15%

5.90%

6.39%

8.63%

Volatility

4.07%

4.69%

4.87%

4.77%

4.91%

4.83%

Return/Risk

1.11

0.91

0.65

1.24

1.30

1.79

Friday, March 29, 2024

The term ”backtested performance“ refers to simulated performance data provided as an illustration of how the Index would have performed during the relevant period had the Index administrator been calculating the Index using the current Index methodology. The “backtested index return and volatility summary”, and “backtested index components weightings”, are derived from simulated performance data and are provided as an illustration of how the Index would have performed and what the index components and weightings would have been, respectively, during the relevant period had the Index administrator been calculating the Index using the current Index methodology. Such simulated performance data has inherent limitations, as the simulated data is produced by the retroactive application of a backtested methodology.

Simulated performance data is based on criteria applied retroactively with the benefit of hindsight and knowledge of factors that may have positively affected its performance, cannot account for all financial risk that may affect the actual performance of the Index or any financial product that references the index, and may reflect a bias toward strategies that have performed well in the past. This data does not reflect actual performance, nor was a contemporaneous investment model run of the Index. The actual performance of the Index or any financial products that reference the Index may vary significantly from the backtested performance data. No future performance of the Index can be predicted based on the simulated performance described herein. Index performance is net of a 0.50% per annum index fee and transaction and rebalancing costs further described in the Selected Risk Considerations on the following page. A copy of the Index methodology will be provided upon request through your advisor, broker or other professional financial representative.

The UBS Multi Asset Inflation Aware Index went live on November 11th, 2022. All Index data prior to that date is based on backtested performance and any performance prior to index inception is hypothetical.

 

Resources

Download our useful resources, updated monthly.

Brochure
Factsheet
Historical index level
Get in touch with a team member
 

Selected risk considerations

  • The Index is not guaranteed to succeed at meeting its objectives.
  • The Index relies on a risk control methodology and could underperform indices that do not have a risk control overlay.
  • The intraday rebalancing of the Index can lead to underperformance when markets exhibit non-trending behavior. For example, if equities included in the index experience a sharp decline followed by a sharp recovery within the same day, the intraday drawdown control mechanism may cause the Index to underperform similar indices that do not have such an intraday drawdown control mechanism.
  • The Index has exposure to global equities, commodity and global bonds markets which may be volatile and decline in value.
  • Financial products linked to the Index will be exposed to the risks of those products.
  • Relative strength and trend-following strategies, including the Index, could underperform in mean-reverting markets.
  • By design, multi-asset indices tend to have lower correlations to equity markets. Compared to equity-only strategies, a global diversified multi-asset strategy may underperform in highly bullish equity markets.
  • Risks of multi-asset investing include but are not limited to market risk, credit risk, interest rate risk, and foreign exchange risk. Correlations of returns among different asset classes may deviate from historical patterns. Geopolitical events and policy shocks pose risks that can reduce asset returns. Valuations may be adversely affected during times of high market volatility, thin liquidity, and economic dislocation.
  • The Index uses leverage which may amplify market movements in both directions. Investors may be overexposed to negative market conditions and therefore bear amplified losses.
  • The Index is an excess return index and will not earn any cash reinvestment return.
  • The Index has a limited operating history and may perform in unanticipated ways.
  • Backtested performance and backtested allocations of the Index should not be taken as an indication of the future performance of, or future allocations of, the Index. The actual performance or component allocations of the Index may bear little relation to the backtested performance or backtested component allocations of the Index.
  • Disruption events may impact the calculation of the Index.
  • The Index deducts transaction and replication costs, each calculated and deducted on a daily basis based on predefined rules. The costs cover, among other things, rebalancing and replication. The total amount of transaction and replication costs is not predictable and will depend on a number of factors, including the leverage of the Index, which may be as high as 300%, the performance of the underlying components, and market conditions.
  • The Index performance reflects (i) a 0.50% per annum Index fee and (ii) transaction (based on notional positions) and rebalancing (based on turnover) costs at rates that may vary based on the underlying assets at the Index level and also within certain underlying assets. Because certain costs are based on turnover, such costs are not predictable and may increase substantially in the future, especially during periods of market stress. The transaction and rebalancing costs will reduce the potential positive change in the level of the Index and increase the potential negative change in the level of the Index.
  • Prior to investing in the Index or purchasing any products linked to (or based on) the Index, investors and consumers should seek independent financial, tax, accounting and legal advice.
  • Publicly available information on the Index and its methodology is limited. A copy of the Index methodology will be provided upon request through your advisor, broker or other professional financial representative.