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Confirmation*

UBS Euro Bond Carry Index

UBS Euro Bond Carry Index

Index Characteristics:
Excess return
Gross of costs

Currency:
EUR

Bloomberg ticker:
MLTAEBCE

Geographical focus:
Europe

Live date:
05 Feb 2015

Benchmark:
Not applicable

Other versions:
Europe TR (MLTAEBCT)
US ER (MLTAUTCE)
US TR (MLTAUTCT)

Objective and Concept

Government Bond yield is usually higher for longer-term tenors as investors are compensated for carrying credit risk over a longer-term horizon. Consequently, the yield curve offers an opportunity for carry strategies: by going long a long-term bond and short a short-term one, a strategy can harvest the difference in yields

Backtested and historical performance

Period:

Performance

Cumulative

Return (p.a.)

3.48%

Volatility

4.56%

Return/Volatility

0.76

Drawdown

-9.30%

Sortino Ratio

1.11

Calmar Ratio

0.37

Live date: 05 Feb 2015

Data updated:

22 Sep 2017

Backtested and historical monthly performance

Aug-17

Jul-17

Jun-17

May-17

Apr-17

Mar-17

Feb-17

Jan-17

Dec-16

Nov-16

Oct-16

Sep-16

1.8%

-0.2%

-1.2%

0.3%

0.2%

-0.7%

2.0%

-1.2%

1.0%

-1.0%

-2.0%

0.5%

Live date: 05 Feb 2015

Data updated:

22 Sep 2017

3 largest drawdowns

Drawdown

Start Date

End Date

Recovery Date

-9.3%

27 Jan 1999

18 Jan 2000

27 Dec 2002

-7.3%

21 Sep 2005

06 Jul 2007

26 Nov 2008

-6.9%

31 Aug 2010

11 Apr 2011

01 Aug 2011

Live date: 05 Feb 2015

Data updated:

22 Sep 2017

Important disclaimers

This analysis has been provided to you by UBS AG and/or affiliates ("UBS"), for informational purposes only and should not be used in substitution for the exercise of independent judgement.
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:

22 Sep 2017