UBS Launches Algorithmic Strategy System for Commodities
UBS has launched an algorithmic strategy system dubbed UBS Commodities Portfolio Algorithmic Strategy System (Comm-PASS), an index which exploits momentum in the commodity markets to generate returns through automated long and short strategies.
The portfolio comprises a basket of strategies on 19 commodity futures markets from the five different commodity sectors: energy, precious metals, base metals, agriculture, and livestock.
“The strategy, which will be used by upcoming structured products, is published as an index which allows easy referencing when tracking the performance of the algorithm,” says James Paget, co-head of EMEA structured commodity sales. “The strategy comprises the most liquid commodities, with individually tailored
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