Backwardation Index - creative services new york
Backwardation Index - creative services new york
Backwardation Index - creative services new york
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WIENER<br />
ROHSTOFF-KONFERENZ<br />
Von Beta zu Alpha<br />
Michael Weber<br />
7. April 2011
Risk Disclosures<br />
WIENER VERSICHERUNGSFACHTAG<br />
• COMMODITY LINKED RETURN: THESE PRODUCTS ARE COMMODITY-LINKED. Commodity-linked products tend to be much<br />
riskier and more volatile than other investments.<br />
• COMMODITY VOLATILITY: COMMODITIES ARE VOLATILE. Prices may be affected by liquidity, supply and demand, market<br />
activity, regulatory intervention, civil action, natural disaster and other geopolitical circumstances.<br />
• INDEX COMPONENTS: COMMODITY INDICES MAY REFERENCE ILLIQUID FUTURES CONTRACTS. The prices for such<br />
futures may differ significantly from spot prices for the same commodity.<br />
• MARKET DISRUPTION: COMMODITY MARKETS ARE SUBJECT TO FREQUENT DISRUPTION. The effects of market<br />
dislocation can be global regardless of the locality of the disruption.<br />
• PAST PERFORMANCE: This document contains data on past performance. They are not a reliable indicator of future results.<br />
• BACK-TESTING: BACKTESTING HAS SIGNIFICANT LIMITATIONS. Be cautious when using historical data to assess how a<br />
product might have performed before its issue<br />
• COMPLEXITY: COMPLEX STRUCTURED PRODUCTS. Its return may differ from those of the financial assets underlying it. The<br />
constituents of the Product could interact in unexpected ways to cause a loss.<br />
• CONFLICTS OF INTEREST: Barclays may have positions in and non-public information about the financial assets underlying the<br />
product. It will not disclose any such information to you. Barclays trading and hedging activity may adversely affect performance of<br />
the product. Upon any market disruption, Barclays will value the product according to its own models.<br />
• CURRENCY RISK: Transactions linked to currency exchange rates are subject to currency exchange rate volatility which may be<br />
sudden and large and tend to be affected by factors such as economic and political events.<br />
• SUMMARY: This document is a summary only and these risk factors are not exhaustive. Where a transaction results it will be<br />
superseded by final legal documentation.
Barclays als Rohstoffhaus<br />
Zahlreiche externe<br />
Preise für Rohstoff<br />
& Derivateexpertise<br />
Grosses Team von<br />
global bekannten<br />
Research-Experten<br />
320 „Front-Office”-<br />
Fachleute -<br />
umfassende<br />
Markterfahrung<br />
Grösste<br />
Universalbank im<br />
Rohstoffmarkt<br />
Investoren aus<br />
allen Sparten:<br />
Pensionskassen,<br />
Versicherungen…<br />
WIENER ROHSTOFF-KONFERENZ<br />
Globale Präsenz:<br />
Trading und Sales<br />
in Europa, Amerika,<br />
Asien, und Afrika<br />
Handel von<br />
Physischen<br />
Rohstoffen sowie<br />
Derivaten<br />
Starke Bindungen<br />
mit über 1,200<br />
Rohstoffkunden<br />
weltweit
WIENER<br />
ROHSTOFF-KONFERENZ<br />
Rohstoffe: Warum & Wie
Warum in Rohstoffe investieren?<br />
70%<br />
60%<br />
50%<br />
40%<br />
30%<br />
20%<br />
10%<br />
0%<br />
___________________________<br />
Quelle: Barclays Capital’s Annual Commodities Investor Conference in Barcelona.<br />
WIENER ROHSTOFF-KONFERENZ<br />
Portfolio Diversification Inflation Absolute Performance Other<br />
2005 2006 2007 2008 2009 2010
WIENER ROHSTOFF-KONFERENZ<br />
Ertrag & Diversifikation von Rohstoffen<br />
Risiko & Rendite<br />
1970 – 2010<br />
Rendite (p.a.)<br />
Volatilität (ann.)<br />
Sharpe Ratio<br />
Korrelation 1970 –<br />
2010<br />
S&P GSCI TR<br />
S&P 500 TR<br />
Barcap Agg<br />
Cash<br />
S&P GSCI TR<br />
(Rohstoffe)<br />
9.6%<br />
22.2%<br />
15.9%<br />
S&P GSCI TR<br />
(Rohstoffe)<br />
100%<br />
___________________________<br />
Quelle: Bloomberg & Barclays Capital basierend auf quartalsweisen Renditen<br />
S&P GSCI® ist ein Markenzeichen von The McGraw-Hill Companies, Inc.<br />
HISTORISCHE RENDITE IST KEIN INDIKATOR VON ZUKÜNFTIGER RENDITE<br />
S&P 500 TR<br />
(Aktien)<br />
9.6%<br />
17.1%<br />
20.8%<br />
S&P 500 TR<br />
(Aktien)<br />
-10%<br />
100%<br />
BarCap Agg<br />
(Anleihen)<br />
7.8%<br />
9.5%<br />
18.6%<br />
Barcap Agg<br />
(Anleihen)<br />
-7%<br />
27%<br />
100%<br />
US Tbill<br />
(Cash)<br />
6.0%<br />
1.6%<br />
US 3m Tbill<br />
(Cash)<br />
6%<br />
1%<br />
-5%<br />
100%
Von Beta zu Alpha<br />
Ziel Produkte Kategorie<br />
Standard Beta<br />
Rohstoff-Indizes<br />
S&P GSCI TM<br />
DJ-UBSCI SM<br />
RICI ®<br />
Portfolio Diversifikation<br />
(Strategisch)<br />
Statische Enhanced<br />
Beta Rohstoff-<br />
Indizes<br />
Modifizierte<br />
Rollperiode<br />
Modifizierter Futures-<br />
Plan<br />
Saisonales Rollen<br />
Kundenspezifische<br />
Komposition<br />
Outperformance<br />
gegenüber dem<br />
Standard Beta<br />
Optimierung der<br />
Rollrendite<br />
Dynamische<br />
Enhanced Beta<br />
Rohstoff-Indizes<br />
Pure Beta<br />
Momentum<br />
Optimale Rollrendite<br />
Outperformance<br />
gegenüber dem<br />
Standard Beta<br />
Anwendung von<br />
Optimierungs-<br />
Techniken<br />
WIENER ROHSTOFF-KONFERENZ<br />
Quantitative<br />
Investment<br />
Strategien<br />
Voyager<br />
<strong>Backwardation</strong><br />
Research <strong>Index</strong><br />
Fundamentale<br />
Faktoren<br />
Technische Signale<br />
Alpha Generierung<br />
ComBATS<br />
Beta Alpha<br />
___________________________<br />
S&P GSCITM is a trademark of The McGraw-Hill Companies, Inc.<br />
DJ–UBSCISM is a service mark of Dow Jones & Company, Inc. and UBS AG<br />
RICI® ” is a registered service mark of Beeland Interests, Inc<br />
Marktneutral
WIENER<br />
ROHSTOFF-KONFERENZ<br />
Pure Beta – Dynamische Beta Strategie
Jeder Rohstoff hat eine Terminkurve<br />
WIENER ROHSTOFF-KONFERENZ<br />
• Je nach Rohstoff, gibt es üblicher Weise Liquidität in den Kontrakten der nächsten 12 Monate und oftmals<br />
auch für längere Laufzeiten.<br />
• Längerlaufende Terminkontrakte könnten daher<br />
ein besserer Indikator der Angebots- und<br />
Nachfragedynamik, welche den Marktwert<br />
von Rohstoffen treibt, sein.<br />
• Open Interest ist abhängig von:<br />
• Käufe durch Rohstoffkonsumenten<br />
• Absicherung durch Rohstoffproduzenten<br />
• Strategische Lagerbestände<br />
___________________________<br />
Quelle: Bloomberg und Barclays Capital, 30 September 2010<br />
Crude Oil (USD per bbl)<br />
90<br />
88<br />
86<br />
84<br />
82<br />
80<br />
78<br />
76<br />
Open Interest am Beispiel WTI Rohöl<br />
“Nearby”<br />
Open Interest<br />
$27 Mrd<br />
8 Monate<br />
Open Interest<br />
$6 Mrd<br />
0 2 4 6 8 10 12 14<br />
Tenor (Months)
Verzerrung des vorderen Endes<br />
Das vordere Ende ist der<br />
Teil der Kurve, welcher am<br />
meisten frequentiert ist<br />
Das vordere Ende tendiert<br />
dazu, der steilste<br />
Abschnitt einer<br />
Rohstoffterminkurve zu<br />
sein<br />
Das vordere Ende ist der<br />
Teil der Kurve mit der<br />
höchsten Volatilität<br />
30%<br />
25%<br />
20%<br />
15%<br />
10%<br />
5%<br />
0%<br />
___________________________<br />
S&P GSCI® is a trademark of The McGraw-Hill Companies, Inc.<br />
WIENER ROHSTOFF-KONFERENZ<br />
Share of the S&P GSCI® in the Total Open Interest*<br />
Aluminium<br />
Copper<br />
Lead<br />
Nickel<br />
Zinc<br />
Brent<br />
WTI<br />
Gasoil<br />
Heating Oil<br />
Natural Gas<br />
RBOB<br />
Cocoa<br />
Coffee<br />
Corn<br />
Cotton<br />
Soybeans<br />
Sugar<br />
Wheat<br />
Red Wheat<br />
Lean Hogs<br />
Live Cattle<br />
Feeder Cattle<br />
Gold<br />
Silver
WIENER ROHSTOFF-KONFERENZ<br />
Pure Beta – Fundamentale Rohstoffpreise<br />
• Reine Rohstoffpreise sind nicht investierbar → Thema Rollrendite<br />
600<br />
500<br />
400<br />
300<br />
200<br />
100<br />
0<br />
Dec-01<br />
Jun-02<br />
DJ-UBS Spot, Pure Beta and DJ-UBS (TR) <strong>Index</strong><br />
Dec-02<br />
Jun-03<br />
Dec-03<br />
Jun-04<br />
___________________________<br />
Quelle: Bloomberg und Barclays Capital, 30 September 2010<br />
DJ–UBSCISM is a service mark of Dow Jones & Company, Inc. and UBS AG<br />
Hypothetical backtesting from December 2001 to October 2007. All performance statistics are calculated using month end data<br />
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS<br />
Dec-04<br />
Jun-05<br />
Dec-05<br />
DJ UBSCI (SPOT) DJ UBSCI (TR) Barclays Capital Pure Beta DJ UBSCI (TR)<br />
Jun-06<br />
Dec-06<br />
Jun-07<br />
Dec-07<br />
Jun-08<br />
Dec-08<br />
Jun-09<br />
Dec-09<br />
Jun-10<br />
Dec-10
Investment Methodik<br />
WIENER ROHSTOFF-KONFERENZ<br />
• Pure Beta versuchtet jenen Punkt entlang einer Terminkurve zu bestimmen<br />
welcher den fundamentalen Preis am besten repräsentiert<br />
Schritt 1: Berechnen des Front Year Average Price<br />
Contract 1<br />
Contract 2<br />
Contract 3<br />
Contract 4<br />
Contract 5<br />
Contract 6<br />
Contract 7<br />
Contract 8<br />
Contract 9<br />
Contract 10<br />
Contract 11<br />
Contract 12<br />
Front Year<br />
Average*<br />
__________________________<br />
*Illustratives Beispiel<br />
Open Interest*<br />
348,022<br />
102,819<br />
90,525<br />
28,414<br />
24,735<br />
107,030<br />
27,728<br />
13,753<br />
26,196<br />
15,506<br />
15,823<br />
123,804<br />
Gewicht<br />
37.7%<br />
11.1%<br />
9.8%<br />
3.1%<br />
2.7%<br />
11.6%<br />
3.0%<br />
1.5%<br />
2.8%<br />
1.7%<br />
1.7%<br />
13.4%<br />
Preis<br />
77.28<br />
78.66<br />
79.84<br />
80.74<br />
81.52<br />
82.24<br />
82.85<br />
83.36<br />
83.86<br />
84.37<br />
84.91<br />
85.46<br />
80.27<br />
Tracking Error to FYA<br />
8%<br />
7%<br />
6%<br />
5%<br />
4%<br />
3%<br />
2%<br />
1%<br />
0%<br />
Schritt 2: Berechnen Tracking Error zum FYAP<br />
Tracking Error to FYAP*<br />
1 2 3 4 5 6 7 8 9 10 11 12<br />
Tenor <strong>Index</strong>
Investment Methodik (2)<br />
• Pure Beta filtert illiquide und verzerrte Kontrakte aus<br />
Terminkontract<br />
Kontract 1<br />
Kontract 2<br />
Kontract 3<br />
Kontract 4<br />
Kontract 5<br />
Kontract 6<br />
Kontract 7<br />
Kontract 8<br />
Kontract 9<br />
Kontract 10<br />
Kontract 11<br />
Kontract 12<br />
Gesamt Open<br />
Interest<br />
___________________________<br />
*Illustratives Beispiel<br />
+ Represents the Open Interest of the futures contract the Tenor <strong>Index</strong> will roll into<br />
1. Samuelson, Paul A., “Proof That Properly Anticipated Prices Fluctuate Randomly”, Industrial Management Review, Spring 1965<br />
WIENER ROHSTOFF-KONFERENZ<br />
Schritt 3: Filter – Illiquide Kontrakte Schritt 4: Filter – Verzerrte Kontrakte<br />
Open<br />
Interest*+<br />
92,462<br />
62,238<br />
41,772<br />
63,324<br />
23,670<br />
58,819<br />
63,250<br />
53,107<br />
41,954<br />
17,790<br />
17,200<br />
14,368<br />
549,954<br />
Gewicht<br />
16.8%<br />
11.3%<br />
7.6%<br />
11.5%<br />
4.3%<br />
10.7%<br />
11.5%<br />
9.7%<br />
7.6%<br />
3.2%<br />
3.1%<br />
2.6%<br />
Erlaubt?<br />
Volatility<br />
50%<br />
45%<br />
40%<br />
35%<br />
30%<br />
25%<br />
Dislocation<br />
Curve Dislocation*<br />
1 2 3 4 5 6 7 8 9 10 11 12<br />
Tenor <strong>Index</strong>
Investment Methodik (3)<br />
___________________________<br />
1. Illustratives Beispiel<br />
Tracking Error to FYA<br />
8%<br />
7%<br />
6%<br />
5%<br />
4%<br />
3%<br />
2%<br />
1%<br />
0%<br />
Filter – Illiquide Kontrakte<br />
Filter – Verzerrte Kontrakte<br />
<br />
<br />
<br />
<br />
<br />
<br />
<br />
<br />
Tracking Error zum FYAP 1<br />
<br />
<br />
Kontraktwahl <br />
<br />
<br />
<br />
<br />
WIENER ROHSTOFF-KONFERENZ<br />
1 2 3 4 5 6 7 8 9 10 11 12<br />
Punkt auf der Terminkurve
Pure Beta angewendet auf DJ-UBSCI SM<br />
• Pure Beta angewendet auf<br />
den DJ-UBSCISM hat den<br />
Benchmark konstant<br />
übertroffen<br />
• Höhere Rendite<br />
• Tiefere Volatilität<br />
• Höheres Sharpe Ratio<br />
• Pure Beta angewendet auf<br />
DJ-UBSCISM • (ER): Bloomberg ticker<br />
BCC3C1PP <strong>Index</strong><br />
• (TR): Bloomberg ticker<br />
BCC3C1PT <strong>Index</strong><br />
Risiko & Rendite<br />
Rendite (p.a.)<br />
Vola (ann.)<br />
Sharpe Ratio<br />
Tracking Error<br />
DJ-UBSCI<br />
7.0%<br />
17.9%<br />
0.39<br />
WIENER ROHSTOFF-KONFERENZ<br />
Out-Performance gegen Benchmark<br />
___________________________<br />
Quelle: Bloomberg und Barclays Capital, 28 Februar 2011<br />
DJ–UBSCISM is a service mark of Dow Jones & Company, Inc. and UBS AG<br />
Hypothetical backtesting from December 2001 to October 2007. All performance statistics are calculated using month end data<br />
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS<br />
16%<br />
14%<br />
12%<br />
10%<br />
8%<br />
6%<br />
4%<br />
2%<br />
0%<br />
2002 2003 2004 2005 2006 2007 2008 2009 2010 YTD<br />
Pure Beta auf<br />
DJ-UBSCI<br />
12.4%<br />
17.3%<br />
0.72<br />
2.4%
WIENER<br />
ROHSTOFF-KONFERENZ<br />
<strong>Backwardation</strong>: Portfolio Allokations Strategie
WIENER ROHSTOFF-KONFERENZ<br />
<strong>Backwardation</strong> Strategie – Investmentansatz<br />
• Empirische Studien zeigen, dass Rohstoffe mit geringen Lagerbeständen durchschnittlich eine höhere<br />
Rendite aufweisen als Rohstoffe mit hohen Lagerbeständen 1)<br />
• Lagerbestände dienen als Puffer bei kurzfristigen Nachfrageanstiegen oder Angebotsengpässen<br />
• Rohstoffe mit geringen Lagerbeständen sind somit besonders anfällig für positive Preisschocks<br />
• Die <strong>Backwardation</strong> Strategie basiert auf dieser Grundidee und investiert in Rohstoffe mit den geringsten<br />
Lagerbeständen<br />
• Lagerbestände sind in der Praxis allerdings nur schwer zu beobachten, können aber für die<br />
Strategieumsetzung sinnvoll durch die Form der Terminkurve approximiert werden<br />
• Notiert die Terminkurve eines Rohstoffes in <strong>Backwardation</strong> (Contango), ist dies zumeist ein<br />
verlässlicher Indikator für geringe (hohe) Lagerbeständen<br />
• Die <strong>Backwardation</strong> Strategie wird von Barclays Capital in drei unterschiedlichen Varianten umgesetzt<br />
• (1) Long-Only, (2) Long-Biased und (3) Long-Short<br />
Geringe<br />
Lagerbestände<br />
<strong>Backwardation</strong> der<br />
Terminkurve<br />
Schwer zu beobachten Leicht zu beobachten<br />
___________________________<br />
1. Gorton, Gary B., Hayashi, Fumio and Rouwenhorst, K. Geert: The Fundamentals of Commodity Futures Returns<br />
(October 6, 2008), Yale ICF Working Paper No. 07-08.<br />
Höhere Renditen
Positive Renditen durch Knappheit<br />
Average Monthly Return<br />
∅. „Nearby“ Monatsrenditen<br />
2.5%<br />
2.0%<br />
1.5%<br />
1.0%<br />
0.5%<br />
0.0%<br />
-0.5%<br />
Nickel<br />
WTI Crude<br />
Unleaded<br />
Brent Crude<br />
Heating Oil<br />
Copper<br />
Monatsrendite in Abhängigkeit der Kurvenform<br />
Gas Oil<br />
Lead<br />
Sugar<br />
Soybeans<br />
Lean Hogs<br />
Aluminium<br />
Live Cattle<br />
Silver<br />
Gold<br />
WIENER ROHSTOFF-KONFERENZ<br />
<strong>Backwardation</strong> Contango<br />
• Der Vergleich zwischen Rendite und Kurvenform veranschaulicht, dass Rohstoffe mit durchschnittlich geringen<br />
Lagerbeständen (Terminkurve in <strong>Backwardation</strong>) durchschnittlich eine höhere Rendite aufweisen als Rohstoffe mit hohen<br />
Lagerbeständen (Terminkurve in Contango)<br />
___________________________<br />
Alle Kennzahlen basieren auf monatlichen Renditen in USD vor Kosten<br />
HISTORISCHE PERFORMANCE IST KEIN VERLÄSSLICHER INDIKATOR FÜR ZUKÜNFTIGE PERFORMANCE<br />
Zinc<br />
Cocoa<br />
Kansas Wheat<br />
Natural Gas<br />
-1.0%<br />
-8.0% -6.0% -4.0% -2.0% 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0% 14.0%<br />
Curve Slope<br />
Wheat<br />
Cotton<br />
Coffee
___________________________<br />
Quelle: Bloomberg und Barclays Capital, 28 Februar 2011<br />
DJ–UBSCISM is a service mark of Dow Jones & Company, Inc. and UBS AG<br />
Hypothetical backtesting from December 2001 to October 2007. All performance statistics are calculated using month end data<br />
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS<br />
60%<br />
40%<br />
20%<br />
0%<br />
-20%<br />
-40%<br />
-60%<br />
WIENER ROHSTOFF-KONFERENZ<br />
<strong>Backwardation</strong> Long-only gegen DJ-UBSCI SM<br />
• Allokiert monatlich zu den 10<br />
Rohstoffen mit der höchsten<br />
<strong>Backwardation</strong><br />
• Live seit Oktober 2010<br />
• Aktuelles Volumen: 230 Millionen<br />
U.S. Dollar<br />
• Hohe Korrelation zu klassischem<br />
Rohstoffbeta<br />
• <strong>Backwardation</strong> Long-only:<br />
• (ER): Bloomberg ticker<br />
BCCFBKLP <strong>Index</strong><br />
• (TR): Bloomberg ticker<br />
BCCFBKLT <strong>Index</strong><br />
2002 2003 2004 2005 2006 2007 2008 2009 2010 YTD<br />
Risiko & Rendite<br />
Rendite (p.a.)<br />
Vola (ann.)<br />
Sharpe Ratio<br />
Korrelation<br />
Performance verglichen mit Benchmark<br />
<strong>Backwardation</strong> <strong>Index</strong> (Long Only) ER DJ-UBSCI (ER)<br />
DJ-UBSCI<br />
7.0%<br />
17.9%<br />
0.39<br />
<strong>Backwardation</strong> Longonly<br />
30.3%<br />
19.1%<br />
1.59<br />
90%
<strong>Backwardation</strong> Long-only im Vergleich<br />
___________________________<br />
Quelle: Bloomberg und Barclays Capital, 28 Februar 2011<br />
DJ–UBSCISM is a service mark of Dow Jones & Company, Inc. and UBS AG<br />
Hypothetical backtesting from December 2001 to October 2007. All performance statistics are calculated using month end data<br />
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS<br />
WIENER ROHSTOFF-KONFERENZ
WIENER<br />
ROHSTOFF-KONFERENZ<br />
ComBATS: Alpha Strategie
WIENER ROHSTOFF-KONFERENZ<br />
ComBATS 12 Strategie – Investmentansatz<br />
• Die Barclays Capital ComBATS 12 Strategie ist eine dynamische, marktneutrale Rohstoff-<br />
Alphastrategie<br />
• ComBATS nimmt eine 2-fach gehebelte Long-Position in einem rolloptimierten <strong>Index</strong> und<br />
eine 2-fach gehebelte Short-Position im Standardindex ein<br />
• Das Alpha wird somit durch die Outperformance des rolloptimierten Rohstoffindex über<br />
den Standardindex (rollierende Investition in „Nearby“-Kontrakte) generiert<br />
• Die Hauptmerkmale von ComBATS 12 sind:<br />
• Marktneutralität durch Short-Position im Standardindex<br />
• Stabile Rendite<br />
• Geringe Volatilität<br />
• Tägliche Liquidität<br />
___________________________<br />
Hypothetisches Backtesting von Dezember 2001 bis Dezember 2008<br />
Alle Kennzahlen wurden auf Basis monatlicher Renditen in USD vor Kosten berechnet<br />
HISTORISCHE PERFORMANCE IST KEIN VERLÄSSLICHER INDIKATOR FÜR ZUKÜNFTIGE PERFORMANCE
Portfoliokonstruktion<br />
WIENER ROHSTOFF-KONFERENZ<br />
• Das Portfolio besteht aus kombinierten Long- und Short-Positionen in 10 Rohstoffen<br />
• Die ungehebelte Gewichtung der Rohstoffe beträgt hierbei zwischen 5% und 15%, was<br />
die Diversifikation des zugrundeliegenden Rohstoffkorbes sicherstellt<br />
Sugar<br />
Lean Hogs<br />
Wheat<br />
Zinc<br />
Nickel<br />
Copper<br />
Aluminum<br />
WTI Oil<br />
Natural Gas<br />
Heating Oil<br />
Zugrundeliegender Rohstoffkorb<br />
-20% -15% -10% -5% 0% 5% 10% 15% 20%<br />
Short: Standardindex Long: Rolloptimierter <strong>Index</strong><br />
Industriemetalle<br />
30%<br />
Lebendvieh<br />
15%<br />
Agrar<br />
25%<br />
Energie<br />
30%
Rohstoff Alpha ist nicht homogen<br />
Sharpe Ratio<br />
3.5<br />
3.0<br />
2.5<br />
2.0<br />
1.5<br />
1.0<br />
0.5<br />
0.0<br />
Gold<br />
Silver<br />
Gleich Gewichteter Korb<br />
Alum inium<br />
Copper<br />
Zinc<br />
Lead<br />
Cocoa<br />
Feeder Cattle<br />
Brent Crude<br />
Corn<br />
Nickel<br />
Coffee<br />
Bean Oil<br />
Soybeans<br />
Gas Oil<br />
Alpha pro Rohstoff (Dezember 2001 – Februar 2011)<br />
Wheat<br />
Kansas Wheat<br />
Live Cattle<br />
Heating Oil<br />
Cotton<br />
ComBATS 12 Korb<br />
WTI Crude<br />
Sugar<br />
Unleaded Gasoline<br />
WIENER ROHSTOFF-KONFERENZ<br />
Lean Hogs<br />
Natural Gas<br />
0.0% 2.0% 4.0% 6.0% 8.0% 10.0%<br />
Volatility<br />
12.0% 14.0% 16.0% 18.0% 20.0%<br />
___________________________<br />
Quelle: Barclays Capital, 28 Februar 2011<br />
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS<br />
• Jeder Punkt repraesentiert eine Long/Short Position<br />
• Gleichgewichteter Korb enthaelt 25 Rohstoffe<br />
• ComBATS 12 Korb enthaelt nur Rohstoffe mit einem blauen<br />
Punkt
WIENER ROHSTOFF-KONFERENZ<br />
Rolloptimierung durch das Momentum Alpha Modell<br />
• Die ComBATS 6 Strategie verwendet die<br />
Momentum Alpha Strategie zur<br />
Rolloptimierung<br />
• Im Momentum Alpha Modell wird monatlich<br />
individuell für jeden zugrundeliegenden<br />
Rohstoff die optimale Allokation auf der<br />
Terminkurve bestimmt<br />
• Das Model wählt systematisch den Kontrakt<br />
aus, der am Feststellungsdatum das<br />
höchste annualisierte Alpha gegenüber dem<br />
„Nearby“-Kontrakt aufweist<br />
Zentrale Annahme der Strategie ist,<br />
dass Kontrakte, die in der Vergangenheit<br />
outperformed haben, auch zukünftig<br />
outperformen werden<br />
<strong>Index</strong>stand<br />
Alpha p.a.<br />
Feststellungsdatum:<br />
Letzter Werktag<br />
eines Monats<br />
Alte<br />
Allokation 1<br />
Standardindex<br />
___________________________<br />
1. Der Rollvorgang der Momentum Alpha und ComBATS 6 Strategie erfolgt monatlich zwischen dem 5. und 9. Geschäftstag<br />
DJ–UBSCISM ist eine Dienstleistungsmarke der Dow Jones & Company, Inc. und UBS AG.<br />
0%<br />
Nein<br />
1M verschoben<br />
1,18%<br />
2M verschoben<br />
4,65%<br />
2M<br />
verschoben<br />
TEST:<br />
Weicht neue Allokation<br />
signifikant vom<br />
Vormonat ab?<br />
Ja<br />
Neue<br />
Allokation 1<br />
5M verschoben<br />
2,72%
Historische Wertentwicklung<br />
• ComBATS 6 überzeugt durch eine sehr<br />
stabile, historische Rendite von 11,22% bei<br />
geringer Volatilität p.a. von 3,79%<br />
• Die Strategie verfügt somit über ein<br />
attraktives Rendite-/Risikoprofil mit einer<br />
Sharpe Ratio<br />
von 2,96<br />
• Die ComBATS 6 Strategie ist live seit<br />
Januar 2009 mit USD 650 Mio. AuM<br />
• ComBATS 6 wird auf Bloomberg<br />
veröffentlicht:<br />
• BCCAC12P <strong>Index</strong> (Excess Return)<br />
Rendite (pa)<br />
• BCCAC12T <strong>Index</strong> (Total Return)<br />
Vola<br />
Sharpe Ratio<br />
Positive Monate<br />
Max. Drawdown<br />
___________________________<br />
Hypothetisches Backtesting von Januar 2002 bis Dezember 2008<br />
Alle Kennzahlen wurden auf Basis monatlicher Renditen in USD vor Kosten berechnet<br />
HISTORISCHE PERFORMANCE IST KEIN VERLÄSSLICHER INDIKATOR FÜR ZUKÜNFTIGE PERFORMANCE<br />
700<br />
600<br />
500<br />
400<br />
300<br />
200<br />
100<br />
0<br />
Dec-01<br />
Dec-02<br />
WIENER ROHSTOFF-KONFERENZ<br />
ComBATS 12 Wertentwicklung<br />
Dec-03<br />
Dec-04<br />
Dec-05<br />
Dec-06<br />
ComBATS 12<br />
22.9%<br />
7.7%<br />
3.00<br />
76.4%<br />
-7.1%<br />
Dec-07<br />
Dec-08<br />
Dec-09<br />
ComBATS 12 ER DJ UBSCI (ER)<br />
DJ UBSCI ER<br />
7.0%<br />
17.9%<br />
0.39<br />
59.1%<br />
-54.5%<br />
Dec-10
Haltedauer gegen Performance<br />
Cumulative Performance<br />
2.0%<br />
1.0%<br />
0.0%<br />
-1.0%<br />
-2.0%<br />
-3.0%<br />
-4.0%<br />
-5.0%<br />
-6.0%<br />
-7.0%<br />
___________________________<br />
Quelle: Barclays Capital, 28 Februar 2011<br />
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS<br />
Schlechteste Kumulative Wertentwicklung<br />
A per month return for different holding periods<br />
WIENER ROHSTOFF-KONFERENZ<br />
1 2 3 6 12 15 18 30 30 36 42 48 54 60 66 72 78 84 90<br />
Holding period (months)
WIENER<br />
ROHSTOFF-KONFERENZ<br />
Disclaimer
DJ-UBSCI SM Disclaimer<br />
WIENER ROHSTOFF-KONFERENZ<br />
The Dow Jones-UBS Commodity <strong>Index</strong>es SM are a joint product of Dow Jones <strong>Index</strong>es, a licensed trademark of CME Group <strong>Index</strong> Services LLC (“CME <strong>Index</strong>es”), and UBS Securities LLC (“UBS<br />
Securities”), and have been licensed for use. “Dow Jones®”, “DJ”, “Dow Jones <strong>Index</strong>es”, “UBS”, “Dow Jones-UBS Commodity <strong>Index</strong> SM”, and DJ-UBSCI SM” are service marks of Dow Jones<br />
Trademark Holdings, LLC (“Dow Jones”) and UBS AG (“UBS AG”), as the case may be, have been licensed for use for certain purposes by Barclays Bank PLC (the “Licensee”).<br />
The products shown herein, (the “Products”) are not sponsored, endorsed, sold or promoted by Dow Jones, UBS AG, UBS Securities CME <strong>Index</strong>es or any of their subsidiaries or affiliates. None of<br />
Dow Jones, UBS AG, UBS Securities, CME <strong>Index</strong>es or any of their subsidiaries or affiliates makes any representation or warranty, express or implied, to the owners of or counterparts to the<br />
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being issued by Licensee, but which may be similar to and competitive with the Products. In addition, UBS AG, UBS Securities, CME Group Inc. and their subsidiaries and affiliates actively trade<br />
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This information materials relates only to Products and does not relate to the exchange-traded physical commodities underlying any of the Dow Jones-UBS Commodity <strong>Index</strong>SM components.<br />
Purchasers of the Products should not conclude that the inclusion of a futures contract in the Dow Jones-UBS Commodity <strong>Index</strong>SM is any form of investment recommendation of the futures contract<br />
or the underlying exchange-traded physical commodity by Dow Jones, UBS AG, UBS Securities, CME <strong>Index</strong>es or any of their subsidiaries or affiliates. The information in the information materials<br />
regarding the Dow Jones-UBS Commodity <strong>Index</strong>SM components has been derived solely from publicly available documents. None of Dow Jones, UBS AG, UBS Securities, CME <strong>Index</strong>es or any of<br />
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Jones-UBS Commodity <strong>Index</strong>SM components, including without limitation a description of factors that affect the prices of such components, are accurate or complete.<br />
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Disclaimer<br />
WIENER ROHSTOFF-KONFERENZ<br />
This document has been prepared by Barclays Capital, the investment banking division of Barclays Bank PLC (“Barclays”), for information purposes only. This document is an indicative summary of the terms<br />
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