Analyse: UBS-ETF plc CMCI Composite SF(CHF) A-acc (CHF)

Dieser breit aufgestellte Rohstoff-ETF soll mit diversifzierter Aufstellung auf der Futures-Kurve negative Rollrenditen vermeiden.

Lee Davidson 23.03.2012

Rolle im Portfolio

The UBS-ETF plc CMCI Composite offers broad commodity exposure by tracking the UBS Bloomberg CMCI Composite index, which covers 27 commodities in the energy, agriculture, and metals subsectors. Unlike traditional commodity indices that roll front-month contracts only, the CMCI Composite attempts to minimise the effects of negative roll yield by holding a diversified mix of futures contracts along the maturity curve for each of its constituent commodities. Over the past three and five year periods, the CMCI Composite index’s rolling methodology appears to have been successful at mitigating negative roll yield, as it has outperformed its more traditional peers (e.g. S&P GSCI, Reuters/Jefferies CRB, Rogers International, and DJ-UBS) as measured in terms of both absolute and risk-adjusted returns.

Historically, commodities have been sought out by investors to increase their risk-adjusted returns given their low to negative correlation with equities and fixed income securities. In recent years, investors have seen trailing five-year correlations for broad-basket commodity indices and equities (DJ UBS Commodity and Reuters/Jefferies CRB) go from near 0% in 2006 to upwards of 65%, in 2011 as measured against the STOXX Europe 600 and the MSCI World indices. In line with its peers, the CMCI Composite index has exhibited a similar level of correlation (~70%) to the STOXX Europe 600 and MSCI World indices.

Despite this rise in correlation, commodities have not lost all of their investment appeal. An exchange-traded product tracking a broad basket of commodity futures can still be utilised as a role player in a well diversified portfolio to hedge against unexpected inflation.

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Über den Autor

Lee Davidson  is an ETF analyst with Morningstar Europe.

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