UBS Liquidity Premium Commodity Index

 

 

I. Rationale

First generation indices such as the Bloomberg Commodity Index and the S&P GSCI maintain exposure in near month commodity future contracts by rolling their exposure from one commodity future to the next on punctual days of the month. This near month exposure generally exposes them to the most volatile part of the commodities futures curve and punctual roll period potentially leads to congestion during the time of roll.

II. Methodology

UBS Liquidity Premium Commodity Index (UBS-LPCI) aims to extract liquidity premium around the Bloomberg Commodity Index (BCOM) roll period by taking a long position in UBS Commodity Pre-Post Rolling Index which performs the futures rollover outside the standard index roll window (on the 1st, 2nd, 3rd, 10th and 11th business day of the month except for January when it rolls on same days as BCOM). It takes a short position in the BCOM (which rolls between the 5th and 9th business day of the month).

The long and short position is rebalanced on a monthly.

  • Chancen & Risiken