UBS Rolls Out Algo Strategy for Commodities
The portfolio consists of a basket of strategies on 19 commodity futures markets from the five different commodity sectors: energy, precious metals, base metals, agriculture and livestock. It is weighted to maintain a diversified portfolio, taking into account liquidity issues, UBS officials say.
UBS Comm-Pass is based on exponential moving averages, which are the basic rationale for determining, for instance, when to buy or to sell a commodity, explains a UBS spokesperson. "It's a systematic
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