A swap based commodity ETF that tracks a 2.5x leveraged index that excludes precious metals and seeks to generate beta via roll yield, investable through a collaboration of UBS and Bloomberg.
Costs: 0.34% TER! Tracking Error of the last 3 years 0.02%.
Meet the "UBS ETF (IE) CMCI Commodity Carry SF UCITS ETF (USD) A-acc".
The ETF was launched by UBS in January 2020 and tracks the benchmark index with the snappy name:
"UBS Bloomberg CM-BCOM Outperformance Strategy Index ex-Precious Metals 2.5 Leveraged Net of Cost Total Return."
Simply explained, it tries to generate returns by taking a long and a short position in 2 different commodity indices.
Due to the different maturities of the futures contracts, the roll yield is optimized and thus a profit is generated.
In other words, the commodity prices do not play any role for the return of the index. Only the differences in the roll yields make money. And this 2.5x leveraged.
That means with a purchase of this ETF one does not participate in falling or rising commodity prices but, quote UBS:
"by means of the method of daily rolling futures, which reduces the concentration effect and provides diversification along the futures curve, lowering the carry costs associated with rolling short-term futures."
In terms of return and lower volatility, the ETF has outperformed the FTSE All-World since inception.
Which, of course, comes with increased risk due to credit exposure to the swap counterparty.
Using the FTSE as a benchmark is not a fairer comparison for this product either, of course.
However, I find the ETF very interesting as an admixture.
UBS Catalog:
