UBS Multi Asset Strategy Tactical Rotation Index

A global multi-asset index designed to adapt to economic growth momentum

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Index performance
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UBS Multi Asset Strategy Tactical Rotation Index

The UBS Multi Asset Strategy Tactical Rotation Index (the “Index” or the “UBS-MASTR Index”) aims to provide a diversified and global exposure to equities, bonds and commodities, using an alternative-data- driven growth momentum signal.

Each asset class features its own investment mechanism. Equities use an intraday rebalancing methodology seeking to quickly react to changes in equity markets. Bonds use a dynamic weighting mechanism which is designed to adapt to various rates environments. In addition, a diversified commodity alpha strategy is used as a potential source of uncorrelated returns.

The Index targets a volatility of 6% with the goal of providing smooth and stable returns over the long run.

Ticker:

UBSMASTR Index

Previous day closing level:

578.7358

Single-day % change

0.01%

Index building blocks

Growth Momentum Nowcast leveraging alternative data

Three economic growth states: acceleration, stability, slowdown
Determined by early reads of key monthly US economic indicators, often weeks before official government data release cycles
Nowcast of economic indicators are produced by UBS Evidence Lab*, leveraging alternative data

Monthly allocation to a global exposure, informed by Growth Momentum Nowcast

Global equities exposure with intraday risk control
Global dynamic bonds exposure covering US, German and Japanese government bonds
Diversified commodity alpha strategy

Multi-layer volatility control

Volatility control on each of the Index sub-components
Top level volatility control
Rebalancing the top-level Index daily, targeting 6% volatility

Watch the short video on UBS-MASTR

Global multi asset exposure

Global Equities

Exposure to the US, European and Japanese equity markets through the S&P 500®, Euro Stoxx 50® and Topix 100® futures.

Global Bonds

Exposure to the US, European and Japanese bond markets through 10Y US Treasuries, 10Y German Bunds and 10Y Japanese Government Bonds futures.

Commodities

Exposure to commodities market (excluding precious metals) aiming to harvest supply/demand imbalances across 22 commodities.

The Equity Intraday Strategy aims to adjust equity exposure intraday during times of market stress or large equity movements.

The Equities component of the Index can react to the intraday performance of the S&P 500^®, Euro Stoxx 50^® and Topix 100^® futures during each of their respective time zones, taking both volatility and drawdown into consideration.
The target weights for S&P 500^®, Euro Stoxx 50^® and Topix 100^® are 55%, 30% and 15% respectively.
In the case of a significant market sell-off^* in any of the three markets during the day, the strategy will respond intraday and decrease exposure by reducing the futures positions in that market and reallocating the proceeds to cash.

Around the Clock Trading

Observing and potentially adjusting equity exposures for a combined 19 out of 24 hours a day*.

-1% for S&P 500® futures, -1.5% for Euro Stoxx 50® futures and Topix 100® futures compared to their last closing prices.

*assuming the 3 relevant markets are open on that day

^{For illustrative purposes only.}

Exposure to three sovereign bonds via futures, with volatility control and dynamic weighting mechanisms.

The target weight of each country in the Global Bonds component is determined in line with the Global Equities component.
Each sub-component weights in the Global Bonds component are adjusted utilizing a combination of bond signals (carry, trend and value).
Each sub-component can dynamically adapt to its country’s rates environment, designed to reduce bond exposure in a rising rates environment while allowing for bond allocation in a declining rates environment.

^{For illustrative purposes only.}

Multi layer volatility control

To target a volatility around 6% over the long term, the Index applies a multi-layer risk control that measures:

The volatility of the index sub-components and their correlations
The realized volatility of the final index itself

Step one: Volatility of the sub-components

Recent volatility of the sub-components is measured daily for Bonds and Commodities, and measured intraday for Equities.
Each sub-component is designed to target a certain realized volatility.

Step two: Volatility of the final Index

Realized volatility of the Index itself is measured daily over multiple lookback windows.
Both short-term and long-term volatility measures are used to determine the final leverage and aim to keep the final Index realized volatility in line with its 6% target over the long term.

Performance statistics

Performance	Performance	YTD	YTD	1y	1y	3y	3y	5y	5y	10y	10y	All	All
Performance	Annualized Return (except YTD)	YTD	2.30%	1y	8.53%	3y	0.23%	5y	4.36%	10y	5.57%	All	8.90%
Performance	Volatility	YTD	5.61%	1y	5.49%	3y	5.60%	5y	5.61%	10y	5.62%	All	5.58%
Performance	Return/Risk	YTD	0.41	1y	1.55	3y	0.04	5y	0.78	10y	0.99	All	1.59

The term ”backtested performance“ refers to simulated performance data provided as an illustration of how the Index would have performed during the relevant period had the Index administrator been calculating the Index using the current Index methodology. The “backtested index return and volatility summary”, and “backtested index components weightings”, are derived from simulated performance data and are provided as an illustration of how the Index would have performed and what the index components and weightings would have been, respectively, during the relevant period had the Index administrator been calculating the Index using the current Index methodology. Such simulated performance data has inherent limitations, as the simulated data is produced by the retroactive application of a backtested methodology.

Simulated performance data is based on criteria applied retroactively with the benefit of hindsight and knowledge of factors that may have positively affected its performance, cannot account for all financial risk that may affect the actual performance of the Index or any financial product that references the index, and may reflect a bias toward strategies that have performed well in the past. This data does not reflect actual performance, nor was a contemporaneous investment model run of the Index. The actual performance of the Index or any financial products that reference the Index may vary significantly from the backtested performance data. No future performance of the Index can be predicted based on the simulated performance described herein. Index performance is net of a 0.50% per annum index fee and transaction and rebalancing costs described in the Selected Risk Considerations. A copy of the Index methodology will be provided upon request through your advisor, broker or other professional financial representative.

The UBS Multi Asset Strategy Tactical Rotation Index went live on December 15th, 2022. All Index data prior to that date is based on backtested performance and any performance prior to index inception is hypothetical.

Resources

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Brochure

Overview

Factsheet

Historical index level

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Selected risk considerations

The Index is not guaranteed to succeed at meeting its objectives.
The Index relies on a risk control methodology and could underperform indices that do not have a risk control overlay.
The intraday rebalancing of the Index can lead to underperformance when markets exhibit non-trending behavior. For example, if equities included in the index experience a sharp decline followed by a sharp recovery within the same day, the intraday drawdown control mechanism may cause the Index to underperform similar indices that do not have such an intraday drawdown control mechanism.
There is a potential for the underlying data to incorrectly Nowcast the key economic indicators and subsequently incorrectly determine the state of economic growth, which might then negatively impact the Index allocations and the Index performance.
The Index has exposure to global equities, commodity and global bonds markets which may be volatile and decline in value.

Financial products linked to the Index will be exposed to the risks of those products.
Relative strength and trend-following strategies, including the Index, could underperform in mean-reverting markets.
By design, multi-asset indices tend to have lower correlations to equity markets. Compared to equity-only strategies, a global diversified multi-asset strategy may underperform in highly bullish equity markets.
Risks of multi-asset investing include but are not limited to market risk, credit risk, interest rate risk, and foreign exchange risk. Correlations of returns among different asset classes may deviate from historical patterns. Geopolitical events and policy shocks pose risks that can reduce asset returns. Valuations may be adversely affected during times of high market volatility, thin liquidity, and economic dislocation.
The Index uses leverage which may amplify market movements in both directions. Investors may be overexposed to negative market conditions and therefore bear amplified losses.
The Index is an excess return index and will not earn any cash reinvestment return. Any uninvested portion will be carried in a non-interest-bearing cash account.
The Index has a limited operating history and may perform in unanticipated ways.
Backtested performance and backtested allocations of the Index should not be taken as an indication of the future performance of, or future allocations of, the Index. The actual performance or component allocations of the Index may bear little relation to the backtested performance or backtested component allocations of the Index.
Disruption events may impact the calculation of the Index.
The Index deducts transaction and replication costs, each calculated and deducted on a daily basis based on predefined rules. The costs cover, among other things, rebalancing and replication. The total amount of transaction and replication costs is not predictable and will depend on a number of factors, including the leverage of the Index, which may be as high as 325%, the performance of the underlying components, and market conditions.
The Index performance reflects (i) a 0.50% per annum Index fee and (ii) transaction (based on notional positions) and rebalancing (based on turnover) costs at rates that may vary based on the underlying assets at the Index level and also within certain underlying assets. Because certain costs are based on turnover, such costs are not predictable and may increase substantially in the future, especially during periods of market stress. The transaction and rebalancing costs will reduce the potential positive change in the level of the Index and increase the potential negative change in the level of the Index.
Prior to investing in the Index or purchasing any products linked to (or based on) the Index, investors and consumers should seek independent financial, tax, accounting and legal advice.
Publicly available information on the Index and its methodology is limited. A copy of the Index methodology will be provided upon request through your advisor, broker or other professional financial representative

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