Equity Reverse Convertible Model Portfolios

UBS CIO presents model portfolios for reverse convertibles across USD, EUR, and CHF, utilizing a proprietary scoring model to select stocks for yield optimization.

Key Takeaways

• 1.Reverse convertibles (RCs) serve as a tool for additional income generation or as a 'buy on dip' strategy for acquiring stocks at lower levels.
• 2.The CIO proprietary methodology identifies stocks with the best risk-return trade-off by combining implied volatility data with fundamental metrics and UBS analyst ratings.
• 3.Model portfolios are constructed with 10 equally weighted stocks across USD, EUR, and CHF, with sector concentration capped at 30% to ensure diversification.

Table of Contents

• Reverse Convertible Model Portfolios
• Introduction
• Portfolio construction
• Benefits of the CIO model portfolios
• US Dollar Model Portfolio
• Euro Model Portfolio
• Swiss Franc Model Portfolio
• Sector exposure
• Strike comparison
• Historical simulation
• Momentum screen
• Volatility screen
• Market & Volatility Snapshot
• CIO worst-of baskets
• Swiss Equities - Worst-of baskets
• European sectors - Worst-of baskets
• US sectors - Worst-of baskets
• What is a reverse convertible?
• Key features of investing in reverse convertibles:
• Risks associated with reverse convertibles
• Appendix

Document Preview

Page 1 of 1

Subscribe for full accessStart Free Trial