Equity Reverse Convertible Model Portfolios

This report presents UBS CIO's reverse convertible model portfolios in USD, EUR, and CHF, utilizing a proprietary selection methodology to balance income generation and downside risk. The strategy leverages elevated implied volatility and sector diversification to identify optimal risk-return profiles for structured products.

Key Takeaways

• 1.Reverse convertibles serve as structured solutions for generating income in equity markets and for buying stocks at lower price levels.
• 2.The CIO model portfolios focus on selecting 10 stocks per currency with optimized risk-return trade-offs using market data and fundamental equity research.
• 3.Single-stock implied volatility remains elevated, creating favorable conditions for 'worst-of' structured product pricing.

Table of Contents

• 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?
• Risks associated with reverse convertibles

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