Recurring series

Equity Reverse Convertible Model Portfolios

Finvaulta tracks 6 editions of Equity Reverse Convertible Model Portfolios from UBS, published between May 19, 2026 and August 10, 2026. Each edition is summarized on its own page.

Latest edition · August 10, 2026

Reverse Convertible Model Portfolios en 1664644

This report presents UBS CIO's model portfolios for US Dollar, Euro, and Swiss Franc-denominated reverse convertible products. These portfolios utilize a proprietary methodology to screen for stocks with attractive risk-return profiles for yield generation.

UBS CIO details model portfolios for reverse convertibles across three major currencies (USD, EUR, CHF), providing investors with defensive equity exposure and stable income. By screening for stocks with superior risk/return metrics, momentum, and implied volatility, the CIO methodology identifies candidates suitable for income-generating structured products. The report includes specific sector-based 'worst-of' basket selections, comprehensive market volatility snapshots, and risk warnings, emphasizing that reverse convertibles require careful selection to mitigate potential capital loss from downside equity movements.

Read the latest edition in full

Key takeaways from the latest edition

1.Reverse convertibles serve as tactical tools to generate income in equity markets while potentially allowing investors to 'buy the dip' on underlying stocks.
2.The CIO model portfolios use a proprietary methodology that integrates market-based data (volatility, momentum) and fundamental data (valuation, leverage) to identify suitable stocks.
3.Elevated single-stock implied volatility supports current pricing of worst-of structured products.

What this series covers

Introduction
Portfolio construction
Benefits of the CIO model portfolios
US Dollar Model Portfolio
Euro Model Portfolio
Swiss Franc Model Portfolio
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
Momentum screen
Volatility screen
Market & Volatility Snapshot
Appendix

Edition archive

Series at a glance

Editions tracked: 6
First edition: May 19, 2026
Latest edition: August 10, 2026

All UBS research

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