MERCHANDISER
UBS Launches Algorithmic SocGen & Calyon
Commodities Strategy Create ‘Newedge’
UBS INVESTMENT BANK has launched the UBS
Société Générale and Calyon have signed an agreement to
Commodities Portfolio Algorithmic Strategy System
merge the brokerage activities currently carried out by their
(Comm-PASS), a portfolio-based algorithmic strategy which
respective subsidiaries, Fimat and Calyon Financial. The opera-
exploits momentum in the commodity markets to generate
tional launch of the new entity is scheduled for early 2008, sub-
returns through automated long and short strategies.
ject to the approval of supervisory authorities.
The portfolio consists of a basket of strategies on 19 com-
The resulting entity, Newedge, will be controlled 50/50 by
modity futures markets from five different commodity sec-
Société Générale and Calyon and will have bank status. It will be
tors: Energy, precious metals, base metals, agriculture and
headquartered in Paris and is expected to have a combined staff
livestock. The portfolio is weighted to maintain a diversi-
of around 3,000 located in the world’s main financial centres.
fied portfolio, taking into account liquidity issues.
Newedge will be provided with effective governance which will
Peter Ghavami, Global Head of Commodities at UBS,
ensure its autonomy in operational functions and anticipate any
comments, “As familiarity with the commodities asset class
conflict arising between the shareholders. These will have the
same rights and the same representation on the Board of
grows, an increasing number of investors are recognising
Directors. The Chairman, Marc Litzler, Deputy CEO of Calyon
the value of taking a more active approach with their
and the Vice Chairman, Philippe Collas, Deputy CEO of Société
investment strategy. UBS Comm-PASS is the first of a new
Générale with responsibility for its Global Investment
generation of portfolio-based algorithmic strategy prod-
Management and Services division, will each be appointed for a
ucts for the commodities asset class which allows for the
period of two years, with an alternation between Société
generation of returns in both bull and bear markets.”
Générale and Calyon.
Each strategy generates dynamic long or short signals in
Patrice Blanc, the Chairman and CEO of the Fimat Group, will
an individual commodity, taking into account both the
be appointed CEO of Newedge and Richard Ferina, Calyon
trend and counter-trend characteristics of specific com-
Financial’s Chairman and CEO, will be Deputy CEO.
modities in combination with the asymmetric return distri-
In a fast growing market, Newedge will rank as a world leader
bution seen in commodity markets. The system adjusts
in execution (in particular electronic execution) as well as in
positions based on signals generated from current market
clearing derivative products traded in over 70 organised markets
conditions in order to constantly capture new market
in the US, Europe and Asia-Pacific. On a pro forma basis as at
opportunities for each commodity. 31
st
December 2006, the combined entity handled more than
For each strategy within UBS Comm-PASS, the algo- 1.3 billion contracts, with sales of over one billion euros.
rithm’s parameters are chosen independently of the other In addition to its core business as a Futures Commission
strategies. This independence leads to a lower correlation Merchant (FCM), Newedge will continue to offer a range of
between returns of individual strategies and to higher
complementary execution services on OTC markets and on all
Sharpe and Calmar ratios for the overall portfolio, say UBS.
the spot markets, including money market instruments, bonds,
James Paget, co-head of EMEA Structured Commodity
equities, FX and tangible commodities.
Sales, said, “For the last few years, commodity price volatil-
A leading player in brokerage, Newedge will combine the spe-
ity has been substantially greater than other asset classes,
cific know-how (risk management, cross margining, financing,
largely due to supply concerns as well as changes in global
etc.) of the two entities and provide an innovative and compre-
consumption and the influx of financial commodity invest-
hensive prime brokerage offering, an alternative to the services
ments. High volatility offers trading opportunities provided
proposed by investment banks to their institutional customers.
an appropriate trading strategy is implemented. We
Generating diversified revenue streams from banks, brokers,
believe Comm-PASS offers investors the opportunity to
firms and management companies including hedge funds,
generate high returns by exploiting commodity market
Newedge intends to meet the increasing demands of a broader
characteristics.”
customer base, with a wider spectrum of products and access to
www.ubs.com
increasingly substantial sources of liquidity.
www.socgen.com &
www.calyon.com
NICKEL ELECTRICITY COCOA OIL PULSES SOYBEANS NATURAL GAS GRAINS FUTURES VaR OPTIONS COFFEE
SOFTWARE ALUMINIUM HEDGE EXCHANGES SILVER OTC BANKS TRADING RESEARCH COAL ANALYSIS GOLD
SUGAR FORWARDS TIN INDEX PLATINUM TEA LEAD EMISSIONS RUBBER MINING CLEARING SWAPS
PALLADIUM CONCENTRATES WEATHER RENEWABLES DEREGULATION ZINC DIAMONDS ONLINE TRADING RISK
MANAGEMENT BUY INTERNET COPPER RHODIUM CLIMATE CHANGE STEEL REGULATION ASSOCIATIONS
TRADING SYSTEMS SELL WAREHOUSING NUCLEAR EMERGING MARKETS ENERGY STRATEGIES GREEN CERTIFICATES
CO
2
CONTRACTS PORTFOLIO TRANSMISSION ASSET VALUATION TECHNOLOGY HEDGE FUNDS ELECTRONIC MARKETS
CARBON TRADING INVESTING FEEDS PRIVATISATION MANAGERS AUTOMATION DERIVATIVES FORECASTS ETFs
14 SEPTEMBER 2007 COMMODITIES NOW
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