Many would agree that the premier econometrician in the world today is Robert Engle.
Throughout his long career he has developed successful models that not only serve academics but investors, companies and regulators as well.
In 2003, Professor Engle was awarded the Nobel Prize in Economic Sciences for his groundbreaking work in volatility modeling.
The family of ARCH models, which was first developed by Professor Engle in the 1980s, is still used today as a key tool for financial time series analysis.
Besides his accomplishments in economics, Engle is also a dab hand at time management, because despite having a crammed calendar, he’s also managed to reach the peak of success as a semi-professional ice-dancer.
The heart of a good volatility control mechanism is a good forecast of volatility
Robert F. Engle
Innovation meets Nobel award winning research
The Nasdaq-100 Engle 10% Index (the "Index") is designed to give investors exposure to the Nasdaq-100 Total Return™ Index while leveraging research from Nobel Award winner Robert F. Engle.
The Index targets a volatility of 10% using an intraday volatility control mechanism developed by UBS in partnership with Dr. Engle, seeking to deliver competitive risk-adjusted return.
Index at a glance
Nasdaq-100 Total Return™ exposure Exposure to the Nasdaq-100 Total Return™ Index, one of the world's preeminent large-cap growth indexes.
Forward-looking volatility modeling Using an innovative volatility control mechanism, that aims to provide stable and competitive participation rates.
Partnering with Nobel Award winner Dr. Robert F. Engle was awarded the Nobel Award in Economic Sciences for his groundbreaking work in volatility modeling. UBS worked with Dr. Engle to apply his research in volatility modeling to the Nasdaq-100 Total Return™ Index.
Intraday reactivity Intraday volatility forecast mechanism supported by research, aiming to produce a more reactive intraday allocation mechanism that rapidly adapts to changing market conditions.
1The equity portion of the Index is net of US Federal Funds Effective Rate in order to remove cost of funding. 2The UBENGL10 Index level is reduced by an additional index deduction rate of 0.50% per annum.
