UBS CMCI Composite SF (UIQK.DE): Historical Returns

Category: Commodities
Period: August 1953 - August 2024 (~71 years)
Consolidated Returns as of 31 August 2024
Currency: EUR
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1.00€
Initial Capital
September 1994
4.27€
Final Capital
August 2024
4.95%
Yearly Return
16.78
Std Deviation
-56.78%
Max Drawdown
166 months
Recovery Period
1.00€
Initial Capital
August 1953
82.20€
Final Capital
August 2024
6.40%
Yearly Return
16.14
Std Deviation
-56.78%
Max Drawdown
166 months
Recovery Period

The UBS CMCI Composite SF (UIQK.DE) ETF covers to the following investment themes:

  • Asset Class: Commodity
  • Commodity: Broad Diversified

As of August 2024, in the previous 30 Years, the UBS CMCI Composite SF (UIQK.DE) ETF obtained a 4.95% compound annual return, with a 16.78% standard deviation. It suffered a maximum drawdown of -56.78% that required 166 months to be recovered.

Table of contents
Disclaimer: The simulations on this website are provided in good faith but should NOT be taken as investment advice. We are not liable for any errors or actions based on this information. The authors of the website are not affiliated with the ETFs/Assets issuers. Content is for informational, educational, illustrative and entertainment purposes only.
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The UBS CMCI Composite SF (UIQK.DE) ETF is part of the following Lazy Portfolios:

Portfolio Name Author UIQK.DE Weight▾ Currency
Ivy Portfolio To EUR Mebane Faber 20.00% EUR
Ivy Portfolio To EUR Bond Hedged Mebane Faber 20.00% EUR
7Twelve Portfolio To EUR Craig Israelsen 16.66% EUR
7Twelve Portfolio To EUR Bond Hedged Craig Israelsen 16.66% EUR
All Weather Portfolio To EUR Ray Dalio 7.50% EUR
All Weather Portfolio To EUR Bond Hedged Ray Dalio 7.50% EUR
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Investment Returns as of Aug 31, 2024

The UBS CMCI Composite SF (UIQK.DE) ETF guaranteed the following returns.

Returns are calculated in EUR, assuming:
  • no fees or capital gain taxes.
  • dividend reinvestment, when applicable.
  • the actual Euro Inflation rates.
UBS CMCI COMPOSITE SF (UIQK.DE) ETF
Time Period: 1 August 1953 - 31 August 2024 (~71 years)
Swipe left to see all data
  Chg (%) Return (%) Return (%) as of Aug 31, 2024
  1 Day Time ET(*) Sep 2024 YTD
(8M) 		1M 6M 1Y 5Y 10Y 30Y MAX
(~71Y)
UBS CMCI Composite SF (UIQK.DE) ETF n.a. n.a. 1.50 -2.21 -0.52 -3.35 11.21 3.19 4.95 6.40
Euro Inflation Adjusted return -0.51 -2.21 -2.22 -5.28 7.14 0.77 2.84 3.63
Returns over 1 year are annualized
(*) Eastern Time (ET - America/New York)
Euro Inflation is updated to Jul 2024. Pending updates, the monthly inflation is set at 0% for the subsequent periods. Inflation (annualized) is 1Y: 2.03% , 5Y: 3.79% , 10Y: 2.40% , 30Y: 2.05%
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Capital Growth as of Aug 31, 2024

An investment of 1€, from September 1994 to August 2024, would be worth 4.27€, with a total return of 326.62% (4.95% annualized).

The Inflation Adjusted Capital would be 2.32€, with a net total return of 131.87% (2.84% annualized).

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An investment of 1€, from August 1953 to August 2024, would be worth 82.20€, with a total return of 8120.39% (6.40% annualized).

The Inflation Adjusted Capital would be 12.60€, with a net total return of 1160.18% (3.63% annualized).

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Investment Metrics as of Aug 31, 2024

Metrics of UBS CMCI Composite SF (UIQK.DE) ETF, updated as of 31 August 2024, provide a comprehensive overview of the portfolio's performance and risk characteristics.

These metrics include detailed data on returns, volatility, drawdowns and other key performance indicators. By examining them, you can gain insights into how the portfolio has performed over various time periods and understand its risk profile.

Metrics are calculated based on monthly returns, assuming:
  • no fees or capital gain taxes.
  • dividend reinvestment, when applicable.
  • the actual Euro Inflation rates.
UBS CMCI COMPOSITE SF (UIQK.DE) ETF
Advanced Metrics
Time Period: 1 August 1953 - 31 August 2024 (~71 years)
Swipe left to see all data
Metrics as of Aug 31, 2024
YTD
(8M) 		1M 3M 6M 1Y 3Y 5Y 10Y 20Y 30Y MAX
(~71Y)
Investment Return (%)
1.50 -2.21 -7.09 -0.52 -3.35 9.83 11.21 3.19 2.49 4.95 6.40
Growth of 1€ 1.01 0.98 0.93 0.99 0.97 1.32 1.70 1.37 1.64 4.27 82.20
Infl. Adjusted Return (%)
-0.51 -2.21 -7.26 -2.22 -5.28 4.17 7.14 0.77 0.37 2.84 3.63
Euro Inflation (%) 2.02 0.00 0.18 1.74 2.03 5.43 3.79 2.40 2.11 2.05 2.67
Pending updates, the monthly inflation of Aug 2024 and beyond is set at 0%. Returns / Inflation rates over 1 year are annualized.
DRAWDOWN
Inflation Adjusted:
Inflation Adjusted:
 Current 1Y 3Y 5Y 10Y 20Y 30Y MAX
Deepest Drawdown Depth (%) -10.46 -8.41 -14.40 -25.99 -36.52 -56.78 -56.78 -56.78
Start to Recovery (# months)
28* 4* 28* 14 83 166 166 166
Start (yyyy mm) 2024 05 2022 05 2020 01 2014 09 2008 07 2008 07 2008 07
Start to Bottom (# months) 4 13 4 68 142 142 142
Bottom (yyyy mm) 2024 08 2023 05 2020 04 2020 04 2020 04 2020 04 2020 04
Bottom to End (# months) 0 15 10 15 24 24 24
End (yyyy mm) - - 2021 02 2021 07 2022 04 2022 04 2022 04
Longest Drawdown Depth (%) -7.82
same		 -14.40
same
same
same
same
Start to Recovery (# months)
7 28*
Start (yyyy mm) 2023 10 2022 05 2022 05 2014 09 2008 07 2008 07 2008 07
Start to Bottom (# months) 3 13 13 68 142 142 142
Bottom (yyyy mm) 2023 12 2023 05 2023 05 2020 04 2020 04 2020 04 2020 04
Bottom to End (# months) 4 15 15 15 24 24 24
End (yyyy mm) 2024 04 - - 2021 07 2022 04 2022 04 2022 04
Longest negative period (# months)
12* 29* 29* 29* 197 242 242
Start (yyyy mm) 2023 09 2022 04 2022 04 2022 04 2004 09 2000 09 2000 09
End (yyyy mm) 2024 08 2024 08 2024 08 2024 08 2021 01 2020 10 2020 10
Annualized Return (%) -3.35 -1.84 -1.84 -1.84 -0.11 -0.34 -0.34
Drawdowns / Negative periods marked with * are in progress
Deepest Drawdown Depth (%) -32.08 -8.78 -19.99 -25.99 -39.89 -62.18 -62.18 -62.18
Start to Recovery (# months)
194* 4* 28* 14 86 194* 194* 194*
Start (yyyy mm) 2024 05 2022 05 2020 01 2014 09 2008 07 2008 07 2008 07
Start to Bottom (# months) 4 13 4 68 142 142 142
Bottom (yyyy mm) 2024 08 2023 05 2020 04 2020 04 2020 04 2020 04 2020 04
Bottom to End (# months) 0 15 10 18 52 52 52
End (yyyy mm) - - 2021 02 2021 10 - - -
Longest Drawdown Depth (%) -7.54
same		 -19.99
same
same
same		 -31.20
Start to Recovery (# months)
7 28* 227
Start (yyyy mm) 2023 10 2022 05 2022 05 2014 09 2008 07 2008 07 1954 02
Start to Bottom (# months) 3 13 13 68 142 142 196
Bottom (yyyy mm) 2023 12 2023 05 2023 05 2020 04 2020 04 2020 04 1970 05
Bottom to End (# months) 4 15 15 18 52 52 31
End (yyyy mm) 2024 04 - - 2021 10 - - 1972 12
Longest negative period (# months)
12* 31* 31* 87 230* 288 355
Start (yyyy mm) 2023 09 2022 02 2022 02 2014 09 2005 07 1996 05 1990 10
End (yyyy mm) 2024 08 2024 08 2024 08 2021 11 2024 08 2020 04 2020 04
Annualized Return (%) -5.28 -0.68 -0.68 -0.17 -0.15 -0.09 -0.13
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
1Y 3Y 5Y 10Y 20Y 30Y MAX
Standard Deviation (%) 10.75 12.97 14.68 13.94 14.98 16.78 16.14
Sharpe Ratio -0.81 0.51 0.62 0.12 0.07 0.16 0.14
Sortino Ratio -1.17 0.77 0.84 0.17 0.10 0.23 0.21
Ulcer Index 4.61 7.11 9.38 16.32 32.03 28.41 20.42
Ratio: Return / Standard Deviation -0.31 0.76 0.76 0.23 0.17 0.30 0.40
Ratio: Return / Deepest Drawdown -0.40 0.68 0.43 0.09 0.04 0.09 0.11
Positive Months (%)
41.66 52.77 58.33 51.66 52.50 53.05 53.10
Positive Months 5 19 35 62 126 191 453
Negative Months 7 17 25 58 114 169 400
LONG TERM RETURNS
Inflation Adjusted:
Inflation Adjusted:
 1Y 3Y 5Y 10Y 20Y 30Y MAX
Best 10 Years Return (%) - Annualized 3.19 4.09 14.80 19.17
Worst 10 Years Return (%) - Annualized -5.26 -5.26 -5.26
Best 10 Years Return (%) - Annualized 0.77 1.87 12.32 13.37
Worst 10 Years Return (%) - Annualized -6.38 -6.38 -6.38
TIMEFRAMES
Inflation Adjusted:
Inflation Adjusted:
 1M 3M 6M 1Y 3Y 5Y 10Y 20Y 30Y MAX
··· As of Aug 2024 - Over the previous 30Y
Best Rolling Return (%) - Annualized 91.49 28.04 22.31 14.80 6.01 4.95
Worst Rolling Return (%) - Annualized -42.38 -12.80 -8.83 -5.26 -0.51
Positive Periods (%) 58.7 60.9 69.1 70.5 96.6 100.0
Best Rolling Return (%) - Annualized 87.86 24.63 19.82 12.32 4.13 2.84
Worst Rolling Return (%) - Annualized -42.29 -13.33 -9.48 -6.38 -2.07
Positive Periods (%) 54.1 56.9 59.8 58.5 85.1 100.0
95% VaR - Value at Risk (%) - Cumulative
7.45 12.24 16.39 32.36 28.97 37.37 38.67 0.00
95% CVaR - Conditional Value at Risk (%) 9.46 15.72 21.32 37.44 35.72 42.07 49.79 5.91
99% VaR - Value at Risk (%) - Cumulative
10.75 17.95 24.47 39.85 39.36 45.58 57.68 10.78
99% CVaR - Conditional Value at Risk (%) 12.85 21.59 29.62 41.69 42.81 49.52 66.94 10.78
Short term VaRs: analytical | 1+ year VaRs: historical data
Safe Withdrawal Rate (%) 65.83 21.34 13.29 5.95 4.23 5.92
Perpetual Withdrawal Rate (%) --- --- --- --- --- 3.37
% based on initial capital, inflation-adj. monthly withdrawals afterwards | Credits: BestRetirementPortfolio.com
··· All available data (Aug 1953 - Aug 2024)
Best Rolling Return (%) - Annualized 91.49 50.62 32.30 19.17 16.10 13.56
Worst Rolling Return (%) - Annualized -42.38 -12.80 -8.83 -5.26 -0.51 2.19
Positive Periods (%) 61.7 69.3 80.8 87.1 99.3 100.0
Best Rolling Return (%) - Annualized 87.86 41.32 24.88 13.37 11.73 9.83
Worst Rolling Return (%) - Annualized -42.29 -14.18 -9.48 -6.38 -2.07 0.31
Positive Periods (%) 54.5 56.4 62.4 71.5 97.0 100.0
95% VaR - Value at Risk (%) - Cumulative
7.04 11.40 15.02 18.49 22.26 24.32 24.97 0.00 0.00
95% CVaR - Conditional Value at Risk (%) 8.97 14.75 19.76 29.41 29.71 34.39 36.79 0.00 0.00
99% VaR - Value at Risk (%) - Cumulative
10.21 16.90 22.80 36.79 35.38 41.12 48.34 0.00 0.00
99% CVaR - Conditional Value at Risk (%) 12.23 20.40 27.75 39.92 38.76 45.16 55.13 5.91 0.00
Short term VaRs: analytical | 1+ year VaRs: historical data
Safe Withdrawal Rate (%) 65.83 21.34 13.29 5.95 4.23 3.55
Perpetual Withdrawal Rate (%) --- --- --- --- --- 0.36
% based on initial capital, inflation-adj. monthly withdrawals afterwards | Credits: BestRetirementPortfolio.com
Terms and Definitions
  • Annualized Portfolio Return: it's the annualized geometric mean return of the portfolio.
  • Deepest/Longest Drawdown: a drawdown refers to the decline in value from a relative peak value to a relative trough. The deepest (or maximum) drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. The longest drawdown is the period observed from a peak to the subsequent peak with the greatest duration.
  • Longest negative period: it's the maximum period for which an overall negative return has been observed.
  • Standard Deviation: it's a measure of the dispersion of returns around the mean.
  • Sharpe Ratio: it's a measure of risk-adjusted performance of the portfolio. It's calculated by dividing the excess return of the portfolio over the risk-free rate by the portfolio standard deviation. The risk-free rate here considered is the 1-3 Mth T-Bill return.
  • Sortino Ratio: another measure of risk-adjusted performance of the portfolio. It's a modification of the Sharpe Ratio (same formula but the denominator is the portfolio downside standard deviation).
  • Ulcer Index: it's a measure of downside risk that quantifies the depth and duration of drawdowns in an investment portfolio.
  • Best/Worst 10Y returns: the best and the worst 10-year return over a time frame.
  • Rolling Returns: N-year returns over a time frame, calculated over all the available data source (best, worst, % of positive returns). Each rolling period, longer than the longest negative period, yielded a non-negative minimum return.
  • Value at Risk (VaR): it's an evaluation of a cumulative worst-case loss (in absolute value), associated with a probability (95%-99%) and a time horizon. For short term, it's calculated based on the expected return and standard deviation, assuming a normal distribution of monthly returns. For long term is retrieved by the historical rolling return data.
  • Conditional Value at Risk (CVaR): it represents the average expected loss if that worst-case threshold (95%-99%) is ever crossed.
  • Safe Withdrawal Rate (SWR): it's the percentage of the initial portfolio balance that can be withdrawn at the beginning of each month with inflation adjustment, without the portfolio running out of money in any case (money amount withdrawal).
    For instance: Your initial invested capital is 100.000$; withdrawal rate (annualized) is 4%. This means that, in the first month, you will withdraw 100.000 * 4% * 1/12 = 333.33$. The second month, you’ll withdraw 333.33$ plus the inflation monthly rate. You’ll continue adjusting your withdraw monthly for inflation.
  • Perpetual Withdrawal Rate (PWR): it's the percentage of the initial portfolio balance that can be withdrawn at the beginning of each month with inflation adjustment, preserving the original invested capital, adjusted for inflation too.
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Correlations as of Aug 31, 2024

Correlation measures to what degree the returns of two assets move in relation to each other. It is a statistical measure that describes the extent to which the returns of one asset are related to the returns of another asset.

The following table shows the monthly correlations of UBS CMCI Composite SF (UIQK.DE) ETF vs the main Asset Classes, over different timeframes. Columns are sortable (click on table header to sort).

UBS CMCI COMPOSITE SF (UIQK.DE) ETF
Monthly correlations as of 31 August 2024
Swipe left to see all data
Correlation vs UIQK.DE
Asset Class 1 Year 5 Years 10 Years 30 Years
SXR8.DE
 US Large Cap Blend -0.13 0.35 0.33 0.28
ZPRR.DE
 US Small Cap Blend -0.51 0.37 0.36 0.31
IQQ7.DE
 US REITs -0.64 0.42 0.26 0.23
NQSE.DE
 US Technology -0.38 0.10 0.14 0.20
EUNL.DE
 Developed Countries -0.20 0.40 0.37 0.32
SXRT.DE
 Euro Large Cap Blend -0.32 0.41 0.31 0.21
IUSQ.DE
 World All Countries -0.19 0.41 0.38 0.31
IS3N.DE
 Emerging Markets -0.05 0.42 0.40 0.34
CEBW.DE
 US Total Bond Market EUR Hdg -0.71 -0.25 -0.26 -0.10
IUSV.DE
 US Long Term Treasuries EUR Hdg -0.70 -0.47 -0.46 -0.22
PR1H.DE
 US Ultrashort Gov.Bonds EUR Hdg -0.66 -0.28 -0.15 -0.02
UEEF.DE
 US High Yield Bonds EUR Hdg -0.69 0.25 0.30 0.16
EUNU.DE
 Global Aggregate Bond EUR Hdg -0.51 -0.18 -0.12 0.07
SPF1.DE
 Global Convertible Bonds EUR Hdg -0.47 0.30 0.31 0.29
IS3C.DE
 Emerg. Market Bonds EUR Hdg -0.70 0.20 0.16 0.16
SYBA.DE
 Euro Total Bond Market -0.67 -0.12 -0.18 -0.08
IBCL.DE
 Euro Long Term Gov. Bonds -0.68 -0.17 -0.23 -0.15
EUN6.DE
 Euro Ultrashort Gov. Bonds -0.53 -0.14 -0.05 0.24
XHYG.DE
 Euro High Yield Bonds -0.74 0.36 0.31 0.28
IBCI.DE
 Euro Inflation Linked Bonds -0.63 0.25 0.14 0.12
PHAU
 Gold 0.32 -0.12 -0.02 0.22
Terms and Definitions
Correlation values range between -1 and +1
  • A correlation of +1 indicates that the returns of the two assets move in perfect synchrony; when one asset's returns go up, the other asset's returns also go up by the same percentage, and vice versa. This perfect positive correlation implies that the assets perform similarly in different market conditions.
  • A correlation of -1 indicates a perfect inverse relationship between the returns of the two assets. When one asset's returns go up, the other asset's returns go down by the same percentage. This perfect negative correlation suggests that the assets move in opposite directions, providing a diversification benefit by reducing overall portfolio risk.
  • A correlation of 0 means that there is no linear relationship between the returns of the two assets. The returns of one asset do not predict the returns of the other.
Learn about historical correlations here: see how the main asset classes relate to each other.

Drawdowns

A drawdown refers to the decline in value from a relative peak value to a relative trough. A maximum drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained.

UBS CMCI COMPOSITE SF (UIQK.DE) ETF
Drawdown periods
Drawdown periods - Inflation Adjusted
Time Period: 1 September 1994 - 31 August 2024 (30 Years)
Time Period: 1 August 1953 - 31 August 2024 (~71 years)
Inflation Adjusted:

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Rolling Returns

For a detailed rolling return analysis, click here
UBS CMCI Composite SF (UIQK.DE) ETF: Rolling Returns

A rolling return is a measure of investment performance that calculates the return of an investment over a set period of time, with the starting date rolling forward. This approach can provide a more accurate representation of the investment's historical performance and helps investors to evaluate the investment's consistency over time.

UBS CMCI COMPOSITE SF (UIQK.DE) ETF
Annualized Rolling Returns
Annualized Rolling Returns - Inflation Adjusted
Time Period: 1 September 1994 - 31 August 2024 (30 Years)
Time Period: 1 August 1953 - 31 August 2024 (~71 years)
Inflation Adjusted:

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Seasonality

In which months is it better to invest in UBS CMCI Composite SF (UIQK.DE) ETF?

Both the Average Return and the Gain Frequency (Win %) are useful to get an idea of what happened in the past. They are retrieved considering the time period from August 1953 to August 2024.

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For further information about the seasonality, check the Asset Class Seasonality page.

Monthly Returns

This section provides a visual/tabular representation of the performance variability in the UBS CMCI Composite SF (UIQK.DE) ETF over time. It illustrates the distribution of monthly returns, showcasing the range and frequency of positive and negative returns.

UBS CMCI COMPOSITE SF (UIQK.DE) ETF
Monthly Returns Distribution
Time Period: 1 September 1994 - 31 August 2024 (30 Years)
Time Period: 1 August 1953 - 31 August 2024 (~71 years)
191 Positive Months (53%) - 169 Negative Months (47%)
453 Positive Months (53%) - 400 Negative Months (47%)

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Methodology

Returns, up to May 2014, have been derived using the historical series of equivalent ETFs / Assets.
You can find additional information on extended Data Sources here.

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