UBS's YES Was Not Same Iron Condor Product as at Credit Suisse
By: Craig McCann, Regina Meng, Edward O'Neal (Mar 2022)
Monthly returns from the Credit Suisse and UBS time periods - including for subperiods of similar characteristics UBS blames for the 2018 losses - show these two programs were very different and that UBS's program was much riskier and had much more directionality than the Credit Suisse program. We find market conditions in 2018 when YES lost 18.44% were much less dramatic than in 2008 when Credit Suisse lost only 2.42%
UBS's Yield Enhancement Strategy ("YES") Returns - and then the Losses - Were Caused by Equity Market Exposure
By: Craig McCann, Regina Meng, Edward O'Neal (Oct 2019)
UBS marketed YES as market-neutral based on a combination of four options is sometimes referred to as an "Iron Condor". UBS accounts subjected to YES treatment suffered losses of 12% to 14% in December 2018 when the S&P 500 dropped 9.2% because the overlay was more than 100%
In this paper the authors we explain the option basics necessary to understand the YES strategy and illustrate how UBS actually implemented the strategy with predictably disastrous results. They also present how UBS described the strategy in its marketing materials.