Publicação
Assessing the value-add of structured products compared to passive index investing in the United States: a quantitative approach
| Resumo: | This paper examines the potential value-add of incorporating convertible bonds (CB) and reverse convertible bonds (RC-B) into passive investment strategies on the S&P 500. Using synthetic data and quantitative models, it assesses risk-adjusted returns and risk metrics to investigate possible performance enhancements that retail investors can gain from portfolios combining equities with CBs or RC-Bs. The findings indicate that, in bullish markets, adding CBs contributes positively to risk-adjusted returns, while including RC-Bs offers more moderate returns with less downside risks and a possibility to strive more in stagnating markets. Limitations regarding transaction costs and their implications are discussed. |
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| Autores principais: | Königs, Jakob |
| Assunto: | Convertible bonds Reverse convertible bonds Structured products Value-add Risk-return US stocks US corporate bonds |
| Ano: | 2025 |
| País: | Portugal |
| Tipo de documento: | dissertação de mestrado |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Universidade Nova de Lisboa |
| Idioma: | inglês |
| Origem: | Repositório Institucional da UNL |
| Resumo: | This paper examines the potential value-add of incorporating convertible bonds (CB) and reverse convertible bonds (RC-B) into passive investment strategies on the S&P 500. Using synthetic data and quantitative models, it assesses risk-adjusted returns and risk metrics to investigate possible performance enhancements that retail investors can gain from portfolios combining equities with CBs or RC-Bs. The findings indicate that, in bullish markets, adding CBs contributes positively to risk-adjusted returns, while including RC-Bs offers more moderate returns with less downside risks and a possibility to strive more in stagnating markets. Limitations regarding transaction costs and their implications are discussed. |
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