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Assessing the value-add of structured products compared to passive index investing in the United States: a quantitative approach

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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.
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

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