Product performance

Product performance

gymnast-80615007

Taking the most common structures in the US public market, this month's analysis compares the virtues of a principal-protected note, a leveraged return product and a reverse convertible. Each product is valued weekly and has a strike date of March 18, 2012. The analysis covers the first six months of the products' life using real market data and assessing the effect of changes in the net asset value.

Figure 1 tracks a five-year principal-protected note linked to the performance of W&T Offshore.

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