How ‘worst-of’ strategies can outperform index-linked products

Stock-based structured products can outperform index-linked counterparts but rigorous analysis is key

tim mortimer of future value consultants
Tim Mortimer

Tim Mortimer is managing director of Future Value Consultants

Structured products that use single stocks and ‘worst-of' combinations of stocks as underlying assets continue to account for a significant proportion of issuance in all markets. Such constructions tend to be seen most in reverse convertibles and autocalls, the two most common capital-at-risk products. The reason for this is that they are the only realistic way to generate higher yield in times of moderate volatility and low interest

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