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Article

Ex Post Structured-Product Returns: Index Methodology and Analysis

Geng Deng, Tim Dulaney, Tim Husson, Craig McCann and Mike Yan
The Journal of Investing Summer 2015, 24 (2) 45-58; DOI: https://doi.org/10.3905/joi.2015.24.2.045
Geng Deng
is the director of research at the Securities Litigation and Consulting Group in Fairfax, VA.
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  • For correspondence: gengdeng@slcg.com
Tim Dulaney
is a financial analyst with the U.S. Securities and Exchange Commission in Washington, DC.
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  • For correspondence: dulaneyt@sec.gov
Tim Husson
is a financial analyst with the U.S. Securities and Exchange Commission in Washington, DC.
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  • For correspondence: hussont@sec.gov
Craig McCann
is president of the Securities Litigation and Consulting Group in Fairfax, VA.
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  • For correspondence: craigmccann@slcg.com
Mike Yan
is senior financial economist with the Securities Litigation and Consulting Group in Fairfax, VA.
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  • For correspondence: mikeyan@slcg.com
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Abstract

The academic and practitioner literature now includes numerous studies of the substantial issue-date mispricing of structured products, but there is no large-scale study of the ex post returns earned by structured product investors. This article augments the current literature by analyzing the ex post returns of more than 20,000 individual structured products issued by 13 brokerage firms since 2007. We construct our structured-product index and sub-indexes for reverse convertibles, single-observation reverse convertibles, tracking securities, and autocallable securities by valuing each structured product in our database each day. The ex post returns of U.S. structured products are highly correlated with the returns of large-capitalization equity markets in the aggregate, and individual structured products generally underperform simple alternative allocations to stocks and bonds. The observed underperformance of structured products is consistent with the significant issue-date underpricing documented in the literature.

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The Journal of Investing: 24 (2)
The Journal of Investing
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Ex Post Structured-Product Returns: Index Methodology and Analysis
Geng Deng, Tim Dulaney, Tim Husson, Craig McCann, Mike Yan
The Journal of Investing May 2015, 24 (2) 45-58; DOI: 10.3905/joi.2015.24.2.045

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Ex Post Structured-Product Returns: Index Methodology and Analysis
Geng Deng, Tim Dulaney, Tim Husson, Craig McCann, Mike Yan
The Journal of Investing May 2015, 24 (2) 45-58; DOI: 10.3905/joi.2015.24.2.045
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  • Article
    • Abstract
    • INDEX METHODOLOGY
    • ANALYSIS
    • EFFECT OF ISSUE-DATE SHORTFALL
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