On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds)

Philippe Bertrand and Jean-Luc Prigent

Finance, 2015, vol. 36, issue 2, 67-105

Abstract: As emphasized by the U.S. Dodd-Frank Act and the European MiFID directive, financial institutions are required to ?categorise their clients and assess their suitability for each type of investment product.? In this framework, this paper examines several standard financial structured products whose performances are based on smoothing the return of an underlying risky asset and providing a guarantee at maturity. We use various criteria such as probabilities of providing merely the guarantee at maturity and Kappa measures. Surprisingly, our study reveals that funds based on averages of calls generally do better than Asian funds.

Date: 2015
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Related works:
Working Paper: On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds) (2015)
Working Paper: On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds) (2014)
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