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

Well-informed investors can use stock-based structured products to outperform index-linked instruments, but caution and rigorous analysis are key

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