Do structured products improve portfolio performance? A backtesting exercise
通过回测检验，发现将结构化产品（如可转债、反向可转债等）纳入60/40股票债券组合通常会降低收益和风险调整后表现，且机会成本为负，导致投资者效用损失。
In this paper, we show how the inclusion of structured products affects the performance of a portfolio of primary assets. We consider fairly priced, synthetic structured products (convertible bonds, reverse convertibles, or barrier reverse convertibles) that we include in a 60/40 portfolio (60% stocks and 40% bonds), a typical portfolio held by institutional investors. We demonstrate that including structured products in the 60/40 portfolio in general lowers returns and risk-adjusted performance across all product types. Moreover, we evaluate the opportunity costs - in terms of utility - of including structured products in the 60/40 portfolio. We demonstrate that the opportunity cost is overwhelmingly negative, implying that investors who choose to include structured products in their portfolios suffer from a disutility. Our findings are robust to alternative settings. We expect further performance deterioration for real-world structured products that are highly illiquid, exhibit high transaction costs, and are often more complex than the products we are considering.