Structured Products: Performance, Costs and Investments

Abstract

This paper analyzes structured products with a focus on the Swiss market. Empirical results for these products’ five major categories are presented, along with case studies and a general discussion. The paper addresses three main questions: How did structured products perform in the period starting in the Great Financial Crisis 2008 until 2014? The study shows that 80% of all issued products have a positive performance. What are the costs for investors at issuance? How can structured products be used? Several case studies distinguish investments in normal market conditions from event-driven investments made when markets are under stress. A main focus is on the SNB and ECB decisions of January 2015: the removal of the EUR/CHF cap and the introduction of negative CHF interest rates, and the decision to apply a program of quantitative easing in the eurozone, respectively.

Keywords: Structured Products, Costs, Performance, Investor Behaviour, Event Driven Investments

JEL Classification: G10, G13, G14, G19, D24