The market for structured products has grown dramatically in the past decade. Their diversity
and complexity have led to the development of many different valuation approaches, and it …

… Craig McCann PhD, CFA, is Principal at Securities Litigation and Consulting Group, Inc. Dr
McCann received a BA and an MA in Economics from the University of Western Ontario and a …

Exchange-traded products (ETPs) linked to futures contracts on the CBOE S&P 500 Volatility
Index (VIX) have grown in volume and assets under management in recent years, in part …

Since first introduced in 2003, the number of autocallable structured products in the United
States has increased exponentially. The autocall feature causes the product to be redeemed …

We propose a robust portfolio optimization approach based on Value-at-Risk (VaR)-adjusted
Sharpe ratios. Traditional Sharpe ratio estimates using a limited series of historical returns …

Leveraged and Inverse ETFs replicate the leveraged or the inverse of the daily returns of an
index. Several studies have established that investors who hold these investments for …

Exchange-traded funds (ETFs) have become popular investments since first introduced in
2004. These funds offer investors a simple way to gain exposure to commodities, which are …

We replicate and extend the analysis of broker misconduct in these studies. Qureshi and
Sokobin arrive at their low estimate by excluding 85% of all brokers, including those brokers …

We analyze and value dual directional structured products – or simply dual directionals (DDs)
– which have been issued in large amounts since the beginning of 2012. DDs evolved out …

Equity-indexed annuities are complex investments sold by insurance companies that pay
investors part of the capital appreciation in a stock index and guarantee a minimum return if the …