Anatomy of an Autocall
Choosing one investment over another inevitably involves weighing up various pros and cons. There may be unquantifiable factors, contingent risks and other elements that will always be a judgement call, but at the simplest level it is a judgement about risk and return. In this short note we illustrate the process we use to calculate the risk and return of structured products in a way that allows for a direct comparison with other investments. This type of analysis can then help identify products that expand the efficient frontier, and which do not.
Access it here: Anatomy of an autocall.