The lookback construction is one of the longest standing concepts in structured products. It has a rich history and is still in use in today’s markets many decades after it first appeared.
Derivatives and structured products first gained real traction in the 1980s and 1990s with the investment landscape was fundamentally different to what it is today. High interest rates and moderate volatility meant that it was possible to create growth products with full capital protection and high participation in the performance of an underlying asset. In many cases it was possible to provide participation rates well in excess of 100% because of the value generated by interest rates and divide