In the third part of our analysis, we look at some of the most widely used underlyings in the US structured products market and evaluate them based on their value/growth, volatility, momentum, and dividend income.
Tailor-made scores were computed to come up with a unified approach towards ranking these underlyings and compare each strategy in 2020. To consider a given underlying a value company, its price-to-book ratio (P/B ratio - the average of its closing price in the reviewed period in 2020 divided by its book value per share) should be below 1.00 (or 3.00 depending on individual risk appetite). Furthermore, we assessed the return on equity (RoE) of prevalent underlyings in terms of issuance in 2020
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