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Defined-Outcome ETFs with a Convex Payoff Profile, Part I: Motivation, Construction, Historical SimulationDefined-Outcome ETFs with a Convex Payoff Profile, Part II: The Downside-to-Upside Trade-Off

Ding Liu

The Journal of Beta Investment Strategies2026https://doi.org/10.3905/jbis.2026.002article
AJG 1
Weight
0.50

What the paper says

In this article, the first of a two-part series, we introduce a new type of defined-outcome ETF with a convex payoff profile. These ETFs are designed to deliver better performance during significant market drawdowns and recoveries compared to existing defined-outcome ETFs, which utilize a put-spread collar structure and have a concave payoff profile. Like the current concave defined-outcome ETFs, the convex ETFs offer a defined outcome without requiring an upfront cash outlay. However, unlike the concave ETFs, the convex ETFs provide a downside floor without capping the upside potential. We perform historical simulations to compare the performance of convex and concave defined-outcome ETFs over a long history, as well as during notable market drawdowns and recoveries.

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https://doi.org/https://doi.org/10.3905/jbis.2026.002

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@article{ding2026,
  title        = {{Defined-Outcome ETFs with a Convex Payoff Profile, Part I: Motivation, Construction, Historical SimulationDefined-Outcome ETFs with a Convex Payoff Profile, Part II: The Downside-to-Upside Trade-Off}},
  author       = {Ding Liu},
  journal      = {The Journal of Beta Investment Strategies},
  year         = {2026},
  doi          = {https://doi.org/https://doi.org/10.3905/jbis.2026.002},
}

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Defined-Outcome ETFs with a Convex Payoff Profile, Part I: Motivation, Construction, Historical SimulationDefined-Outcome ETFs with a Convex Payoff Profile, Part II: The Downside-to-Upside Trade-Off

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Evidence weight

0.50

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.