The index combines a rolling portfolio of three-year autocallable contracts linked to SPY, QQQ and IWM. Uday Goel, global lead of research and origination at MerQube, explains the construction, modelling challenges and potential for further structured payoffs in ETFs.
MerQube”s latest autocallable index takes a more complex payoff into the ETF market, using a weekly investment process to build a diversified portfolio of three-year least-of autocallable contracts linked to the SPDR S&P 500 ETF Trust (SPY), Invesco QQQ Trust (QQQ) and iShares Russell 2000 ETF (IWM). The idea was to find a reliable way to price and value these structures so dealers would be willing to price them - Uday Goel Developed with Calamos and J.P. Morgan, the index underpin