What question did this study set out to answer?

The aim is to evaluate the trade-offs between downside and upside in convex and concave defined-outcome ETFs.

June 3, 2026

Snapshots of Defined-Outcome ETFs with a Convex Payoff Profile, Part II: The Downside-to-Upside Trade-Off

Key Points

The aim is to evaluate the trade-offs between downside and upside in convex and concave defined-outcome ETFs.
Review of key PMR-published papers
Simulation analysis covering 1996-2023
Comparison between convex and concave DOETFs
Convex and concave DOETFs show similar full-cycle downside-to-upside trade-offs.
Concave DOETFs perform better in moderate market movements.
Convex DOETFs excel during deep drawdowns and recoveries.

Abstract

Quickly apply original, key PMR-published papers with Snapshots—a short article companion that distills PMR research into compressed, digestible takeaways, so you can put the paper’s core ideas to work in your investment process—fast. This Snapshot article is based on research arguing that, across 1996–2023 simulations, convex and concave DOETFs show similar full-cycle downside-to-upside trade-offs, but concave DOETFs look better in moderate market moves while convex DOETFs look better in deep drawdowns and recoveries.

Bookmark

Cite This Study

Derived from original PMR research written by Mohamed Rochdi Keffala and Achaf Ben Abdallah using AI and an editor (Mon,) studied this question.

synapsesocial.com/papers/6a1fc76ddee9eb8c0dce8554 https://doi.org/https://doi.org/10.3905/snp.2026.jbis.002