In a very low interest rate and tight credit spread environment, institutional investors look for alternatives to enhance their fixed income portfolios whilst maintaining their risk profile. Some have devised hedge funds as a solution to improve return at comparable risk levels. More recently, some authors show that appropriate optional strategies could offer better risk-return profiles than hedge funds. This paper proposes a synthetic equity derivative structure that mimics the cash flow behaviour of a corporate bond portfolio. Both alternatives are empirically compared, balancing their yield with their level of risk, and integrating the probability of default. In the case of the high-rating class, our results show that the derivative structure offers a better “spread-default” profile than that of corporate bonds. This may have interesting implications for insurers and pension funds that seek to invest a substantial fraction of their portfolio in high-grade fixed income assets and is consistent with the focus of liability-driven investors on yearly cash flow requirements.

在极低的利率和紧缩的信贷利差环境下，机构投资者寻求替代方案来增强其固定收益投资组合，同时保持其风险状况。有些人设计了对冲基金作为解决方案，以在可比较的风险水平下提高回报。最近，一些作者表明，与对冲基金相比，适当的可选策略可以提供更好的风险收益特征。本文提出了一种模拟股票债券衍生品现金流量行为的合成股票衍生品结构。对这两种选择进行了经验比较，以平衡其收益与风险水平，并整合违约概率。对于高评级的债券，我们的结果表明，与公司债券相比，衍生产品结构提供了更好的“价差违约”特征。