Portfolio Insurance

  • 1984 – SOA – Financial Futures and Options, rsa84v10n35 – Society of Actuaries – 28p
  • 1987 – CATO – Portfolio Insurance and Stock Market Risk – 10p
  • – Book – A First-Class Catastrophe: The Road to Black Monday, the Worst Day in Wall Street History, Diana B. Henriques
  • 1997 0929 – Pensions & Investments – Jacobs blames portfolio insurance, by Barry B. Burr, The International Newspaper of Money Management – 2p
    • Portfolio insurance promoted by Leland O Brien Rubinstein Associates Inc. and other vendors not only caused the 1987 stock market crash, but also helped fuel the then-record climb in equities preceding the plunge, according to a forthcoming book. 
      • Bruce I. Jacobs, principal and co-chief investment officer with Jacobs Levy
        Equity Management Inc., Roseland, N.J., wrote a more than 400-page manuscript with the working title of Capital Ideas and Market Realities: The True Story of the Crash of 1987 and the Lessons We Have (and Haven t) Learned.
    • In a section dealing with pre-crash advertisements for portfolio insurance, LOR and vendors of LOR-licensed portfolio insurance, including Aetna Life Insurance Co., advertised the product as foolproof.
    • Aetna, for example, called its product guaranteed equity management.
    • In a promotional quote illustrated by Mr. Jacobs in his manuscript, Aetna
      states:
      • GEM gives plan sponsors an alternative approach to the problem of controlling portfolio risk by allowing them to participate in equity returns while placing absolute limits on downside exposure.