Innovative Research On Investment Strategy Of Principal Guaranteed Fund

Principal Guaranteed Fund is a kind of fund that provides proportional guarantee in terms of the principal investor has entrusted in a scheduled investment period. Principal Guaranteed Fund achieves investment objectives based on the Portfolio Insurance Strategy. Portfolio Insurance Strategy was introduced in US in 1980s, it can be classified into two categories:Option Based Portfolio Insurance(OBPI, for short)and Dynamic Adjustment Strategy. Among all the strategies, CPPI(Constant Proportion Portfolio Insurance)strategy attracted more attention and well applied in many fields due to its advantages as flexibility and practicality.This paper introduces the development condition of Principal Guaranteed Fund in China and in overseas, describes the theoretical basis of Principal Guaranteed Fund——Portfolio Insurance Strategy. Then the paper does empirical research on Constant Proportion Portfolio Insurance strategy with historical data and optimizes the traditional CPPI strategy, taking the actual situation of the domestic market into account. Finally, the paper concludes the research, and looks ahead of the development of Principal Guaranteed Fund in China.There are three innovations of this paper:First, there are much comparative study on CPPI strategy and little applied research on CPPI strategy.This paper concentrates on parameter selection and takes it as starting point of research; Second, previous research neglects the extreme condition of market. This paper carries stress test on CPPI strategy; Third, previous research is limited with the traditional CPPI strategy.This paper optimizes the traditional CPPI strategy, taking the actual situation of the domestic market into account, and simulates the optimized CPPI strategy.