The Research On The Application Of Portfolio Insurance Strategies On The Supplementary Pension Investment

Although the labor and security ministry issued and < the trial method of supplementary pension fund management> in 2004, which brought the demand of establishing and regulating the system of supplementary pension, however, the daily operation of supplementary pension needs to be detailed. This paper focus on the asset allocation strategy of supplementary pension, and research on how to implement the portfolio insurance strategy in supplementary pension investment. In this paper, our subject portfolio insurance strategies contain stop loss strategy, synthetic put strategy, CPPI strategy and TIPP strategy. At the same time, we assume the buy and hold strategy as the benchmark strategy against these portfolio insurance strategies. Firstly, this paper simulate these different strategy without the restriction of risky asset upper limit ratio and evaluate the result; secondly, this paper simulate these strategy under different combination of floor and multiplier, and evaluate the results; at last, the implement of these strategy with the restriction of risky asset upper limit ratio is thoroughly considered and the conclusion is given. The conclusion shows that the effect of retaining of respect of getting higher returns is hindered by the the restriction of risky asset upper limit ratio, while some strategy's ability of cutting loss short is maintained to some extent. We assume different risky asset upper limit ratio such as 0.15, 0.45, 0.6 and the corresponding initial risky asset ratio of benchmark buy and hold strategy are 0.1, 0.3, 0.4, we find that when loosing the restriction of risky asset upper limit ratio, the performance of portfolio insurance strategy becomes better. Finally the ideal portfolio insurance strategy is given.