Adjustment Rule For Time Invariant Portfolio Insurance Strategy Performance Analysis

As one of the Dynamic Portfolio Insurance strategy, Time Invariant Portfolio Insurance (TIPI) strategy can avoid systematic-risk effectively. In order to achieve this purpose, we sholuld adjust the proportion of risky asset and no-risky asset according the fluctuation of the risky asset price. Because of it needs Transaction Cost to adjust asset position, we should balance the insurance precision and the cost, find proper Adjustment Discipline, then improve the performance of TIPI strategy.Based on the historical data of composite index of shanghai stock exchange at different periods including upward movements downward movement and concussive period, this paper testifies positively at same parameter of TIPI strategy and different parameter of Adjustment Discipline, chooses the End Value of the Portfolio,Distribution of the Yield,Insurance Cost,Opportunity Cost and Transaction Cost as the indicators to evaluate Adjustment Discipline. In research, we adjust according Time Discipline,Market Move Discipline,Lag Discipline,Position discipline,Multiplier Discipline,Technical Analysis Discipline,Filter Rules ("Go long & Go short" Discipline and "Go long" Discipline), compare the perfomance of the TIPI strategy apartly lying on whether considers the Transaction Cost, then find the most practicable Adjustment Diacipline.Without regard to the Transaction Cost, The result of positive testify indicates the conclusion below. The best period of Time Discipline is 8 days.About Market Move Discipline,the lower of the adjustment point, the lower of the End Value of the Portfolio at upward movement; it is inverse at downward movement and concussive period.The Lag Discipline and Position Discipline have the same influence tendency on the End Value of the Portfolio as the Market Move Discipline. Considering Multiplier Discipline, 6% is best adjustment ratio at upward movement and 5% is best at downward movement, the End Value of the Portfolio diminishs with the adjustment ratio taking on the saddle pattern, but on the concussive period it diminishs when the adjustment ratio diminishs.When Technical Analysis Discipline is linked to Market Move Discipline, the performance always have relation with the stock performance, when bullish stock index turns up, the higher of the adjustment ratio,the higher of the End Value of the Portfolio, it is antithesis precise when bearish stock index turns up.The last discipline is Filter Rules, the best Filter is 4% and the End Value of the Portfolio diminishs takeing on the saddle pattern at upward movement; it variates inversely at downward movement and takes on the wave pattern at concussive period.Towards different market performance, at the upward movement Market Move Discipline,Lag Discipline and Technical Analysis Discipline linked to Market Move Discipline have better integration adjustment effect. Filter Rules should be disused.The result using Filter Rules variate at concussive period. When the filter is small (not bigger than 3%), the End Value of the Portfolio is lower than using other disciplines,otherwise it is inverse. The Market Move Discipline behaves better when the adjustment point is smaller than 3%.Filter Rules is the best at downward movement.Next to it are Time Discipline and Multiplier Discipline.When we take the Transaction Cost into account, the result is only a few distinction with inrespect to the cost.