Dynamic Multiplier Cppi Strategy Is Applied Research, In The A-share Market

The purpose of portfolio insurance is to control the risk in a fixed scope, in order to gain the extra profit when market climbs up and lost a little when down. Portfolio insurance uses buying a specific premium initially to protect the portfolio, and if the market rises we will lost the profit instead of gaining the guarantee for the portfolio net worth during market decline. It may reduce the risk of a drop in price, and safeguards the asset not be lower than the lowest standard which establishes before the investment.One of the portfolio insurance model is CPPI (Constant Proportion Portfolio Insurance), which the multiplier is constant. In the bullish market, we can not gain the profit of risk asset when the multiplier hasn't been rebalanced, and correspondingly the cushion of portfolio doesn't work in the bearish market by using the constant multiplier. In this article, we use the dynamic CPPI strategy that is DCPPI (Dynamic m Constant Proportion Portfolio Insuranc) . The significant index of DCPPI is Moving Average(MA). In the bull, we magnify the multiplier to relocate the weights of risk asset in order to acquire the return of rising price. On the other hand, we will reduce the proportion of venture asset by minifying the multiplier to control the risk of portfolio and protect its return.In the article ,we provide the practical method and process. We study the DCPPI with ETF50 in Shanghai stock market, and comparing with traditional CPPI strategy and B&H strategy. From the result, we can see the better performance of DCCPI than CPPI. When the multiplier is 6 and insured amount is 85%, DCPPI is outperforming buying long strategy. There is conclusion that DCPPI is more suit for the China market the CPPI in the practice strategy.