| Stock index futures is a basic derivative products of modern financial markets, compared with thestock trading it has low cost and highly leveraged, its Short selling mechanism greatly increase the liquidityof the stock index futures market and avoid market risks effectively, these advantages make stock indexfutures as a new type of financial derivatives to come to the fore in the investment market. April16,2010,China Financial Futures Exchange officially started to trade the first stock index futures contracts-CSI300stock index futures contracts. How to use stock index futures to optimize the structure of the portfolioinsurance and rich product portfolio designs, which is the issue every institutional investor most concernedabout.Traditional portfolio insurance strategies will lose a potential rise in revenue to gain a certaindownside risk in order to avoid the systemic risk in the market. New portfolio insurance policy, such asConstant Proportion Portfolio Insurance (CPPI) and Time Invariant Portfolio Insurance (TIPP), the twotype portfolio insurance policy as their good operability were popular with the most of the institutionalinvestor. However, in the application we found every portfolio insurance policy was greatly reduced whenthe market is rising. The scholars began to focus their researches on the improvement of the existingportfolio insurance strategies. The innovation of this paper is to use the representative CPPI and TIPPstrategy and select the latest on the Shanghai Composite Index and the CSI300index futures data from2010to2012in the empirical research. We introduce the stock index futures into the traditional portfolioinsurance strategies as a part of the risk assets, by adding a dynamic adjustment factor and then we canadjust the position of the stock index futures based on the relationship of stock index futures and stock index spot. Its main purpose is to optimize the risk-reward shape of the portfolio insurance strategies.Firstly, the article summarized the principles of portfolio insurance strategies and the basicconcepts of the stock index futures, analyzed the disadvantages of the different traditional portfolioinsurance strategies. Then we introduced the principle of CPPI and TIPP strategy with stock index futures.By using the historical data of Shanghai index and CSI300index futures, we used empirical analysismethod to analyze the performance of the introduction portfolio insurance strategies CPPI&TIPP and thestrategies with stock index futures in different parameters and different type of market, we found thefollowing results: as a financial derivatives the stock index futures has its unique advantages. By using itreasonable we can optimize the performance of the original portfolio insurance strategies. It can not only toreduce transaction costs, but also improve the efficiency of investment.We can also see from the empirical, every strategy has its shortcoming. In different types ofmarkets, each strategy has different performance. In a bull market, the return rate of CPPI strategy stockindex futures was the highest, in the bear market the return rate of TIPP strategy with stock index futureswas the highest, in the dull market, the return rate of the two TIPP strategies was superior to the two CPPIstrategies. In addition, the use of dynamic adjustment factor in the introduction of stock index futures canachieve the linkage between the stock index futures and spot. In different type of market we can choosedifferent scale factor "α". It can also optimize the revenue rate of the portfolio assets, summed up: in a bullmarket choosing a smaller scale factor "α" can gain more in the stock market; in a bear market choosing alarger scale factor "α" to reduce the losses because the price of the stock index futures and spot markets arenot fully synchronized. In a dull market, the scale factor "α" didn’t affect a lot to the revenue rate. |
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