Research On Insurance Strategy Based On Moving Average

Constant Proportion Portfolio Insurance(CPPI), proposed by Black and Jones in 1987, is one of the portfolio insurance strategies applied in the area ofinvestment. Because CPPI strategy is simple and practical, it has become the mainstream investment method of guaranteed funds.We combine the moving average strategy with the traditional CPPI strategy. Then we estimate the effects of risk multiplier and different moving average strategy on CPPI strategy during 5 kinds of market, which includes bull market, bear market, first rise and fall of the market, first fall and rise of the market and shocking market. At last we compare the advantages and disadvantages of CPPI and TIPP strategies.In order to test the effectiveness of the real application of the insurance strategy, this paper uses the Wan A index to make an empirical study. We can find from the empirical results, the different risk multiplier of the CPPI strategy, the greater the M value of the bull market, the stronger the ability to obtain the proceeds. However, due to the higher proportion of equity assets, the overall net volatility increased, the risk is also increased in bear market. In the first rise and fall of the market, the greater the M value is conducive to the accumulation of safety pad, as well as late risk hedging effect is obvious. In the first fall in the market and the shock market, the risk multiplier has little effect.20 day moving average strategy and 30 day moving average strategy performance better.We see from the comparison of CPPI and TIPP strategies, market, using CPPI strategy, the net value increases in more potential in the bull, but in the bear market, the position is declining rapidly. CPPI and TIPP strategy are both dependent on the path. Using TIPP strategy in the bull market, the stock position is more conservative, and the position is low when the net value reaches a record high. In a word, the TIPP strategy is more conservative than the CPPI strategy.