Study CPPI Based Dynamic Adjustment Of Indicator MACD

Markowitz model (MarkowitZ1952) as the representative of the portfolio theory:the venture of capital market can be attributed primarily to systemic risk and non-systematic risk. Systemic risks have a wide effect and huge damage, such as economic crisis or even recession, and it can’t be eliminated, portfolio insurance strategies is the only way to avoid it. Unsystematic risk has a narrower affection, generally it can be solved through a diversified portfolio or asset allocation can be effectively resolved.Since August2007, the United States broke the "subprime crisis", the financial market has been filled with a variety of uncertainties, the fluctuations in the A-share market make the economic face a downturn, and the investors pay more attention in capital security than the past, they want to ensure the investment safe and balance the profit. Since then, the portfolio insurance strategies turned to be popular and is widely used to avoid systemic risk in financial market. From1981to now, a variety of strategies has been formed, and is widely used in the field of insurance funds. The fund company in our country always use TIPP strategy and CPPI strategy.The new model is based on the traditional CPPI strategy, through the introduction of MACD, the new model is able to judge in advance, compare with the new one, the original dynamic adjustment model has a less adjustment in M at a single time, so it lost some revenue. Meanwhile, by use of the long-term trend indicator reaction MACD, achieve an effective control of the number of transactions, and solve the problem of huge cost by continuous adjustment, and a better transaction efficiency is achieved. At the same time, DM-CPPI strategy absorbs the advantages of TIPP strategy, make both risk multiplier and insurance amount dynamically adjust in the same time, it can not only improving the efficiency of risk assets but also protect the risk assets. By taking a dynamic index in protecting the assets, the purpose of safety and profit are realized in the same time reflecting the purpose of the portfolio insurance strategy.Before designing this model, gap risk is fully considered, then I optimize this model again to put an end to gap risk. So, DM-CPPI strategy has a better effect in practice.Based on the comparative analysis with traditional CPPI strategy in influencing factors, I found: DM-CPPI can adjust the guarantee amount and risk multiplier dynamically, so all the factors have a less influence to this strategy than CPPI strategy. Meanwhile, regardless of how the market situation is, in DM-CPPI strategy, the scale and total value of assets invested in risky assets and risk assets have a weak negative correlation with guarantee amount. In shock market and bull market, in DM-CPPI strategy, the size of total value of assets invested in risky assets, risk assets and the total amount of assets have positive correlation or weak positive correlation with the initial risk multipliers.In shock market and bear market, in CPPI the size of total value of assets invested in risky assets, risk assets and the total amount of assets showing the same positive correlation with guarantee amount, in bull market showing a negative correlation. In CPPI strategy, the size of total value of assets invested in risky assets, risk assets and the total amount of assets showing a negative correlation with initial risk multiplier, a positive correlation in bull market.In the final part of this paper, about how to choose of the adjustment law, achieving the conclusions:Although the gap adjustment rules inhibited the performance of DM-CPPI strategy in a certain extent. However, the core idea of the operation with the DM-CPPI strategy is consistent and by adjusting the ratio setting it can reduce the high transaction costs by DM-CPPI strategies adjusting spontaneously to some extent. Therefore, gap adjustment rules with setting the adjusted ratio at3%is good for DM-CPPI strategy.Tone adjustment filter rule is consistent with the core idea of dynamically adjustment by DM-CPPI strategy. Filter rule with the1-9%range of optimal trigger adjustments is suit for DM-CPPI strategy.