The Research Of Investmentstrategy Based On OBPI

With the development of our financial market and acceleration of financial innovation, an increasing number of financial institutions are using Portfolio Insurance Strategy to make investment. To those who are only willing to take part of market risk and enjoy part of interest from a bull market as well, investment strategy based on OBPI is relatively an appropriate risk-avoiding instrument.This paper introduces the development of portfolio insurance and its classification. It mainly focuses on the theoretical analysis and empirical study on Option-Based Portfolio Insurance(OBPI). Based on OBPI, a trading strategy is built to aim at rate of return but also maintain original insurance attribute. This paper carries out positive study by using the closing index of Shanghai Stock Exchange Composite Index between Jan. 1, 2006 and Jun. 30, 2014. By using calculating instrument, it simulates micro-process of dynamic adjustment of OBPI. To parameter such as expiration time, strike price, volatility rate, stock-position adjustment strategy, by using control variable method, under the circumstance that other parameters are definite, intensive study is carried out on particular one and to determine all that make up the strategy. By comparing investment strategy on OBPI with other ones such as MACD and TIPP, we can find out OBPI’s different performance in various markets.This research finds out that investment strategy based on OBPI can help portfolio enjoy the interest from up-going market and reduce the loss in a downside market. By sound study on particular parameters, a suggested range for investment strategy parameters on OBPI is given. Besides, by making comparison with other investment strategy, this one is superior in that it performs better that market index. However, in practice, due to complexity of market trend, there is no one-for-all approach, and we still need to choose corresponding investment strategy according to comprehensive elements.