Dynamic CPPI Strategy Based On Quantitative Investment Model

Portfolio insurance strategy is a very effective strategy for investors with guaranteed demand especially the Capital Guaranteed Fund.First of all this paper introduces the principles of portfolio insurance strategies.Starting with the empirical analysis of CPPI strategy,this paper concludes that the CPPI strategy's performance is not good in the shaking tendency.In order to improve the performance of the CPPI strategy in the shaking tendency,the strategy of dynamic adjustment of multiplier is put forward on the premise of not adjusting the amount of insurance.Base on the EMA model,this paper establishes the trend evaluation model,by judging the inflection point of price trends from the two angles of short term and long term.By analyzing the change of the speeds of prices,this paper finds possible inflection points of the price trends,and then improve the CPPI strategy's performance in the shaking tendency by adjusting the multiplier.By using the data of CSI 300 Index,this paper made many analyses and comparisons.Based on the data,this paper designed the oscillation factor.During the vacuum period of the strategy of dynamic adjustment,the oscillation factor will work to complement.Finally this paper significantly enhanced the performance of CPPI strategy in the shaking tendency.