A Performance Evaluation of Constant Proportion Portfolio Insurance: An Application of the Economic Index of Riskiness

固定比例資產組合保險的績效評估－風險經濟指標的應用

呂瑞秋(Richard Lu) ； 熊令瑜(Ling-Yu Hsiung)

《經濟論文》 46卷3期 (2018/09) Pp. 429-462

摘要

The investment performance of constant proportion portfolio insurance (CPPI) strategies is evaluated by using the economic performance measure (EPM). This performance measure generalizes the Sharpe measure by replacing the standard deviation with the economic index of riskiness proposed by Aumann and Serrano (2008). For the performance evaluation, the return distributions are generated by Monte Carlo simulations. The results show that whether the CPPI strategies can outperform a buy-and-hold (BH) strategy depends on the level of the multiplier, the performance measure, and the market scenario. The multiplier is the most important factor that determines whether CPPI can outperform BH. When the multiplier is no more than two, CPPI almost always outperforms BH under the normal return and volatility market. However, if the multiplier is five, which is a commonly used value in applications, CPPI is outperformed by BH under all market scenarios studied. Furthermore, EPM-based evaluations of CPPI are often favorable under more upward and less volatile markets.

關鍵字

Constant proportion portfolio insurance ； Economic index of riskiness ； Economic performance measurement

並列摘要

本研究利用蒙地卡羅模擬並運用經濟績效指標來評估固定比例資產組合保險策略的投資表現。此經濟績效指標以Aumann and Serrano（2008）中的風險經濟指標取代夏普比例中的風險指標－標準差，可視為一般化的夏普比例。研究結果顯示，固定比例資產組合保險策略是否能優於買進持有策略視乘數、績效指標與市場情境的影響，其中乘數是最重要的因子。在一般正常的市場情境下，若乘數不高於二，經濟績效指標顯示固定比例資產組合保險策略優於買進持有策略。然而，若乘數等於常用的五，則固定比例資產組合保險策略都劣於買進持有策略。此外，使用經濟績效指標或在市場具有上升趨勢且波動小的情況下，都較能顯示固定比例資產組合保險策略優於買進持有策略。

並列關鍵字

固定比例資產組合保險 ； 風險經濟指標 ； 經濟績效指標

參考文獻

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Aumann, R. J. and R. Serrano (2008), “An Economic Index of Riskiness,” Journal of Political Economy, 116, 810–835.

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