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Dynamic proportion portfolio insurance, smart beta investing and market impact
Project responsable David Ardia
   
Project partner Kris Boudt
Marjan Wauters
   
Abstract Using a block-bootstrap evaluation framework to simulate historical performance of CPPIs, we show that combining smart beta and portfolio insurance is mutually beneficial. It preserves the improved risk-adjusted performance of the smart beta strategies in normal market regimes and offers protection against the non-diversifiable systematic risk of sudden market downturns.
   
Keywords CPPI, portfolio insurance, smart beta
   
Type of project Applied research project
Research area Financial econometrics
Method of financing FSA, Laval University
Status Completed
Start of project 1-2014
End of project 1-2016
Overall budget 17,700 CAD
Contact David Ardia