Dynamic proportion portfolio insurance, smart beta investing and market impact

Project Title

Internal ID

32787

Principal Investigator

Ardia, David

Status

Completed

Investigators

Boudt, Kris

Wauters, Marjan

Organisations

Institut d'analyse financière

Identifiants

https://libra.unine.ch/handle/20.500.14713/2232

https://libra.unine.ch/handle/123456789/1952

Keywords

CPPI portfolio insurance smart beta

Description

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.