Empirical Study on the Use of Investment Portfolio Insurance Strategy in Domestic Mutual Fund Company

Abstract: Theoretically, the risk which portfolio is facing can be classified into two main categories: one is called non-systemic risk, which can be managed through portfolio management theory and diversify investment, while the other one is named systemic risk ,which need to be solved by portfolio insurance strategy. The chief target of portfolio Insurance strategy is to keep the opportunity of upside profit while being able to control the risk caused by the reduction of downside lose. Adoption of portfolio Insurance strategy can keep the price of portfolio a certain extent away from invasion of price-vibration,and eliminate the systemic and non-systemic risk of portfolio to avoid downside risk, lead a benefit of stock market.Mutual fund company can develop one kind of mutual fund, named principal guaranteed fund, which can not only make sure that investor never lose their own money but also let investor to potentially benefit as well.This paper first briefly summarizes different kinds of investment portfolio insurance strategy, analyzes and compares the operation of the overseas and domestic Principal Guaranteed Fund. and then researchs the result of optimized CPPI strategy by Investment Portfolio Insurance Strategy Analysis System. In the end, some suggestions are brought forward about mutual fund product design.This paper has the following three innovations:I the development of Investment Portfolio Insurance Strategy Analysis System, which can analysis portfolio insurance strategy clearly and comprehensively,what is more, the expansion of system is very well; II the optimize of traditional CPPI strategy enhanced the security of strategy; III raise a thought of the use of portfolio insurance strategy in other mutual fund product…
Key words: investment portfolio insurance strategy; principal guaranteed fund; CPPI

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