An Empirical of CPPI of TIPP On Taiwan stock Group Index Future

• Main Authors: Kai-Zhong Lee, 李中凱
• Other Authors: Chang-Kuo Hu
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/11398677911289300371

碩士 === 真理大學 === 經濟學系財經碩士班 === 101 === The purpose of this research is to discuss the concept of the investment portfolio insurance strategy alone with profitable effect of the investment portfolio insurance strategy and their hedging strategy effect. The main insurance strategy is based on the TSEC Taiwan Mid-Cap 100 Index to establish the investment combination and uses three-index futures issued by the Taiwan Futures Exchange to adjust the investment combination of the risk-weighted assets. In this research, the investment portfolio insurance strategy utilized are CPPI and TIPP. Depending on the trend moves, the design of multiplier is variable in order to inspect whether it can reduce the market risk and at the same time to keep profit statically. The duration of the research from 2008/01/02 to 2012/12/31, and there are three periods to be analyzed according to the bull and bear market during the research period. The first period from 2008 to 2009 for the global financial crisis, second period during 2009 to 2010 for recovering from a recession and the third period from 2010/04 (European debt crisis). The ROI analysis of those three periods, we found that adding adjustable risk-multiplier within CPPI and TIPP strategy would obtain a higher performance from the futures trade. In addition, the result also indicates that it will be better compared to other Buy and Hold strategy during the same period. At last, the analysis of ROI, volatility and general sharp ratio based on the multiplier model would have higher profit compared to the traditional constant risk-multiplier model.