Comparison of DM-CPPI Strategy and Traditional CPPI Strategy - with 30 kinds of foreign spot commodity as the Example

• Main Authors: Hui-Ting Lan, 藍慧婷
• Other Authors: Jiang-He Xu
• Format: Others
• Language: zh-TW
• Published: 2018
• Online Access: http://ndltd.ncl.edu.tw/handle/j2m423

碩士 === 國立虎尾科技大學 === 財務金融系碩士班 === 106 === Since Black and Jones proposed the constant-proportion portfolio insurance (CPPI) in 1987, the portfolio strategy was discussed extensively and many variations of the strategy were suggested. Although each strategy had its theoretical basis, it was not necessary as perfect in practice as in theory. This paper attempted to cite the CPPI strategy based on dynamic adjustment of MACD indicator, that was, DM-CPPI strategy (Yao Yuan et. Al., 2015), which introduced the MACD indicator in replacement of the current risk multiplier m in the CPPI, to find the best parameters and verify the model performance. First, we compare the traditional CPPI portfolio strategy with the DM-CPPI strategy by using Yuanta Bora Taiwan Excellence 50 Securities Investment Trust Fund (hereinafter referred to as Taiwan 50, codenamed 0050) as a risk asset and Taiwan Domestic Bank-Taiwan Bank current savings deposits as conservative assets. The data spans from June 30, 2003 to June 30, 2017, for a total of 14 years. The result showed that the DM-CPPI is indeed superior than the traditional CPPI strategy. Secondly, in order to confirm the feasibility and diversity of CPPI and DM-CPPI strategies, and to satisfy investors’ desire for risk diversification in various market conditions, the research uses the data of 30 spot market commodities from abroad, which includes precious metals, basic metals, agricultural products, energy and etc. The data is split up into the in-sample period from July 1, 2013 to June 30, 2015, and the out-of-sample period from July 1, 2015 to June 30, 2017. The result of this study shows that the DM-CPPI strategy outperforms the traditional CPPI strategy.