基于风险调整指标RAROC的投资组合保险策略研究

The Research of Performance of Portfolio Insurance Based on Risk Adjustment Indicator RAROC

投资组合保险策略一方面被用于规避和管理市场风险,另一方面由于策略本身的特殊性面临着潜在的风险。本文在传统的ROC指标中加入用来衡量组合保险策略风险的VaR,其核心思想是将未来可预见的损失也考虑在内,衡量经风险调整后的收益大小,构建出一个经风险调整后的指标RAROC,用来衡量组合保险策略单位风险的回报,并与传统的绩效评价指标期末资产值、收益率、偏度指标等进行比较,采用不同的风险乘数及不同的要保额度,分析在多头、空头及震荡市场条件下,CPPI策略和TIPP策略与买入持有策略的表现。结果显示,在引入风险因子来衡量单位风险带来的收益时,各种策略在不同的市场表现明显有差别。在多头市场,CPPI策略的表现明显优于TIPP策略;在震荡市场,TIPP策略的表现明显优于CPPI策略;在空头市场,CPPI策略的表现优于TIPP策略。

Originated from the United States in the 1980s, porttolio insurance strategy alms to lock me possm^e losses within a certain range and pursue the benefits of a rising market by static or dynamic asset allocation. On one hand, portfolio insurance is used to avoid and manage market risks, and on the other hand, because of its special nature the strategy also faces potential risks. It is not difficult to find that risk factor is increasingly introduced into portfolio insurance strategy, either to improve the strategy itself or to re-evaluate its performance. Most of them add risk factor in the execution process of the strategy by re-setting the risk-adjusted multiplier to enhance the benefits of portfolio insurance strategies ; the rest introduce VaR or other risk factor to re-evaluate the performance of portfo- lio insurance strategies. At present, the evaluation indicators of portfolio insurance includes the final asset value, the average yield, standard deviation, the SHARP ratio, the average excess return, opportunity cost, insurance costs, skewness, kurtosis and so on,however, these traditional indicators don＇ t consider risk factors that may cause potential loss of the portfolio insurance. Some researches introduce VaR as a separate indicator to measure portfolio insurance performance, but there is no combination of risk and return. Thus, by introducing VaR into the traditional RAROC indicators as the measurement of the added risk of portfolio insurance strategy, this paper constructs a new RAROC indicator based on risk adjustment to measure the return of unit risk of portfolio insurance, its core idea is to measure the size of the risk-adjusted returns via taking the future foreseeable losses into account. In this paper, compared with the traditional evaluation indicators like the final asset value, yield, and skew- ness, we adopt different risk multiplier and floors to analyze the performance of CPPI and TIPP strategy under the long, short and shock markets. The empirical results show that no matter which kind of insurance policy can play a combination of insurance functions, especially in bear market, all of them can both ensure the ending portfolio val- ue higher than the initial insurance amount, which means that the security of the investment has been effectively as- sured and can also capture benefits from the rising of stock prices. In case we do not consider transaction costs, in a period of sustained rising market, CPPI strategy performs best, followed by buy and hold strategy,while the TIPP strategy has the lowest final value ; in a period of the sustained declining market, the TIPP strategy performs best, followed by CPPI strategy , both of them successfully lock the loss in the initially range, while buy and hold strategy has the worst performance; In the shock period, the final asset value of the three strategies are not very different, the TIPP strategy performs best, followed by B＆H strategy, while the CPFI strategy has relatively poor performance. In a bull market, the CPPI strategy has the highest value at risk （VaR）, followed by the B＆H strategy, while the TIPP strategy has the lowest VaR, and in most cases, VaR increases with the increase of the multiplier and floor, ac- cordingly, the risk-adjusted income （RAROC） has the similar performance, indicating that benefits of per unit risk of CPPI strategy increase fastest during this period and has the best performance. In bear markets, the B＆H strategy has the highest VaR, followed by the CPPI strategy,while the TIPP strategy has the minimum VaR, which reflects the good nature of portfolio insurance, as the multiplier and floor increased, VaR of CPPI and TIPP strategy continues to decline, while RAROC continues to increase, indicating that benefits of per unit risk of the two strategy are both in- creasing, while TIPP increases slightly faster than CPPI strategy, and the B＆H strategy holds the middle level. In the shock market, the CPPI strategy has the highest VaR, followed by the B＆H strategy,while the TIPP strategy has the lowest VaR, as the multiplier and floor increase, VaR of CPPI strategy continues to increase, while the RAROC con- tinues to decline, and the TIPP strategy has the opposite performance. Overall, by introducing risk factors to measure the benefits of per unit risk, different strategies has different performance in the different market, in bull market, the CPPI strategy performs significantly better than TIPP strategy; in volatile markets, the TIPP strategy performs signifi- cantly better than the CPPI strategy; in bear market, the CPPI strategy performs better than TIPP strategy. This paper provides some basic work for the further study of portfolio insurance, and also gets valuable conclu- sions of the theoretical research of financial markets and investment operations. We believe that we can improve the RAROC indictor as an effective way to improve the performance of portfolio insurance strategies.