基于沪深300股指期货的投资组合保险策略研究

Portfolio Insurance Strategy Based on Shanghai and Shenzhen 300 Stock Index Futures

传统的投资组合保险策略为投资者提供了一种控制系统性风险的有效方法。但该策略有两个缺陷:第一,在风险资产头寸有限的情况下,收益也有限;第二,在市场下跌时难以避免损失。为了改进传统投资组合保险策略的不足,论文将股指期货与传统策略相结合,提出了基于沪深300股指期货的投资组合保险策略,其基本思想是将沪深300股指期货作为风险资产引入到传统的固定比例投资组合保险策略中,在预判市场上涨时买入资产多头,在预判市场下跌时买入资产空头,从而建立起一种既能在多头市场盈利,又能在空头市场盈利的程序化交易策略。利用股指期货的空头交易以及杠杆获取高收益,利用传统组合保险进行保本。此策略的优点是采用沪深300股指期货推出以来的数据,首先验证了策略的有效性,接着通过控制单一变量法,研究了策略中比较窗口长度,投资乘数以及要保额度等投资参数对投资绩效的影响状况,进而得出了各个参数的最优取值区间。实证研究表明,在合理选取参数且风险一定的情况下,该策略能够取得较好的投资回报。

Traditional Portfolio Insurance Strategy such as OBPI or CPPI provides investors a good method to control systematic risk. However, it has two shortages： First, under the condition of lim- ited risk-assets position, the return is limited too. Second, when the market declines, some losses are unavoidable. In order to improve the shortages of traditional strategy, this paper will advance a newly-designed strategy： The Portfolio Insurance on basis of Shanghai and Shenzhen 300 Stock Index Futures. By introducing the Stock Index Futures into the traditional Portfolio Insurance, the investor could take long position when the market is predicted to go up, and the investor could take short position when the market is predicted to decline. So the strategy could benefit in both bull market and bear market, this is the basic idea of the new strategy. Taking advantage of short trade and lever trade of Stock Index Futures,the strategy has the possibility to get high yield. On the other hand, taking advantage of the traditional Portfolio Insurance, the strategy has a good way to control risk The empirical study is based on the recent historical trading data. And it shows that the new strategy is rather effective. Then through the single control variable method, the pa- per studies how the investment strategy performance is influenced by the investment parameter such as the length of comparative window or investment multiplier. Through the empirical study, if only the parameters are selected rationally and the risk is properly controlled, the investment per- formance is good.