CCPI is driving me nuts

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2^#

发表于 2011-7-13 14:24 | 只看该作者

(2-1)(1.3) = 1.3MM

canadiananalyst

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3^#

发表于 2011-7-13 14:24 | 只看该作者

but what about the floor of $1mm? do i just ignore it then?

Darien

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4^#

发表于 2011-7-13 14:24 | 只看该作者

2mm - 1mm = 1mm x 1.3 = 1.3 invested, keep 700k in cash.

lcw77

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5^#

发表于 2011-7-13 14:24 | 只看该作者

so then the floor is just a what... algebraic construct? doesn't mean an ACTUAL cash floor?

plus, think through what happens as my portfolio value begins to fall.

say, my new portfolio value is $1.3 MM, same $1M floor, same 1.3 cushion:
i end up w. (1.3 - 1) x 1.3 = .39 M in stock, and .91 M in cash

so i now have MORE cash in the portfolio, even tho i have a smaller total portfolio? that makes sense to you?

as my portfolio value declines in absolute dollar terms, the dollar value of my floor... increases?

bboo

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6^#

发表于 2011-7-13 14:24 | 只看该作者

o its the ASSET value floor? geezus.
this whole time i thought "floor" meant cash portion, not overall portfolio

thanks, guys!

Unforseen

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7^#

发表于 2011-7-13 14:24 | 只看该作者

zoya Wrote:
-------------------------------------------------------
> so then the floor is just a what... algebraic
> construct? doesn't mean an ACTUAL cash floor?
>
> plus, think through what happens as my portfolio
> value begins to fall.
>
> say, my new portfolio value is $1.3 MM, same $1M
> floor, same 1.3 cushion:
> i end up w. (1.3 - 1) x 1.3 = .39 M in stock, and
> .91 M in cash
>
> so i now have MORE cash in the portfolio, even tho
> i have a smaller total portfolio? that makes sense
> to you?
>
> as my portfolio value declines in absolute dollar
> terms, the dollar value of my floor... increases?

This makes sense, you are getting closer to the point of having no stocks and no risk to the floor value.

IAmNeil

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8^#

发表于 2011-7-13 14:24 | 只看该作者

thanks, paraguay, v. helpful as always.

dyga

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9^#

发表于 2011-7-13 14:24 | 只看该作者

The floor is on total portfolio value NOT on cash in the portfolio.

In your example where the portfolio value falls to 1.3m, you do need to reduce your stock position and increase cash. That is the essence of CPPI.

Valores

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10^#

发表于 2011-7-13 14:24 | 只看该作者

yeah i can't believe this whole time i thought floor = bonds
makes me worried what ELSE i similarly misunderstand..

sigh