Discuss the basic components, risk tolerance assumptions, and relative performance in different market conditions for:
Buy and hold
Constant weight
Cppi
Ill throw my 2 cents tomorrow.
_____________________________________________________
-My friend QQQbbe, we will never forget you.作者: liangfeng 时间: 2011-7-11 19:23
Buy and hold - make initial investment and do nothing, never outperforms other 2 strategies
Constant weight - periodically adjust to some target allocation, outperforms in a flat but oscillating market, worst performance in trending market
CPPI - set floor value, invest risk free floor amount, then increase allocation to risky asset if prices trend up, decrease when prices trend down. Outperforms in trending market, underperforms in flat, volatile markets
NO EXCUSES作者: nannan66 时间: 2011-7-11 19:23
sbmarti2 Wrote:
-------------------------------------------------------
> Buy and hold- explanatory, isn't it? Will fall
> between the other two in all cases, M value of 1.
>
> Constant mix- standard rebalancing to original
> SAA, outperforms in reversing markets,
> underperforms in trending markets, M value of less
> than 1, selling portfolio insurance, cheaper
> trading as it's contrarian
>
> CPPI- floor value in risk free, invest in risky in
> growth periods, sell risky in down periods. M
> value greater than one, convex, momentum trading
> costs are higher, buying portfolio insurance.
>
> P.S. I'm into the beers, so my answers are a bit
> lazy. Also, I can't remember if it's the M value,
> or some other letter. 1 in 26 shot
The M values are correct
NO EXCUSES作者: Windjammer 时间: 2011-7-11 19:23
Thanks. Also forgot to put CPPI is best in trending and worse in reversing, but oh well.
