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标题: CCPI is driving me nuts [打印本页]

作者: Iginla2010 时间: 2011-7-13 14:24 标题: CCPI is driving me nuts

I'm having a tough time w. CCPI and it shouldn't be this difficult!!

If I have a $2 MM total portfolio, a $1 MM floor and 130% cushion, how much do i put in stock?

Edited 1 time(s). Last edit at Wednesday, June 1, 2011 at 12:43PM by zoya.

作者: bpdulog 时间: 2011-7-13 14:24

(2-1)(1.3) = 1.3MM

作者: canadiananalyst 时间: 2011-7-13 14:24

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

作者: Darien 时间: 2011-7-13 14:24

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

作者: lcw77 时间: 2011-7-13 14:24

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?

作者: bboo 时间: 2011-7-13 14:24

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

thanks, guys!

作者: Unforseen 时间: 2011-7-13 14:24

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.

作者: IAmNeil 时间: 2011-7-13 14:24

thanks, paraguay, v. helpful as always.

作者: dyga 时间: 2011-7-13 14:24

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.

作者: Valores 时间: 2011-7-13 14:24

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

sigh

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