Strategy #0000000095 · Portfolio protection and allocation
CPPI dynamic portfolio insurance
Enter portfolio, floor, multiplier, risky/cash returns and gap shock to test whether the floor is breached.
CPPI sets risky exposure to a multiplier times portfolio value above a floor, investing the remainder in cash or bonds. Rebalancing is needed as markets move; gaps can cause losses before exposure is cut and breach the floor. OBPI more directly constructs a floor using bonds and options.
The floor is not guaranteed; gaps between rebalances, liquidity and cash rates affect outcomes.
Three ways in
Understand the story. Then inspect the risk.
Start with a familiar situation, check the payoff, then test how the numbers change.
The idea · in two minutes
Does the CPPI cushion and multiplier maintain the floor after a market gap?
CPPI sets risky exposure to a multiplier times portfolio value above a floor, investing the remainder in cash or bonds. Rebalancing is needed as markets move; gaps can cause losses before exposure is cut and breach the floor. OBPI more directly constructs a floor using bonds and options.
Enter portfolio, floor, multiplier, risky/cash returns and gap shock to test whether the floor is breached.
The floor is not guaranteed; gaps between rebalances, liquidity and cash rates affect outcomes.
- Input assumptionsEnter portfolio, floor, multiplier, risky/cash returns and gap shock to test whether the floor is breached.
- Model outputThe floor is not guaranteed; gaps between rebalances, liquidity and cash rates affect outcomes.
Illustrative research examples only. They are not live signals or a recommendation.
The mechanics · payoff and exposure
RiskyExposure=\min(V,m\max(V-F,0)),\quad V_{next}=E_R(1+r_R)+E_C(1+r_C)-C
V is portfolio value, F the floor and m the multiplier; gap shocks and costs are separate inputs.
Greeks: the directional intuition
- 模型
- Measures sensitivity to implied volatility.
- 尾部
- Measures sensitivity to implied volatility.
- 執行
- Measures sensitivity to implied volatility.
RiskyExposure=\min(V,m\max(V-F,0)),\quad V_{next}=E_R(1+r_R)+E_C(1+r_C)-C
Practical context · published observations
CPPI dynamic portfolio insurance: read the record with its caveats.
The chart uses the published figures or explicitly labelled study inputs below. A historical index or model replay is not the same as an investor’s realised account return.
The floor is not guaranteed; gaps between rebalances, liquidity and cash rates affect outcomes. Source ↗ · Methodology ↗
Change assumptions and inspect the scenario
Inputs illustrate the strategy mechanics; they are not live quotes, forecasts or investment advice.
Variants · same family, different risk levers
Related structures use different exposures and loss conditions.
Compare allocation, financing and payoff assumptions.
| Related strategy | Relationship | What changes | New cost or risk |
|---|---|---|---|
| Base structure | Scenario allocation | CPPI sets risky exposure to a multiplier times portfolio value above a floor, investing the remainder in cash or bonds. Rebalancing is needed as markets move; gaps can cause losses before exposure is cut and breach the floor. OBPI more directly constructs a floor using bonds and options. | The floor is not guaranteed; gaps between rebalances, liquidity and cash rates affect outcomes. |
| Conservative version | Lower exposure | Reduce notional, leverage or multiplier. | May reduce upside participation. |
| Dynamic version | Periodic rebalance | Reset exposure by risk or regime. | Needs more trading and model governance. |
The floor is not guaranteed; gaps between rebalances, liquidity and cash rates affect outcomes.
Read beyond the summary
References
Primary sources and research used to describe the strategy and its limits.