文章基本信息

标题：Portfolio insurance strategies in a low interest rate environment: A simulation based study
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作者：Ariful Hoque ; Ariful Hoque ; Robin Kämmer 等
期刊名称：Journal of Finance and Investment Analysis
印刷版ISSN：2241-0988
电子版ISSN：2241-0996
出版年度：2018
卷号：7
期号：3
语种：English
出版社：Scienpress Ltd
摘要：The aim of this study is to ascertainthrough a simulation process how low and even negative interest rates affect theperformance of different portfolio insurance (PI) methodologies and whichconcepts are successful in different assumed scenarios. In the past, manypapers have been published providing empirical evidence on the benefits of PIstrategies in different markets. However, hardly any paper focuses on theimpact of low interest rates on the performance of PI strategies althoughinterest rates are currently at an all-time low throughout the OECD. In thispaper we run Monte Carlo simulations for the buy-and-hold (B&H), ConstantMix, Stop Loss, Constant Proportion Portfolio Insurance (CPPI), and TimeInvariant Portfolio Protection (TIPP) strategies. We show that lower interestrates have an impact on the ranking of these strategies according to differentperformance measures such as Sharpe Ratio, Treynor Ratio, Sortino Ratio, or LowerPartial Moment (LPM) performance measures. B&H and Constant Mix perform relatively well in respect of theSharpe and Treynor Ratio. However, when considering the Sortino Ratio orLPM performance measures these concepts are particularly badly affected by the reduction in interestrates, especially when it comes to negative rates. Here, the strength of theCPPI strategy becomes obvious.