Marjan Wauters

Smart Beta and CPPI Performance

Using a block-bootstrap evaluation framework to simulate historical performance of CPPIs, we show that combining smart beta and portfolio insurance is mutually beneficial. It preserves the improved risk-adjusted performance of the smart beta strategies in normal market regimes and offers protection against the non-diversifiable systematic risk of sudden market downturns.CPPIs are popular medium- to long-term investment products that dynamically allocate between a risk-free asset and a risky portfolio, with the objective of combining upside potential with a capital guarantee. This paper uses a block-bootstrap evaluation approach to study whether combining smart beta and portfolio insurance is mutually beneficial under various scenarios. Our results show that the improvement in performance is most apparent for CPPIs combined with a low-risk equity portfolio. This finding is consistent with the negative vega of CPPIs and with path-dependency of the CPPI protection against portfolio losses between rebalancing dates.CPPIs are popular medium- to long-term investment products that dynamically allocate between a risk-free asset and a risky portfolio, with the objective of combining upside potential with a capital guarantee. This paper uses a block-bootstrap evaluation approach to study whether combining smart beta and portfolio insurance is mutually beneficial under various scenarios. Our results show that the improvement in performance is most apparent for CPPIs combined with a low-risk equity portfolio. This finding is consistent with the negative vega of CPPIs and with path-dependency of the CPPI protection against portfolio losses between rebalancing dates.

Supplementary Appendix to: The Response of Multinationalss Foreign Exchange Rate Exposure to Macroeconomic News

In this supplementary appendix to the paper Boudt et al. (2017) we provide additional results regarding model validation and robustness to alternative choices of estimation of the realized exposures.

Smart Indexing to Equities and Reducing the Drag of Negative Vega and Downside Risk in CPPI Performance

Using a block-bootstrap evaluation framework to simulate historical performance of CPPIs, we show that combining smart beta and portfolio insurance is mutually beneficial. It preserves the improved risk-adjusted performance of the smart beta strategies in normal market regimes and offers protection against the non-diversifiable systematic risk of sudden market downturns.CPPIs are popular medium- to long-term investment products that dynamically allocate between a risk-free asset and a risky portfolio, with the objective of combining upside potential with a capital guarantee. This paper uses a block-bootstrap evaluation approach to study whether combining smart beta and portfolio insurance is mutually beneficial under various scenarios. Our results show that the improvement in performance is most apparent for CPPIs combined with a low-risk equity portfolio. This finding is consistent with the negative vega of CPPIs and with path-dependency of the CPPI protection against portfolio losses between rebalancing dates.CPPIs are popular medium- to long-term investment products that dynamically allocate between a risk-free asset and a risky portfolio, with the objective of combining upside potential with a capital guarantee. This paper uses a block-bootstrap evaluation approach to study whether combining smart beta and portfolio insurance is mutually beneficial under various scenarios. Our results show that the improvement in performance is most apparent for CPPIs combined with a low-risk equity portfolio. This finding is consistent with the negative vega of CPPIs and with path-dependency of the CPPI protection against portfolio losses between rebalancing dates.

Smart Beta and Portfolio Insurance: A Happy Marriage?

Using a block-bootstrap evaluation framework to simulate historical performance of CPPIs, we show that combining smart beta and portfolio insurance is mutually beneficial. It preserves the improved risk-adjusted performance of the smart beta strategies in normal market regimes and offers protection against the non-diversifiable systematic risk of sudden market downturns.CPPIs are popular medium- to long-term investment products that dynamically allocate between a risk-free asset and a risky portfolio, with the objective of combining upside potential with a capital guarantee. This paper uses a block-bootstrap evaluation approach to study whether combining smart beta and portfolio insurance is mutually beneficial under various scenarios. Our results show that the improvement in performance is most apparent for CPPIs combined with a low-risk equity portfolio. This finding is consistent with the negative vega of CPPIs and with path-dependency of the CPPI protection against portfolio losses between rebalancing dates.CPPIs are popular medium- to long-term investment products that dynamically allocate between a risk-free asset and a risky portfolio, with the objective of combining upside potential with a capital guarantee. This paper uses a block-bootstrap evaluation approach to study whether combining smart beta and portfolio insurance is mutually beneficial under various scenarios. Our results show that the improvement in performance is most apparent for CPPIs combined with a low-risk equity portfolio. This finding is consistent with the negative vega of CPPIs and with path-dependency of the CPPI protection against portfolio losses between rebalancing dates.