A Comparative Analysis of Alternative Portfolio Insurance Strategies

2018

Master's thesis Business Administration BE501 - University of Agder 2018 Literature within the field of Portfolio Insurance (PI) provides no clear evidence for or against the usefulness of implementing PI strategies. The goal of this thesis is to investigate the real- life performance, using out-of-sample testing, of different PI strategies on the S&P 500 index. The strategies we investigate are the Protective Put (PP) strategy, the Cash Call (CC) strategy, the Constant Proportion Portfolio Insurance (CPPI) strategy, the Stop Loss (SL) strategy and a Moving Average (MA) strategy. We compare the performance of the strategies against a passive Buy-and-Hold (BH) strategy. We find that theMAand…