Leaping Black Swans

摘要

What is the most effective way to protect against significant market downturns while retaining good upside participation? While many researchers have scrutinized the subject of portfolio insurance (PI), most academic studies on the subject have concluded that options-based strategies are broadly inferior to those that use asset allocation shifts to reduce risk. Yet such studies also have one serious limitation: they tend to focus on protective put options rather than considering other candidates, such as call options. This is the gap that professors William Trainor (East Tennessee State University), Indudeep Chhachhi, and Christopher Brown (both of Western Kentucky University) seek to fill in Leaping Black Swans, published in the February 2019 Issue of The Journal of Investing. They find that portfolios comprising 10% call options and 90% conventional bonds outperform alternative portfolio insurance approaches—both options-based and asset allocation-based—in terms of average arithmetic return and a range of risk metrics.