A portfolio insurance strategy for commodity futures

摘要

We propose a generalised constant proportion portfolio insurance (CPPI) strategy for a commodity futures fund, which promises at least a partial principal guarantee at the end of the investment horizon. We present the generalised rebalancing rules to allocate capital between a risk-free asset and a futures margin account. Our formula guarantees that the fund satisfies both the margin requirement and the maximum exposure to the risky asset permitted by the CPPI at any time during the investment horizon. We find that although investment in futures is risky because of the use of significant leverage, generally, the proposed futures-based CPPI strategy performs better than the traditional CPPI-spot strategies. The satisfactory results in this paper will not only draw attention from academia but also from commodity trading advisors fund managers.