Constant proportional portfolio insurance (CPPI) has had a long history in the investment world as a proposition that straddles structured products and managed funds.
The idea of CPPI originally came out of portfolio insurance, popular in the 1980s when early programme trading algorithms moved an equity portfolio steadily into cash in a rules-based way when markets declined, with the idea of protecting that portfolio by steadily reducing exposure to restrict losses. The widespread use of this technique was accused of making the October 1987 stock market crash worse than it might have otherwise been since the wave of automated selling caused the market to fal
Continue reading and get unlimited access for 7 days with a free trial of SRP.
Get a free trialAlready a subscriber? Login