Comparing Downside Protection Strategies
用一个统一框架比较了多种股票下行保护策略，发现它们在1996至2020年的市场周期中提供相同的下行保护与上行参与权衡，但不同策略在回撤和恢复的不同阶段表现更优。
In this article, the author uses a common framework to evaluate and compare various equity downside protection strategies including constant proportion portfolio insurance, volatility targeting, and a few option-based strategies in terms of the trade-off between downside protection and upside participation. Using the downside-to-upside performance ratio to measure that trade-off, the author finds that all these strategies offer the same trade-off over the many market cycles from 1996 to 2020. However, strategies with a concave payoff profile (such as put spread collar used in buffered exchange-traded funds or defined outcome exchange-traded funds) offer a better trade-off during the early stage of drawdown and recovery, and strategies with a convex payoff profile such as constant proportion portfolio insurance offer a better trade-off during the late stage of drawdown and recovery. The author’s results and insights allow investors to enhance their understanding of downside protection strategies and select the best strategy for their investment use case.