Is it risky to subscribe for a capital preservation fund? 20 16 1 1 ranking of monthly expected annualized expected returns of capital preservation funds
Capital preservation strategy of capital preservation fund:
1, traditional CPPI strategy
CPPI strategy, the full name of which is fixed proportion combination capital preservation strategy, is based on quantitative analysis model. By dynamically adjusting the proportion of the fund's investment in safe assets and risky assets, the risk exposure level of the fund's portfolio is guaranteed not to exceed the losses that the fund can bear (loss limit is also called safety cushion), so as to achieve the goal of safe investment principal at the expiration of the capital preservation period. While controlling a certain lower limit risk, this strategy can improve the expected annualized expected return of investment and realize the effect of asset appreciation by investing in risky assets. The following figure is a schematic diagram of CPPI strategy.
CPPI strategy can be simply expressed as: R=M*(A-S).
Among them, R represents the upper limit of venture capital investment, A represents the total assets of the fund, S represents the discounted value of the minimum guarantee amount, M represents the risk multiplier, and A-S represents the safety buffer. The two most important parameters in this strategy are the risk multiplier M and the discounted value S of the minimum guaranteed amount.
Generally speaking, the steps of using CPPI strategy are as follows:
Step 1: Determine the fund's capital preservation bottom line and calculate the safety mat. Fund managers need to calculate the present value of the current capital preservation amount according to the due capital preservation amount and reasonable discount rate, which is the capital preservation bottom line, and the part of the fund's net assets that exceeds the capital preservation bottom line is the safety mat.
Step 2: Calculate the value of risk multiplier M and determine the allocation ratio of risk assets and safety assets. According to the characteristics of the expected annualized expected return of the fund, the fund manager determines the upper limit of the current risk multiplier through the quantitative model, and sets the risk multiplier m value in combination with the current market judgment, enlarges the safety buffer by m times to invest in the risk assets, and allocates the remaining funds to the safety assets.
Step 3: dynamically adjust the M value and asset allocation ratio. When the value of risk assets rises, the value of fund assets, the ratio of risk assets to fund assets, the actual risk multiplier (risk assets/safety mat) and the overall risk of fund portfolio also rise. Therefore, during the capital preservation period, fund managers regularly calculate the upper limit of risk multiplier M, track the actual risk multiplier, and see if the actual risk multiplier exceeds the upper limit of theoretical value to control risks. At the same time, the fund manager will adjust the value of m according to the actual situation and adjust the risky assets.
Example of CPPI policy:
Assuming that the initial net assets of the fund are 65.438 billion yuan, the capital preservation period of the fund is 3 years, the expected annualized rate of return in the risk-free period of the current 3 years is 3%, and the capital preservation ratio is 654.38+0.00%, the capital preservation amount is 65.438 billion yuan.
Step 1: Calculate the present value of the principal-guaranteed amount: S =10/[(1+3%)] 3 = 9150,000 yuan.
Safety mat c = a-s =10-9.15 = 85 million yuan.
Step 2: Assume that the fund manager determines the upper limit of the initial risk multiplier M=2 according to the quantitative model analysis and market judgment, and the fund manager chooses the current risk multiplier M=2.
The amount that can be invested in risky assets at the beginning is r = m * (a-s) = 2 * (10-9.15) = 654.38+700 million yuan.
The amount of safe assets that can be invested is10-1.7 = 830 million yuan.
Step 3: If the risk assets increase by 20% and the safety assets increase by 1.5% after half a year.
At this time, the net assets of the fund are1.7 * (1+20%)+8.3 * (1+1.5%) =1.46 million yuan.
The present value of the capital preservation amount of the Fund is S =10/[(1+3%)] 2.5 = 929 million yuan.
Safety cushion c = a-s =10.46-9.29 =1.10.7 billion yuan.
The actual risk multiplier is (1.7 * (1+20%))/1.17 =1.74
Assume that the upper limit of the risk multiplier calculated by the fund manager at this time is 2, and the actual risk multiplier is lower than the upper limit of the theoretical risk multiplier, which is still in a safe area.
However, the fund manager thinks that the risky assets have increased a lot, and hopes to reduce the risk appropriately and lock in the expected annualized expected return, so as to reduce the risk multiplier M to 1.5.
The amount of investable risk assets is r = m * (a-s) =1.5 * (10.46-9.29) = 65,438+75.5 million yuan.
The amount of safe assets that can be invested is10.46-1.755 = 870.5 million yuan.
Therefore, fund managers need to sell1.7 * (1+20%)-1.755 = 28.5 million yuan of risky assets and invest in safe assets.
Generally speaking, using CPPI strategy can achieve the purpose of capital preservation, but there are some places that can be further optimized, such as adding the expected annualized expected income locking mechanism, and the optimization in these areas has also derived strategies such as TIPP.
2.TIPP strategy
TIPP strategy, the full name of time-invariant portfolio insurance strategy, is similar to CPPI strategy, which mainly improves the adjustment method of capital preservation bottom line in CPPI strategy. Whenever the expected annualized expected return of the fund portfolio reaches a certain proportion, the target value at the expiration of the capital preservation period will be adjusted upwards according to a certain proportion to lock in some expected annualized expected returns.
In CPPI strategy, no matter how much the fund's net value increases, its capital preservation bottom line remains unchanged at the initial value, while in TIPP strategy, it will increase the capital preservation bottom line according to the growth of the fund's net value and lock in the expected annualized expected return. Compared with CPPI strategy, TIPP strategy is more conservative.
3.OBPI strategy
OBPI strategy, the full name of option-based portfolio insurance, mainly constructs the portfolio according to the expected annualized expected return characteristics of warrants. The basic investment strategy is to buy corresponding put options while buying stock assets. When the stock rises, give up exercising the put option and enjoy the expected annualized expected return of the stock rise. When the stock falls, exercise the put option to control the loss of the stock decline. In China, there are two main ways to use this strategy: one is to invest in convertible bonds and build bond portfolios and call option portfolios; The second is to construct the combination of stock assets and put warrants.
Investment risk of capital preservation fund:
1. The market suddenly fell sharply in a short period of time, and the liquidity was extremely lost during the decline, so that the enlarged risk exposure broke through the net break-even line. For example, the US stock market "Black Monday" of 1987.
2. The investment target market is in a state of frequent and violent fluctuations, resulting in a large number of redemptions. Funds have to frequently adjust the ratio between risky assets and fixed expected annualized expected return assets, and the operating cost increases, which affects the realization of the capital preservation goal.
3. The fund manager's risk monitoring and internal control management are not strict, and the strategy implementation is not strict, which leads to the failure to protect the capital when the fund investment expires. From the overall institutional arrangement, the introduction of capital preservation fund guarantee institutions can effectively enhance the prevention of investment risks of capital preservation funds.