本文主要探討，以固定比例投資組合保險策略(Constant Proportion Portfolio Insurance, CPPI)、時間不變性投資組合保護策略(Time Invariant Portfolio Protection, TIPP)和以選擇權為基礎之投資組合保險策略(Option-Based Portfolio Insurance, OBPI)，動態投資組合保險策略運用時機與報酬表現。面對經濟趨勢的不確定性，更進一步討論，比較各投資組合保險策略在考慮交易成本下，納入不同風險乘數、要保額度，併用調整法則後之報酬表現。最後，為瞭解投資組合保險策略是否達到「保險」的功效，以長期平均成本、平均機會成本、平均超額報酬與要保額度，作為績效衡量的指標。本文以美國紐約證券交易所發行之ETF作為研究的標的，研究期間為2004年1月至2008年12月。 This article discusses the timing of using dynamic portfolio insurance strategies, those are Constant Proportion Portfolio Insurance (CPPI), Time Invariant Portfolio Protection (TIPP) and Option-Based Portfolio Insurance (OBPI), and the performance of these portfolio insurance strategies. Due to economic uncertainty, this article further discusses the performance of each portfolio insurance strategy after taking account for transaction costs, different risk multipliers and different insurance floors under different portfolio insurance adjustment rules. Finally, in order to test whether these portfolio insurance strategies can really provide the benefit of“Insurance”, this article also uses long-term average costs, long-term average opportunity costs, average excess returns, and insured amounts to measure portfolio performance. The sample data used in this article are ETFs listed on New York Stock Exchange. The sample period is from January 2004 to December 2008.
