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Basic guaranteed funds evaluation by means of portfolio insurance: an ex-ante aproach
Sílvia Bou Ysàs |
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This article studies the behaviour of basic guaranteed mutual funds by means of
portfolio insurance strategy. First, the maximum revaluation limit of the fund's benchmark
portfolio that the fund can guarantee is determined and, next, it is deduced the maximum
warranty coefficient defined as the maximum revaluation percentage that the portfolio insurance
strategy allows to achieve given the fund and the benchmark portfolio parameters. Finally,
taking an ex -ante approach a new performance measure is proposed, the management cost index
which consists of the difference between maximum warranty coefficient and the effective
revaluation on the benchmark portfolio offered by the fund.
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