id	author	title	date	pages	extension	mime	words	sentence	flesch	summary	cache	txt
fsr-3373	George, Jeffrey; Trainor, Jr., William J.	Portfolio insurance using leveraged ETFs	2017	17	.pdf	application/pdf	9251	443	65	Table 2 Percentage changes in the CPPI strategies 2016 SPY Ret % in S&P CPPI S&P VP 3x UPRO Ret % in 3x CPPI 3x VP 1/4-1/7 �4.82% 50.00% $0.98 �14.12% 16.67% $0.98 1/7-1/13 �2.69% 39.00% $0.97 �8.16% 13.12% $0.97 1/13-1/29 2.59% 34.26% $0.98 7.29% 11.52% $0.98 1/29-2/5 �2.98% 38.75% $0.96 �9.15% 12.99% $0.96 2/5-2/11 �2.71% 33.91% $0.96 �7.71% 11.16% $0.96 Results show the returns of the underlying risky asset designated as the SPY ETF, the allocation to the risky asset (% in S&P, % in 3x), and the portfolio value with a start value of $1 for two of the constant proportional portfolio insurance CPPI strategies (CPPI S&P Vp, CPPI 3x Vp) from 1/4/16 to 2/11/16. Table 7 Bootstrapped annual returns sorted by 1-year T-bill return and slope of the yield curve S&P S&P 2x S&P 3x S&P 4x CPPI S&P CPPI 2x CPPI 3x CPPI 4x T-bill return 0–1% 17.41% 34.46%b 53.96%b 74.70%b 10.21% 9.81% 9.99% 10.09% 1–2% 17.92% 35.14%b 55.24%b 77.22%b 11.31% 11.05% 11.27% 11.39% 2–3% 6.62% 11.54%b 19.84%b 31.19%b 6.06% 6.03% 6.28% 6.44%a 3–4% 6.87% 11.64%b 19.02%b 28.32%b 6.36% 6.60% 6.97%a 7.22%a 4–5% 8.39% 13.59%b 20.55%b 28.08%b 7.05% 7.38% 7.80%a 8.06%a 5–6% 8.62% 12.45%b 16.97%b 20.99%b 6.92% 7.37% 7.84%a 8.15%a 6–7% 13.49% 23.08%b 34.69%b 47.07%b 10.90% 11.65% 12.26%a 12.62%a �7% 13.44% 21.32%b 31.42%b 42.69%b 13.79% 15.43%ab 16.35%ab 16.87%ab 1 year to 90-day �0% 23.47% 47.97%b 79.43%b 117.76%b 17.03% 16.32% 16.51% 16.65% 0–1% 12.55% 23.08%b 35.23%b 47.77%b 7.61% 7.42% 7.64% 7.76% 1–2% 10.39% 17.51%b 26.64%b 36.83%b 8.18% 8.43% 8.83%a 9.08%a 2–3% 10.48% 17.26%b 26.23%b 36.41%b 9.41% 10.01% 10.54%a 10.86%a �3% 12.02% 19.40%b 29.07%b 40.00%b 12.51% 14.12%ab 15.02%ab 15.54%ab Results show average annual returns based on 40,000 bootstrapped simulations sorted by 1-year T-bill returns and the slope of the yield curve measured by the 1-year minus 90-day T-bill return.	cache/fsr-3373.pdf	txt/fsr-3373.txt