Synthetic Put Strategy - What am I doing wrong?

foe

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Hi everybody,

I've got a problem and I hope that an options-experienced user can help me with that.

I'm backtesting portfolio insurance strategies to evaluate their performance and right now i'm stuck with the synthetic put strategy.

I've got an asset and the daily yields for 1 year, so that i can calculate the performance of the asset. Next i want to find out how with the synthetic put strategy is performing in comparison. I want to achive a floor of 90% within the investment period.
Even though i'm rebalancing daily, i cannot reach the 90% goal. Somethimg must be wrong with my calculations, but i just can't seem to find the glitch.

I would be very gratefull if someone familiar with replicating options could have a look into my excel file to see if i made an obvious mistake.

Thanks in advance for your help. I'm really desperate with this!

foe
 

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  • SP-example.xls
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So you are short the underlying and long a call? And you don't want to lose more than 10% on your short stock?

Either way, insurance on the market is usually expensed off. You trade money for peace of mind. You will achieve a flatter equity curve, but give up profitability. Some sizable funds have researched this etc.
 
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