When do you use TWAP over VWAP?

The way i remember it :
[1]The stipulation of a cushion -> eliminates Constant mix from consideration.we are left with B&H and CPPI
[2]CPPI underperforms in fluctuating markets while B&H is NEUTRAL.Hence B&H is better than CPPI.
[3] If there was NO CUSHION,then contant mix would have been the best,B&H the second best and third is CPPI.
 
ua_bender wrote:
I’m not sure. The CPPI strategy is not suitable when markets are reversing - i.e. fluctuating back/forth in a narrow price band. In the case the B&H strategy is also unfit - only Constant Mix. However, in volatile and trending upward markets the CPPI will outperform B&H since m>1 whereas for B&H m=1, and thus the convex nature of payoff. The client also stipulated a cushion in 170k dollars and something was said about her risk tolerance. I’m trying to find out the point.
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cushion just means BH or CPPI. volatile market will chew up the client returns even in a market that is trending higher LT.
 
You see, i shall agree with you provided the client had stated the cushion as 170k in CASH. Howevere, no such statement been provided, in my humble opinion. So, the outcome is open to ambiguity.
 
ua_bender wrote:
You see, i shall agree with you provided the client had stated the cushion as 170k in CASH. Howevere, no such statement been provided, in my humble opinion. So, the outcome is open to ambiguity.
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you’re right. the client would rather have 170k cushion in potato chips or photos of kim kardashian.
 
aw man…once and for all what is the right anwer ? my brain is too puny!
 
Listen, “cushion” means the excess funds ABOVE the desired floor. The Floor is what in our case? I had a look in the SchweserNotes about rebalancing - it says “CPPI outperforms other strategies in a TRENDING market”.
 
And B&H is said to …”Outperfoms a constant mix strategy in trending market; outperforms CPPI in FLAT but OSCILLATING market.” What you think?
 
Just a minute … did the question say that xyz wants to mainatin the vlaue of the investment above floor value?
if yest CPPI is better because it gives protection
right?
 
i dont remember the question…just riffing on what is available in this thread…lol
 
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