%0 Journal Article %A Jan Annaert %A Marc De Ceuster %A Jürgen Vandenbroucke %T Mind the Floor: Enhance Portfolio Insurance without Borrowing %D 2019 %R 10.3905/joi.2019.1.076 %J The Journal of Investing %P joi.2019.1.076 %X Legal borrowing restrictions are generally claimed to limit portfolio insurance performance. This article explores two alternative rebalancing rules that aim to pick up excess return subject to a borrowing constraint. One set of rules manages a volatility target for the risky assets, and a second set of rules manages the floor. Considering real-life trading conditions, the authors’ simulation results confirm that the borrowing constraint lowers average returns. The risk-adjusted performance increases, however, so there is essentially nothing wrong with the legal prohibition to borrow. Still, managing the floor enhances risk-adjusted performance even more. Tweaking the volatility of the risky assets does not. %U https://joi.pm-research.com/content/iijinvest/early/2019/03/01/joi.2019.1.076.full.pdf