Dynamic asset allocation strategies are now widely used by investors as a way to maximise exposure in equities, while maintaining a good level of protection. During the last 10 years, investment banks have launched sophisticated alternatives to the basic Constant Proportion Portfolio Insurance structure (CPPI), which dynamically allocates capital between riskier assets such as equities and safer assets such as government bonds, with the objective of recovering the initial investment at maturity. When investors put ?100 in a CPPI structure, a certain proportion of it is invested in a zero coupon bond.This zero coupon bond will be redeemed at 100 per cent maturity and will thus enable investors to recover their entire initial capital in the most adverse market scenarios. A multiple of this available part is invested in more risky assets. Everyday the difference between the zero coupon bond price and the NAV structure (eg the addition of the zero coupon bond and the risky asset investments) is closely monitored and the amount invested in the riskier assets is adjusted.