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Consider a portfolio which trades so as to keep the proportion of the risky asset at \(0 \lt \pi \lt 1\). A cppi overlay consists in protecting a certain level \(\underline{p}\) with I choose to set at \(1/2\) for illustration. I'll assume that the exposure to the risky asset is decreased linearly from \(\pi\) at \(p=1\) to zero at \(p=1/2\). This gives the following exposure to the portfolio:  \[\pi(p)=\pi-2(1-p),\, 1/2 \lt p \lt 1,\]  \[\pi(p)=0,\, p \lt 1/2,\]  \[\pi(p)=\pi,\, p \geq 1.\]  I give the calculations below, but the next two graphs illustrate the results. As is clear from the graphs (and intuitively obvious), the trading policy is contrarian for \(p \geq 1\) and momentum for \(p \le 1\). Downside protection forces to sell the asset when its price has gone down, and to buy it when it has gone up.