Journal Article

Better than Expected: The Hidden Dynamic of Variable Annuity Funds

Massimo Massa and Vijay Yadav

in Review of Finance

Volume 20, issue 6, pages 2273-2320
Published in print October 2016 | ISSN: 1572-3097
Published online January 2016 | e-ISSN: 1573-692X | DOI: https://dx.doi.org/10.1093/rof/rfv066
Better than Expected: The Hidden Dynamic of Variable Annuity Funds

More Like This

Show all results sharing these subjects:

  • Financial Institutions and Services
  • Insurance

GO

Show Summary Details

Preview

We study how variable annuity affiliation affects fund performance. We find that VA-affiliated funds outperform pure open-end funds by about 70 basis points four-factor alpha per year in case of actively managed US equity funds. We argue that affiliation with a variable annuity wrapper increases the ability of investors to compare performance of funds offered within the same wrapper. This increases the competitive pressure among fund families. We explain the superior performance of VA-affiliated funds in terms of self-selection: only the better funds are chosen by fund families to be part of insurance wrappers.

Keywords: G20; G22; G23

Journal Article.  18888 words. 

Subjects: Financial Institutions and Services ; Insurance

Full text: subscription required

How to subscribe Recommend to my Librarian

Users without a subscription are not able to see the full content. Please, subscribe or login to access all content. subscribe or login to access all content.