REVIEW OF FINANCE · VOL.20, ISSUE. 6 · OCTOBER 2016

優于預期：可變年金基金的隐藏動态

作者：Massimo Massa, Vijay Yadav

摘要：我們研究了可變年金附屬關系如何影響基金表現。我們發現，在積極管理的美國股票基金的情形下，VA附屬基金的表現優于純開放基金約70個基點的四因子alpha。我們認為，與可變年金包裝的附屬關系增加了投資者比較同一包裝内提供的基金表現的能力。這增加了基金家族之間的競争壓力。我們解釋了VA附屬基金在自我選擇方面的優越表現：隻有更好的基金才會被基金家族選擇作為保險包裝的一部分。

Better than Expected: The Hidden Dynamic of Variable Annuity Funds

Massimo Massa, Vijay Yadav

ABSTRACT

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.

原文鍊接：https://doi.org/10.1093/rof/rfv066

翻譯：陳然