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

优于预期：可变年金基金的隐藏动态

作者：Massimo Massa, Vijay Yadav

摘要：我们研究了可变年金附属关系如何影响基金表现。我们发现，在积极管理的美国股票基金的情形下，VA附属基金的表现优于纯开放基金约70个基点的四因子alpha。我们认为，与可变年金包装的附属关系增加了投资者比较同一包装内提供的基金表现的能力。这增加了基金家族之间的竞争压力。我们解释了VA附属基金在自我选择方面的优越表现：只有更好的基金才会被基金家族选择作为保险包装的一部分。

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.

原文链接：https://doi.org/10.1093/rof/rfv066

翻译：陈然