Analysis of Fixed-Index Annuity Linked to Volatility-Controlled Index

Document Type

Article

Publication Date

5-2023

Abstract

This study analyzed a hypothetical fixed-index annuity (FIA) contract linked to a 5 percent volatility-controlled index (VCI) and compared its performance with a traditional FIA linked to the S&P 500 Index, the stock benchmark itself, and a corporate bond benchmark. The simulation results showed that the FIA linked to the 5 percent VCI outperformed the traditional FIA, the bond benchmark, and enjoyed a higher sharp ratio than the stock benchmark. Risk parity, VCI, and the other factors contributing to the outperformance were studied.

This document is currently not available here.

Share

COinS