TAILIEUCHUNG - Pricing and performance of mutual funds: lookback versus interest rate guarantees

The aim of this paper is to compare pricing and performance of mutual funds with two types of guarantees: a lookback guarantee and an interest rate guarantee. In a simulation analysis of different portfolios based on stock, bond, real estate and money market indexes, we first calibrate guarantee costs to be the same for both investment guarantee funds. Second, their performance is contrasted, measured with the Sharpe ratio, omega and Sortino ratio, and a test with respect to first-, second- and third-order stochastic dominance is provided. We further investigate the impact of the underlying fund’s strategy, first looking at a conventional fund having a constant average rate of return. | The Journal of Risk 31-49 Volume 11 Number 4 Summer 2009 Pricing and performance of mutual funds lookback versus interest rate guarantees Nadine Gatzert Institute of Insurance Economics University of St. Gallen Kirchlistr. 2 CH-9010 St. Gallen Switzerland email Hato Schmeiser Institute of Insurance Economics University of St. Gallen Kirchlistr. 2 CH-9010 St. Gallen Switzerland email The aim of this paper is to compare pricing and performance of mutual funds with two types of guarantees a lookback guarantee and an interest rate guarantee. In a simulation analysis of different portfolios based on stock bond real estate and money market indexes we first calibrate guarantee costs to be the same for both investment guarantee funds. Second their performance is contrasted measured with the Sharpe ratio omega and Sortino ratio and a test with respect to first- second- and third-order stochastic dominance is provided. We further investigate the impact of the underlying fund s strategy first looking at a conventional fund having a constant average rate of return and standard deviation over the contract term and then at a constant proportion portfolio insurance managed fund. This analysis is intended to provide insights for investors with different riskreturn preferences regarding the interaction of guarantee costs and the performance of different mutual funds with embedded investment guarantees. 1 INTRODUCTION In recent years there has been an increasing demand for investment products with financial guarantees. For example sales of unit-linked life insurance products have seen substantial These contracts are typically mutual funds with investment guarantees that additionally offer term insurance. Thus the maturity payout depends on the performance of the underlying fund. From the investors perspective these mutual fund products are generally attractive due to the possibility of participating in positive market .

• Quỹ đầu tư
• Epidemiology
• Sexually Transmitted
• Infections Among
• Military Environment
• Syphilis
• Herpes Simplex Virus
• Reproductive epidemiology
• Modern epidemiology
• Nutritional epidemiology
• Environmental epidemiology
• Clinical epidemiology
• Veterinary epidemiology
• The development
• Veterinary medicine
• The scope of epidemiology
• Describing disease occurrence
• Comparative epidemiology
• Maintenance of infection
• Cancer epidemiology
• Molecular classification
• Genetic epidemiology
• Causal inference
• Cancer incidence
• Molecular epidemiology
• Late blight
• Review on molecular epidemiology
• Molecular epidemiology in relation
• Devastating late blight pathogen
• Fractures in dogs
• Clinical epidemiology of fractures in dogs
• Clinical epidemiology of fractures
• Showing fractures in dogs
• Lecture Introduction to Epidemiology
• Introduction to Epidemiology
• Infectious disease epidemiology
• Disease prevention and control
• Disease screening
• Epidemics investigation
• public health
• healthcare
• epidemiology principles
• analytic epidemiology
• Health Practice
• Principles of Epidemiology
• Ecologic studies
• Social epidemiology
• Using secondary data
• Improve study accuracy
• C ausal diagrams
• Design strategies
• Questionnaire in clinical epidemiology
• Survey sheet for medica
• Medical survey layout
• Medical questionnaire development
• Epidemiology of Dermatomycoses
• Infections Observed
• Humans and Animals
• Great Concern
• MRSA Epidemiology
• Emphasis on MLST
• Epidemiology in gynecological diseases
• Gynecological diseases
• Basic epidemiology
• Models of causation
• Environmental factors
• Childhood Obesity
• Epidemiology and Risk Factors
• Epidemiological
• Clinical Aspects
• Developing Country
• Early Infant
• Medical device regulation
• Medical device epidemiology
• Active surveillance
• Necessary conditions
• Medical device nomenclature
• Data sources
• effective surveillance
• Epidemiology Cluster
• Data Analysis
• Biology Cluster
• Carcinogenesis Cluster
• Prevention Cluster
• Descriptive Studies
• Disease Registers
• Cohort Studies
• Intervention Trials
• Epidemiological FieldWork
• Epidemiological Studies
• Population Based Studies
• Risk Factors
• Hepatocellular Carcinoma
• Surgical Treatment
• Liver Metastases
• Evidence based medicine
• Systematic reviews
• Health economics
• Health improvement
• Demonstrating association
• Observational studies
• Design considerations
• Clinical trials
• Statistical modeling
• Mathematical modeling
• Clinical gastroenterology
• The changing epidemiology of IBD
• The pathogenesis
• The mesalamine based therapies
• The adult patient
• Journal of Science and Technology
• Complex environment representation in epidemiology ABM
• Application on H5N1 propagation
• Individual based epidemiological model
• Climate change
• Climate change and epidemiology
• Human parasitosis in Egypt
• Future of such parasitic diseases
• Scenarios for climate change
• Ovine brucellosis
• Caprine brucellosis
• Serodiagnosis and epidemiology
• Brucellosis in sheep
• Goats and its serodiagnosis
• Infectious bursal disease
• Broiler chickens
• Broiler chickens in Haryana
• Retrospective study on epidemiology
• IBD outbreaks
• BMC Pediatrics
• Rotavirus causing diarrhea
• Children hospitals
• Enzyme Linked Immunosorbent Assay
• Decision making
• Lay epidemiology
• Risk evaluation
• Patient provider communication
• Vaccine safety concerns
• Heterologous immunity