Market risks account for an integral part of life insurers' risk profiles. This paper explores the market risk sensitivities of insurers in two large life insurance markets, namely the U.S. and Europe. Based on panel regression models and daily market data from 2012 to 2018, we analyze the...

This article examines the performance persistence of 15534 variable annuities funds over the period January 2010 to January 2020. We use a population free from survivorship self-selection and backfill bias and measure performance using risk adjusted measures. The data was obtained from...

We check for performance persistence of variable annuities funds in terms of both market price returns and net asset value average returns in each category. In addition, we use regression models to test market timing ability. We use the entire population of 15534 variable annuities funds over...

This article examines performance persistence using a sample of 15534 US variable annuities funds from the period 2010 to 2020. This is the first study that examines US variable annuities attached to mutual funds that are composed from stocks, bonds, and cash. Performance persistence in the...

We study managerial turnover for both internally managed mutual funds and those managed externally by subadvisors. We argue that turnover of subadvisors provides sharper tests of any underlying board and sponsor monitoring because these data are heavily weighted toward involuntary turnover. We...

This paper examines the performance of US mutual funds investing primarily in convertible bonds. Although convertible-bond funds are popular investment vehicles, their return process is not well understood. We contribute an analysis of the complete universe of US convertible-bond funds proposing...