Performance Persistence : Evidence from the US Variable Annuities Funds

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 investment literature was a major area of investigation for both academics and practitioners for more than 3 decades. This article provides a detailed analysis of performance persistence using data from Wiesenberger InvestmentView database. We derived to the conclusion that for the US variable annuities the results are mixed due to alphas, contingency tables and Spearman rank correlation tests. Based on my regression results, sixteen out of thirty sectors display alpha that is positive and statistically significant at 5% significance level.The results of performance persistence are mixed for both winners and losers by using contingency tables. We found strong evidence of performance persistence in the US variable annuities over one, three and ten year period. Variable annuities funds exhibit superior stock or bond selecting ability was shown for funds whose alphas are positive and are repeating themselves in the consecutive year. The findings are interesting for portfolio evaluation of potential investors, practitioners and academics