Performance Persistence of US Variable Annuities Funds

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 Wiesenberger InvestmentView database. Seventeen out of the thirty categories showed high values of the Treynor, Sharpe and information ratio. This is an indication of a skillful manager that added value in terms of better performance persistence of the funds under each category in the long – run. In contrast, thirteen out of the thirty categories displayed low values of the Treynor, Sharpe and information ratio. This is an indication of a manager that showed low performance and no value in terms of stock or bond picking ability. The findings are interesting to both practitioners and investors in terms of distinguishing luck from skill stock or bond picking ability and added value in terms of performance persistence in the log-run. I addition, investors could compare between high and low values of the Treynor, Sharpe and information ratio. Investors should bear in mind that past returns are not indicative for future returns