Welcome to the Academy of Financial Service’s 2019 Annual Meeting being held in Minneapolis, Minnesota in conjunction with FPA’s Annual Conference 2019. This is the full agenda for AFS. For details on FPA items, visit their Full Schedule. Please report any errors to support@academyfinancial.org.
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Wednesday, October 16 • 3:30pm - 4:30pm
G1b The Complex Gets More So; Another Variable of Interest for Equity Index Annuities

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An anniversary date of a contract’s initiation determines the valuation for investment opportunities such as equity indexed annuities and a variety of structured investment products. Using the S&P 500 daily returns from 1950 to 2018 as the underlying index, this paper analyzes anniversary-date-based differences in returns for these types of investment products. Along the lines of the many documented calendar-based market anomalies, we find that non-trivial differences in returns can exist for contracts initiated mere days apart. These differences exhibit seasonality and do not appear driven by a particular sub-period of the almost seven-decade sample we investigate.

Author(s): Steve Fraser, Brian Payne


Steve Fraser

Associate Professor, Florida Gulf Coast University

Wednesday October 16, 2019 3:30pm - 4:30pm CDT
201 A

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