{"title":"用美国国债基金复制年金的关键利率方法","authors":"Joseph R. Prendergast","doi":"10.2139/ssrn.3767632","DOIUrl":null,"url":null,"abstract":"Prendergast (2021) develops a methodology that enables retail investors to structure annuities using commonly available US Treasury Exchange Traded Funds (ETFs). This article extends that methodology through the use of key rate durations. Back tests and stress tests show that the use of key rate durations substantially enhances the ability of the portfolio of ETFs to replicate an annuity in an environment where yield curves undergo a variety of slope and curvature changes over time. TOPICS: Fixed income and structured finance, exchange-traded funds and applications, quantitative methods, statistical methods Key Findings ▪ Relative to using single durations, the use of key rate durations dramatically improves the ability of an annuity replicating portfolio to provide the desired annuity payments while achieving a zero-ending balance. ▪ This article provides a means for retail investors, or their advisors, to design an annuity that is robust to interest rate changes without paying sizable fees to life insurance companies and other annuity providers.","PeriodicalId":53711,"journal":{"name":"Journal of Fixed Income","volume":"31 1","pages":"65 - 79"},"PeriodicalIF":0.0000,"publicationDate":"2021-01-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"A Key Rate Approach to Replicating Annuities with US Treasury Funds\",\"authors\":\"Joseph R. Prendergast\",\"doi\":\"10.2139/ssrn.3767632\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Prendergast (2021) develops a methodology that enables retail investors to structure annuities using commonly available US Treasury Exchange Traded Funds (ETFs). This article extends that methodology through the use of key rate durations. Back tests and stress tests show that the use of key rate durations substantially enhances the ability of the portfolio of ETFs to replicate an annuity in an environment where yield curves undergo a variety of slope and curvature changes over time. TOPICS: Fixed income and structured finance, exchange-traded funds and applications, quantitative methods, statistical methods Key Findings ▪ Relative to using single durations, the use of key rate durations dramatically improves the ability of an annuity replicating portfolio to provide the desired annuity payments while achieving a zero-ending balance. ▪ This article provides a means for retail investors, or their advisors, to design an annuity that is robust to interest rate changes without paying sizable fees to life insurance companies and other annuity providers.\",\"PeriodicalId\":53711,\"journal\":{\"name\":\"Journal of Fixed Income\",\"volume\":\"31 1\",\"pages\":\"65 - 79\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2021-01-16\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Fixed Income\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3767632\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Fixed Income","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3767632","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
A Key Rate Approach to Replicating Annuities with US Treasury Funds
Prendergast (2021) develops a methodology that enables retail investors to structure annuities using commonly available US Treasury Exchange Traded Funds (ETFs). This article extends that methodology through the use of key rate durations. Back tests and stress tests show that the use of key rate durations substantially enhances the ability of the portfolio of ETFs to replicate an annuity in an environment where yield curves undergo a variety of slope and curvature changes over time. TOPICS: Fixed income and structured finance, exchange-traded funds and applications, quantitative methods, statistical methods Key Findings ▪ Relative to using single durations, the use of key rate durations dramatically improves the ability of an annuity replicating portfolio to provide the desired annuity payments while achieving a zero-ending balance. ▪ This article provides a means for retail investors, or their advisors, to design an annuity that is robust to interest rate changes without paying sizable fees to life insurance companies and other annuity providers.
期刊介绍:
The Journal of Fixed Income (JFI) provides sophisticated analytical research and case studies on bond instruments of all types – investment grade, high-yield, municipals, ABSs and MBSs, and structured products like CDOs and credit derivatives. Industry experts offer detailed models and analysis on fixed income structuring, performance tracking, and risk management. JFI keeps you on the front line of fixed income practices by: •Staying current on the cutting edge of fixed income markets •Managing your bond portfolios more efficiently •Evaluating interest rate strategies and manage interest rate risk •Gaining insights into the risk profile of structured products.