穩定值基金之探析The Study of Stable Value Fund

摘要
穩定值基金近年來成為美國退休基金投資市場的新興商品，穩定值基金的設計主要是透過一中介機構(稱為Wrapper)保證其在期末執行帳面價值的給付，並對利息的給付採用平穩化(Smoothing)的方式，因此具有固定收益及風險低的特性，由於這些特性使得美國退休基金投資在穩定值基金之比例年年增加，本文希望藉由穩定值基金的介紹，提供退休基金經理人一個可參考之投資工具來增加基金之穩定性與收益性。另一方面，利用Wilkie(1995)的投資模型做現金流量測試，探討穩定值基金之中介機構之成本與發行穩定值基金公司盈餘的關係，希望藉由現金流量測試之結果提供基金公司參考之依據。
關鍵字：穩定值基金、現金流量測試、平穩化、保證給付
Abstract
In this study, we will introduce a new investment product called the stable value fund, which is popular in the retirement fund market in America. The stable value fund has a relatively lower volatility and a higher return, because there is a wrapper to guarantee the terminal payment of the book value. Furthermore, the fund uses the smoothing method to calculate the credit rate which is used for calculating the book value. So in this paper, we show that the stable value fund is a good investment choice for a retirement fund. Moreover, we use a simulation to test the cash flow of the stable value fund and its wrapper.
Keywords: stable value fund, cash flow testing, smoothing method, guarantee