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  #1  
Old 09-26-2018, 01:21 PM
ChecksTheMath ChecksTheMath is offline
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Default Proxy Indexes for AAA's Asset Classes

On its website AAA has provided 10,000 scenarios, including the following 9 asset classes:

11) Money Market / Short-Term
12) U.S. Intermediate Term Government Bonds
13) U.S. Long Term Corporate Bonds
14) Diversified Fixed Income
15) Diversified Balanced Allocation
16) Diversified Large Capitalized U.S. Equity
17) Diversified International Equity
18) Intermediate Risk Equity
19) Aggressive or Specialized Equity

Does anyone know of any published Indexes (or combos) that would be good proxies for any of these categories?
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  #2  
Old 09-26-2018, 05:33 PM
Olrich Olrich is offline
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An idea to start - look at the #1 ETF for each of these assets classes, and take its benchmark

e.g., for, 12) U.S. Intermediate Term Government Bonds
https://www.etf.com/etfanalytics/etf...y+Intermediate

Top is iShares - IEF.
https://www.ishares.com/us/products/...asury-bond-etf

It tracks the ICE 7-10 year treasury index
https://www.theice.com/publicdocs/da...-factsheet.pdf
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Old 09-26-2018, 05:44 PM
Steve Grondin Steve Grondin is offline
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I think the original AAA report, C3 Phase II Risk-Based Capital for Variable Annuities: Pre-Packaged Scenarios, March 2005 is still available and it describes the indexes used to set the parameters.
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Old 09-27-2018, 05:11 PM
ChecksTheMath ChecksTheMath is offline
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Thank You Steve
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