reinsurance investing - aon · summarises the various ways to access the economics of the...
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Reinsurance InvestingPrepared by Aon Hewitt Global Investment Management Group
June 2015
Aon HewittConsulting | Investment Consulting Practice
Risk. Reinsurance. Human Resources.
Reinsurance — overview . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
What is catastrophe reinsurance? . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
Accessing the economics of reinsurance . . . . . . . . . . . . . . . . . . . . . . . . . 5
Reinsurance: diversification and return . . . . . . . . . . . . . . . . . . . . . . . . . . 6
The size of the reinsurance market . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
Reinsurance market dynamics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
Manager dispersion of return . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
What are the risks? . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
Manager selection . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12
Investing in reinsurance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12
Summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
Appendix: cumulative and annual performance – indices . . . . . . . . . . 14
Table of Contents
Aon Hewitt 3
Reinsurance — overview
• Investments in catastrophe insurance can generate attractive returns which are generally uncorrelated with financial markets, a feature made particularly attractive for investors following the 2008 financial crisis.
• This lack of correlation suggests reinsurance can play a key part in the construction of a diversified portfolio; providing investors are prepared to take on modest illiquidity and are comfortable embracing risk of loss due to severe weather or other natural disasters.
• Returns generated by investments in catastrophe reinsurance depend on underlying risks which are very different to those of traditional assets. This is a highly unique characteristic.
• The underlying risks are catastrophic perils such as hurricanes, storms, earthquakes and floods, in addition to man-made perils such as marine or aviation disasters.
4 Reinsurance investing
What is catastrophe reinsurance?
Catastrophe reinsurance is the reinsurance of insurance
written on catastrophic perils. Having underwritten
such disasters, the Insurer may wish to reduce its risk,
and seek to pass it over to other insurance companies.
Reinsurance is not a new activity. The earliest known
reinsurance contract is a 1370 treaty covering the most
dangerous part of a sea journey from Italy to Belgium.
This treaty meets one of the key criteria of reinsurance in
that the risk was transferred from the original insurer to a
reinsurer without the involvement of the original insured.
Reinsurance appeared as a dedicated business subsequent
to the Great Hamburg Fire of 1842, when Cologne Re
was founded in 1846. Swiss Re and Munich Re, two of the
biggest modern day reinsurers, followed in 1863 and 1880.
Investors are able to access returns on the process
of reinsurance, through an array of different financial
instruments called Insurance-linked Securities (“ILS”).
Specialist fund managers seek this out by buying Catastrophe
Bonds, also known as “Cat bonds” or securitised notes, where
collateral is paid in return for an annual insurance premium.
To the investor this works very much like fixed income bonds,
where a nominal amount is paid to a company in return for
an annual coupon. In the event of no perils occurring over
a pre-specified period of time, the collateral is repaid in full.
In the event that the company does not default over a pre
specified period of time, the nominal will be returned in full.
The successful operation of an insurance business is
predicated upon the ability to diversify risk. An insurance
company in Florida, for example, can underwrite
homeowner’s policies on thousands if not millions of homes.
The probability that all of the policies will suffer loss at the
same time from theft or fire is quite low since the company
has a diversified book of policies. However, if there is a large
hurricane that makes landfall in the state, the odds that losses
occur across the entire portfolio of policies are high. This risk
has not been diversified hence, the insurance company will
look to “reinsure,” or purchase insurance on, some of the
company’s exposure. Reinsurance is a key tool in managing
the risk of an insurance company as it effectively passes
along exposure to other entities to reduce their potential
for loss due to specific natural disaster, incident or peril.
Reinsurance contracts were predominately private
contracts between insurers and reinsurers until the
mid-1990s. After the devastation of Hurricane Andrew
in 1992, it became apparent that the capital provided by
traditional reinsurance companies was insufficient to meet
the demand for reinsurance. In an attempt to broaden the
access to capital, Cat bonds were issued to transfer risk
from insurance companies to the broader capital markets.
By expanding the access to capital, Cat bonds achieved
one of the primary purposes of reinsurance: risk is spread
so widely that even very large risks can be accommodated
without unduly burdening individual insurers.
Aon Hewitt 5
Accessing the economics of reinsurance
The majority of the annual demand for reinsurance is satisfied through traditional
reinsurance contracts between insurers and reinsurers — the private side. The
remainder is accessed through the capital markets with instruments of varying
degrees of liquidity, access and complexity. These latter instruments have been
securitised in some way and represent the public side of the market. The table below
summarises the various ways to access the economics of the reinsurance market.
Reinsurance Company Equity Investment in the equity of a reinsurance company. Examples of reinsurance
companies include Renaissance Re, Munich Re and Swiss Re.
Catastrophe Bonds (“Cat Bonds”)
Bonds issued by insurance/reinsurance companies that take losses when certain
perils occur. The principal returned to investors is reduced by losses as determined
by formula outlined in the indenture. Maturities typically range from 3–5 years.
“Sidecars” Vehicles set up by reinsurance companies to offload exposure to specified
contracts; these vehicles themselves can then create capital structures of securities.
These can also be called Quota shares.
Industry Loss Warranties (“ILWs”) An ‘over the counter’ derivative contract between two parties. One party pays
the other party (typically a reinsurance company or asset manager) a premium
in return for a payout should a pre specified event occur. The payout occurs if
a specified event causes industry wide losses that exceed a specified threshold.
Maturities are typically one year.
Private Collateralised Reinsurance Contracts
Privately structured agreements to insure a specific portfolio of insurance contracts
against losses from certain perils. Typically one year in maturity.
Retrocessional Reinsurance (“Retro”) Reinsurance provided to reinsurance companies.
To illustrate how the returns for collateralised reinsurance transactions may work,
we have provided an example below.
• Example: Named windstorm reinsurance policy for a Texas insurance company
• Notional limit of $5.0 mm
• Private deal with an exposure to losses from a storm, pre-specified in terms of
potential event loss and region
• Attachment = $10.0mm, exhaustion at $15.0mm
— If event loss is less than $10.0mm = no loss paid
— If event loss is greater than $15.0mm = notional limit of $5.0mm paid
— If event loss is between $10.0mm and $15.0mm = pro rata payment
• Expected Return Calculation
— Premium net of expenses = $1.4mm
— Collateral Posted = $5.0mm-$1.4mm = $3.6mm
— Expected Loss (model-predicted or estimated) = $0.5mm
— Expected Profit = $1.4mm-$0.5mm = $0.9mm
— Expected Return on Collateral = $0.9mm/$3.6mm = 25%
6 Reinsurance investing
Reinsurance: diversification and return
The rationale behind investing in
reinsurance is quite simple: returns and
diversification! Illustrated to the right,
proxied by the Swiss Re Index of catastrophe
bonds, is that reinsurance has produced a
strong return at a very low level of volatility
during the time period indicated. The
time period reflects the longest common
time period for which we have index
returns for the asset classes shown.
While the Swiss Re Cat Bond index used
below represents a proxy for the broader
reinsurance asset class, investors should
expect less liquid reinsurance investments
to have even lower correlation to more
traditional capital market investments. This
is due to the lower likelihood of contagion
across common investor bases and factors.
Additionally, the Swiss Re Cat Bond index,
as well as a similar index calculated by Aon
Securities, has a high concentration in U.S.
peak peril risks, and does not have the
degree of diversification an investor could
achieve through an active ILS manager.
The table to the right illustrates the
correlations between the Cat bond
index and other major asset classes. As
can be seen, the Cat bond has relatively
low, albeit positive, correlation with the
other asset classes. Interestingly, the
Cat bond index had a lower correlation
to broader investment grade bond
indices than it did to equity markets.
While the Cat bond indices represent a
portfolio of traded reinsurance-linked
securities, as previously discussed,
direct reinsurance exposure may be
even less correlated with other asset
classes since it is shorter in term, not
traded, and possibly exposed to different
perils or disaster risks than those that
dominate the Cat bond indices.
The Appendix to this paper shows
cumulative and annual returns. Investors
in reinsurance should expect the asset
class to struggle during years with
significant or frequent natural disasters.
Risk and return — 1 February 2002 to December 2014
Correlation matrix
Swiss Re Cat Bond Total Return index
BarclaysAggregate
DJ U.S. TotalStock Market
Citigroup 3 Month T-Bill
Barclays Long Gov/Credit
Barclays Corp High Yield
MSCI ACWIEx-US HFRI Fund Weighted
Composite
0%
1%
2%
3%
4%
5%
6%
7%
8%
9%
10%
0% 2% 4% 6% 8% 10% 12% 14% 16% 18% 20%
An
nu
aliz
ed r
etu
rn
Annualized risk
Aon Securities Inc. (ASI) publishes a series of indices designed to track the broad insurance linked securities(ILS) markets. One of these indices, Aon Benfield All Bond Index (Bloomberg ticker symbol AONCILS), isdesigned to track all outstanding catastrophe bonds in the market and includes both price and couponreturn. Bloomberg calculates all ASI indices based on methodology and pricing from ASI. ASI is a brokerdealer, an affiliate of Aon Hewitt, and is a wholly owned subsidiary of Aon plc. ASI acts as a broker offering a variety of services in connection with insurance-linked securities (ILS), including catastrophe bonds, and may act as a broker for certain funds that invest in ILS products. ASI is generally paid a commission when it provides those services, such amounts payable by the party sponsoring the transaction or receiving the capital investment. ABSI was not, however, involved in the research or writing of this paper and has not had any review or input, other than the charts attributable to ASI. ASI has limited oversight over certain employees of Aon Hewitt’s investment consulting business unit related to our Delegated business line. Although ASI is part of the Aon organization, it operates independently from Aon Hewitt’s investment consulting business unit; we have limited knowledge or information on the clients they serve.
Correlations from 1/2/2002 to 31/12/2014
Swis
s Re
Cat
Bon
d T
otal
Re
turn
Ind
ex
Barc
lays
Ag
gre
gat
e In
dex
Dow
Jone
s U
S To
tal S
tock
M
arke
t In
dex
Cit
igro
up 3
Mon
th T
-Bill
Barc
lays
Lon
g
Gov
ernm
ent/
Cre
dit
Ind
ex
Barc
lays
Cor
por
ate
H
igh
Yiel
d In
dex
MSC
I AC
Wor
ld
Ex-U
S In
dex
(net
)
HFR
I Fun
d W
eig
hted
C
omp
osit
e In
dex
Swiss Re Cat Bond Total Return Index 1.00
Barclays Aggregate Index 0.18 1.00
Dow Jones US Total Stock Market Index 0.20 -0.07 1.00
Citigroup 3 Month T-Bill 0.07 0.00 -0.07 1.00
Barclays Long Govern- ment/Credit Index 0.15 0.93 -0.07 -0.07 1.00
Barclays Corporate High Yield Index 0.26 0.19 0.71 -0.12 0.16 1.00
MSCI AC World Ex-US Index (net) 0.21 0.05 0.89 0.03 0.03 0.73 1.00
HFRI Fund Weighted Composite Index 0.25 -0.02 0.82 0.04 -0.04 0.73 0.91 1.00
Aon Hewitt 7
The size of the reinsurance market
The adjacent chart also shows the
growth over the years of global reinsurer
capital (capital available for insurers to
trade risk) and includes both traditional
and alternative forms of reinsurer
capital. The collateralised portion
reflects that part of reinsurance which
has been collateralised in some way
— either securitised by the issuance of
bonds or by the issue of collateralised
reinsurance notes. This portion of
reinsurer capital is also shown below.
Change in reinsurer capital
Source: Aon Securities, Inc.
Source: Aon Securities, Inc
The composition of the collateralised reinsurance
Col Re Col ILW Sidecar Bonds
$410B$340B
$400B$470B $455B
$505B $540B $575B
-17% 18%
18%-3% 11%
7%6%
2007 2008 2009 2010 2011 2012 2013 2014
70
60
50
40
30
20
10
0
USD
bill
ion
s
20022003
20042005
20062007
20082009
20102011
20122013
2014
8 Reinsurance investing
Reinsurance market dynamics
While the reinsurance market grows steadily, it would be difficult to capture a reinsurance beta
in which to passively invest. This is because the market is highly diverse with reinsurer capital
deployed across differing regions, perils and risk targets. Overall opportunities do not tend
towards a homogeneous universe represented by an index.
The Cat bond indices represent the Cat bond universe currently in issue and are the most
accessible way to passively invest in the reinsurance market. However, replicating the index
passively in a portfolio is not practical because many Cat bonds are locked up and held
to maturity by investors. Even if this was achieved, passively investing here would lead to
overexposure to peak perils where the tail risks are highest due to the type of Cat bond issuance.
Some 60% of the indices comprise peak perils which relate to US Wind and Quake exposure.
The chart below shows how annual insured losses compare across the regions. These are highest
within the US (the peak peril region) due to the amount of reinsurance covered and the high cost
of the underlying infrastructure insured there.
Rates charged for reinsurance are cyclical and tend to increase after major catastrophes. For
example the chart below shows the events of Hurricane Andrew in 1992 and Hurricane Katrina
in 2005 and how the Rate on Line increased after the events. The Rate on Line can be thought
of as yield and the chart also shows how yield has been falling for the reinsurance market.
Annual insured losses by region
2013 2014 2004-2013 Avg.
Source: Aon Securities, Inc
0
5
10
15
20
25
30
35
40
45
UnitedStates
NorthAmerica
(Non-U.S.)
SouthAmerica
Europe Africa Asia Oceania
USD
bill
ion
(20
13)
Aon Hewitt 9
Reinsurance broking firm Guy Carpenter estimates
reinsurance rates fell further by 11% over 2014.
This cyclicality in premium occurs after an event as higher
premiums are needed to attract capital back into the market.
Furthermore, investors tend to become more risk averse post
an event, compounding the need for premiums to rise and
attract capital. This potential spike in premiums does offer
investors an entry point to invest in the market. For existing
investors, the short maturity of ILS, typically 1-3 years,
potentially offers a rolling maturity profile which enables
investors to reinvest into rising premiums post an event,
so recouping losses more quickly. That said as the market
deepens, the magnitude of potential spikes will likely reduce.
In principle, an active manager can seek to manage the
premium cycle by for example, slightly increasing risk at
the portfolio level in a softening market (premiums fall)
and reducing risk in a hardening market (premiums rise).
Supply and demand factors are also an important
consideration in the reinsurance market. The cyclicality
of premiums can also be influenced by capital flows and
institutional investors have allocated record levels of capital
to ILS as an asset class. This has created the softening
market seen over the past two years and this softening
of premiums will likely continue in the absence of any
sizeable catastrophic events occurring. Demand for ILS
assets has been met in part by high issuance of Cat bonds
leading to a growing market, as illustrated below. This
supply has partially relieved pressure on premiums.
Risk capital issued Risk capital outstanding at year end
Global Property Catastrophe ROL Index, 1990 to 2015
ROL Index
Source: Guy Carpenter
Source: Guy Carpenter
0
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000 2001
2002 2003
2004 2005
2006 2007
2008 2009
2010
2011 201
2 201
3 201
4 201
5
100
50
150
200
250
300
350
400
1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014
5,701.77,083.0
5,855.3
4,107.14,599.9
3,396.03,009.9
7,187.0
4,614.7
1,499.01,142.81,988.2
989.5966.9
1,142.01,052.5
4,289.05,085.0
7,677.0
13,416.4
12,538.6
12,508.2
12,195.712,342.8
14,8393
18.5769
20,542.8
847.2948.2
5000
10000
15000
Risk
Cap
ital
Am
ount
(U
SD m
illio
ns)
20000
25000
0
10 Reinsurance investing
Manager dispersion of returns
The chart below shows the dispersion of manager returns since 2004. Over this period, more
managers and products came to the market and the returns shown are for those products and
managers available per year, targeting the risk profile commensurate with approximately cash
plus 6% per annum. Looking at manager dispersion, the range of returns can be significant
in any one year. In the year 2011 for example, which was one of the more expensive years in
terms of ILS losses, the choice of manager meant the difference between the lowest performing
manager in 2011 producing -5%, while the best performing manager returned +11%.
The styles and resource of these managers varies depending on their investment philosophy
and skills. Some will invest in Cat bonds only promoting their liquidity and ability to trade, some
value the private side only and others will blend both private and public, using the market cycle
as an additional benefit for a portfolio.
25%
20% 21%
15%
5%
12%
6%
1%
17%
13%11%
16%
10%
7%
11%12%
9%6%
12%
9%
6%
9%
6%5%
3%
-5%
15%
An
nua
lised
ret
urn
10%
5%
-5%
2007 2008 2009 2010 2011 2012 2013 2014-10%
0%
Source: Aon Hewitt and respective ILS managers
Manager dispersion of returns:
Lower return Average return Upper return
Aon Hewitt 11
What are the risks?
Returns for reinsurance over recent years have been attractive
and the volatility of returns has typically been low as each
month/year, coupons/premiums are collected without
a catastrophe to which the portfolio is exposed, occurs.
However, in a year where an event occurs, losses will be
incurred and will depend on the extent to which the fund is
exposed, both in terms of concentration and diversification.
Returns therefore need to be seen in the context of tail
risks and the possibility of an event being triggered on the
portfolio. Managers will offer a range of ILS funds, offering
higher targeted returns for funds with an increased risk
(probability) of triggering an event and therefore loss. Risk
in reinsurance is therefore discussed in terms of tail risk
— the risk of losses being incurred due to an event being
triggered. The probability of an event being triggered
is remote and usually referred to as being a one in one
hundred or one in two hundred year event. The tail risk is
often measured by Value at Risk at the different confidence
levels and can range between ca 20% to 60% from the
95% to the 99.5% confidence levels. Losses therefore
can therefore be significant and only referring to tail risks
shows the true risk return profile of the asset class.
The Expected Loss (EL) is often referred to as a measure
of risk in the reinsurance instrument. EL presents itself as
an average (e.g.: 2%) and is a measure which includes
all tail risks over a 100 year period. In any one year
therefore, it is unlikely the level of EL will occur. The
relevance of the number is to give an indication of the tail
risks and can be thought of as follows: if all the possible
and likely events over a long period were ever to occur,
the EL is the total annualised loss over the period.
Managers will quote the performance target of a portfolio on
the basis of no losses (i.e. gross of EL) but will still consider
the fund to be within range if in any one year the fund
performance returns its performance target less the EL.
A manager will seek to mitigate the risk of event losses on
a portfolio by diversifying portfolio investments across
both region and peril. The likelihood of different events
occurring across regions at the same time is small. They are
independent events and diversifying in this way therefore
limits losses at any one time. Some managers will limit
exposure of the portfolio to both region and peril at an
aggregate level, by percentage, in a fund’s guidelines.
The tower of risk which reinsurers and insurers offer,
in terms of ceded risks, allows fund managers to pick
and choose their risks, so optimising the portfolio in
terms of its overall exposure. Different types of trigger
(defining investment criteria causing a loss to be applied
to the investment) can be chosen as well as different
probabilities of attachment per peril. A trigger can have a
high or a low probability of attachment where the point of
attachment is where the first dollar of loss is experienced.
Those contracts which offer the higher returns are where
the probability of triggering an event is higher.
Other risks to consider with reinsurance are:
• Cash entrapment — this is where an event occurs but
the full extent of loss is not yet known. When an event
occurs, it takes time to establish the full loss. Where
triggers indemnify the insurer for example, the ILS
asset invested in could lose all or part if it’s notional
depending on the overall loss of the event. For such
instances the nominal limit of that investment on the
portfolio may be withheld until the full loss is known.
At this point, fund managers will usually create a side
pocket for existing investors until such a time when
the full loss is known. Where the loss is known the
value of the fund will be marked down accordingly.
• Counterparty risk is limited as collateral (cash up to the
nominal limit insured) for each ILS asset is placed in a
trust account and invested in high quality assets or cash.
12 Reinsurance investing
Manager selection
Investing in reinsurance
The profile of global catastrophe losses illustrates the skewed
nature of the risk and return profile of reinsurance returns.
As discussed above, an investor can expect to collect an
annual premium, the risk is that in any one year, losses could
be significant if an event occurs. The probability of an event
risk is low and known as tail risk. Managing tail risk is key to
managing a portfolio of reinsurance exposure and one reason
why attempting to capture market beta blindly is not a good
alternative to choosing a specialist manager.
Specialist managers will look to diversify a portfolio as
much as possible in order to reduce a portfolio’s tail risk.
Sophisticated risk modelling is undertaken by the industry’s
modelling agencies, RMS and AIR are the two standard
agencies – in order to measure and value tail risk and
managers of ILS assets will use agency software and output.
In order to diversify a portfolio, a manager needs to be able
to find as many independent, paying risks as possible across a
broad array of choices covering peril, region, ILS instrument,
trigger type, attachment probability and reinsurer/insurer. In
selecting an ILS manager, the following attributes are critical
to manager selection:
• Expertise, experience and market reach for opportunities
and origination is a prerequisite.
• The ability to invest in both the private and the public side of
the market is preferable.
• Licensing software to enable the manager to model risk,
return and loss profiles of a portfolio.
• Duration and strength of track record. Continuity, depth and
experience of the team.
• Strong partners with well aligned economic interests.
The reinsurance market is cyclical, with coverage being
written at the beginning of the year and midyear for peak
peril coverage for the following 12 months. The pricing of
reinsurance is also highly cyclical as premiums for reinsurance
coverage are driven, in large part, by insurers’ recent
loss experience.
Reinsurance is a unique asset class and exposure can be
accessed in a number of ways. Investors seeking more liquid
reinsurance exposure (monthly) can invest in a portfolio of
catastrophe bonds only. Investors able to take on a degree of
illiquidity (quarterly) and complexity can seek out specialist
managers able to blend both Cat bonds and collateralised
reinsurance contracts depending on where most value is
to be had. Private equity vehicles also exist that provide
exposure to reinsurance and insurance. Lastly, sophisticated
clients could also engage directly in providing collateralised
reinsurance to insurance companies.
Investors with experience in alternative or non-traditional
investments should consider reinsurance primarily as a
diversifying asset class. While it is an evolving asset class and
not right for all investors, institutions interested in reinsurance
could gain access in a number of ways, including: 1) creating a
portfolio allocation to reinsurance as a separate asset class, 2)
allocating to reinsurance as part of a diversified growth fund
or 3) allowing hedge fund or other experienced reinsurance
managers to allocate to reinsurance within a broader asset
class such as hedge funds or fixed income. In the case of the
first option, we would recommend a small initial allocation
with a view to building the allocation up to ca 5% of a
portfolio. Timing is difficult to assess in the ILS market as it is
event driven. An investor would ideally be placed to invest
after an event had occurred given the possibility of a rise in
premiums. An investor who had already familiarised itself with
the asset class and a preferred manager, would be best placed
to increase its allocation at this time according to a preferred
risk return tolerance profile.
Aon Hewitt 13
Summary
The reinsurance market itself is a large, diverse market which is expanding beyond the sphere of traditional reinsurance companies. The demand for reinsurance capital has increased significantly over recent years and it is now possible for investors to access this market through various avenues. Importantly, the returns and risks of catastrophe reinsurance are generated through the occurrence and severity of peak perils: hurricanes, windstorms, earthquakes, etc. This less-correlated return stream, with true independence of risk, provides much needed diversification within a portfolio of more traditional financial assets which are subject to common and potentially systemic macroeconomic risks.
14 Reinsurance investing
Appendix: cumulative and annual performance – indices
As of 31 December 2014
Comparitive performance
1 quarter Year-to-date
1 year 3 years 5 years 7 years 10 years Since inception
Inception date
Swiss Re Cat Bond Total Return Index
0.84% 6.42% 6.42% 9.43% 8.55% 8.38% 8.76% 8.43% 01/02/2002
Barclays Aggregate Index 1.79% 5.97% 5.97% 2.66% 4.45% 4.77% 4.71% 7.87% 01/01/1976
Dow Jones US Total Stock Market Index
5.23% 12.47% 12.47% 20.44% 15.72% 7.64% 8.10% 10.39% 01/01/1987
Citigroup 3 Month T-Bill 0.01% 0.02% 0.02% 0.06% 0.07% 0.33% 1.46% 5.07% 01/01/1978
Barclays Long Government/Credit Index
5.60% 19.31% 19.31% 5.77% 9.81% 8.45% 7.36% 8.84% 01/01/1973
Barclays Corporate High Yield Index
-1.00% 2.45% 2.45% 8.43% 9.03% 8.76% 7.74% 9.25% 01/07/1983
MSCI AC World Ex-US Index (net)
-3.87% -3.87% -3.87% 9.00% 4.43% -0.63% 5.13% 8.37% 01/01/1970
HFRI Fund Weighted Composite Index
0.14% 2.97% 2.97% 6.12% 4.45% 2.80% 5.11% 10.60% 01/01/1990
As of 31 December 2014
Comparitive performance
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014
Swiss Re Cat Bond Total Return Index
6.39% 1.52% 12.30% 15.73% 2.28% 13.91% 11.29% 3.33% 10.51% 11.44% 6.42%
Barclays Aggregate Index 4.34% 2.43% 4.34% 6.97% 5.24% 5.93% 6.54% 7.84% 4.21% -2.02% 5.97%
Dow Jones US Total Stock Market Index
12.48% 6.38% 15.78% 5.62% -37.23% 28.59% 17.49% 1.08% 16.38% 33.47% 12.47%
Citigroup 3 Month T-Bill 1.24% 3.01% 4.76% 4.74% 1.80% 0.16% 0.10% 0.06% 0.09% 0.06% 0.02%
Barclays Long Government/Credit Index
8.56% 5.34% 2.72% 6.60% 8.44% 1.92% 10.16% 22.49% 8.78% -8.83% 19.31%
Barclays Corporate High Yield Index
11.14% 2.74% 11.86% 1.87% -26.16% 58.21% 15.12% 4.98% 15.81% 7.44% 2.45%
MSCI AC World Ex-US Index (net)
20.91% 16.62% 26.65% 16.65% -45.53% 41.45% 11.15% -13.71% 16.83% 15.29% -3.87%
HFRI Fund Weighted Composite Index
9.03% 9.30% 12.89% 9.96% -19.03% 19.98% 10.25% -5.25% 6.36% 9.13% 2.97%
ContactsAngela Cantillon Associate Partner, Liquid [email protected]
Mette Charles Senior Investment Research Consultant+44 (0)207 086 [email protected]
Lennox Hartman – Partner Global Head of Fixed Income Research+44 (0)20 7086 [email protected]
Peter Hill – Partner Global Head of Liquid Alternatives [email protected]
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