Insurance Capital Markets Research (ICMR) Launches Monthly ICMR NAV Index: A New Benchmark for Lloyd’s Investors
The new ICMR monthly NAV Index offers Lloyd’s investors a timely, independent benchmark to review market performance and plan future capital commitments.
Insurance Capital Markets Research (ICMR) is pleased to announce a significant enhancement in reporting for insurance investors. ICMR has developed the capability to track the monthly Net Asset Value (NAV) delta for the Lloyd’s market as a whole. This provides Lloyd’s investors with a new robust benchmark for ICMR’s portfolio-specific independent NAV reporting services.
Methodology and Backtesting
Based on the detailed NAV methodology ICMR uses for a number of fund clients participating on portfolios of Lloyd’s syndicates, the index interpolates published annual data over the past twenty years into the months in which results were earned, adjusting for known major claims and investment events as they happened in real time. To ensure robustness and accuracy, this methodology is rigorously backtested against actual reported annual Lloyd’s pro forma results.
In addition, ICMR’s relative performance AI model (ICMR.Insight) generates forward-looking probabilistic results. Together, this ensures a highly accurate framework for both historical backtesting and forecast reasonableness testing.
This breakthrough provides investors with timely insight against which to review their own portfolio performance as well as a starting point for their 2027 commitments.
Advancing Market Transparency
This development is a continuation of ICMR’s mission to demystify Lloyd’s for the broader investment community. Following the 2021 launch of the RISX equity index — a proxy for Lloyd’s as if it were a single listed company (tickers “RISX”, “RISXNTR”) — this new monthly NAV capability further aligns Lloyd’s with modern capital market investor expectations.
ICMR co-founders Markus Gesmann and Quentin Moore — who formerly served as the heads of analysis and research at Lloyd’s — emphasised the importance of this capability for the modern institutional investor.
Quentin Moore, Co-Founder of ICMR, commented: “Lloyd’s remains the ‘Goldilocks’ of diversifying insurance investments, a compelling balance where correlation runs not too hot and not too cold. However, the temperature difference between varying insurance investments is highly nuanced. With our monthly NAV reporting, combined with our daily RISX equity index, we are bringing capital market transparency to Lloyd’s, ensuring investors have the precise tools needed to allocate capital efficiently and capitalise on this asset class.”
Markus Gesmann, Co-Founder of ICMR, added: “As we approach the half-year mark, having access to timely, accurate reporting is a game-changer for mid-year portfolio valuations and planning for the 2027 year of account. For the first time, the market does not have to guess.”
About ICMR Insurance Capital Markets Research (ICMR) is a quantitative research house based in London. Founded by Markus Gesmann and Quentin Moore, ICMR specialises in bridging the gap between insurance underwriting and capital markets valuation, providing independent, data-driven analysis of the Lloyd’s and global specialty (re)insurance markets.
Index Access
Please note that the ICMR NAV Index is a proprietary tool and the data will not be available in the public domain. For access to ICMR’s investor reporting services, please contact ICMR directly: [email protected]
About ICMR
Insurance Capital Markets Research (ICMR) is a quantitative research house based in London. Founded by Markus Gesmann and Quentin Moore, ICMR specialises in bridging the gap between insurance underwriting and capital markets valuation, providing independent, data-driven analysis of the Lloyd’s and global specialty (re)insurance markets. For further information, contact ICMR.