Valuation & Benchmarking
Accurate, Independent, Transparent.
The Challenges for Lloyd’s Investors
Hedge funds, ILS managers, and institutional investors increasingly use Lloyd’s participations to access a diversifying asset class. However, navigating the specialty insurance market presents three distinct challenges for capital providers.
ICMR bridges these gaps with a comprehensive suite of valuation and benchmarking tools:
1. The Reporting Lag
The Challenge: Lloyd’s reporting delays make regular, accurate NAV calculations difficult for illiquid portfolios.
The Solution: ICMR Regular Reporting
2. Portfolio Selection
The Challenge: Without a baseline, how do you know if your chosen syndicates are outperforming the wider market?
The Solution: ICMR NAV Index
3. The Liquidity Question
The Challenge: Does the illiquidity of a direct Lloyd’s investment justify the effort over public equities?
The Solution: ICMR RISX Index
ICMR Regular Reporting
Timely, transparent breakdown of performance
Our methodology smooths the transition between a syndicate’s business forecasts and their quarterly returns, incorporating real-time public information on major loss events.
- Timely: Issued on the last business day of the reporting period.
- Transparent: Clear breakdown of underwriting vs. investment performance.
- Regulatory Support: Meets the independent valuation criteria for funds.
Investors demand transparency. By engaging ICMR as an independent valuation agent, fund managers demonstrate governance best practices and ensure fair fee calculation based on accurate NAVs.
ICMR NAV Index
A New Benchmark for Lloyd’s Investors
The ICMR NAV Index offers Lloyd’s investors a timely, independent benchmark to review market performance and plan future capital commitments. It provides an estimate of Lloyd’s monthly changes in the aggregate NAV going back to July 2006.
Methodology and Backtesting
Based on the detailed NAV methodology ICMR uses for fund clients, 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. This methodology is rigorously backtested against actual reported annual Lloyd’s pro forma results.
Index Access
The ICMR NAV Index is a proprietary tool, providing investors with timely insight against which to review their own portfolio performance. For access to the data and our investor reporting services, please contact ICMR directly.
ICMR RISX Index
The World’s First Equity Benchmark for Specialty Insurance
Investors demand liquidity and transparent data. The RISX Index is an equity-based proxy for the Lloyd’s of London market, calculated by aggregating the stock performance of global publicly traded specialty (re)insurers operating in the market.
- Performance: A daily mark-to-market signal for the private investment sector.
- Correlations: Calculate beta against the S&P 500 and other asset classes.
- Liquidity: A liquid alternative to locked-up (re)insurance capital.
The index was developed by Insurance Capital Markets Research (ICMR) and is administered and calculated daily by Morningstar Indexes GmbH.
The index is available via Bloomberg (tickers: ‘RISX’ and ‘RISXNTR’) and other data providers. For further information visit RISXindex.com.
Need independent valuation support?
Contact us to discuss your specific reporting requirements, the ICMR NAV Index, or the RISX Index.