USD hedged version of ILS fund performance index launched

by Artemis on February 20, 2014

Hedge fund data and performance information provider, Eurekahedge, and Asia based insurance-linked investments advisers, ILS Advisers, have launched a USD hedged version of their index which tracks the performance of insurance-linked investment funds.

It’s almost two years since the launch of the Eurekahedge ILS Advisers Index, the first index of its kind tracking the performance of 32 constituent funds which invest exclusively in insurance risk. The constituent funds consist of a range of insurance linked investment strategies, from pure catastrophe bond funds, to mixed insurance linked strategies involving collateralized reinsurance and retrocessional reinsurance investment funds.

Two years following the successful launch of the index, Eurekahedge and ILS Advisers are meeting the demands of the market and launching a USD hedged version of the benchmark index to aid the insurance-linked securities (ILS) investment market in using the index for comparison purposes.

Stefan Kräuchi, founder of ILS Advisers, said; “Based on request and questions we have received from consultants, funds and investors we have decided to publish also a USD hedged version of the index to make it even easier to compare the performances of the funds with the benchmark.”

The Eurekahedge ILS Advisers Index was incepted in December 2005 and has returned 71.27% through January 2014. The index returned 7.56% in 2013, its best performance since 2010.

The index has an annualised return of 6.88% and an extremely low volatility, producing one of the highest Sharpe ratios of all of Eurekahedge indices at 2.17. The index boasts an impressive risk-reward profile in comparison to alternative investment vehicles and other asset classes, demonstrating the value of an allocation to insurance linked investments and insurance linked securities, as illustrated in the chart below.

Sharpe Ratio: Return Per Unit of Risk

Sharpe Ratio: Return Per Unit of Risk, ILS fund performance index versus other benchmarks - Source: Eurekahedge

Since its inception, the Eurekahedge ILS Advisers Index has experienced an increasing acceptance by ILS investors, ILS funds, consultants and advisers, as a representative and fair benchmark for the asset class of insurance linked securities.

You can track the Eurekahedge ILS Advisers Index on Artemis here. It comprises an equally weighted index of 32 constituent ILS funds which tracks their performance and is the first benchmark that allows a comparison between different insurance-linked securities fund managers in the ILS, reinsurance-linked and catastrophe bond investment space.

For a greater level of detail, including the data behind the index and its constituent funds performance figures, visit Eurekahedge: www.eurekahedge.com/indices/ils_advisers_index.asp

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