Falcon Private Bank

The Artemis Insurance-Linked Securities Investment Managers & Funds Directory is a one-stop resource for information on insurance or reinsurance linked investment managers and their ILS fund strategies.

Falcon Private Bank - Snapshot:

  • ILS manager or company name: Falcon Private Bank
  • Location (HQ / Domicile): Zurich, Switzerland
  • Date of launch: Jul 2010
  • Assets under management: $507 million
  • Website link: Falcon Private Bank website

Falcon Private Bank - Details

Company profile:

The fund manager for the Twelve-Falcon ILS funds is Twelve Capital AG.

Institutional sales for the Twelve-Falcon ILS funds is handled by axessum GmbH (www.catbond.com/en). Contact Harald Steinbichler harald.steinbichler@axessum.com, +43 1 888 60 69

Twelve Capital is an independent investment management company, incorporated in Zurich, Switzerland, on 15 July 2010 by five founding members and XS Investments, an active minority shareholder and distribution partner. The firm became operational in October 2010. The five founders are Dr Urs Ramseier, Dr Christoph Buerer, Sandro Kriesch, Gion Cavegn and Daniel Grieger. Prior to the establishment of Twelve Capital, the team, under the leadership of Dr Urs Ramseier, set up and managed the ILS platform at Horizon21, an alternative investment manager based in Pfaeffikon, Switzerland. The spinoff of the entire ILS team from Horizon21 into Twelve Capital was supported by Horizon21 and completed on 1 October 2010.

In 2011, Bank J. Safra Sarasin partnered with Twelve Capital as a white label partner, resulting in Twelve managing three funds for the bank. In June 2013, Twelve Capital became the investment manager for the ILS funds of Falcon Private Bank. In the same year the firm was granted a licence to operate as an authorised asset manager by the Swiss Financial Market Authority (FINMA) and passed the USD 2 bn AuM milestone, reaching USD 3bn AuM in 2014. On 1 October 2014, Twelve Capital (UK) Ltd. opened its office and became authorised and regulated by the Financial Conduct Authority (FCA) as a MIFID investment firm. TCUK became authorised as an investment adviser with the U.S. Securities and Exchange Commission (SEC) and as a commodity pool operator (CPO) with the U.S. Commodity Futures Trading Commission (CFTC) and is a member of the National Futures Association (NFA) in such capacity. On 1 June 2017 Twelve Capital US Inc. opened an office in New York, focusing on analytics with particular reference to the United States insurance market.

Twelve Capital’s investment operations and execution/trading capabilities have been assessed by a number of external organisations, notably the Mercer Sentinel due diligence team. Twelve Capital obtained the ISAE 3402 type II certification in October 2015.

Team size and structure:
Sandro Kriesch, Managing Partner, Head of ILS & Portfolio Manager; Daniel Grieger, Managing Partner, Head of Investment Strategies & Portfolio Manager; Florian Steiger, Director, Portfolio Management; Barry O’Connell, Associate Director, ILS Analytics; Aaron Coates, Executive Director, Sourcing; Anna Hall, Director, Legal Analytics; Etienne Schwartz, Associate Director, Portfolio Analytics; Michael Donovan, Reinsurance Contracts Specialist, ILS & Credit Analytics; Karol Kurek, Associate Director, Execution Trading & Private ILS Support
Offers private managed accounts?

Yes

Strategy:

The Twelve Capital Catastrophe Bond strategy aims to deliver attractive risk-adjusted returns by investing in public and private Cat Bonds. Cat Bonds cover the risk of defined insurance events – usually natural catastrophe perils such as earthquakes and hurricanes. They have a number of attractive investment features:

- Historical returns of 3-8% per annum (gross) [Past performance is not a guarantee of future results].
- Low historical average volatility of <3%
- Low correlation to mainstream financial markets and alternative asset classes
- Diversification properties, because perils such as storms and earthquakes are independent events
- Exposure to pure catastrophe risks with minimal counterparty risk
- Limited duration risk, because Cat Bonds are floating rate instruments with relatively short maturities – usually 2-3 years.

Twelve’s Cat Bond offering comprises mutual funds with three distinct risk profiles: diversified, moderate and focused. Each of these has an appropriate risk budget and a corresponding target return. The firm also tailors mandates to the specific risk budgets and return objectives of institutional clients.

Investment Philosophy:
Twelve Capital believes that achieving stable, sustainable absolute returns require deep industry knowledge combined with superior sourcing, analysis and pricing competencies as well as portfolio and risk management capabilities; Twelve Capital believes that risk is manageable and returns are a function of the risk taken.

The investment philosophy of Twelve Capital with regard to public ILS is that investing in Insurance-linked Securities can be rewarding from a risk, return and diversification perspective. Public ILS in addition offer attractive liquidity terms, given the existence of a healthy secondary market.

The investment objectives of Twelve Capital can be summarised as follows:
- Offer investments which exhibit low correlation to all major traditional asset classes
- Deliver stable and attractive risk-adjusted returns
- Provide best possible downside protection while at the same time generating consistent and sustainable over-performance in clients’ portfolios
- Offer to investors a level of liquidity commensurate to the underlying asset

Assets under management development (year-end): 2012: $0.9 billion, 2013: $1.6 billion, 2014: $2.9 billion, 2015: $3.2 billion, 2016: $3 billion, 2017: $4.3 billion

Twelve-Falcon Insurance Linked Strategy Fund

The Twelve-Falcon Insurance Linked Strategy Fund invests in CAT Bonds, which insure natural hazards. The fund is open ended, a UCITS IV fund with weekly liquidity and registered for public distribution in Germany, Luxemburg, Austria, Sweden, Italy, Finland, Schweiz, Denmark, Spain, Great Britain, and The Netherlands.

The Twelve-Falcon Insurance Linked Strategy Fund return by year:

2011: -0.14%, 2012: 6.20%, 2013: 6.74%, 2014: 3.92%, 2015: 3.48%, 2016: 4.99%, 2017: 0.1%

Type of investment strategy (fund, sidecar etc):

Open-ended

Launch date:

Dec 2011

Latest AuM:

$377 million

Underlying asset types:

Cat Bond

Target return:

3m MM + 3-4%

Annualised return:

+3.89%

Best monthly return:

+2.11% (September 2011)

Return since inception:

28.65%

Sharpe ratio:

0.61 (over last 3 years)

Percent positive months:

91%

Annualised standard deviation:

4.01% (over last 3 years)

Twelve-Falcon Insurance Opportunities Fund

The Twelve-Falcon Insurance Opportunities Fund invests in CAT Bonds, which insure natural hazards. The fund is open ended, a UCITS IV fund with weekly liquidity and registered for public distribution in Germany, Luxemburg, Austria, Sweden, Italy, Finland, Schweiz, Denmark, Spain, Great Britain, and The Netherlands.

Twelve Falcon Insurance Opportunities Fund return by year:

2014: 9.10%, 2015: 6.72%, 2016: 8.69%, 2017: -6.46%

Type of investment strategy (fund, sidecar etc):

Open-ended

Launch date:

Nov 2013

Latest AuM:

$156 million

Underlying asset types:

Cat Bond

Target return:

3m MM + 5-6%

Annualised return:

+3.07%

Best monthly return:

2.13% (September 2016)

Return since inception:

26.88%

Sharpe ratio:

0.32 (over last 3 years)

Percent positive months:

91%

Annualised standard deviation:

8.1% (over last 3 years)

Disclaimer:

The Artemis Insurance-Linked Securities Investment Managers & Funds Directory is provided as-is. Best efforts are made to ensure the contents are accurate at the time of publication but there may be some omissions. Please contact Artemis should you require a change to your listing.




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