Mercury investible Catastrophe Risk Index (MiCRIX)

Mercury CapitalArtemis is pleased to host the Mercury investible Catastrophe Risk Index (MiCRIX), the first investible catastrophe risk index of its kind. This index, launched by Mercury Capital Ltd., tracks the performance of a diversified portfolio of peak peril industry loss warranties (ILW's) providing another useful proxy for the return of the catastrophe risk and reinsurance market. More details.

MiCRIX Growth Since 2006


MiCRIX Monthly Performance

  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2006 0.59% 0.59% 0.44% 0.32% 0.32% 0.75% 0.95% 2.21% 2.90% 1.64% 0.63% 0.57% 12.55%
2007 0.64% 0.63% 0.47% 0.32% 0.32% 0.85% 1.08% 2.70% 3.64% 2.03% 0.68% 0.61% 14.84%
2008 0.58% 0.58% 0.41% 0.26% 0.26% 0.72% 0.94% 2.43% -1.63% 1.85% 0.65% 0.59% 7.85%
2009 0.71% 0.71% 0.50% 0.30% 0.30% 0.87% 1.11% 2.90% 4.04% 2.30% 0.76% 0.68% 16.18%
2010 0.61% 0.60% 0.44% 0.30% 0.30% 0.85% 1.07% 2.75% 3.70% 2.00% 0.66% 0.59% 14.73%
2011 0.58% 0.57% -14.93% 0.22% 0.22% 0.90% 1.18% 3.29% 4.51% 2.39% 0.64% 0.55% -1.31%
2012 0.74% 0.74% 0.56% 0.39% 0.39% 0.99% 1.29% 3.28% 4.42% -12.39% 0.87% 0.79% 1.06%
2013 0.63% 0.63% 0.48% 0.35% 0.35% 0.91% 1.19% 2.97% 3.95% 2.11% 0.69% 0.61% 15.84%
2014 0.54% 0.53% 0.40% 0.28% 0.28% 0.70% 0.92% 2.28% 3.03% 1.64% 0.58% 0.52% 12.3%
2015 0.42% 0.42% 0.32% 0.23% 0.23% 0.61% 0.81% 2.06% 2.74% 1.44% 0.48% 0.42% 10.62%
2016 0.54% 0.40% 0.33% 0.25% 0.23% 0.59% 0.78% 1.98% - - - - 5.2%

MiCRIX Statistics

Annualised return 10.2% Return since Inception 180.5%
Annual Standard Deviation 6.5% Annualised Monthly Standard Deviation 7.3%
Sharpe Ratio (Annual) 1.56 Sharpe Ratio (Monthly) 1.39
Percentage Positive Months 97.7%

More details on the Mercury investible Catastrophe Risk Index (MiCRIX)

Mercury iCRIX, the first investible catastrophe risk index, has been developed by Bermuda based fund manager Mercury Capital Ltd. The index captures pure sector exposure of insurance linked assets without the idiosyncratic risk associated with individual asset selection.

Based on pricing data collected from a panel of reinsurance brokers, the index reconstructs a diversified portfolio of Industry Loss Warranties (ILWs) representing a low volatility strategy with expected returns in the high single digits. Capital in the fund is largely protected from any single loss event.

The index tracks the performance of a balanced portfolio of the following peak peril exposures; US Quake, US Regional Wind, European Wind, Japanese Quake and Japanese Wind. For each peril, risks attach across a range of insured industry market loss levels approximating a market weighting approach. The index portfolio generates a return broadly sufficient to absorb the total loss of a single tower of exposure, insulating the index from a negative annual return from a single loss event. The index has experienced only three down months in the 87 since inception; including full pillar losses in 2011 from the Japanese earthquake (the first triggered Japanese earthquake loss since the 1923 Great Kanto earthquake) and 2012 from Hurricane Sandy.

The Index Calculation Agent is Prime Management, a division of SS&C GlobeOp, active in the risk-linked securities market since 2002.

Mercury Capital Ltd launched the MiCRIX Tracker Fund in December 2012 to track the performance of MiCRIX.

The foregoing does not constitute an offer or solicitation in any jurisdiction in which an offer or solicitation is not authorized or to any person to whom it is unlawful to make such offer or solicitation.














Jardine Lloyd Thompson Capital Markets