Falcon Fund Management

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 Fund Management - snapshot

  • ILS manager or company name: Falcon Fund Management
  • Location (HQ / Domicile): Luxembourg
  • Date of launch: Jul 2010
  • Assets under management *: $401 million (at May 31st 2019)
  • Website link: Falcon Fund Management website

Falcon Fund Management - Details

Company profile:

The fund manager for the – Falcon CAT Bond Funds is Solidum Partners.

Institutional sales for the funds is handled by axessum GmbH (www.catbond.com/en). Contact Harald Steinbichler [email protected], +43 1 888 60 69

Solidum Partners AG is an independent investment management company specialised in and exclusively dedicated to insurance linked securities (ILS). Based in Zurich, Switzerland, a global centre of reinsurance and ILS, the company offers advisory and portfolio management services for investments in this emerging asset class. Solidum Partners is regulated by the Swiss Financial Market Supervisory Authority (FINMA) and authorised as an asset manager of collective investment schemes.

Solidum Partners in a nutshell:

  • Zurich-based specialist fund manager and investment advisor for insurance linked securities (ILS)
  • Regulated by Swiss Financial Market Supervisory Authority FINMA as asset manager of collective investment schemes
  • Management team consists of (re)insurance experts with an average of 25 years of reinsurance industry experience
  • Longest team-track-record of all ILS managers of Continental Europe
    • Management of insurance event linked securities funds since 2004
    • Highly stable management team operates together since starting of the company
    • Succesful management of ILS funds through worst reinsurance  years in history: 2005 (Katrina), 2011 (Japan Tohoku earthquake) and 2017 (hurricanes Harvey, Irma, Maria)
    • The management has shown long-term commitment through buy-out
  • Innovation leadership in ILS industry and transformed reinsurance investments
    • First ‘cat bond lite’:  Private reinsurance investment transformed into genuine security (2010)
    • First workout of distressed cat bond (2010)
    • First transformation of reinstatement limits into second event cover investments (2011)
    • First issuance of ILS securitization on a blockchain (2017)
    • Listed the first ever securities settled on a blockchain (2018)
Team size and structure:

Stefan Mueller, CEO, member of the board. Stefan Mueller holds a masters degree in finance. From 1996 to 1999 he worked as an underwriter at Centre Re, focusing on the design and implementation of financial solutions for insurance exposures. Until 2003 he was an insurance event-linked securities specialist at Converium, responsible for development and transaction of transfer mechanisms of insurance risks to capital markets. He is the founding partner of ISP Alternative Risk Advisors AG, which after a buyout in December 2006 was newly branded Solidum Partners AG.

Dr. Karsten Bromann, Managing Partner and Chief Risk Officer. Dr. Bromann holds a Ph.D. in physics from the Swiss Federal Institute of Technology (EPFL), Lausanne and is a qualified actuary DAV. From 1998 to 2005 he worked with Zurich Insurance Company in actuarial roles of increasing responsibility, including the positions of head of quantitative analysis and the actuarial responsibility for Zurich Corporate Solutions‘ alternative risk transfer portfolio in Europe. He joined Solidum Partners’ predecessor ISP ARA in 2005 as Chief Risk Officer. He has earned several awards for his outstanding scientific work.

Cedric Edmonds, Partner, Portfolio Management. Cedric Edmonds is an Associate of the Chartered Insurance Institute (ACII) and holds a BA (Hons) in accounting and finance. He began his reinsurance career at Catlin Underwriting Agencies in Lloyd’s of London in 1994 and moved to Swiss Re, Zurich in 1996 where he worked for SR Atrium / SR New Markets. Between 1999 and 2007 he was with Allianz Risk Transfer, the alternative (re)insurance company of the Allianz Group, serving as a principal. Immediately prior joining Solidum, Mr. Edmonds worked for Horizon21 where he was responsible for illiquid non-life ILS investments.

David Saaty, Partner, Operations. David Saaty holds an MBA from the University of Pittsburg in Accounting and finance. In his more than 33 year long career of serving institutional clients in the financial markets, Mr. Saaty had positions with Merrill Lynch, Nomura and Schroders before setting up GI Global Invest AG, his own advisory business, in 1997. With GI Global Invest he offered multi manager portfolios for Swiss pension funds and provided fund and manager research services for 20 years.

Willi Schuerch, Chairman of the Investment Committee, member of the board. Willi Schuerch has a mathematical & actuarial background and is a diploma holder of the Australian Insurance Institute. Having in total over 30 years of experience in the property reinsurance market, Mr. Schuerch was instrumental in the founding and development of several reinsurance companies, most recently serving as Chief Underwriting Officer of all lines of business for Qatar Re from 2011 until early 2015. He co-founded the reinsurance start-up Novae Re in 2009. Until June 2008, he was responsible for Partner Re’s catastrophe portfolio as Chief Underwriter Catastrophe since the start of the company in 1993 following Hurricane Andrew. Prior, Mr. Schuerch was with Swiss Reinsurance Company.

Offers private managed accounts?

Yes

Strategy:

The Insurance Linked Securities strategies aim to deliver attractive risk-adjusted returns by investing in public and private transactions. ILS 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.

Solidum’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:
The management of Insurance Linked Securities requires profound industry knowledge, both within the ILS and the traditional (re-)insurance markets. Solidum’s team of industry experts combines such underwriting, actuarial and risk management knowledge, acquired in leading positions in the insurance industry and refined during 1.5 decades of managing ILS portfolios.

  • Leverage the managers’ market knowledge and expertise
    • Risk sourcing
    • Risk evaluation: knowledge about counterparties/sponsors and fundamental understanding of underwriting processes, actuarial analysis of insurance risk and catastrophe modelling
  • Provide investors with independent returns as well as with independent risk
    • Insurance event risk as return generator; avoidance of macroeconomic risk contributions
    • Minimising even non-obvious credit risk

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%, 2018: 2.53%

Type of investment strategy (fund, sidecar etc):

Open-ended

Launch date:

Dec 2011

Latest AuM:

$370 million

Underlying asset types:

Cat Bond

Target return:

3m MM + 3-4%

Annualised return:

+3.80%

Best monthly return:

+2.11% (September 2011)

Return since inception:

31.67%

Sharpe ratio:

0.36 (over last 3 years)

Percent positive months:

86%

Annualised standard deviation:

4.12% (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%, 2018: 3.55%

Type of investment strategy (fund, sidecar etc):

Open-ended

Launch date:

Nov 2013

Latest AuM:

$82 million

Underlying asset types:

Cat Bond

Target return:

3m MM + 5-6%

Annualised return:

+4.14%

Best monthly return:

2.13% (September 2016)

Return since inception:

22.42%

Sharpe ratio:

0.12 (over last 3 years)

Percent positive months:

83%

Annualised standard deviation:

8.28% (over last 3 years)

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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.