Stone Ridge ILS AuM almost static over last reported quarter

Assets under management in the dedicated insurance-linked security (ILS) and reinsurance linked investment mutual funds operated by Stone Ridge Asset Management stayed relatively static over the latest reported quarter at around $7 billion.

As a result, Stone Ridge Asset Management remains in fourth position in Artemis’ directory of ILS and reinsurance linked investment managers, which details investment professionals commanding almost $103 billion of insurance-linked assets.

Stone Ridge’s ILS assets under management across its two dedicated mutual ILS fund strategies remained at just shy of $7 billion, representing very slight growth in the quarter to July 31st 2018.

Given the broad exposure to reinsurance linked assets and as a result market loss events, Stone Ridge has been dealing with an amount of churn in its portfolio and the slowdown in growth may be a response to the losses certain positions in the funds will have faced and any loss creep that would naturally have flowed through over the period, as the manager looks to deal with impaired assets and stabilise the portfolio.

Stone Ridge’s ILS assets had grown 10% to $6.72 billion by January 31st 2018, but that growth slowed considerably over the next six months.

However the strategies are considerably larger than a year earlier, having grown roughly 14% from $6.14 billion of ILS and reinsurance assets at the end of July 2017.

At July 31st 2018 Stone Ridge’s flagship interval ILS fund structure, the Stone Ridge Reinsurance Risk Premium Interval Fund, had grown very slightly by around $100 million to a new high of just under $6.07 billion of ILS and reinsurance assets during the last reported quarter.

The Stone Ridge ILS interval fund structure remains among the largest single ILS fund strategies in the market though, with a portfolio that provides broad exposure to many of the world’s leading reinsurance and insurance firms.

The manager’s other dedicated ILS fund strategy shrank slightly during the period, with the Stone Ridge High Yield Reinsurance Risk Premium Fund ending the period with $918 million of ILS assets under management at July 31st, down from $924 million at April 30th 2018.

New holdings include a number of 144A catastrophe bond positions, which help the manager by adding liquidity to the ILS strategy, as well as some private quota share and sidecar allocations, plus a fresh allocation to an ILS strategy operated by Bermudian manager Aeolus’ Property Catastrophe Keystone Fund.

The Stone Ridge Reinsurance Risk Premium Interval Fund remains mostly exposed to sidecars, quota shares and private ILS deals, with cat bonds making up a smaller proportion of the over $6 billion portfolio.

The Stone Ridge High Yield Reinsurance Risk Premium Fund meanwhile, is largely a catastrophe bond strategy, with a portion allocated to sidecars and private ILS or quota share reinsurance deals.

As the loss events of 2017 crystalise within the portfolio over the coming months, we will likely see the manager growing the strategies more aggressively again. It will be interesting to see how the assets under management change over the next couple of reporting junctures.