Insurance Capital Markets Research (ICMR), an independent research and analytics firm specialising in insurance capital markets, has introduced an enhancement to its investor reporting for the Lloyd’s market.
The company has developed a capability to monitor the monthly Net Asset Value (NAV) delta across the Lloyd’s market as a whole, offering investors an additional benchmark alongside ICMR’s existing portfolio-specific independent NAV reporting services.
The methodology is built on the NAV framework ICMR applies for a range of fund clients with exposure to Lloyd’s syndicate portfolios.
The approach distributes published annual results across the relevant earning months over a twenty-year period, with adjustments made for significant claims and investment-related events at the time they occurred. ICMR states that the methodology is subject to detailed backtesting against reported annual Lloyd’s pro forma outcomes to support robustness and consistency.
ICMR also incorporates its relative performance AI model, ICMR.Insight, which produces forward-looking probabilistic outputs. The firm explains that combining reconstructed historical performance with forward-looking modelling allows for both retrospective validation and reasonableness testing of forecasts within its framework.
According to ICMR, the new capability is intended to give investors more timely visibility when assessing portfolio performance and to assist in shaping early considerations for 2027 commitments. It is positioned as part of the company’s wider effort to improve understanding of Lloyd’s for the investment community, building on the 2021 launch of the RISX equity index, which provides a listed-equity-style representation of Lloyd’s under the tickers “RISX” and “RISXNTR”.
ICMR co-founders Markus Gesmann and Quentin Moore, both former heads of analysis and research at Lloyd’s, emphasised the value of improved reporting tools for institutional investors.
Moore said: “Lloyd’s remains the ‘Goldilocks’ of diversifying insurance investments, a compelling balance where correlation runs not too hot and not too cold. However, the temperature difference between varying insurance investments is highly nuanced. With our monthly NAV reporting, combined with our daily RISX equity index, we are bringing capital market transparency to Lloyd’s, ensuring investors have the precise tools needed to allocate capital efficiently and capitalise on this asset class.”
Gesmann commented: “As we approach the half-year mark, having access to timely, accurate reporting is a game-changer for mid-year portfolio valuations and planning for the 2027 year of account. For the first time, the market does not have to guess.”
