Specialist analytics and consulting firm, Insurance Capital Markets Research (ICMR), has launched a first of its kind equity index called the ICMR (Re)Insurance Specialty Equity Index (RISX), and appointed Moorgate Benchmarks as its calculator and administrator.
The innovative new equity index focuses solely on the publicly listed global insurance and reinsurance carriers that control syndicates at the specialist Lloyd’s of London re/insurance marketplace.
The RISX Index has been established to provide an equity benchmark more suited to specialty re/insurance underwriting than more generalist insurance equity indices.
ICMR states that the index will also provide investors with an equity proxy to compare against the reported pro-forma aggregate results of Lloyd’s. By providing a truly global benchmark of the specialty segment, the index will enable the development of investment products targeting the specialty re/insurance space.
“We are extremely excited to launch the RISX Index, given the difficulty investors have traditionally encountered in benchmarking specialty insurance risk investment,” said Quentin Moore, co-founder of ICMR. “We are delighted to be working with Moorgate Benchmarks as our regulated benchmark administrator and index partner. Their experience and regulated status allow all stakeholders to have full confidence in both the calculation quality and the governance of the index, as well as to develop investment products.”
Markus Gesmann, co-founder of ICMR, added: “This index is a first in our industry, opening up the potential for new research in relation to more liquid Lloyd’s-related investments, as well as providing alternative metrics to measure and benchmark performance. I would like to thank the team at Moorgate Benchmarks, who have been instrumental in bringing our idea to market.”
By leveraging ICMR’s transparent weighting algorithm based on reported premiums written, this index offers a more appropriate mix of underlying risk than a traditional market capitalisation weighting, while ensuring sufficient liquidity in the underlying index components, explains ICMR.
As a result of this approach, ICMR says that the aggregated weighted underwriting return profile of the index has mimicked that of Lloyd’s.
Gareth Parker, chairman and chief indexing officer of Moorgate Benchmarks, said: “We are delighted to be the administrator of ICMR’s innovative index. ICMR’s insurance markets expertise and our index design input has resulted in a hugely interesting, important and tradable proxy for returns made from specialty (re)insurance business.”
According to ICMR, more than 80% of Lloyd’s capital is provided by publicly listed global re/insurers, and over 80% of Lloyd’s premium is underwritten by syndicates controlled by these carriers. This means that, for the most part, value created at Lloyd’s benefits these companies.
The creation of an appropriately weighted index, such as the RISX Index, provides insight into trends and quantification of this value in real time as it builds, explains ICMR.
The RISX Index measures publicly listed re/insurers with underwriting businesses in the Lloyd’s market, and measures these firms’ aggregate equity performance, weighted by their premiums written at Lloyd’s and globally, not their market capitalisation.