Eurekahedge, an alternative fund data provider, launched a new hedge fund index focusing on insurance linked securities in 2012, in partnership with ILS Advisers.
Following this successful launch, the first index tracking the performance of 32 funds investing exclusively in insurance risk, Eurekahedge together with ILS Advisers will release a USD hedged version of the benchmark.
The index was incepted in December 2005 and has returned 71.27 percent through January 2014.
The index has an annualised return of 6.88 percent and an extremely low volatility, producing one of the highest Sharpe ratios of all of Eurekahedge indices at 2.17.
The index boasts an impressive risk-reward profile in comparison to alternative investment vehicles and other asset classes as illustrated in the figure below.
Since its inception, the Eurekahedge ILS Advisers Index has experienced an increasing acceptance by ILS investors, ILS funds, consultants and advisers, as a representative and fair benchmark for the asset class of insurance linked securities.
The year 2013 marked a new record for the asset class, as the total value of outstanding catastrophe bonds passed $20 billion for the first time.
The Eurekahedge ILS Advisers Index is an equally weighted index of hedge funds that explicitly allocate to insurance linked investments and have at least 70 percent of their portfolio invested in non-life risk.
The new USD hedge version of the index is base weighted at 100 in December 2005 and has returned 7.18 percent per annum with a volatility of 2.30 percent until the end of 2013.
