London & Capital has launched a suite of proprietary indices for captive insurers.
The London & Capital Captive Indices examine the long-term trend of three typical asset allocations across a ten-year cycle.
The Indices will be published every quarter with an in-depth analysis available by London & Capital on an annual basis.
Index 1 is for captive insurers with a high frequency, low severity claims pattern, pursuing a conservative investment strategy. Here, London & Capital have a 90 percent allocation to investment grade bonds, with cash and equities accounting for 5 percent each.
Index 2 is for captive insurers with less immediate cash-flow requirements for claims, and which are pursuing a balanced investment strategy. This has a 70 percent allocation to investment grade bonds, with equities at 15 percent, high yield bonds at 10 percent and cash at 5 percent.
Index 3 is for captive insurers that can withstand short-term market volatility, as they are looking to fund long-term liabilities. This has a 50 percent allocation to investment grade bonds, 30 percent to equities, 15 percent to high yield bonds and 5 percent to cash.
The indices make reference to four of the main asset classes suitable for captives, namely: cash, US investment grade bonds, US equities and US high yield bonds.
William Dalziel, head of institutional clients at London & Capital, said: “We know captive insurance companies are unique. They are all ‘special cases’ in terms of risk profile and each has a specific range of liabilities to meet through its chosen investment strategy.”
“Our indices will serve as an important benchmarking tool for captives, showing them very clearly where their investment performance stands against an optimised portfolio that’s appropriate for their investment objectives.”
“All captives should be able to benefit from an investment strategy that is aligned with their unique risk profile and objectives. The indices are our contribution towards making this information more readily accessible to the industry.”
