Insurance Capital Markets Research (ICMR), an independent research and analysis firm specializing in insurance capital markets, has launched an enhanced version of its investor report focused on the Lloyd’s market.
The company has developed the capability to monitor monthly net asset value (NAV) increments across the Lloyd’s market, providing investors with an additional benchmark in addition to ICMR’s existing portfolio-specific standalone NAV reporting services.
The approach builds on ICMR’s NAV framework, which applies to a range of fund clients with exposure to Lloyd’s syndicated portfolios.
This method spreads reported annual results across relevant profit months over a twenty-year period, and adjusts for when significant claims and investment-related events occur. ICMR noted that the methodology requires detailed back-testing of reported annual Lloyd’s pro forma results to support robustness and consistency.
ICMR has also integrated its relative performance artificial intelligence model ICMR.Insight, which produces forward-looking probabilistic outputs. The company explains that combining reconstructed historical performance with forward-looking models allows for retrospective validation and plausibility testing of forecasts within its framework.
ICMR said the new feature is designed to give investors more timely visibility when assessing portfolio performance and assist in developing early considerations for 2027 commitments. Its positioning is part of the firm’s wider efforts to increase awareness of Lloyd’s within the investment community and is based on the launch of the RISX Equity Index in 2021, which is represented by the ticker symbols “RISX” and “RISXNTR” for Lloyd’s listed equity styles.
ICMR co-founders Markus Gesmann and Quentin Moore, both former heads of analytics and research at Lloyd’s, stressed the value of improved reporting tools for institutional investors.
Moore said: “Lloyd’s remains the ‘Goldilocks’ of insurance investment diversification, a compelling balance with correlations that are not too hot and not too cold. However, the temperature differences between different insurance investments are very subtle. Through our monthly NAV reports, combined with our daily RISX share index, we are bringing capital markets transparency to Lloyd’s, ensuring investors have the precise tools they need to effectively allocate capital and leverage this asset class.”
Gesmann commented: “As we approach the half-year mark, having access to timely and accurate reporting will be a game-changer for mid-year portfolio valuations and 2027 accounts planning. For the first time, markets do not have to guess.”
