RISX: ICMR (Re)Insurance Specialty Index

Equity index for the global specialty (re)insurance sector

RISX Price Return Index ('RISX')
2,711.17 -26.54 (-0.97%)
At close: 06 October 2022
RISX Net Total Return Index ('RISXNTR')
4,211.52 -41.17 (-0.97%)
At close: 06 October 2022

Get in touch Key documents

Insurance Capital Markets Reserach

Sharing risk for a more resilient world

The ICMR (Re)Insurance Specialty Index (RISX) is an equity benchmark for the global specialty (re)insurance sector based on publicly listed companies with underwriting subsidiaries in the Lloyd’s of London specialty (re)insurance market.

The RISX Index was developed by Insurance Capital Markets Research (ICMR) and is administered and calculated daily by Moorgate Benchmarks Ltd, a Morningstar company, as a Price Return Index (Ticker: ‘RISX’) and a Net Total Return Index (Ticker: ‘RISXNTR’), i.e. dividends reinvested net of withholding taxes.

Historical performance

©Insurance Capital Markets Research. Index administrator and calculator: Moorgate Benchmarks Ltd, a Morningstar company. Inception date: 2006-06-16, base value: 1000. All performance shown prior to 2021-03-22 was retrospectively calculated by application of the Index Methodology. The historical RISX index data is available via Bloomberg, Refinitiv or on request from ICMR .


The need for specialty (re)insurance

Large and complex risks, such as natural catastrophes and pandemics require syndication across many highly rated global (re)insurance companies.

Specialty risks such as wind parks, cyber attacks, transport of vaccines, fine art and money, trade credit in emerging markets, film productions, clinical trials, product liabilities, infrastructure constructions, accident & health insurance in high risk regions require expert underwriting knowledge and portfolio modelling capabilities to offer the protection needed.

Without such risk transfers new investment wouldn’t take place and accidents and natural catastrophes would bankrupt companies and families.

Climate change and the transition to net-zero require significant investments and changes to global energy supplies, infrastructure and trade. The global specialty (re)insurance industry with its ability to model natural catastrophes and syndicate risks will be central to achieve the net-zero goals. Swiss Re estimated that premiums for non-life insurance will double by 2040 to USD 4Trn (Sigma 4/2021).

Specialty (re)insurance plays an important role within society, making communities more resilient. It has environmental, social and governance factors at its core. But in many ESG and sustainability portfolios specialty (re)insurance is an underappreciated sector.

The purpose of RISX

The RISX index is the first equity benchmark for the global specialty (re)insurance sector.

Specialty (re)insurance is a discrete and important subset of both non-life insurance and wider financial services. A selected group of global (re)insurance carriers offer specialty (re)insurance, most of them underwrite a wide portfolio of risks to achieve diversification and capital efficiency. That’s why there is no standardised classification of such companies.

The centre of the global specialty (re)insurance syndication is the Lloyd’s of London marketplace. The performance of Lloyd’s is seen as a benchmark for the industry. Businesses operating at Lloyd’s all report their accounts in a consistent, prescribed way, facilitating analysis and making Lloyd’s a fractal of the global specialty (re)insurance industry. Furthermore, Lloyd’s has announced detailed ESG reporting requirements to be implemented across the market from 2023.

The RISX index is based on the listed companies that participate in Lloyd’s, which account for over ⅔ of Lloyd’s premium, and underwrite over 25% of all global non-life (re)insurance premiums (c.USD 500Bn part of USD 1.8Trn annually).

The RISX constituents are premium weighted in the index, not market capitalisation weighted, to better replicate the underlying risk profile of specialty (re)insurance. This produces an index with currently 30 constituent companies based across the globe that mimics the risk profile of Lloyd’s.

That’s why RISX is a benchmark for the value creation of the global specialty (re)insurance industry and a proxy for Lloyd’s.

Risk drivers

The income of any insurance business is generated from underwriting and investment income on its ‘float', i.e. the premiums received, but not yet used to pay back losses or other costs.

The key risk drivers for specialty (re)insurers are claims fortuity, i.e. the occurrence of loss events, such as wind storms, floods and earthquakes, latent risks which only emerge over time and the dynamic between these and investment cycles.

Since pure underwriting income can be volatile, the investment policy of most specialty (re)insurers is very prudent, with a high proportion of investments in highly rated government and corporate bonds and only a small exposure to equities.

Global specialty (re)insurance follows a cycle, but it typically is acyclical with GDP. For example, immediately following a major claims event, the investment market might be subdued, whereas underwriting pricing usually strengthens significantly. This acyclicality leads to lower correlation with market risk. Even the RISX index, itself a pure equity index, has a lower correlation with market risk than other financial service or wider insurance equity indices.

Qualification for inclusion in the index derives from having a subsidiary operating within the Lloyd’s of London specialty (re)insurance market. Index constituents are highly regulated and rated entities, with Lloyd’s itself (under its delegated powers) ensuring “fit & proper” status for market participation and approval of any market growth plans.


Summary statistics

Top 10 constituents ‘RISX’

Name Reuters code Currency Weight (%)
1 Beazley BEZG.L GBP 8.63
2 Fairfax FFH.TO CAD 6.41
3 QBE QBE.AX AUD 5.89
4 AIG AIG.N USD 5.40
5 Tokio Marine 8766.T JPY 5.31
6 Hiscox HSX.L GBP 4.53
7 Axa AXAF.PA EUR 4.37
8 MS&AD Insurance 8725.T JPY 4.14
9 Axis AXS.N USD 4.02
10 China Re 1508.HK HKD 3.97

Performance statistics

RISX: Price return, RISXNTR: Net total return

Return and risk at close 2022-10-06
Return (%)
Max drawdown (%)
Annualised
return (%)
Annualised risk (%)
Index Level 1m 3m 1yr Ytd 3m 1yr 3yr 3yr 5yr 10yr 3yr 5yr 10yr
RISX 2,711.2 -2.8 -3.9 -6.7 -11.5 10.9 20.3 42.2 -2.4 1.1 6.6 22.7 18.5 15.1
RISXNTR 4,211.5 -2.6 -3.6 -4.5 -9.5 10.9 18.8 41.9 -0.3 3.2 8.8 22.6 18.5 15.1
Calendar year returns (%)
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021
RISX 3.9 -33.5 19.6 12.9 -8.6 20.6 31.7 5.6 16.4 5.9 7.1 3.2 12.6 -14.2 18.5
RISXNTR 6.9 -30.8 24.7 17.3 -5.3 24.4 34.9 8.2 19.0 8.2 9.4 5.1 14.9 -12.2 20.9
Monthly 'RISXNTR' returns (%) at close 2022-10-06
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2006 NA NA NA NA NA NA 2.8 8 1.8 9.8 4.2 6.1 37.1
2007 -2.8 0.9 3.6 5.9 -0.1 -1.6 -0.2 2.1 3.3 3.3 -6.9 -0.3 6.9
2008 -5.4 -1.2 -0.7 3.2 -2.9 -12.2 -3 -0.4 -2 -14.4 3.6 1.1 -30.8
2009 -8.6 -7 9.8 13.9 5.6 -3.5 6.3 11.7 1.6 -4.2 -2.5 2.2 24.7
2010 -2 0.6 4.3 0.9 -8.1 2 7.1 -3.6 7.3 4.2 -3.7 8.5 17.3
2011 0.5 6.2 -4.5 5.1 -1.9 -2.4 -0.4 -7.5 -5.7 8.7 -0.4 -1.8 -5.3
2012 2.9 4.5 3 2.1 -7.4 7.1 0.2 3.2 4.4 1.4 -1.3 2.8 24.4
2013 5.4 3.2 4.3 4.4 -1 -0.9 3.7 -2.7 5.6 3.9 4.5 0.4 34.9
2014 -7.9 5.5 2.7 -0.1 1.7 2.2 -4.3 2.6 -1.7 3 1.8 3.1 8.2
2015 -2.2 7.3 0.9 1.1 2.1 1.4 4.9 -3.4 1.2 5.5 -0.3 -0.4 19
2016 -5.8 -1.3 5.8 -2.4 3.7 -3.8 4.6 0.7 -1.1 0.5 5.2 2.6 8.2
2017 0.5 3 -0.2 1.3 0.3 1 4.9 -3.7 0.2 3.3 -1.9 0.5 9.4
2018 5.6 -3.5 5.9 1.3 -1.5 -0.6 2.7 2 1.6 -5.6 3.1 -5.2 5.1
2019 3.1 4.5 -1.3 5.1 -2.1 3.1 -2 -2.9 5.4 -1.8 0.6 2.9 14.9
2020 -1.5 -8 -22.9 -0.6 1.4 5.3 3.3 5.1 -8.2 -1.4 18.1 1.9 -12.2
2021 -4.5 8.7 4 2.4 1.4 -3.7 2.8 4.5 -2.6 3.5 -4.5 8.3 20.9
2022 3.3 -2.6 3 -4.9 2.4 -4.7 -2.1 -1.4 -5.8 3.5 NA NA -9.5
Monthly 'RISX' returns (%) at close 2022-10-06
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2006 NA NA NA NA NA NA 2.8 7.8 1.2 9.5 4.2 6 35.8
2007 -2.8 0.9 3 5.5 -0.7 -1.7 -0.2 1.9 2.9 2.9 -6.9 -0.4 3.9
2008 -5.5 -1.4 -1.1 2.2 -3.2 -12.6 -3 -1 -2.6 -14.7 3.5 1.1 -33.5
2009 -8.7 -8.1 8.9 13.5 5.3 -3.5 6.1 11 1.1 -4.2 -2.5 2.1 19.6
2010 -2.1 0.2 3.2 0.6 -8.4 1.8 7.1 -4.2 6.6 4.1 -3.7 8.4 12.9
2011 0.5 5.8 -5.4 4.8 -2.4 -2.5 -0.4 -8.2 -6.1 8.7 -0.4 -1.9 -8.6
2012 2.8 3.8 2.6 1.5 -7.6 7 0.2 2.6 3.9 1.4 -1.4 2.6 20.6
2013 5.3 2.7 4 3.8 -1 -1 3.6 -3 5.2 3.9 4.5 0.3 31.7
2014 -7.9 5.1 2.4 -0.5 1.5 2.1 -4.4 2.2 -2 3 1.8 2.9 5.6
2015 -2.2 6.9 0.5 0.7 2 1.2 4.9 -3.6 0.7 5.5 -0.3 -0.5 16.4
2016 -5.8 -1.6 5.1 -2.7 3.6 -3.9 4.6 0.5 -1.4 0.5 5.2 2.5 5.9
2017 0.4 3 -0.8 1.1 0.2 0.8 4.8 -3.9 -0.2 3.3 -1.9 0.4 7.1
2018 5.5 -3.6 5.3 1.2 -1.6 -0.7 2.6 1.7 1.2 -5.6 3 -5.3 3.2
2019 2.9 4.3 -1.8 5.1 -2.3 3 -2 -3.2 5.1 -1.9 0.5 2.8 12.6
2020 -1.6 -8.3 -23.2 -0.8 1.3 5 3.1 5.1 -8.5 -1.5 18.1 1.8 -14.2
2021 -4.7 8.7 3.7 2.3 1 -4 2.8 4.3 -2.9 3.5 -4.5 8.2 18.5
2022 3.2 -2.9 2.5 -5.1 1.9 -5 -2.1 -1.5 -6 3.5 NA NA -11.5

For further information see key documents below, or contact ICMR.


Key documents

RISX Index

About RISX

The what and why

Factsheet

Summary of key statistics

White paper

Overview and background

ESG

Sharing risk for a more resilient world

Methodology

Selection and weighting process

Benchmark Statement

UK and EU BMR Benchmark Statement

Press Release

ICMR launches RISX Index with Moorgate Benchmarks

About ICMR

Insurance Capital Markets Research is the trading name of IC Markets Research Ltd, registered in England & Wales with number 12561699

ICMR logo


At Insurance Capital Markets Research (ICMR), we provide quantitative research on the global specialty (re)insurance industry. Our clients are insurance carriers, intermediaries and investors.

One of our core capabilities is the independent assessment of performance and return profiles of insurance entities and portfolios, both within Lloyd’s and globally. Our research focuses on investment strategies and the development of products to access the global specialty (re)insurance industry and Lloyd’s of London in particular.

Our founders were Lloyd’s former heads of analysis and research who also worked together in the capital markets and insurance linked securities. ICMR was established in early 2020 and launched the RISX Index in 2021.

For more information, licensing and contact details visit: https://insurancecapitalmarkets.com

Disclaimer

The information contained herein (the "Information") may not be reproduced or disseminated in whole or in part without prior written permission from Moorgate Benchmarks. The information may not be used to verify or correct other data, to create indexes, risk models, or analytics, or in connection with issuing, offering, sponsoring, managing or marketing any securities, portfolios, financial products or other investment vehicles. Historical data and analysis should not be taken as an indication or guarantee of any future performance, analysis, forecast or prediction. None of the Information is intended to constitute investment advice or a recommendation to make (or refrain from making) any kind of investment decision and may not be relied on as such. The Information is provided "as is" and the user of the Information assumes the entire risk of any use it may make or permit to be made of the Information. Neither Moorgate Benchmarks nor ICMR nor any of their respective subsidiaries or their direct or indirect suppliers or any third party (the "Parties") involved in the making or compiling of the Information makes any warranties or representations and to the maximum extent permitted by law hereby the Parties expressly disclaim all implied warranties including warranties of merchantability and fitness for a particular purpose. Without limiting any of the foregoing and to the maximum extent permitted by law in no event shall the Parties have any liability regarding any of the Information for any direct, indirect, special, punitive, consequential (including loss of profits) or any other damages even if notified of the possibility of such damages. The foregoing shall not exclude or limit any liability that may not by applicable law be excluded or limited. Neither ICMR, nor Moorgate Benchmarks nor RISX are associated or affiliated in any way with Lloyd’s of London or the Society of Lloyd’s or the Corporation of Lloyd’s.