| Report Date | |
| Manager | |
| Fund Name | |
| Strategy | |
| Latest Return Date | |
| Latest Return | |
| Latest 6 Months | |
| Latest 12 Months | |
| Latest 24 Months (pa) | |
| Annualised Since Inception | |
| Inception Date | |
| FUM (millions) | |
| Fund Overview | Life Settlements are resold life insurance policies and can be thought of as a form of finance extended to an individual backed by the person's life insurance policy. This financing is repaid upon maturity by collecting the death benefit from the insurance company. Risk mitigation measures implemented by Laureola include science-driven due diligence of policies, active monitoring of insured through a vertically integrated operation, and investor aligned fund design. |
| Manager Comments | The Fund's Sharpe and Sortino ratios (since inception), 2.43 and 7.37 respectively, by contrast with the Index's Sharpe of 0.99 and Sortino of 1.49, highlight its capacity to produce superior risk adjusted returns while avoiding the market's downside volatility. The Fund's non-correlated nature is demonstrated by its consistently low down-capture ratios over all time periods. Its down-capture ratio since inception is -37.45%. A negative down-capture ratio indicates that, on average, the Fund has risen during the market's negative months. The Fund's capacity to protect investors capital is further highlighted by its maximum drawdown (since inception) of -4.90% vs the Index's -12.35% over the same period. The Fund has outperformed the Index in all 10 of the Index's 10 worst months since the Fund's inception. The April performance was due to the maturity of 3 small policies. Laureola emphasised in their latest report that the Fund has protected investors against inflation, even on an after-tax basis. They added that inflation can have negative effects on both traditional asset classes and on the real economy, especially at the end of the credit cycle. Laureola believe that under this scenario, the genuine non-correlated nature of the returns of the Fund will become valuable, as returns that depend on mortality will not be affected by slowdowns in the economy or by upheavals in the stock, bond, or currency markets. The Fund now holds 183 policies with a total face value of $131.8 ml. 35% of the insureds have LEs of 48 mos. or less, indicating that the Fund will continue to experience strong internally generated cash flow and a high level of realised gains. |
| More Information |
