Julius Baer Multiflex SICAV-SIF - Twelve ILS Fund

Fund Objectives

The Twelve ILS Fund exploits opportunities in the Insurance-linked Securities market. Investments are made via securities whose underlying risk is either natural peril catastrophe risks or extreme mortality risks such as pandemic events. These underlying risks are predominantly assumed by means of floating rate notes which typically carry a quarterly coupon in excess of a reference rate, typically LIBOR or the US Treasury Money Market rate. The fund generates investment returns that are fundamentally independent from traditional investments. With its attractive and stable target returns, the Twelve ILS Fund provides an appealing alternative to conventional fixed income instruments. Traditional risk return analysis underscores the strong investment case for this asset class.
 

Investment Strategy

The investment strategy of the fund is to invest in attractively priced ILS and to optimize diversification across different perils, geographies, trigger types and many other aspects of the available assets. The fund will invest in ILS instruments which fulfill the fund ´s high standards of liquidity. Essentially, it will invest in bonds and notes whose underlying risks are natural catastrophes and extreme mortality. Credit or market risks are not actively sought, and they are less relevant from a risk perspective. Currency risk is very small as non USD positions are hedged against the respective currency ´s loss versus the USD. The investment selection is based on an in- depth analysis of each asset under review. Economic elements such as the security ´s spread, expected loss, extension spread and attachment probability are analysed but also trigger mechanism, counterparties, modeling agent and many other factors are scrutinized. Special attention is given to the legal structure of the issuance and their collateral structures.