The CAMRADATA Insurance Roundtable took place in London on 21st September 2022.

Anthony King, COO for Charles Taylor Investment Management (CTIM)
Paul Amer, CIO at MS Amlin
Nigel Jenkins, Investment Policy Committee member and a Managing Director at Payden & Rygel
Corrado Pistarino, CIO at Foresters Friendly Society
Jeff Keen, fund manager of the Waverton Sterling Bond Fund at Waverton Investment Management
Mark Wilgar, head of manager selection at Riverstone

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So far 2022 has been a horrible year for financial markets, with losses almost everywhere, bar the energy sector. The CAMRADATA Insurance roundtable thus began by asking participants what their portfolio performance looks like year to date. For Foresters Friendly Society, Corrado Pistarino, CIO said that the return-seeking portfolio of its with-profits fund was down about 8% (the liabilities are hedged). Foresters’ much smaller Benevolent Fund, which has a less constrained investment policy, is up 3% to the end of August.

Pistarino said the difference was that the with-profits fund caps at 20% of its exposure to Private Markets, whereas the Benevolent Fund is invested almost entirely in UK properties and in a diverse range of Private Markets products and strategies. “A return of 3% is comforting, but we are not complacent,” said Pistarino. “Private Market investments will suffer too in a major economic downturn.” He noted, however, that shifting out of public markets had reduced “superficial performance volatility.”

Nigel Jenkins, Investment Policy Committee member and a Managing Director at Payden & Rygel, a bond manager, said absolute performance varied significantly depending on the type of mandate. Broadly, he suggested short maturity strategies were down 1-2% year-to-date, but clients who choose very long-duration portfolios for LDI purposes had experienced much sharper losses. Relative to benchmarks, however, Jenkins said: “It’s been a pretty good year for our clients on duration, as we have had a material shorter-than-benchmark bias all year. Credit positions had struggled a bit more, but overall relative returns were solid.”

For MS Amlin, Paul Amer, CIO said that at the aggregate level, his funds were down -1.9%. That low loss reflected a policy decision coming into 2022 to reduce risk. As an indication of the effectiveness of that decision, a recently commissioned actuarial study found that actual losses for the first half of the year would have been significantly worse - around 4%-5% lower - using another approach. The losses avoided would only have grown in the third quarter.

Anthony King, COO for Charles Taylor Investment Management (CTIM), said its reference fund was down 6% to the end of August. He explained that dynamic asset allocation meant that risk had been dialled down early in the year. “What has been surprising has been the level of absolute returns,” said King. “It has been tricky sitting down with clients and discussing that.”

“We now need to find better spreads and higher yields than recent history.”

For Waverton Investment Management, Jeff Keen, fund manager of the Waverton Sterling Bond Fund, agreed that it had been a really tough year. “Our multi-asset fund is down mid-single digits where most markets are down 20%,” he said. “The Sterling Bond Fund is down 12%, its worst drawdown ever – although gilts are down 23%.”

Mark Wilgar, head of manager selection at Riverstone, a consolidator in the insurance market, said that to the end of August, it was down approximately 1.5% across all positions in aggregate. He explained that the avoidance of heavy losses was much due to Riverstone’s current situation: it has a new owner and has been heavily in cash and short-dated bonds while it builds up an in-house investment function [Wilgar is a new recruit] and then re-risks. “We have been underweight duration relative to our liabilities, at 1.5 years compared to 3-5 years,” he said. “We now need to find better spreads and higher yields than recent history.”