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Alternative Market Briefing

Coriolis Capital hedge funds in mixed gains last month

Thursday, March 15, 2012

Martin Jones
From Komfie Manalo, Opalesque Asia:

Coriolis Capital Ltd., the London-based investment management firm which focuses on insurance-related derivatives, including catastrophe bonds and options and weather derivatives, reported mixed gains for its two funds in February because of unpredictable weather.

In its monthly communication to investors, Coriolis said that its main hedge fund, the CaTpricorn Fund, was slightly up +0.12% in February (+0.14% YTD) continuing its low-key start to the year. As for January, the driver is that falling cat bond prices are broadly offsetting coupon income earned during the month. The fund finished 2011 up 3.26%

CatPricorn Fund’s total net asset value including managed account as at end February this year totals $225,371,159.

Portfolio Management Martin Jones commented, "This isn't bad news for long-term investors, since there is no permanent loss associated with falling cat bond prices - it means higher yield-to-maturity for the same level of risk for investors who hold cat bonds to maturity. And investors who can add to their investment can take advantage of these better yields. Catastrophe bond performance again received a small boost from continued strengthening of the Euro during February."

Catastrophe bonds According to Coriolis, the European windstorm activity was muted in February as for much of the month weather systems were held at bay......................

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