Abstract
The returns of investment funds specializing in insurance-linked securities (ILS) exhibit a unique behavior. We introduce a new peril-based factor model, which explains the time-series and cross-sectional return variation. Despite a strong overall fit, we are left with significantly positive alphas for about one quarter of the funds, some of which can be attributed to beta exposures associated with non-cat-bond ILS. In addition, they are related to fund size, fund age, and performance fees. Although we do not find evidence for market timing abilities, we can rule out pure luck as the source of out-performance by controlling for false discoveries.
Sign-in/Register to access full text options 
Free) 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
