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Printed: 07 July 2022 11:18 PM

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25 Jun 2021 - Performance Report: Laureola Australia Feeder Fund
By: Australian Fund Monitors

Report Date25 June 2021
ManagerLaureola Advisors
Fund NameLaureola Australia Feeder Fund
StrategyLife Settlements
Latest Return DateMay 2021
Latest Return0.43%
Latest 6 Months2.28%
Latest 12 Months7.58%
Latest 24 Months (pa)8.46%
Annualised Since Inception15.65%
Inception Date23 June 2021
FUM (millions)US$68
Fund OverviewThe Laureola Investment Fund's strategy is to provide investors with exposure to the returns of life settlements in a risk mitigated manner.

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 CommentsThe Laureola Master Fund returned 0.4% for May and is up 1.3% ytd. The AUD feeder fund rose +0.3% and is up +0.6% ytd. Returns in May were mostly driven by the maturity of a smaller policy; the purchase of 8 small face policies at below market value also contributed a small amount.

Since inception in May 2013, the fund has returned +15.65% p.a. with an annualised volatility of 5.51%. By contrast, the S&P500 Accumulation Index has returned +15.00% p.a. with an annualised volatility of 13.56% over the same period.

The fund's uncorrelated nature is demonstrated by its down-capture ratios over all time periods. Its down-capture ratio since inception of -37.5% indicates that, on average, the fund has risen during the market's negative months.

Laureola noted maturities for 2021 have been below expectations in the first 5 months of the year and this has resulted in returns below expectation for this period. They added that experienced Life Settlement investors will remember that there is randomness in the timing of maturities; such is the nature of mortality. Laureola Advisors continues its in-depth research into mortality, and new channels of supply are being established, including some that are proprietary.

The portfolio now holds 189 policies of which 20% have insureds over age 90; many are not well. Over 35% of the policies have insureds with life expectancies of less than 48 months. The portfolio is overdue maturities, especially on its larger policies.
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