AQR Readies Cat Bond Index Fund
Story updated with additional information regarding the fund in bold.
Greenwich, Conn.-based AQR Investment Managment is planning to launch its first catastrophe fund offering, following up on its much publicized move into the reinsurance space.
The new AQR Catastrophe Bond Index Fund will have a $5 million minimum investment, according to U.S. Securities and Exchange Commission filings.
The new offering is registered as a hedge fund under 506(b) of the Securities Act and 3c7 of the Investment Company Act, meaning that the fund will be limited to accredited investors such as pension funds and hight new worth individuals and institutions.
A spokeswoman for AQR did not return emails or calls requesting comment on the filing.
A source familiar with AQR’s plans says the firm expects to seed the fund with its own capital in the fall, but does not expect to solicit outside investors until 2015. The source adds that new offering will have investment strategy is to give investors “broad exposure to the cat bond market in a sensible, efficient manner.”
A traditional quant shop that runs long equity and long/short alternative, and multi-asset risk, AQR made a splash in 2011 when it announced that it had established a Bermuda-based reinsurer AQR Re Management headed up by Andrew J. Sterge, the former head of both Pulsar Re Holdings. In 2013 the fund manger hired former RenaissanceRe CEO John Lummis as its chief executive and ex-Aon Benfield broker Paul Karon as vice chairman.
Insurance-linked securities indexes — both for securities and managers — are becoming somewhat of novelty play despite the sector’s lack of liquidity. Existing indexes include the Mercury iCRIX, Eurekahedge ILS Advisers Index and the Swiss Re Global Cat Bond Total Return Index,
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