Blue Capital Alternative Income Fund : BCAI (formerly Blue Capital Global Reinsurance : BCGR) provides investors with the opportunity to access the global catastrophe reinsurance market, and to invest in an alternative asset class whose returns have historically been largely uncorrelated to those of other asset classes including global equities, bonds and hedge funds.
Blue Capital Alternative Income Fund aims to offer investors target returns of LIBOR+8% via a master fund (an underlying special purpose vehicle used to hold the investments), that invests in a broad range of reinsurance risks diversified by risk, geography and peril. It invests in over 1,500 different contracts from a variety of customers. The reinsurance industry is a largely US-dollar denominated one and so the fund’s returns are earned in US-dollars.
We have written a note that explains how the fund works,
- “Wind-blown, but still standing“, published in February 2018, a decline in NAV attributed to the 2017 Atlantic hurricane seasons BCAI looks to bounce back
- “Uncorrelated yield opportunity“, published in May 2017, with shares trading at a discount management calls this unwarranted but feels it offers a good entry point
You can also access the fund’s website here
The fund is listed in both Bermuda and London. It is managed by Blue Capital Management Limited, a wholly owned subsidiary of Sompo International. The master fund in which it invests is Blue Capital Global Reinsurance SA‐1. This is a segregated account within Blue Water Master Fund Ltd., an exempted Bermuda mutual fund segregated accounts company. The master fund invests in contracts originally underwritten by a variety of professional underwriters.