UCITS cat bond funds average 6.35% YTD, second-highest annual return since 2011

Catastrophe bond funds in the UCITS format had reached an average return year-to-date of 6.35% by August 2nd 2024, which is the second-highest annual return since the Plenum CAT Bond UCITS Fund Indices started tracking the market in 2011.

The year-to-date return of this group of catastrophe bonds is only second to the full-year 2023 record, with the next highest annual return being 6.28% back in 2013.

It shows the attractive returns that investors in the catastrophe bond asset class are currently experiencing and returns accelerated in the last month.

From July 5th through August 2nd, the average return of the Plenum CAT Bond UCITS Fund Indices was an impressive 1.38%.

Interestingly though, the lower-risk cohort of cat bond funds in this Index averaged 1.50%, while higher-risk funds did slightly worse at 1.31%.

This likely reflects the way spreads have recovered since the widening that was seen, which has not been entirely evenly experienced across the universe of outstanding cat bonds in the market.

As said, the average return of the UCITS cat bond fund Index reached 6.35% for the year to August 2nd, while the lower-risk cohort of funds returned 6.17% and the higher-risk cat bond funds did slightly better at 6.46%.

Analyse cat bond fund performance using the Plenum CAT Bond UCITS Fund Indices, which tracks the performance of a basket of cat bond funds structured in the UCITS format and provides a broad benchmark for the performance of cat bond investment strategies.

Click the chart below for an interactive version and index development by week.

Looking at the rolling twelve-month performance of UCITS catastrophe bond funds as measure by Plenum’s Index, to August 2nd, the average return is now 11.74%.

Lower-risk UCITS cat bond funds have averaged an 11.46% return to that date, while the higher-risk cohort averaged 11.96% and the capital weighted version of the Index stood at an impressive 12.2% return over the last 12 months.

While that may be some way down on the record 14.88% return delivered by this Index in 2023, with the catastrophe bond market yield potential remaining around the 13.69% mark as of the end of June, the performance by the UCITS cat bond funds is still impressive and proving attractive to investors.

Analyse UCITS cat bond fund performance, using the Plenum CAT Bond UCITS Fund Indices.

Analyse UCITS catastrophe bond fund assets under management using our charts here.

Analyse catastrophe bond market yields over time using our new chart.