Pure-play cat bond funds down ca. 5% through week of Ian landfall

Cat bond pure-play investment funds suffered nearly 5% losses for the week including the Florida landfall of Hurricane Ian, placing a broad index measure 3.8% below its prior YTD low, a key industry benchmark has shown.

The Plenum Investments weekly index for dollar-denominated cat bond funds fell 4.9% week on week through Friday, September 30, the data indicated. That broad reading covered a 5.1% loss for a high-risk subset and 4.6% decline for a low-loss subset. The broad readings for EUR-denominated and CHF-denominated funds were down 4.67% and 5.2%, respectively.

The end-September losses easily put index values to their lowest levels since the beginning 2022 index inception (-4.4% for the broad USD-denominated index) and, not necessarily comparably, amongst the once-a-month retroactive readings calculated back to early 2011.

The core USD-denominated average index reading had only fought its way back to a fractional YTD gain in early September after a turnaround in early August. The weekly readings had avoided decline for nine-weeks prior to the Ian landfall, including a fractional gain in the week to September 23, just as tropical depression #9 became tropical storm Ian.

Plenum has crafted a series of investment fund total return performance indexes from a group of 15 pure-play cat bond UCITS investment funds. Sub-indexes divvy up results by currency unit class and a semi-annually reviewed classification for risk profile.

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