Cat bond funds regain balance after post- Ian recovery at 4.2% loss

The market recovery of pure-play cat bond funds following Hurricane Ian may have regained its balance at points some 4.2% below their pre-landfall valuations, a key market index now suggests.

A weekly index for dollar-denominated cat bond funds, as generated by Plenum Investments, slipped 0.1% week over week through November 25 after two weeks of decelerating recovery, to a level just 2.5% above its post-Ian lows.

Weekly losses for euro- and Swiss franc-denominated classes were fractionally deeper, leaving the indexes a deeper 4.9% and 5.3% respectively below their pre-Ian levels.

Year-to-date, the dollar class funds are down 3.0%. The index had traded at a YTD high just prior to Hurricane Ian on nine consecutive weeks without a loss. Hurricane Ian took a quick 4.9% from the reading and eventually had the index down 6.6% two weeks later before stabilisation and ultimately recovery set in.

The array of total return performance indexes, published weekly by Plenum Investments, are built on broker quotes for a group of 15 pure-play cat bond UCITS investment funds. Sub-indexes divvy up results by currency unit class and a classification of risk profile subject to semi-annual review.

The shape of the market moves hints at stabilization. Across currencies, the outperformance of the low-risk sub-segment since Hurricane Ian's initial has been hacked down to zero by systematic weekly outperformance for the high-risk category.

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