Cat bond funds set the post-Ian equilibrium at 4.3% loss

Pure-play cat bond funds continued to settle into a stabilisation on markets roughly 4.3% below levels seen ahead of the Florida landfall of Hurricane Ian.

A weekly index for dollar-denominated cat bond funds, as generated by Plenum Investments, slipped 0.1% week over week through December 2 to a level 4.3% below pre-Ian highs and 2.4% above the post-Ian lows hit just over two weeks later.

Euro- and Swiss franc-denominated fund classes moved in equal step with the benchmark dollar fund marker, each down ca 0.1% for the week. Losses post-event remain deeper at 5.0 and 5.3%, respectively.

Year-to-date, the dollar class funds are down 3.0%. The index had traded at a 2022 high just prior to Hurricane Ian after nine consecutive weeks without a loss. Hurricane Ian eventually had the index down 6.6% before stabilisation and ultimately recovery set in.

The array of total return performance indexes, published weekly by Plenum, are built on valuations of 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.

Market volatility has largely died off. Weekly market index moves have been a small fraction of their YTD average over the past two weeks and have not been a standard deviation above in four weeks.

The outperformance of the low-risk fund subgroup has been cut to well under half its peak in the post-Ian period.

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