Cat bond funds end 2022 on enduring recovery, cut Ian losses to 3.7%

Pure-play cat bond funds ended 2022 with four weeks of uninterrupted gains in a continued recovery that cut the losses from Hurricane Ian to as little as 3.7% for the core dollar denominated fund measure.

A weekly index for dollar-denominated cat bond funds, as generated by Plenum Investments, rose by about a quarter percent for the second straight week.

Euro and Swiss franc (CHF) denominated indexes have trailed behind, but managed advances in December. Composite indexes are now down 4.9% and 4.6% (Swiss franc and Euro, respectively) since Hurricane Ian, having recouped 2.6% and 1.8% respectively from post-Ian lows.

Volatility has fully died down. Weekly moves across December come in at a fraction of average levels for the whole of 2022 and below pre-Ian levels.

Measured for FY2022, the dollar denominated composite index is down 2.3%, ahead of 4.6% and 4.4% losses for the Swiss franc and Euro denominated measures.

The array of total return performance indexes, published weekly by Plenum Investments, 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.

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