Pure-play cat bond funds recoup June losses in August rally
Cat bond pure-play investment funds have largely recouped losses suffered in the last week of June, but only US dollar-denominated fund classes have struggled back to a year-to-date (YTD) gain, newly released industry indexes crafted by Plenum Investments have shown.
A rally in the first half of August placed the average-weighted dollar-denominated fund up a fractional 0.2% YTD with high-risk dollar cat bond funds still fractionally in the red.
The dollar funds have outperformed throughout and now sport 68 basis points (bps = 1/100 of a percentage point) of outperformance versus Euro-denominated funds and 91 bps to Swiss funds YTD.
Significant losses (above one standard deviation from weekly variance) hit all but one of Plenum's measures for the weekly reading dated July 1.
Euro- and Swiss-denominated fund classes had fallen into YTD losses already in the second half of April and sputtered thereafter before joining the thereafter steeper declines end-June.
Recovery only began in early August, leaving the average total return indexes down 0.45% and 0.7% YTD, respectively.
Plenum Investments 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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