According to the latest data from the Plenum CAT Bond UCITS Fund Indices, catastrophe bond fund strategies in the UCITS format averaged a 0.62% return for the month of June 2026 which beat last year, while the rolling-twelve month return rose slightly to 10.22% as a result of the stronger month.
Through the period of May 29th through June 26th 2026, as a group the UCITS catastrophe bond funds delivered average returns of 0.62% across all the strategies in this format, a much stronger month than May’s 0.36%.
Catastrophe bond fund strategies continue to benefit from positive premium accrual and the resulting returns that delivers, as well as the risk-free rate and got to the end of the first-half of this year without a negative month.
Through 2026 so far, for the closest reported figures to calendar months, UCITS cat bond funds have returned 0.53% for January, 0.46% for February, 0.35% for March, 0.55% for April, 0.36% for May and now the best month of the year so far, with 0.62% for June to the 26th of the month.
As a result, the average year-to-date performance of the UCITS format catastrophe bond fund strategies rose from 2.18% at May 29th to now 2.91% as of June 26th 2026, the latest data available and closest we have to a half-year return for these catastrophe bond funds.
On a rolling twelve month return basis, the average rose slightly thanks to the stronger performance in the last month, from 10.18% at May 29th to reach an average of 10.22% as of June 26th 2026, still holding onto a double-digit level of performance for investors.
You can analyse the Plenum CAT Bond UCITS Fund Indices in our charts:
Interestingly, for June the performance advantage switched to the lower-risk cohort of cat bond funds in the UCITS format, with these averaging a 0.66% return for the month, while the higher-risk cat bond funds averaged 0.60%.
Year-to-date, the lower-risk UCITS cat bond funds now average 2.78% so far in 2026, while the higher-risk funds average 2.97% as of June 26th.
For the lower-risk UCITS cat bond funds the rolling-twelve month return now stands at 9.99%, , while for the higher-risk cat bond fund strategies it stands at 10.45%.
On a capital weighted basis, the Plenum Index of UCITS cat bond funds delivered 0.65% for May, 2.94% YTD and was flat at 10.44% on a 12-month basis.
A year ago, June 2025 saw the UCITS cat bond funds averaging 0.58%, so 2026 returns have beaten that, while the average YTD for 2025 through June 27th was 2.94%, only slightly ahead of this year so far.
But the average return on a 12-month basis sat at 11.69%, so more than a percentage point higher than at this point of 2026. However, that’s not an enormous gap and shows investors continue to benefit from strong coupon returns at this stage.
Helping with this is the fact there remain outstanding catastrophe bonds with higher coupons still. But as the lower priced cat bonds of recent months factor into returns this will slowly reduce them, we suspect.
It also remains to be seen how seasonality emerges during the peak of the hurricane season this year and whether the strong premium months will end up as strong as we saw in 2024 and 2025.
Analyse UCITS cat bond fund performance, using the Plenum CAT Bond UCITS Fund Indices.
Analyse UCITS catastrophe bond fund assets under management using our charts here.
Analyse catastrophe bond market yields over time using this chart.
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