Catastrophe bond fund UCITS Index delivers 1.24% average return in August: Plenum

Catastrophe bond fund structured in the UCITS investment format delivered their strongest month of performance year-to-date through the August days of record, averaging 1.24% for the period, while the 12-month rolling return average across the Plenum CAT Bond UCITS Fund Indices slipped a little further to 9.82%.

Catastrophe bond investment returns remain historically attractive through 2026 so far, although declining from their strong recent year performance due to the softened state of the reinsurance pricing cycle.

The average return of UCITS catastrophe bond funds is the strongest so far in 2026 for a reporting period, since the nearest last end of month reporting of this Index, on July 31st through to August 28th 2026, at 1.24%.

While that’s short of the full-month, it is the only data available for this Index which prices using the end of week cat bond sheet data, which of course means the full August monthly return would be higher still, given the lack of any impactful catastrophe loss events.

Catastrophe bond funds continue to benefit from positive premium accrual and the resulting investment returns that delivers, as hurricane seasonality raises performance at this time of the year.

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, 0.62% for June to the 26th of the month, 1.15% for the subsequent period to July 31st and now 1.24% on average to August 28th.

On the back of this, the average year-to-date performance of the UCITS catastrophe bond fund strategies rose from 4.09 % as of July 31st, to now 5.38% as of August 28th 2026.

You can analyse the Plenum CAT Bond UCITS Fund Indices in our chart:

By August 28th, the rolling twelve month return remains below 10%, at 9.82% as of August 28th 2026, a slight decline on where it stood at July 31st at 9.94%, as the reduced spreads of new cat bond issuance, as reinsurance pricing softens, continued to bring this metric down slowly.

This level of 12-month rolling return remains historically extremely attractive in the catastrophe bond market, being still at a a level that would equate to the fourth best annualised performance of the cat bond Index since the data source began in 2011.

Interestingly, through this latest reporting period of record, from July 31st through August 28th 2026, the lower-risk cohort of catastrophe bond funds in the UCITS format delivered the stronger performance at 1.29%, while the higher-risk group of cat bond funds averaged 1.20% returns.

The capital weighted version of the Plenum Index delivered a 1.30% return for this period. All groupings delivered their best monthly performance of 2026 so far in the period.

On a year-to-date basis, the average performance across the Index of 5.38% compares to the lower-risk UCITS cat bond funds now averaging 5.23% so far in 2026, while the higher-risk funds average 5.45% as of August 28th and the capital weighted Index stands at 5.58%.

The rolling twelve month return of the average UCITS cat bond fund is now 9.82%, while for the lower-risk cat bond funds in this Index it declined to 9.59%, but for the higher-risk funds it stands at 10.00% and on a capital weighted basis at 10.06%.

All of these rolling return figures are down slightly since the July 31st reporting of the Index.

For the closest 12-month period of 2025, the average UCITS cat bond fund rolling return stood at 11.16%.

The gap between rolling-twelve month returns year-on-year has not widened particularly during the last month, with August 2026’s cat bond returns sustaining performance levels.

Considering the softening, catastrophe bond funds remain very attractive and comparably to other asset classes offer investors significant value, especially when you consider the diversification the return-stream offers to their portfolios.

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.