Strong July boosts UCITS catastrophe bond fund returns, but 12-month drops below 10%

Catastrophe bond fund strategies in the UCITS format saw performance accelerate through recent weeks as seasonality boosted returns, but the 12-month rolling return average across the Plenum CAT Bond UCITS Fund Indices has now declined to just under 10% for the first time this year.

The average return of UCITS catastrophe bond funds for the period from the nearest last end of month reporting of this Index, on June 26th through to July 31st 2026, reached 1.15%.

It marks a significant acceleration from the 0.62% average return across these cat bond fund strategies for the period of May 29th  through June 26th 2026.

With the market not seeing any meaningful losses in the latest reporting period, catastrophe bond fund strategies continue to benefit from positive premium accrual and the resulting returns that delivers, while wind seasonality is also helping to boost 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 and now a much higher 1.15% for the subsequent period to July 31st.

As a result, the average year-to-date performance of the UCITS catastrophe bond fund strategies rose from 2.91% at June 26th 2026, to now 4.09% as of July 31st.

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

But, on a rolling twelve month return basis, the average return has now fallen to under 10% for the first time this year, a reflection of the reduced spreads in new cat bond issuance as reinsurance has softened its pricing.

The rolling twelve month average return of the UCITS cat bond funds stood at 10.22% as of June 26th 2026, but has now declined to 9.94% at July 31st.

With tighter pricing across reinsurance and catastrophe bonds, the market was always destined to see its returns coming down.

But, it’s worth highlighting that returns at this level remain historically extremely attractive in the catastrophe bond market and the last few year’s of elevated performance are outliers really, stimulated by the significant hardening of property catastrophe reinsurance pricing.

As cat bond returns normalise, it’s critical that market participants maintain their discipline, which is a topic one of our panel discussions at the upcoming Artemis London 2026 conference will explore.

Over the reporting period from June 26th to July 31st 2026, the higher-risk cohort of UCITS catastrophe bond funds delivered the stronger performance.

While the average return across the entire UCITS cat bond fund group was 1.15%, the higher-risk funds averaged 1.20%, while the lower-risk funds returned 1.10%. The capital weighted version of the Plenum Index delivered a 1.24% return for this period.

Year-to-date, the lower-risk UCITS cat bond funds now average 3.91% so far in 2026, while the higher-risk funds average 4.20% as of July 31st and the capital weighted Index at 4.22%.

As said, the rolling twelve month return of the average UCITS cat bond fund is now 9.94%, while for the lower-risk cat bond funds in this Index it declined to 9.62%, but for the higher-risk funds it stands at 10.26% and on a capital weighted basis at 10.21%.

For the closest 12-month period of 2025, the average UCITS cat bond fund rolling return stood at 11.62%.

That still isn’t a particularly large gap, but it has widened somewhat over the last month.

However, as we said, cat bond fund returns remain historically very attractive and if this year continues to be relatively loss free 2026 could still become at least the fourth highest return for this Index since the data series began in the 2011 calendar year.

Plus, if you consider the catastrophe bond asset class versus other comparables, this more normalised performance still beats a lot of comparable benchmarks by a margin, without even considering the fact it is relatively uncorrelated compared to them, something investors place enormous value on.

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.