UCITS cat bond fund returns hit 7.87% YTD after October. 12-month declines again: Plenum Index

Catastrophe bond funds structured as UCITS investment strategies delivered strong returns in October to end the month with a 7.87% return for 2026 so far, while the rolling-twelve month average performance has declined further, according to the Plenum CAT Bond UCITS Fund Indices.

2026 remains on-track to see at the least the fourth highest annual return for UCITS cat bond funds, according to specialist catastrophe bond and insurance bond investment manager Plenum Investment’s Index, which tracks this cat bond fund sector back to 2011.

While catastrophe bond pricing has fallen from the high levels seen during the reinsurance hard market, catastrophe bond funds continue to deliver an attractive return for their investors in 2026.

Of course, the lack of any major natural catastrophe loss events has helped considerably, but the returns are still historically attractive and well-above the average in 2026 so far.

The latest data from the Plenum Index is for the period September 25th through October 31st 2026 and across this period the average return of the UCITS catastrophe bond funds reached 1.12%.

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; 1.24% on average to August 28th; 1.23% to September 25th; and now 1.12% on average through to October 31st.

As a result, the average year-to-date performance of the UCITS catastrophe bond fund strategies rose from 6.67% as of September 25th’s data, to now 7.87% as of October 31st 2026.

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

The UCITS catastrophe bond sector continues to track towards one of its best performing years on record, with the current figure of 7.87% YTD still the fourth best since 2011, when this Index began.

Given the softening of reinsurance pricing and how that has reduced spreads in new cat bond issuance, future returns may not live up to the past.

This is evident in a further decrease in the rolling twelve month return of the UCITS cat bond funds.

The rolling twelve month return of this catastrophe bond fund index stood at 9.66% as of September 25th, but by October 31st has declined further to an average of 9.23%.

Through this latest reporting period of record, from September 25th to October 31st 2026, while the average return of all the UCITS catastrophe bond funds reached 1.12%, the lower-risk cohort averaged 0.99% and the higher-risk group of cat bond funds averaged 1.20%, showing how different strategies have their own return profiles. On a capital-weighted basis the index return was 1.14% for the same period.

On a year-to-date basis to October 31st, the average performance across the cat bond fund Index of 7.87% compares to the lower-risk UCITS cat bond funds now averaging 7.56%, while the higher-risk funds average 8.05% and the capital weighted Index stands at 8.10%.

The rolling twelve month return of the average UCITS cat bond fund has declined slightly to 9.23% as we said, while for the lower-risk cat bond funds in this Index it declined to 8.93% and for the higher-risk funds it fell to 9.38%, while on a capital weighted basis it stands at 9.49%.

As we explained though, while cat bond fund returns are lower this year, they still remain at a historically attractive level for catastrophe bond investors.

The closest comparable 12-month period of the prior year saw the average rolling-twelve month return of UCITS catastrophe bonds funds standing at 10.99%.

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.