UCITS cat bond funds average 0.35% in March. YTD return now 1.35%: Plenum Index

UCITS catastrophe bond funds returned 0.35% on average through the period of February 27th to March 27th 2026, which has lifted their year-to-date performance to 1.35%, according to new data from the Plenum CAT Bond UCITS Fund Indices.

March was another month that was free of major catastrophe loss events impacting the insurance and reinsurance market, but the monthly return fell behind the prior year’s stronger 0.56%, which had been influenced by some price recoveries of bonds following the damaging wildfires in California in early 2025.

Last month, the group of UCITS catastrophe bond funds tracked by Plenum Investments’ Index delivered an average return of 0.46% for February 2026, which was higher than the prior year.

In addition, it also comes on the heels of an average return of 0.53% for January 2026, which was above average for that month.

As a result, the year-to-date performance for UCITS cat bond funds through 2026 to March 27th, the closest thing we have to a first-quarter performance metric, now stands at 1.35%.

Given the lack of major loss events through the first-quarter, it is expected that all of the UCITS cat bond funds will have delivered positive returns to their investors.

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

Cat bond fund performance, across these UCITS strategies, was relatively tightly grouped in March 2026.

The low-risk cohort of UCITS cat bond funds delivered an average return of 0.33%, which the higher-risk group of cat bond strategies averaged a 0.36% return.

With the average performance year-to-date through March 27th now standing at 1.35%, the lower-risk cat bond funds now stand at a 1.21% return, while the higher-risk funds stand at 1.42%.

On a rolling 12-month return basis to March 27th 2026, the average return across the UCITS catastrophe bond funds tracked by this Index now stands at 10.23%, which has fallen slightly from the end of February 12-month return of 10.46%.

For the lower-risk UCITS cat bond funds the 12-month return now stands at 9.97% (down on the end of February 10.20%). This is the first time the rolling 12-month return of the low-risk UCITS cat bond funds has dipped into single digits for a number of years now.

Meanwhile, for the higher-risk cat bond fund cohort, the 12-month rolling return now stands at 10.49% (down on the end of February 10.73%).

While the market remains free of new major catastrophe loss events, we would expect the 12-month rolling return to begin to stabilise.

Cat bond market returns are being influenced by a number of factors still, with price softening of primary issuance, demand and capital supply all playing into price performance of both new and outstanding notes.

With a busy issuance and maturity schedule anticipated for the second-quarter, it will be interesting to see how pure cat bond funds perform. There is a chance they see a stronger boost in performance as the US wind season begins, which was also seen last year.

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.