Disaster bond funds within the UCITS format have skilled their first detrimental month of efficiency since October 2022, with the Plenum CAT Bond UCITS Fund Indices falling -0.30% in Could 2024.
The driving force is the disaster bond unfold widening that has been seen by way of a lot of April and Could.
As we had reported a month in the past, the spread widening accelerated into May and ended a 73 week long-run of positive average returns across the tracked UCITS cat bond funds.
Now, the impact of the unfold widening is obvious for the complete month of Could and it’s the first month the place the UCITS cat bond fund index efficiency was detrimental since proper again in October 2022 when the market was nonetheless digesting the potential for losses from hurricane Ian.
The -0.30% decline within the Plenum CAT Bond Fund Index common ends a streak of 18 consecutive months the place the UCITS cat bond fund market has delivered optimistic returns, on common.
Analyse cat bond fund efficiency utilizing the Plenum CAT Bond UCITS Fund Indices, which tracks the efficiency of a basket of cat bond funds structured within the UCITS format and offers a broad benchmark for the efficiency of cat bond funding methods. Click on the chart beneath for an interactive model and index improvement by week.
With this detrimental month, the year-to-date return for the Plenum UCITS Cat Bond Fund Index common is now barely decrease at 3.84% by the tip of Could.
Which remains to be a powerful begin to the 12 months, crushed solely by the document returns achieved a 12 months in the past within the cat bond asset class.
For Could, the capital weighted index of UCITS cat bond funds was down barely greater than the common, at -0.34%.
Each the index of decrease threat UCITS cat bond funds and the index of upper threat UCITS cat bond funds fell by the common, at -0.30% for the month.
After Could, the common return of the UCITS cat bond fund index reached 3.84% for the primary 5 months of this 12 months.
As we reported final week, the spread development seen in catastrophe bonds actually enhances the forward return potential of cat bond funds, but has resulted in a dent to performance of late.
These sorts of worth results are inclined to work themselves by way of and balance-out over time, though this time there are risk-related factors involved, namely a recent risk model update and the affect of energetic hurricane season forecasts.
Maturities are coming by way of in plentiful provide in latest weeks and this extra money ought to assist to average the market, simply prematurely of the wind season, we imagine.
However, how the cat bond unfold atmosphere develops by way of and past the hurricane season goes to be attention-grabbing to look at, as we’ve seen some attention-grabbing forces at work this 12 months.
Analyse UCITS cat bond fund efficiency, utilizing 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 our new chart.
