Press Release: Plenum Investments Ltd. sets new industry standard in the comparability of CAT bond funds and publishes market study and index family
Since 2010, the market for CAT Bond funds in UCITS format has become a major pillar of the capital market based transfer of reinsurance risk, currently representing a 24% market share of the collateralized natural catastrophe business. The strong growth of CAT bond funds, the increasing number of funds, the increasing heterogeneity of funds, the different risk models and the lack of a risk presentation standard are still a challenge for investors.
The aim of the market study and the index family is to provide investors with an investment compass. On the one hand, this enables the fund offering to be matched with the personal risk-appetite of an investor, and on the other hand, it enables the performance and risks of individual funds to be compared with each other. The index is intended to set a benchmark standard in the CAT Bond fund industry. The study also shows how fund managers deal with the challenges of the CAT bond market and includes all CAT bond funds that comply with the UCITS guidelines and invest directly and exclusively in CAT bonds.
The index family is a set of indices designed to reflect the returns of all CAT Bond funds avail-able in the market in UCITS format. These are investable total return fund indices only, which are calculated and published on a weekly basis. The reference currencies of the indices are the US dollar, the Euro and the Swiss franc.
With its market study and index family, Plenum Investments Ltd. makes a further contribution to creating transparency in the CAT bond fund market. The head of the market study and index developer Dirk Schmelzer, managing partner and fund manager of Plenum Investments Ltd., says: «This market survey makes CAT bond funds comparable for the first time by using the same risk model for all funds. We use specific risk indicators to analyze and illustrate the risk profiles of the individual funds. We show that there are significant differences between the funds in terms of risk diversification as well as exposures and that certain funds carry (tail) risks above average compared to their expected returns.»
The fact that Plenum Investments Ltd. manages CAT bond funds and two of its funds are part of this survey creates a potential conflict of interest. For this reason, we have placed great emphasis on the methodology of this survey so that the results can also be understood by an independent third party.
For more information, please contact the addresses below directly. We are looking forward to your contact.
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