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We study the profitability of catastrophe bonds from January 2001 to June 2014. Our empirical analysis finds positive returns on catastrophe bonds and shows that they increase right after the Atlantic hurricane season and suffer a major downturn with the occurrence of significant catastrophes. Additionally, seasonality is found, especially during the month of September. When compared with stock and government bond benchmarks, returns on catastrophe bonds show considerably better results. However, when compared to the high yield bond benchmark, they present a similar performance. Finally, when tested for different predetermined variables, both traditional stock and bond market variables as well as liquidity risk do not explain catastrophe bond performance.