The article explores whether adding Cat Bonds to investment portfolios benefits investors. Tests conducted from 2002 to 2017 show that including Cat Bonds creates new portfolio opportunities. Using a specific model, the study finds that Cat Bonds increase the Sharpe ratio and diversification ratio over time. Cat Bonds offer valuable diversification during crises and high volatility periods. Efficiency tests suggest that portfolios with Cat Bonds may outperform those without. Results vary based on performance measures, portfolio techniques, and assets considered.