If you go beyond just basic stocks, look at commodities and options trades.
In particular, gold has done well. Two years ago, when Ed Sollbach was a quantitative analyst at Desjardins Securities, he showed that gold was a clear winner after natural disasters. It averaged a a 3.4 percent return in the full month following. In the case of Katrina, it did even better, rising 2.1 percent in the first five days, and 6.3 percent after 21 days.
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Finally, for those traders who want to stay market neutral, look at options. Evan Hewitt, then a student at Macalester College in St. Paul, Minnesota, showed that a market-neutral options trade could be made on a portfolio of insurance company stocks. These trades focus on the increase in volatility that occurs based on the news of a pending hurricane (whether the stock goes up or down).
These strategies include a long straddle, long strangle, short condor, and short butterfly. "Each of these strategies is successful pending a large enough move in the share price of the underlying company in either direction," Hewitt wrote. Some of the stocks he considered were AIG, Berkshire Hathaway, Chubb, Travelers, and CNA, including a dozen others.