☰Both markets can make the case. A hard market makes captives urgent: premiums spike, capacity shrinks, and retaining risk you are being overcharged for can feel like an immediate necessity. A soft market makes captives strategic: coverage is cheaper to place around the captive, reinsurance can cost less, and the program can be built calmly rather than against an expensive renewal deadline.
The pattern worth knowing is that owners who form in soft markets arrive at the next hard market with history, surplus, and options. Captive growth has continued through recent softening for exactly that reason; the interest we hear has shifted from "get me out of this" toward "how do I get ahead of the next shift." If the fundamentals fit, meaning a workable loss history, predictable enough risks, and enough premium to matter, it's more about what to retain in the captive, not if you should have one at all.
It's important to note that a captive cannot always provide immediate relief from harsh market pricing. You are building your own insurance company, and while the long-term benefits are clear, the short-term capital commitments and early-stage rates from participating carriers may actually require spending more than you might have to in the market. Over time, the total cost of risk will decline. Yet another reason for starting sooner if your only hesitation is the current market cycle.