The paper investigated the trend of the performance of insurance sector and the implication of liquidity management on their performance between 2000 and 2008. The study made use of return on equity ROE as measure of insurance companies‟ performance; other variables used as independent variables are liquid asset volume, working capital, total investment, under-writing risk, dividend and equity capital. Seven non-life insurance companies were used for the analysis, descriptive statistics and panel data analysis were used to analyze the data. The results show that while all the performance indicators such as profit after tax return on asset, return on equity among others have been following rising trends over the years; liquid asset volume has been following a falling trend. The panel data results show that liquidity does not have significant impact on the performance of insurance companies. It is recommended that insurance companies should embark on strategies that will make management of liquidity have significant positive impact on the performance of insurance companies in Nigeria.