Nykredit Asset Management

Nykredit MIRA Hedge Fund

Strategy Description

Nykredit MIRA is a relative value fund investing in fixed income instruments, with a focus on Danish mortgage bonds. The objective of the fund is to generate high absolute return using leverage, short selling and derivatives. The fund seeks to minimize exposure to general market risks such as interest and currency risk. Instead, the primary value driver represents the spreads between long and short positions. The fund is designed for investors who have the necessary experience and knowledge to understand the risk involved with hedge funds, and is only suitable for investors with the appropriate risk profile and time horizon.

General Information

NHX CategoryFixed Income
NHX CountryDenmark
Legal StructureFund
Fund DomicileDenmark
Minimum Investment00 DKK
AUM685M DKK
Highwater MarkYes
Inception DateNov 2008
Management Fee1.25%
Performance Fee20%

Company Information

CompanyNykredit Asset Management
PrincipalNicolai Kjer Rasmussen
AddressOtto Monsteds Plads 9
Copenhagen V, 1780
Phone+4544552899
Emailnykreditassetmanagement@nykredit.dk
Websitehttps://www.nykredit.dk/assetmanagement/info/afdeling-kobra.xml

Monthly Performance

  JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC Year
2017 1.06 3.22 1.72 0.68 1.30 1.57 1.61 1.50 2.33 -0.16 1.75 0.23 18.12
2016 1.69 0.36 1.52 2.27 3.26 1.06 -0.24 1.61 0.81 -1.14 0.92 3.52 16.70
2015 -2.37 -1.26 1.57 0.98 0.79 -2.25 1.44 1.32 1.61 -0.90 1.47 1.81 4.15
2014 2.70 1.75 1.55 1.00 -0.10 0.42 0.25 1.32 1.36 -0.66 -3.06 -2.16 4.30
2013 2.40 1.80 2.60 1.90 2.70 1.50 1.60 0.30 2.10 2.10 1.60 1.00 23.84
2012 -0.60 2.30 3.40 0.40 0.10 -1.30 2.60 2.30 0.40 0.50 1.10 0.80 12.56
2011 -1.00 -1.00 -0.60 1.10 0.60 -2.10 1.20 2.10 -0.70 -0.40 1.10 2.20 2.42
2010 1.00 1.00 -0.20 0.80 3.30 0.50 0.60 -2.00 1.90 -1.00 -2.40 2.80 6.31
2009 -6.10 0.80 7.40 1.50 4.10 1.70 2.90 2.10 -0.20 -0.50 1.40 2.20 18.10
2008 -4.10 5.90 1.56
There is a substantial risk of loss in trading commodity futures, equities, options and off-exchange foreign currency products. Past performance is not indicative of future results.

Manager Bio

 

Return Statistics

Last Month 0.23
3 Month ROR 1.82
Year To Date 18.12
12 Month ROR 18.12
36 Month ROR 43.56
Compound ROR 11.56
Winning Months (%) 75.45
Average Winning Month 1.70
Average Losing Month -1.43
Total Return 172.60

Risk Statistics

Sharpe Ratio 1.78
Sortino Ratio 3.27
Sterling Ratio 1.10
Calmar Ratio 3.56
Skewness -0.39
Kurtosis 3.03
Maximum Drawdown -9.17
Correlation vs S&P 500 0.29
Average Losing Month -1.43
Standard Deviation (monthly) 1.81
Downside Deviation 0.97

Risk/Return Chart

Monthly Returns

Performance (VAMI)

Distribution of Monthly Returns

12 Month Rolling ROR

Drawdown Report

No. Depth (%) Length (Months) Recovery (Months) Start date End date
1 -9.17 5 12 10/2014 02/2016
2 -6.10 1 2 01/2009 03/2009
3 -4.10 1 1 11/2008 12/2008
4 -3.78 11 6 08/2010 12/2011
5 -1.30 1 1 06/2012 07/2012

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 7.40-6.100.931.100.2375.45
3 Months 13.48-7.402.883.251.8282.41
6 Months 21.25-7.945.976.927.4684.76
1 Year 27.28-5.5111.7114.3518.1284.85
2 Years 44.036.0622.7419.8537.84100.00
3 Years 58.8122.4234.9332.7043.56100.00
5 Years 97.9244.7671.3274.4685.43100.00

Up Capture vs. NHX Composite

Down Capture vs. NHX Composite

Drawdown

Volatility (12 Months Rolling)

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Average ROR0.230.601.211.401.351.01
% Positive100.0066.6783.3391.6787.5080.56
Avg. Pos. Period0.230.991.481.541.621.55
Avg. Neg. Period - -0.16-0.16-0.16-0.51-1.19
Sharpe0.002.084.365.394.202.61
Sortino0.0022.6263.97104.7919.435.52
Std. Deviation0.001.010.960.901.121.35
Down. Deviation0.000.090.070.050.240.63

AUM

ALL DATA INCLUDING PERFORMANCE NUMBERS HAVE BEEN SUPPLIED BY THE RESPECITVE MANAGERS AND FUND. HEDGENORDIC IN NO WAY GUARANTEES THE ACCURACY OF THESE NUMBERS AND HAS SUPPLIED THEM TO YOU FOR INFORMATION PURPOSES ONLY. THIS DOES NOT CONSTITUTE A SOLICITATION TO BUY OR AN OFFER TO SELL. NO INVESTMENT SHOULD BE MADE WITHOUT FULLY REVIEWING THE ASSOCIATED RISK FACTORS, FEES AND CONFLICTS OF INTEREST AS OUTLINED IN EACH FUNDS S RISK DISCLOSURE DOCUMENT. THERE MAY BE FUNDS WHO HAVE CHOSEN NOT TO BE LISTED IN THE HEDGENORDIC DATABASE AND NHX THAT MAY HAVE BETTER OR WORSE PERFORMANCE THAN THOSE IN OUR DATABASE.

THE RISK OF LOSS IN INVESTING IN HEDGEFUNDS CAN BE SUBSTANTIAL. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADE ONLY WITH RISK CAPITAL. SALES RESTRICTIONS MAY APPLY IN YOUR JURISDICTION.