Jyske Invest

Jyske Invest FX Alpha

Strategy Description

Jyske Invest FX Alpha’s investment strategy involves exploiting short-term imbalances in foreign exchange markets to generate a consistent absolute return. The strategy involves buying currencies that are considered to be too cheap and sell currencies considered to be too expensive using positions in short- and medium-term currency instruments. The objective of Jyske Invest FX Alpha is to generate an annual return that exceeds the lending rate of the central bank of Denmark by at least 3%.

General Information

NHX CategoryMulti Strategy
NHX CountryDenmark
Legal StructureFund
Fund DomicileDenmark
Minimum Investment -
AUM342M DKK
Highwater MarkYes
Inception DateMar 2011
Management Fee1%
Performance Fee15%

Company Information

CompanyJyske Invest
PrincipalBjarne Gier
AddressVestergade 8-16
Silkeborg, 8600
Phone89 89 25 00
Emailjyskeinvest@jyskeinvest.dk
Websitewww.jyskeinvest.dk

Monthly Performance

  JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC Year
2018 -0.08 0.28 0.68 0.88
2017 0.21 0.05 0.13 0.13 -0.04 0.20 0.02 -0.03 -0.09 0.10 0.29 0.10 1.07
2016 0.11 0.04 0.08 -0.09 0.02 -0.03 -0.04 0.05 0.05 0.12 0.21 -0.02 0.50
2015 0.15 0.30 0.35 0.22 0.34 0.22 0.12 0.09 -0.09 0.19 0.05 -0.12 1.83
2014 -0.05 -0.11 0.49 -0.12 0.28 0.19 0.10 0.08 0.16 -0.05 0.24 0.08 1.30
2013 0.52 0.58 0.17 0.66 0.62 0.02 0.14 0.38 -0.06 0.92 0.07 0.11 4.20
2012 0.29 0.45 0.26 0.19 0.35 0.78 0.08 0.07 0.20 0.55 0.12 0.08 3.47
2011 0.27 -0.17 -0.29 0.42 0.91 -0.01 1.15 0.51 1.29 0.05 4.19
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 0.68
3 Month ROR 0.88
Year To Date 0.88
12 Month ROR 1.57
36 Month ROR 3.52
Compound ROR 2.46
Winning Months (%) 78.82
Average Winning Month 0.28
Average Losing Month -0.08
Total Return 18.75

Risk Statistics

Sharpe Ratio 2.46
Sortino Ratio 14.50
Sterling Ratio 0.11
Calmar Ratio 8.30
Skewness 1.58
Kurtosis 3.09
Maximum Drawdown -0.46
Correlation vs S&P 500 -0.06
Average Losing Month -0.08
Standard Deviation (monthly) 0.29
Downside Deviation 0.05

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 -0.46 2 2 04/2011 07/2011
2 -0.16 2 1 01/2014 03/2014
3 -0.14 4 3 04/2016 10/2016
4 -0.12 1 1 04/2014 05/2014
5 -0.12 1 2 12/2015 02/2016

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 1.29-0.290.200.120.6878.82
3 Months 2.98-0.190.600.400.8890.36
6 Months 4.34-0.041.220.891.3896.25
1 Year 6.390.172.382.061.57100.00
2 Years 10.801.114.614.182.24100.00
3 Years 13.113.196.846.433.52100.00
5 Years 16.298.2111.8111.178.76100.00

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 ROR0.680.290.230.130.090.10
% Positive100.0066.6783.3366.6766.6772.22
Avg. Pos. Period0.680.480.290.230.170.16
Avg. Neg. Period - -0.08-0.08-0.06-0.05-0.06
Sharpe0.002.673.042.081.902.16
Sortino0.0021.9624.1911.949.378.90
Std. Deviation0.000.380.260.220.170.15
Down. Deviation0.000.050.030.040.030.04

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.