Danske Invest Global Cross Asset Volatility

Danske Bank

Strategy Description

Danske Invest Global Cross Asset Volatility seeks exposure to volatility risk premia embedded in equities, fixed income, credit and currencies from anywhere in the world with a focus on developed markets. Volatility measures the dispersion of an asset’s returns around its average. Exposure may be outright long or short, or relative between pairs of volatilities. Furthermore, the fund may be positioned for increasing or decreasing volatility over longer periods. The exposure to volatility may not be balanced and allocation between different asset classes may vary over time. The volatility-based strategies are implemented using derivatives such as options, futures and swaps gaining exposure to equities, equity-related instruments, bonds and other debt instruments, money markets instruments and currencies. The fund may also, for a short period of time, invest directly or via UCITS or UCIs, into such underlying securities.

Fund Information

General Information

NHX CategoryDiversified
NHX CountryDenmark
Legal StructureAlternative Investment Fund
Fund DomicileLuxembourg
Minimum Investment1,000 EUR
AUM496M EUR
Inception DateJun 2018
Management Fee1.00%
Performance Fee20.00%
SFDR Classification -

Company Information

CompanyDanske Bank
AddressBernstorffsgade 40
København V, 1577
Phone+45 3914 9776
E-mail[email protected]
Websitewww.danskehedge.com
Social Media

Monthly Performance

  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2024 1.83 1.43 0.72 -0.04 2.10 0.86 -0.05 -0.03 0.82 7.86
2023 1.23 -1.83 1.19 2.40 -0.11 2.11 0.41 0.63 1.40 1.09 2.13 -0.70 10.32
2022 -2.97 0.22 1.09 -1.21 -1.32 2.94 0.74 0.03 0.98 -0.48 -0.92 0.33 -0.71
2021 -2.09 2.28 3.64 1.60 0.68 0.85 -0.62 -0.29 0.74 1.34 -0.64 0.40 8.05
2020 1.16 -1.32 -1.77 1.92 0.16 1.63 0.51 0.87 0.54 -0.07 1.19 1.13 6.04
2019 -0.60 0.60 1.23 0.18 0.51 -0.09 0.01 -1.27 0.02 1.24 2.25 -0.82 3.26
2018 -1.79 -0.06 1.64 -0.13 -3.24 -1.32 0.48 -4.41

Portfolio Managers

     
No data filled

Disclaimer

This information is intended for institutional investors only. All data including performance numbers have been supplied by the respective managers and funds. 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 fund’s risk disclosure document. There may be funds which have chosen not to be listed in the HedgeNordic database and the NHX that may have better or worse performance than those in our database.

The risk of loss in investing in hedge funds 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.

Monthly Returns

Performance (VAMI)

Distribution of Monthly Returns

12 MONTH ROLLING ROR Return

Drawdown Report

No. Depth (%) Length (Months) Recovery (Months) Start date End date
Fund Index Fund Index Fund Index Fund Index Fund Index
1 -4.99% 8 17 06/2018 06/2020
2 -4.41% 7 4 11/2021 09/2022
3 -2.09% 1 1 01/2021 02/2021
4 -1.83% 1 2 02/2023 04/2023
5 -1.40% 2 2 10/2022 01/2023

Drawdown

Up Capture vs. NHX Composite

Down Capture vs. NHX Composite

Time Window Analysis

3 Months6 Months1 Year2 Years3 Years
Avg. Monthly Return0.24%0.61%0.84%0.68%0.49%
% Positive33.33%50.00%66.67%66.67%66.67%
Avg. Pos. Period0.82%1.26%1.37%1.29%1.18%
Avg. Neg. Period-0.04%-0.04%-0.21%-0.52%-0.86%
Sharpe Ratio2.092.733.322.251.41
Sortino Ratio23.9670.9914.355.212.47
Monthly Volatility0.40%0.77%0.88%1.06%1.23%

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 3.64%-3.24%0.39%0.51%0.81%64.47%
3 Months 7.70%-4.64%1.23%1.39%0.73%72.97%
6 Months 8.68%-4.87%2.54%2.46%3.69%78.87%
1 Year 14.66%-3.66%5.43%5.29%10.58%83.08%
2 Years 21.37%-1.20%10.70%10.76%17.72%98.11%
3 Years 23.10%11.12%16.47%16.96%19.45%100.00%
5 Years 39.00%15.50%29.50%32.77%39.00%100.00%

Volatility (12 Months Rolling)

CORRELATION (12 MONTH ROLLING)

AUM (EUR)

Disclaimer

This information is intended for institutional investors only. All data including performance numbers have been supplied by the respective managers and funds. 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 fund’s risk disclosure document. There may be funds which have chosen not to be listed in the HedgeNordic database and the NHX that may have better or worse performance than those in our database.

The risk of loss in investing in hedge funds 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.

Strategy Description

Danske Invest Global Cross Asset Volatility seeks exposure to volatility risk premia embedded in equities, fixed income, credit and currencies from anywhere in the world with a focus on developed markets. Volatility measures the dispersion of an asset’s returns around its average. Exposure may be outright long or short, or relative between pairs of volatilities. Furthermore, the fund may be positioned for increasing or decreasing volatility over longer periods. The exposure to volatility may not be balanced and allocation between different asset classes may vary over time. The volatility-based strategies are implemented using derivatives such as options, futures and swaps gaining exposure to equities, equity-related instruments, bonds and other debt instruments, money markets instruments and currencies. The fund may also, for a short period of time, invest directly or via UCITS or UCIs, into such underlying securities.

Fund Information

General Information

NHX CategoryDiversified
NHX CountryDenmark
Legal StructureAlternative Investment Fund
Fund DomicileLuxembourg
Minimum Investment1,000 EUR
AUM496M EUR
Inception DateJun 2018
Management Fee1.00%
Performance Fee20.00%
SFDR Classification -

Company Information

CompanyDanske Bank
AddressBernstorffsgade 40
København V, 1577
Phone+45 3914 9776
E-mail[email protected]
Websitewww.danskehedge.com
Social Media

Monthly Performance

  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2024 1.83 1.43 0.72 -0.04 2.10 0.86 -0.05 -0.03 0.82 7.86
2023 1.23 -1.83 1.19 2.40 -0.11 2.11 0.41 0.63 1.40 1.09 2.13 -0.70 10.32
2022 -2.97 0.22 1.09 -1.21 -1.32 2.94 0.74 0.03 0.98 -0.48 -0.92 0.33 -0.71
2021 -2.09 2.28 3.64 1.60 0.68 0.85 -0.62 -0.29 0.74 1.34 -0.64 0.40 8.05
2020 1.16 -1.32 -1.77 1.92 0.16 1.63 0.51 0.87 0.54 -0.07 1.19 1.13 6.04
2019 -0.60 0.60 1.23 0.18 0.51 -0.09 0.01 -1.27 0.02 1.24 2.25 -0.82 3.26
2018 -1.79 -0.06 1.64 -0.13 -3.24 -1.32 0.48 -4.41

Portfolio Managers

     
No data filled

Return Statistics

Last Month Return 0.82%
3 Month Return 0.73%
Year to Date Return 7.86%
12 Month Return 10.58%
36 Month Return 19.45%
Total Return Annualized 4.68%
Winning Months (%) 64.47%
Average Winning Month 1.13%
Average Losing Month -0.96%
Total Return Cumulative 33.62%

Risk Statistics (12M)

1 Year
Sharpe Ratio3.32
Sortino Ratio14.35
Sterling0.99
Calmar15.11
Skewness-0.09
Kurtosis-0.45
Maximum Drawdown-0.70%
Correlation vs S&P 5000.43
Annualized Volatility3.06%
Annualized Down. Deviation0.99%

Risk/Return Comparison

Monthly Returns

Performance (VAMI)

Distribution of Monthly Returns

12 MONTH ROLLING ROR Return

Drawdown Report

No. Depth (%) Length (Months) Recovery (Months) Start date End date
Fund Index Fund Index Fund Index Fund Index Fund Index
1 -4.99% 8 17 06/2018 06/2020
2 -4.41% 7 4 11/2021 09/2022
3 -2.09% 1 1 01/2021 02/2021
4 -1.83% 1 2 02/2023 04/2023
5 -1.40% 2 2 10/2022 01/2023

Drawdown

Up Capture vs. NHX Composite

Down Capture vs. NHX Composite

Time Window Analysis

3 Months6 Months1 Year2 Years3 Years
Avg. Monthly Return0.24%0.61%0.84%0.68%0.49%
% Positive33.33%50.00%66.67%66.67%66.67%
Avg. Pos. Period0.82%1.26%1.37%1.29%1.18%
Avg. Neg. Period-0.04%-0.04%-0.21%-0.52%-0.86%
Sharpe Ratio2.092.733.322.251.41
Sortino Ratio23.9670.9914.355.212.47
Monthly Volatility0.40%0.77%0.88%1.06%1.23%

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 3.64%-3.24%0.39%0.51%0.81%64.47%
3 Months 7.70%-4.64%1.23%1.39%0.73%72.97%
6 Months 8.68%-4.87%2.54%2.46%3.69%78.87%
1 Year 14.66%-3.66%5.43%5.29%10.58%83.08%
2 Years 21.37%-1.20%10.70%10.76%17.72%98.11%
3 Years 23.10%11.12%16.47%16.96%19.45%100.00%
5 Years 39.00%15.50%29.50%32.77%39.00%100.00%

Volatility (12 Months Rolling)

CORRELATION (12 MONTH ROLLING)

AUM (EUR)

Disclaimer

This information is intended for institutional investors only. All data including performance numbers have been supplied by the respective managers and funds. 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 fund’s risk disclosure document. There may be funds which have chosen not to be listed in the HedgeNordic database and the NHX that may have better or worse performance than those in our database.

The risk of loss in investing in hedge funds 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.

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Data and information is provided for informational purposes only. Past performance is not necessarily indicative of future results.

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