CABA Flex

CABA Capital A/S

Strategy Description

CABA Flex invests in government and mortgage bonds, and bonds with equivalent security, including specially covered mortgage bonds. The interest rate risk is hedged with swaps or government bonds in local currency. Returns are generated by capitalizing on the interest rate differential (spread) between Scandinavian mortgage and government bonds. CABA Flex has an investment horizon of 3 years after which returns are realized and the fund is liquidated. At the time of investment CABA Flex will be leveraged 15 times via repo facilities in DKK, SEK, NOK, EUR as well as Danish, Swedish and Norwegian bonds. Depending on spread development leverage can reach a maximum of 25 times.

Fund Information

General Information

NHX CategoryFixed Income
NHX CountryDenmark
Legal StructureAlternative Investment Fund
Fund DomicileDenmark
Minimum InvestmentEUR 100,000
AUM448M DKK
Inception DateDec 2022
Management Fee1.00%
Performance Fee15% over 3% Hurdle Rate
SFDR Classification -

Company Information

CompanyCABA Capital A/S
Investor RelationsMette Østerbye Vejen
AddressToldbodgade 55B
Copenhagen K, 1253
Phone+45 24266878
E-mail[email protected]
Websitewww.cabacapital.dk
Social Media

Monthly Performance

  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2024 -0.34 3.64 2.25 -0.41 2.74 -0.98 1.34 0.98 1.53 -0.50 -0.48 10.10
2023 1.86 2.04 -1.88 4.19 -4.76 3.24 1.06 2.29 4.79 -2.14 4.50 1.35 17.32
2022 3.32 3.32

Portfolio Managers

 
Carsten Bach (center), Chief Investment Officer at CABA Capital, has more than 30 years of experience from the financial sector, primarily focusing on portfolio management within bonds. Bach worked at Danske Bank since 1993, when he started at Realkredit Danmark as a portfolio manager focused on Danish bonds. He then became head of funds with responsibility for equity and bond investments, issuance of bonds and the analysis function. In 2001, Bach moved to Danske Bank’s Finance Department as department director for Proprietary Trading of global mortgage bonds, and subsequently also for equity and currency positions. In 2008, Bach was appointed as Head of Treasury Investment Management, with his department responsible for the management of more than DKK 200 billion. Most recently, Bach headed the Investment Management department at Danske Bank.

Senior Hedge Fund Manager Jørgen Ole Jørgensen (left) has more than 30 years of experience from the financial sector. Jørgensen worked for Asgard Asset Management as Senior Portfolio Manager from 2015-2022. Before that he was responsible for Derivatives Trading at SEB in Copenhagen. From 1999 to 2008, Jørgensen was Proprietary Trader and Head of Proprietary Trading at Handelsbanken in Stockholm and Nykredit in Copenhagen, respectively.

Kristian Myrup Pedersen (right), Fixed Income Quant at CABA Capital, has more than 15 years of experience in the investment industry, with a focus on fixed income securities and derivatives. He has held various roles such as analyst, portfolio manager, and product manager at different financial companies. Additionally, he has also worked as an external lecturer at the Department of Finance at Copenhagen Business School.

Family of Funds

Company Programs
CABA Hedge - CABA Flex2

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 -4.76% 1 3 05/2023 08/2023
2 -2.14% 1 1 10/2023 11/2023
3 -1.88% 1 1 03/2023 04/2023
4 -0.98% 2 0 10/2024 -
5 -0.98% 1 1 06/2024 07/2024

Drawdown

Up Capture vs. NHX Composite

Down Capture vs. NHX Composite

Time Window Analysis

3 Months6 Months1 Year2 Years3 Years
Avg. Monthly Return0.18%0.31%0.92%1.21% -
% Positive33.33%50.00%58.33%66.67% -
Avg. Pos. Period1.53%1.28%1.98%2.57% -
Avg. Neg. Period-0.49%-0.65%-0.54%-1.43% -
Sharpe Ratio0.671.102.271.88 -
Sortino Ratio1.552.208.413.61 -
Monthly Volatility0.95%0.99%1.42%2.28% -

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 4.79%-4.76%1.24%1.44%-0.48%66.67%
3 Months 8.33%-2.63%3.72%4.11%0.54%90.91%
6 Months 14.37%1.88%7.69%7.01%1.88%100.00%
1 Year 25.27%11.59%18.06%17.32%11.59%100.00%
2 Years 33.46%33.46%33.46%33.46%33.46%100.00%
3 Years ------
5 Years ------

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

CABA Flex invests in government and mortgage bonds, and bonds with equivalent security, including specially covered mortgage bonds. The interest rate risk is hedged with swaps or government bonds in local currency. Returns are generated by capitalizing on the interest rate differential (spread) between Scandinavian mortgage and government bonds. CABA Flex has an investment horizon of 3 years after which returns are realized and the fund is liquidated. At the time of investment CABA Flex will be leveraged 15 times via repo facilities in DKK, SEK, NOK, EUR as well as Danish, Swedish and Norwegian bonds. Depending on spread development leverage can reach a maximum of 25 times.

Fund Information

General Information

NHX CategoryFixed Income
NHX CountryDenmark
Legal StructureAlternative Investment Fund
Fund DomicileDenmark
Minimum InvestmentEUR 100,000
AUM448M DKK
Inception DateDec 2022
Management Fee1.00%
Performance Fee15% over 3% Hurdle Rate
SFDR Classification -

Company Information

CompanyCABA Capital A/S
Investor RelationsMette Østerbye Vejen
AddressToldbodgade 55B
Copenhagen K, 1253
Phone+45 24266878
E-mail[email protected]
Websitewww.cabacapital.dk
Social Media

Monthly Performance

  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2024 -0.34 3.64 2.25 -0.41 2.74 -0.98 1.34 0.98 1.53 -0.50 -0.48 10.10
2023 1.86 2.04 -1.88 4.19 -4.76 3.24 1.06 2.29 4.79 -2.14 4.50 1.35 17.32
2022 3.32 3.32

Portfolio Managers

 
Carsten Bach (center), Chief Investment Officer at CABA Capital, has more than 30 years of experience from the financial sector, primarily focusing on portfolio management within bonds. Bach worked at Danske Bank since 1993, when he started at Realkredit Danmark as a portfolio manager focused on Danish bonds. He then became head of funds with responsibility for equity and bond investments, issuance of bonds and the analysis function. In 2001, Bach moved to Danske Bank’s Finance Department as department director for Proprietary Trading of global mortgage bonds, and subsequently also for equity and currency positions. In 2008, Bach was appointed as Head of Treasury Investment Management, with his department responsible for the management of more than DKK 200 billion. Most recently, Bach headed the Investment Management department at Danske Bank.

Senior Hedge Fund Manager Jørgen Ole Jørgensen (left) has more than 30 years of experience from the financial sector. Jørgensen worked for Asgard Asset Management as Senior Portfolio Manager from 2015-2022. Before that he was responsible for Derivatives Trading at SEB in Copenhagen. From 1999 to 2008, Jørgensen was Proprietary Trader and Head of Proprietary Trading at Handelsbanken in Stockholm and Nykredit in Copenhagen, respectively.

Kristian Myrup Pedersen (right), Fixed Income Quant at CABA Capital, has more than 15 years of experience in the investment industry, with a focus on fixed income securities and derivatives. He has held various roles such as analyst, portfolio manager, and product manager at different financial companies. Additionally, he has also worked as an external lecturer at the Department of Finance at Copenhagen Business School.

Family of Funds

Company Programs
CABA Hedge - CABA Flex2

Return Statistics

Last Month Return -0.48%
3 Month Return 0.54%
Year to Date Return 10.10%
12 Month Return 11.59%
36 Month Return -
Total Return Annualized 15.52%
Winning Months (%) 66.67%
Average Winning Month 2.57%
Average Losing Month -1.43%
Total Return Cumulative 33.46%

Risk Statistics (12M)

1 Year
Sharpe Ratio2.27
Sortino Ratio8.41
Sterling1.06
Calmar11.86
Skewness0.44
Kurtosis-0.33
Maximum Drawdown-0.98%
Correlation vs S&P 5000.46
Annualized Volatility4.91%
Annualized Down. Deviation0.78%

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 -4.76% 1 3 05/2023 08/2023
2 -2.14% 1 1 10/2023 11/2023
3 -1.88% 1 1 03/2023 04/2023
4 -0.98% 2 0 10/2024 -
5 -0.98% 1 1 06/2024 07/2024

Drawdown

Up Capture vs. NHX Composite

Down Capture vs. NHX Composite

Time Window Analysis

3 Months6 Months1 Year2 Years3 Years
Avg. Monthly Return0.18%0.31%0.92%1.21% -
% Positive33.33%50.00%58.33%66.67% -
Avg. Pos. Period1.53%1.28%1.98%2.57% -
Avg. Neg. Period-0.49%-0.65%-0.54%-1.43% -
Sharpe Ratio0.671.102.271.88 -
Sortino Ratio1.552.208.413.61 -
Monthly Volatility0.95%0.99%1.42%2.28% -

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 4.79%-4.76%1.24%1.44%-0.48%66.67%
3 Months 8.33%-2.63%3.72%4.11%0.54%90.91%
6 Months 14.37%1.88%7.69%7.01%1.88%100.00%
1 Year 25.27%11.59%18.06%17.32%11.59%100.00%
2 Years 33.46%33.46%33.46%33.46%33.46%100.00%
3 Years ------
5 Years ------

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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