Carneo Systematic Alpha

Optimized Portfolio Management Stockholm AB

Strategy Description

CARAM Systematic Alpha is a fund of funds investing in international hedge funds. The fund restricts its investments to hedge funds that are expected to show low systematic correlations with the stock and bond markets and is designed for institutional investors as an alternative to bonds. The fund is managed with a target standard deviation of 3-5% and a correlation to MSCI World within the range of -0.2 to +0.2. The fund is offered in SEK and uses currency forwards to hedge currency risk.

Fund Information

General Information

NHX CategoryMulti-Manager
NHX CountrySweden
Legal StructureSwedish Special Fund
Fund DomicileSweden
Minimum Investment1,000,000 SEK
AUM800M SEK
Inception DateApr 2008
Management Fee1.00%
Performance Fee10.00%
SFDR Classification -

Company Information

CompanyOptimized Portfolio Management Stockholm AB
AddressKungsgatan 4a
Stockholm, 111 43
Phone+46852463660
E-mail[email protected]
Websitewww.optimized.se
Social Media

Monthly Performance

  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2020 2.61 -1.34 -0.50 -0.82 -0.98 -1.27 -0.30 -0.17 -0.06 -2.85
2019 -0.80 -0.66 2.82 1.02 -4.31 -0.17 -0.90 0.86 -0.28 0.21 0.05 -0.09 -2.38
2018 0.80 -3.92 -0.08 0.73 -1.99 -0.71 0.86 1.01 -1.22 0.09 -1.50 1.54 -4.44
2017 0.55 0.25 0.44 0.15 0.64 -1.03 0.85 1.48 0.00 2.15 -0.60 -0.79 4.12
2016 -0.64 -2.93 -0.76 -0.59 0.80 -0.93 0.60 0.01 0.09 0.06 -0.95 -0.09 -5.25
2015 1.91 0.64 0.84 -1.07 1.46 -0.66 1.35 -1.15 0.30 -0.99 1.01 0.49 4.14
2014 -0.10 0.65 -1.35 -1.05 0.68 0.51 0.24 1.24 1.81 -0.85 2.10 0.18 4.07
2013 0.61 0.39 0.26 1.31 -0.64 -2.23 0.19 -0.81 0.42 1.81 1.29 1.22 3.82
2012 1.55 0.83 -0.92 -0.30 0.99 -1.47 1.15 0.39 -0.07 -1.76 0.18 1.40 1.92
2011 0.35 0.69 -0.53 0.68 -1.47 -1.22 0.32 -0.48 0.68 -0.03 0.21 -0.20 -1.02
2010 -0.44 0.99 0.83 0.40 -0.01 -0.49 -0.26 0.52 0.21 0.88 -0.66 0.92 2.91
2009 1.76 -0.15 0.32 0.49 1.00 -0.26 0.77 1.02 0.90 0.23 0.21 -0.75 5.66
2008 0.44 1.56 1.32 -1.17 -0.29 -4.12 -1.75 -0.80 0.52 -4.33

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 -10.90% 62 0 08/2015 -
2 -7.91% 5 23 07/2008 10/2010
3 -3.46% 4 4 05/2013 12/2013
4 -2.83% 4 6 05/2011 02/2012
5 -2.39% 2 4 03/2014 08/2014

Drawdown

Up Capture vs. NHX Composite

Down Capture vs. NHX Composite

Time Window Analysis

3 Months6 Months1 Year2 Years3 Years
Avg. Monthly Return-0.18%-0.60%-0.23%-0.22%-0.25%
% Positive0.00%0.00%25.00%33.33%36.11%
Avg. Pos. Period - - 0.96%1.15%1.13%
Avg. Neg. Period-0.18%-0.60%-0.61%-0.88%-1.02%
Sharpe Ratio-6.24-4.63-0.78-0.52-0.58
Sortino Ratio-3.03-2.78-1.17-0.69-0.74
Monthly Volatility0.10%0.45%0.99%1.39%1.44%

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 2.82%-4.31%0.04%0.18%-0.06%55.33%
3 Months 4.38%-6.55%0.12%0.44%-0.53%56.76%
6 Months 6.53%-7.43%0.23%0.50%-3.55%56.55%
1 Year 9.33%-6.63%0.81%0.65%-2.68%61.15%
2 Years 13.09%-7.96%1.84%1.61%-5.06%63.78%
3 Years 13.54%-8.70%3.11%4.04%-8.70%72.17%
5 Years 16.05%-10.70%6.46%8.54%-10.14%83.52%

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

CARAM Systematic Alpha is a fund of funds investing in international hedge funds. The fund restricts its investments to hedge funds that are expected to show low systematic correlations with the stock and bond markets and is designed for institutional investors as an alternative to bonds. The fund is managed with a target standard deviation of 3-5% and a correlation to MSCI World within the range of -0.2 to +0.2. The fund is offered in SEK and uses currency forwards to hedge currency risk.

Annual Performance

Fund Information

General Information

NHX CategoryMulti-Manager
NHX CountrySweden
Legal StructureSwedish Special Fund
Fund DomicileSweden
Minimum Investment1,000,000 SEK
AUM800M SEK
Inception DateApr 2008
Management Fee1.00%
Performance Fee10.00%
SFDR Classification -

Company Information

CompanyOptimized Portfolio Management Stockholm AB
AddressKungsgatan 4a
Stockholm, 111 43
Phone+46852463660
E-mail[email protected]
Websitewww.optimized.se
Social Media

Portfolio Managers

No data filled

Monthly Performance

  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2020 2.61 -1.34 -0.50 -0.82 -0.98 -1.27 -0.30 -0.17 -0.06 -2.85
2019 -0.80 -0.66 2.82 1.02 -4.31 -0.17 -0.90 0.86 -0.28 0.21 0.05 -0.09 -2.38
2018 0.80 -3.92 -0.08 0.73 -1.99 -0.71 0.86 1.01 -1.22 0.09 -1.50 1.54 -4.44
2017 0.55 0.25 0.44 0.15 0.64 -1.03 0.85 1.48 0.00 2.15 -0.60 -0.79 4.12
2016 -0.64 -2.93 -0.76 -0.59 0.80 -0.93 0.60 0.01 0.09 0.06 -0.95 -0.09 -5.25
2015 1.91 0.64 0.84 -1.07 1.46 -0.66 1.35 -1.15 0.30 -0.99 1.01 0.49 4.14
2014 -0.10 0.65 -1.35 -1.05 0.68 0.51 0.24 1.24 1.81 -0.85 2.10 0.18 4.07
2013 0.61 0.39 0.26 1.31 -0.64 -2.23 0.19 -0.81 0.42 1.81 1.29 1.22 3.82
2012 1.55 0.83 -0.92 -0.30 0.99 -1.47 1.15 0.39 -0.07 -1.76 0.18 1.40 1.92
2011 0.35 0.69 -0.53 0.68 -1.47 -1.22 0.32 -0.48 0.68 -0.03 0.21 -0.20 -1.02
2010 -0.44 0.99 0.83 0.40 -0.01 -0.49 -0.26 0.52 0.21 0.88 -0.66 0.92 2.91
2009 1.76 -0.15 0.32 0.49 1.00 -0.26 0.77 1.02 0.90 0.23 0.21 -0.75 5.66
2008 0.44 1.56 1.32 -1.17 -0.29 -4.12 -1.75 -0.80 0.52 -4.33

Return Statistics

Last Month Return -
3 Month Return -0.53%
Year to Date Return -2.85%
12 Month Return -2.68%
36 Month Return -8.70%
Total Return Annualized 0.43%
Winning Months (%) 55.33%
Average Winning Month 0.82%
Average Losing Month -0.94%
Total Return Cumulative 5.57%

Risk Statistics (12M)

1 Year
Sharpe Ratio-0.78
Sortino Ratio-1.17
Sterling-0.18
Calmar-0.50
Skewness2.22
Kurtosis7.18
Maximum Drawdown-5.32%
Correlation vs S&P 5000.01
Annualized Volatility3.42%
Annualized Down. Deviation1.64%

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 -10.90% 62 0 08/2015 -
2 -7.91% 5 23 07/2008 10/2010
3 -3.46% 4 4 05/2013 12/2013
4 -2.83% 4 6 05/2011 02/2012
5 -2.39% 2 4 03/2014 08/2014

Drawdown

Up Capture vs. NHX Composite

Down Capture vs. NHX Composite

Time Window Analysis

3 Months6 Months1 Year2 Years3 Years
Avg. Monthly Return-0.18%-0.60%-0.23%-0.22%-0.25%
% Positive0.00%0.00%25.00%33.33%36.11%
Avg. Pos. Period - - 0.96%1.15%1.13%
Avg. Neg. Period-0.18%-0.60%-0.61%-0.88%-1.02%
Sharpe Ratio-6.24-4.63-0.78-0.52-0.58
Sortino Ratio-3.03-2.78-1.17-0.69-0.74
Monthly Volatility0.10%0.45%0.99%1.39%1.44%

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 2.82%-4.31%0.04%0.18%-0.06%55.33%
3 Months 4.38%-6.55%0.12%0.44%-0.53%56.76%
6 Months 6.53%-7.43%0.23%0.50%-3.55%56.55%
1 Year 9.33%-6.63%0.81%0.65%-2.68%61.15%
2 Years 13.09%-7.96%1.84%1.61%-5.06%63.78%
3 Years 13.54%-8.70%3.11%4.04%-8.70%72.17%
5 Years 16.05%-10.70%6.46%8.54%-10.14%83.52%

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.