Nykredit Asset Management

Nykredit KOBRA Hedge Fund

Strategy Description

Nykredit KOBRA 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 returns 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 invests in mortgage bonds with a time to maturity up to 5 years. Nykredit KOBRA 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.

Fund Information

General Information

NHX CategoryFixed Income
NHX CountryDenmark
Legal StructureOpen Ended Investment Fund
Fund DomicileDenmark
Minimum Investment00 DKK
AUM782M DKK
Inception DateMar 2013
Management Fee1.05%
Performance Fee20.00%

Company Information

CompanyNykredit Asset Management
PrincipalNicolai Kjer Rasmussen
AddressUnder Krystallen 1
Copenhagen, 1780
Phone+45-44552899
E-mail[email protected]
Websiteformue.nykredit.dk/en-gb/AssetManagementUK/hedge-funds/
Social Media

Monthly Performance

  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2023 1.45 2.77 -3.03 2.00 -1.93 0.39 2.96 2.54 2.02 -0.09 0.09 2.02 11.56
2022 -0.80 -1.33 -3.10 2.17 -2.24 -3.77 0.73 0.05 -4.47 3.61 5.73 1.31 -2.58
2021 0.11 -2.69 0.23 1.54 -0.43 1.58 0.79 -0.62 -1.17 1.19 0.12 1.21 1.79
2020 0.09 -0.01 -6.53 3.07 1.93 0.39 1.21 1.37 -0.28 0.10 0.72 -0.36 1.41
2019 -0.49 1.44 0.31 1.09 0.37 -0.33 -0.23 0.54 -0.64 0.51 -1.06 -0.79 0.69
2018 1.00 -0.62 0.46 0.81 0.60 -0.05 0.10 0.10 0.59 -0.38 -0.78 -0.22 1.61
2017 1.77 1.47 0.75 0.66 0.83 1.01 0.51 0.48 0.11 0.15 0.40 0.13 8.57
2016 -0.37 -0.18 1.72 1.46 2.25 0.94 1.10 1.60 0.85 0.63 0.30 0.53 11.34
2015 0.55 2.25 0.45 1.15 -0.27 -1.20 0.97 -0.23 -2.01 0.74 1.44 0.70 4.55
2014 0.77 0.34 1.11 0.83 0.30 0.57 0.83 0.56 1.58 0.49 -0.52 -2.14 4.78
2013 0.46 1.82 1.39 0.14 0.67 0.03 0.76 1.00 1.39 0.25 8.17

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 -12.22% 9 5 01/2022 02/2023
2 -8.31% 10 16 06/2019 07/2021
3 -3.03% 1 4 03/2023 07/2023
4 -2.74% 5 3 05/2015 12/2015
5 -2.64% 2 2 11/2014 02/2015

Drawdown

Up Capture vs. NHX Composite

Down Capture vs. NHX Composite

Time Window Analysis

3 Months6 Months1 Year2 Years3 Years
Avg. Monthly Return0.67%1.59%0.92%0.35%0.28%
% Positive66.67%83.33%75.00%62.50%63.89%
Avg. Pos. Period1.06%1.93%1.80%1.99%1.59%
Avg. Neg. Period-0.09%-0.09%-1.69%-2.31%-1.97%
Sharpe Ratio2.454.711.770.520.49
Sortino Ratio44.72149.443.050.740.68
Monthly Volatility0.96%1.17%1.82%2.51%2.16%

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 5.73%-6.53%0.39%0.51%2.02%72.31%
3 Months 10.98%-6.44%1.15%1.33%2.03%72.66%
6 Months 12.19%-8.83%2.23%2.18%9.90%76.00%
1 Year 21.35%-10.00%4.20%3.62%11.56%79.83%
2 Years 23.56%-10.24%7.53%7.75%8.67%80.37%
3 Years 28.14%-10.61%11.96%10.62%10.62%88.42%
5 Years 43.76%-6.68%20.12%21.14%12.94%92.96%

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

Nykredit KOBRA 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 returns 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 invests in mortgage bonds with a time to maturity up to 5 years. Nykredit KOBRA 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.

Fund Information

General Information

NHX CategoryFixed Income
NHX CountryDenmark
Legal StructureOpen Ended Investment Fund
Fund DomicileDenmark
Minimum Investment00 DKK
AUM782M DKK
Inception DateMar 2013
Management Fee1.05%
Performance Fee20.00%

Company Information

CompanyNykredit Asset Management
PrincipalNicolai Kjer Rasmussen
AddressUnder Krystallen 1
Copenhagen, 1780
Phone+45-44552899
E-mail[email protected]
Websiteformue.nykredit.dk/en-gb/AssetManagementUK/hedge-funds/
Social Media

Monthly Performance

  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2023 1.45 2.77 -3.03 2.00 -1.93 0.39 2.96 2.54 2.02 -0.09 0.09 2.02 11.56
2022 -0.80 -1.33 -3.10 2.17 -2.24 -3.77 0.73 0.05 -4.47 3.61 5.73 1.31 -2.58
2021 0.11 -2.69 0.23 1.54 -0.43 1.58 0.79 -0.62 -1.17 1.19 0.12 1.21 1.79
2020 0.09 -0.01 -6.53 3.07 1.93 0.39 1.21 1.37 -0.28 0.10 0.72 -0.36 1.41
2019 -0.49 1.44 0.31 1.09 0.37 -0.33 -0.23 0.54 -0.64 0.51 -1.06 -0.79 0.69
2018 1.00 -0.62 0.46 0.81 0.60 -0.05 0.10 0.10 0.59 -0.38 -0.78 -0.22 1.61
2017 1.77 1.47 0.75 0.66 0.83 1.01 0.51 0.48 0.11 0.15 0.40 0.13 8.57
2016 -0.37 -0.18 1.72 1.46 2.25 0.94 1.10 1.60 0.85 0.63 0.30 0.53 11.34
2015 0.55 2.25 0.45 1.15 -0.27 -1.20 0.97 -0.23 -2.01 0.74 1.44 0.70 4.55
2014 0.77 0.34 1.11 0.83 0.30 0.57 0.83 0.56 1.58 0.49 -0.52 -2.14 4.78
2013 0.46 1.82 1.39 0.14 0.67 0.03 0.76 1.00 1.39 0.25 8.17

Portfolio Managers

 
No data filled

Return Statistics

Last Month Return -
3 Month Return 2.03%
Year to Date Return 11.56%
12 Month Return 11.56%
36 Month Return 10.62%
Total Return Annualized 4.69%
Winning Months (%) 72.31%
Average Winning Month 1.03%
Average Losing Month -1.26%
Total Return Cumulative 64.37%

Risk Statistics (12M)

1 Year
Sharpe Ratio1.77
Sortino Ratio3.05
Sterling0.89
Calmar3.81
Skewness-1.17
Kurtosis1.05
Maximum Drawdown-3.03%
Correlation vs S&P 500-0.23
Annualized Volatility6.31%
Annualized Down. Deviation4.21%

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 -12.22% 9 5 01/2022 02/2023
2 -8.31% 10 16 06/2019 07/2021
3 -3.03% 1 4 03/2023 07/2023
4 -2.74% 5 3 05/2015 12/2015
5 -2.64% 2 2 11/2014 02/2015

Drawdown

Up Capture vs. NHX Composite

Down Capture vs. NHX Composite

Time Window Analysis

3 Months6 Months1 Year2 Years3 Years
Avg. Monthly Return0.67%1.59%0.92%0.35%0.28%
% Positive66.67%83.33%75.00%62.50%63.89%
Avg. Pos. Period1.06%1.93%1.80%1.99%1.59%
Avg. Neg. Period-0.09%-0.09%-1.69%-2.31%-1.97%
Sharpe Ratio2.454.711.770.520.49
Sortino Ratio44.72149.443.050.740.68
Monthly Volatility0.96%1.17%1.82%2.51%2.16%

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 5.73%-6.53%0.39%0.51%2.02%72.31%
3 Months 10.98%-6.44%1.15%1.33%2.03%72.66%
6 Months 12.19%-8.83%2.23%2.18%9.90%76.00%
1 Year 21.35%-10.00%4.20%3.62%11.56%79.83%
2 Years 23.56%-10.24%7.53%7.75%8.67%80.37%
3 Years 28.14%-10.61%11.96%10.62%10.62%88.42%
5 Years 43.76%-6.68%20.12%21.14%12.94%92.96%

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.