PPIM Core Fixed Income

Petersen & Partners Investment Management

Strategy Description

PPIM Core Fixed Income employs the AAA-Arbitrage strategy, which is an actively managed strategy long Nordic covered bonds (mortgage bonds) and short Nordic government bonds or swaps. Targeting only AAA-rated, ultra-liquid bonds and hedging out duration and currency risk, sensitivity to general movements in interest rates is very limited. Leveraging positive carry investments and harvesting positive term premia, PPIM Core Fixed Income targets strong positive returns with low volatility. Applying leverage of typically 10-15x and tight risk limits (typical OAS risk of 40-50) the strategy targets an annual return of Cibor3m plus 8 percent percent net of fees.

Fund Information

General Information

NHX CategoryFixed Income
NHX CountryDenmark
Legal StructureAlternative Investment Fund
Fund DomicileDenmark
Minimum Investment -
AUM -
Inception DateMay 2018
Management Fee -
Performance Fee -

Company Information

CompanyPetersen & Partners Investment Management
AddressFrydenlundsvej 30
Vedbæk, DK-2950
Phone+45 2135 3799
E-mail[email protected]
Websitewww.ppim.dk
Social Media

Monthly Performance

  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2024 0.28 3.68 1.94 -0.79 2.64 7.92
2023 1.72 -1.05 2.18 -0.80 -5.83 2.44 5.28 -0.17 5.04 1.19 6.36 3.51 21.04
2022 -9.98 -17.08 12.08 -6.20 2.70 0.57 10.59 -12.85 -21.25 43.56 9.08 0.38 -3.30
2021 -0.28 -7.22 0.17 -2.60 -8.01 8.22 3.04 -6.82 -9.75 1.86 -1.11 9.10 -14.43
2020 -0.50 -0.29 -7.58 2.14 3.09 1.34 2.13 2.21 1.22 -0.44 2.01 2.00 7.09
2019 2.51 2.54 3.00 -0.68 0.81 2.08 -0.16 0.06 1.11 -1.32 1.03 0.97 12.51
2018 -1.02 1.06 2.14 0.54 1.58 -1.43 -0.69 0.17 2.32

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 -47.36% 21 15 01/2021 12/2023
2 -8.31% 3 5 01/2020 08/2020
3 -2.11% 2 2 10/2018 01/2019
4 -1.32% 1 2 10/2019 12/2019
5 -1.02% 1 1 05/2018 06/2018

Drawdown

Up Capture vs. NHX Composite

Down Capture vs. NHX Composite

Time Window Analysis

3 Months6 Months1 Year2 Years3 Years
Avg. Monthly Return1.25%1.86%2.59%1.89%0.74%
% Positive66.67%83.33%83.33%70.83%63.89%
Avg. Pos. Period2.29%2.41%3.24%5.91%5.98%
Avg. Neg. Period-0.79%-0.79%-0.48%-6.11%-7.21%
Sharpe Ratio2.963.964.190.780.41
Sortino Ratio9.5120.0138.521.260.44
Monthly Volatility1.48%1.64%2.17%10.71%10.17%

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 43.56%-21.25%0.65%1.03%2.64%63.01%
3 Months 57.19%-24.10%1.66%2.17%3.80%66.20%
6 Months 61.66%-26.47%2.92%2.78%11.71%63.24%
1 Year 70.79%-32.39%4.24%6.10%35.97%62.90%
2 Years 63.03%-45.47%1.37%-3.20%56.74%46.00%
3 Years 30.18%-43.25%-6.13%-7.43%30.18%31.58%
5 Years 20.69%-0.97%11.16%12.93%20.16%92.86%

Volatility (12 Months Rolling)

CORRELATION (12 MONTH ROLLING)

AUM (EUR)

Chart not applicable - The program has no AUM data

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

PPIM Core Fixed Income employs the AAA-Arbitrage strategy, which is an actively managed strategy long Nordic covered bonds (mortgage bonds) and short Nordic government bonds or swaps. Targeting only AAA-rated, ultra-liquid bonds and hedging out duration and currency risk, sensitivity to general movements in interest rates is very limited. Leveraging positive carry investments and harvesting positive term premia, PPIM Core Fixed Income targets strong positive returns with low volatility. Applying leverage of typically 10-15x and tight risk limits (typical OAS risk of 40-50) the strategy targets an annual return of Cibor3m plus 8 percent percent net of fees.

Fund Information

General Information

NHX CategoryFixed Income
NHX CountryDenmark
Legal StructureAlternative Investment Fund
Fund DomicileDenmark
Minimum Investment -
AUM -
Inception DateMay 2018
Management Fee -
Performance Fee -

Company Information

CompanyPetersen & Partners Investment Management
AddressFrydenlundsvej 30
Vedbæk, DK-2950
Phone+45 2135 3799
E-mail[email protected]
Websitewww.ppim.dk
Social Media

Monthly Performance

  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2024 0.28 3.68 1.94 -0.79 2.64 7.92
2023 1.72 -1.05 2.18 -0.80 -5.83 2.44 5.28 -0.17 5.04 1.19 6.36 3.51 21.04
2022 -9.98 -17.08 12.08 -6.20 2.70 0.57 10.59 -12.85 -21.25 43.56 9.08 0.38 -3.30
2021 -0.28 -7.22 0.17 -2.60 -8.01 8.22 3.04 -6.82 -9.75 1.86 -1.11 9.10 -14.43
2020 -0.50 -0.29 -7.58 2.14 3.09 1.34 2.13 2.21 1.22 -0.44 2.01 2.00 7.09
2019 2.51 2.54 3.00 -0.68 0.81 2.08 -0.16 0.06 1.11 -1.32 1.03 0.97 12.51
2018 -1.02 1.06 2.14 0.54 1.58 -1.43 -0.69 0.17 2.32

Portfolio Managers

 
No data filled

Return Statistics

Last Month Return 2.64%
3 Month Return 3.80%
Year to Date Return 7.92%
12 Month Return 35.97%
36 Month Return 30.18%
Total Return Annualized 4.83%
Winning Months (%) 63.01%
Average Winning Month 3.77%
Average Losing Month -4.66%
Total Return Cumulative 33.27%

Risk Statistics (12M)

1 Year
Sharpe Ratio4.19
Sortino Ratio38.52
Sterling3.33
Calmar45.53
Skewness0.11
Kurtosis-0.36
Maximum Drawdown-0.79%
Correlation vs S&P 5000.50
Annualized Volatility7.50%
Annualized Down. Deviation1.07%

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 -47.36% 21 15 01/2021 12/2023
2 -8.31% 3 5 01/2020 08/2020
3 -2.11% 2 2 10/2018 01/2019
4 -1.32% 1 2 10/2019 12/2019
5 -1.02% 1 1 05/2018 06/2018

Drawdown

Up Capture vs. NHX Composite

Down Capture vs. NHX Composite

Time Window Analysis

3 Months6 Months1 Year2 Years3 Years
Avg. Monthly Return1.25%1.86%2.59%1.89%0.74%
% Positive66.67%83.33%83.33%70.83%63.89%
Avg. Pos. Period2.29%2.41%3.24%5.91%5.98%
Avg. Neg. Period-0.79%-0.79%-0.48%-6.11%-7.21%
Sharpe Ratio2.963.964.190.780.41
Sortino Ratio9.5120.0138.521.260.44
Monthly Volatility1.48%1.64%2.17%10.71%10.17%

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 43.56%-21.25%0.65%1.03%2.64%63.01%
3 Months 57.19%-24.10%1.66%2.17%3.80%66.20%
6 Months 61.66%-26.47%2.92%2.78%11.71%63.24%
1 Year 70.79%-32.39%4.24%6.10%35.97%62.90%
2 Years 63.03%-45.47%1.37%-3.20%56.74%46.00%
3 Years 30.18%-43.25%-6.13%-7.43%30.18%31.58%
5 Years 20.69%-0.97%11.16%12.93%20.16%92.86%

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.