CABA Capital A/S

CABA Hedge

Strategy Description

The strategy of CABA Hedge KL is utilizing the spread between mortgage/covered bonds and sovereign bonds. Financial leverage and hedging are used to produce an excess return on the bond market. CABA Hedge KL invests in Scandinavian sovereign and mortgage/covered bonds but can use German sovereign bonds, swaps, and derivatives for leverage and as hedging instruments. CABA Hedge KL has an absolute return target of 5-6% per annum over a 5-year period. Duration and interest rate risk is hedged, and the return is low correlated with fixed income and equity returns. With low volatility and limited drawdowns, the risk is particularly associated with large sudden moves in the credit structure due to unexpected events.

Fund Information

General Information

NHX CategoryFixed Income
NHX CountryDenmark
Legal StructureFund
Fund DomicileDenmark
Minimum Investment00 DKK
AUM1,046M DKK
Inception DateJul 2017
Management Fee1.00%
Performance Fee15.00%

Company Information

CompanyCABA Capital A/S
PrincipalCarsten Bach
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 1.98 4.83 1.67 8.69
2023 1.22 4.01 -5.94 3.18 -4.75 1.97 3.09 2.59 0.75 -1.35 4.52 3.32 12.65
2022 -4.10 -5.20 3.53 -0.93 -3.95 0.11 -6.00 1.78 -9.88 5.93 3.65 5.09 -10.79
2021 0.28 -3.73 0.47 -1.56 -3.07 0.81 0.28 -2.63 -4.15 -1.05 -1.33 4.66 -10.77
2020 0.18 0.66 5.64 0.42 1.14 1.27 1.16 1.26 0.33 -0.55 -0.16 0.97 12.89
2019 -0.47 2.80 0.10 0.05 0.13 0.44 0.21 1.14 -1.77 0.53 -0.77 1.39 3.77
2018 0.49 -3.56 3.50 -0.56 -0.51 0.62 0.27 -0.08 1.43 -1.48 -0.97 1.00 -0.01
2017 -0.15 0.70 2.67 -0.32 0.91 0.09 3.93

Portfolio Managers

Carsten Bach (pictured left), 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 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.

Family of Funds

Company Programs
CABA Flex

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 -31.21% 20 0 02/2021 -
2 -3.56% 1 7 02/2018 09/2018
3 -2.44% 2 3 10/2018 02/2019
4 -2.01% 3 3 09/2019 02/2020
5 -0.71% 2 1 10/2020 12/2020

Drawdown

Up Capture vs. NHX Composite

Down Capture vs. NHX Composite

Time Window Analysis

3 Months6 Months1 Year2 Years3 Years
Avg. Monthly Return2.82%2.47%1.78%0.62%0.01%
% Positive100.00%83.33%83.33%70.83%58.33%
Avg. Pos. Period2.83%3.26%2.79%2.92%2.81%
Avg. Neg. Period - -1.35%-3.05%-4.69%-3.73%
Sharpe Ratio6.884.152.480.610.08
Sortino Ratio0.0015.554.340.730.02
Monthly Volatility1.42%2.08%2.53%4.01%3.78%

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 5.93%-9.88%0.25%0.42%1.67%64.20%
3 Months 15.38%-13.78%0.66%0.38%8.69%56.96%
6 Months 15.79%-17.86%0.88%0.68%15.79%59.21%
1 Year 23.65%-21.00%0.84%2.76%23.65%60.00%
2 Years 18.17%-30.84%-0.74%2.30%16.05%56.90%
3 Years 20.38%-21.23%-1.66%-4.40%0.48%45.65%
5 Years 11.48%-18.65%-3.51%-4.61%11.48%27.27%

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

The strategy of CABA Hedge KL is utilizing the spread between mortgage/covered bonds and sovereign bonds. Financial leverage and hedging are used to produce an excess return on the bond market. CABA Hedge KL invests in Scandinavian sovereign and mortgage/covered bonds but can use German sovereign bonds, swaps, and derivatives for leverage and as hedging instruments. CABA Hedge KL has an absolute return target of 5-6% per annum over a 5-year period. Duration and interest rate risk is hedged, and the return is low correlated with fixed income and equity returns. With low volatility and limited drawdowns, the risk is particularly associated with large sudden moves in the credit structure due to unexpected events.

Fund Information

General Information

NHX CategoryFixed Income
NHX CountryDenmark
Legal StructureFund
Fund DomicileDenmark
Minimum Investment00 DKK
AUM1,046M DKK
Inception DateJul 2017
Management Fee1.00%
Performance Fee15.00%

Company Information

CompanyCABA Capital A/S
PrincipalCarsten Bach
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 1.98 4.83 1.67 8.69
2023 1.22 4.01 -5.94 3.18 -4.75 1.97 3.09 2.59 0.75 -1.35 4.52 3.32 12.65
2022 -4.10 -5.20 3.53 -0.93 -3.95 0.11 -6.00 1.78 -9.88 5.93 3.65 5.09 -10.79
2021 0.28 -3.73 0.47 -1.56 -3.07 0.81 0.28 -2.63 -4.15 -1.05 -1.33 4.66 -10.77
2020 0.18 0.66 5.64 0.42 1.14 1.27 1.16 1.26 0.33 -0.55 -0.16 0.97 12.89
2019 -0.47 2.80 0.10 0.05 0.13 0.44 0.21 1.14 -1.77 0.53 -0.77 1.39 3.77
2018 0.49 -3.56 3.50 -0.56 -0.51 0.62 0.27 -0.08 1.43 -1.48 -0.97 1.00 -0.01
2017 -0.15 0.70 2.67 -0.32 0.91 0.09 3.93

Portfolio Managers

Carsten Bach (pictured left), 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 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.

Family of Funds

Company Programs
CABA Flex

Return Statistics

Last Month Return 1.67%
3 Month Return 8.69%
Year to Date Return 8.69%
12 Month Return 23.65%
36 Month Return 0.48%
Total Return Annualized 2.57%
Winning Months (%) 64.20%
Average Winning Month 1.75%
Average Losing Month -2.45%
Total Return Cumulative 18.65%

Risk Statistics (12M)

1 Year
Sharpe Ratio2.48
Sortino Ratio4.34
Sterling1.60
Calmar4.98
Skewness-1.74
Kurtosis4.02
Maximum Drawdown-4.75%
Correlation vs S&P 5000.54
Annualized Volatility8.78%
Annualized Down. Deviation5.89%

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 -31.21% 20 0 02/2021 -
2 -3.56% 1 7 02/2018 09/2018
3 -2.44% 2 3 10/2018 02/2019
4 -2.01% 3 3 09/2019 02/2020
5 -0.71% 2 1 10/2020 12/2020

Drawdown

Up Capture vs. NHX Composite

Down Capture vs. NHX Composite

Time Window Analysis

3 Months6 Months1 Year2 Years3 Years
Avg. Monthly Return2.82%2.47%1.78%0.62%0.01%
% Positive100.00%83.33%83.33%70.83%58.33%
Avg. Pos. Period2.83%3.26%2.79%2.92%2.81%
Avg. Neg. Period - -1.35%-3.05%-4.69%-3.73%
Sharpe Ratio6.884.152.480.610.08
Sortino Ratio0.0015.554.340.730.02
Monthly Volatility1.42%2.08%2.53%4.01%3.78%

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 5.93%-9.88%0.25%0.42%1.67%64.20%
3 Months 15.38%-13.78%0.66%0.38%8.69%56.96%
6 Months 15.79%-17.86%0.88%0.68%15.79%59.21%
1 Year 23.65%-21.00%0.84%2.76%23.65%60.00%
2 Years 18.17%-30.84%-0.74%2.30%16.05%56.90%
3 Years 20.38%-21.23%-1.66%-4.40%0.48%45.65%
5 Years 11.48%-18.65%-3.51%-4.61%11.48%27.27%

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.