Excalibur Asset Management AB

Excalibur Fixed Income

Strategy Description

Excalibur Fixed Income is a fixed-income hedge fund relying on fundamental macro analysis and quantitative analysis of the relative value of money market and credit instruments to generate investment ideas. The underlying portfolio consists of highly liquid and transparent fixed-income instruments that are supposed to function well in both good and bad times. Through these transparent derivatives, the fund positions for the increase or decrease of interest rate levels or changes in interest rate curves. The fund also takes relative value positions both on country and contract level. In order to avoid concentration and tail risks, positions are spread between different themes and strategies. Excalibur Fixed Income has an absolute return profile, meaning that it aims to contribute positively in rising or declining interest rates and equity markets.

Fund Information

General Information

NHX CategoryFixed Income
NHX CountrySweden
Legal StructureSwedish Special Fund
Fund DomicileSweden
Minimum Investment500,000 SEK
AUM870M SEK
Inception DateApr 2001
Management Fee1.00%
Performance Fee20.00%

Company Information

CompanyExcalibur Asset Management AB
PrincipalThomas Pohjanen
Investor RelationsLouise Möllander
AddressBirger Jarlsgatan 15
Stockholm, SE-111 45
Phone+46-8-599 295 10
E-mail[email protected]
Websitewww.excaliburfonder.se
Social Media

Monthly Performance

  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2024 1.65 -0.51 -1.35 -2.80 2.27 -0.83
2023 -0.32 1.40 1.05 0.70 -1.99 -0.01 1.04 0.74 1.01 -1.39 2.62 -0.15 4.72
2022 0.13 0.02 4.21 1.08 -2.71 -0.09 -2.22 3.23 0.12 0.03 0.24 2.09 6.09
2021 1.31 1.44 -0.18 0.30 -1.19 -0.23 0.08 0.65 0.13 0.98 0.26 0.40 4.00
2020 -0.66 -0.38 -2.81 2.24 3.51 1.88 1.01 2.36 0.34 0.41 2.42 0.24 10.91
2019 0.07 0.19 -0.16 -0.58 -1.23 0.29 -1.04 0.51 0.34 1.21 0.57 0.66 0.80
2018 -0.12 -0.41 0.47 -0.36 0.08 -0.11 0.18 -0.41 0.13 0.04 -1.12 0.10 -1.53
2017 0.31 -0.54 0.47 -0.24 -0.19 0.31 0.06 -0.02 0.38 -0.11 -0.32 0.43 0.54
2016 0.01 -0.84 0.20 0.50 0.21 -0.62 0.41 0.55 0.17 0.41 0.83 0.23 2.07
2015 0.45 1.03 -0.15 0.16 -0.87 -1.49 0.34 -0.33 -0.69 0.33 0.08 -0.50 -1.65
2014 0.49 0.21 0.28 0.50 0.19 0.37 0.78 0.32 0.51 -0.57 0.21 0.21 3.55
2013 0.08 0.04 0.24 0.63 0.42 -0.35 0.14 0.15 -0.17 0.31 0.12 0.15 1.77
2012 1.43 0.97 0.39 0.44 0.18 0.90 1.05 0.80 0.56 0.66 0.52 0.29 8.50
2011 -0.31 0.86 0.72 0.26 0.40 0.63 0.04 -0.34 0.45 0.01 0.64 0.45 3.87
2010 1.39 1.21 0.86 1.02 1.39 0.55 0.14 1.26 -0.13 -0.85 0.34 -0.31 7.06
2009 3.89 1.17 2.91 1.46 -0.10 0.05 1.28 0.51 1.34 -1.88 0.14 0.54 11.78
2008 1.78 -0.62 -2.03 -1.84 0.01 -0.38 1.13 2.80 -0.58 6.08 1.22 -0.22 7.32
2007 0.38 1.39 0.61 -0.04 -3.43 1.79 0.52 -0.67 2.99 1.26 1.50 -0.82 5.47
2006 -0.44 -1.12 -0.92 0.37 0.24 0.29 0.69 1.87 1.00 0.37 0.68 -0.28 2.75
2005 1.12 0.04 -0.29 0.50 0.59 2.34 -1.14 -0.24 -0.69 -1.60 0.02 0.62 1.22
2004 1.83 1.33 2.04 -0.11 1.26 0.66 -0.44 -0.79 1.13 -0.33 1.55 1.16 9.64
2003 0.83 4.82 -0.07 0.19 3.39 2.90 -1.02 -2.46 0.68 -1.44 0.68 3.16 12.02
2002 -0.58 -1.54 4.06 -4.85 2.62 -0.73 -0.93 -0.23 1.54 1.59 -0.80 5.33 5.19
2001 -0.43 -2.48 -3.80 4.47 -0.97 6.90 2.61 -3.76 1.24 3.28

Portfolio Managers

Thomas Pohjanen, CEO and Partner of Excalibur Asset Management, has worked in the financial industry since 1986. Between 1989-1993, he was responsible for the fixed income proprietary trading at the Nordbanken US branch. Pohjanen then was responsible for MeritaNordbanken’s global fixed income trading up until 2000. Since 2001, Pohjanen is portfolio manager of the Excalibur fund.

Björn Suurwee, Deputy CEO and Partner of Excalibur Asset Management, has been active in the financial industry since 1989. Between 1989-91, he was market maker in Swedish money market instruments at SEB. From 1991-1997, he was heading the interbank at the asset management firm Aragon. Between 1997-2000, Suurwee was head of money market at MeritaNordbanken in Stockholm. Since 2001, he is portfolio manager of the Excalibur fund.

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 -6.59% 3 3 04/2001 09/2001
2 -5.56% 6 8 11/2001 12/2002
3 -5.39% 9 10 07/2005 01/2007
4 -5.07% 59 2 05/2015 05/2020
5 -4.96% 3 5 05/2022 12/2022

Drawdown

Up Capture vs. NHX Composite

Down Capture vs. NHX Composite

Time Window Analysis

3 Months6 Months1 Year2 Years3 Years
Avg. Monthly Return-0.65%-0.16%0.25%0.30%0.33%
% Positive33.33%33.33%50.00%58.33%66.67%
Avg. Pos. Period2.27%1.96%1.56%1.30%1.09%
Avg. Neg. Period-2.07%-1.20%-1.04%-1.08%-1.15%
Sharpe Ratio-1.02-0.300.590.710.80
Sortino Ratio-1.25-0.440.871.101.30
Monthly Volatility2.13%1.72%1.54%1.51%1.49%

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 6.90%-4.85%0.39%0.29%2.27%67.63%
3 Months 11.32%-6.59%1.18%0.91%-1.93%68.12%
6 Months 15.88%-5.56%2.46%1.76%-0.98%74.73%
1 Year 21.65%-4.54%4.91%4.33%3.03%83.90%
2 Years 31.94%-4.47%10.14%9.89%7.34%89.41%
3 Years 39.66%-4.24%15.13%14.61%12.71%93.83%
5 Years 50.93%-4.92%24.52%25.74%30.33%94.98%

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

Excalibur Fixed Income is a fixed-income hedge fund relying on fundamental macro analysis and quantitative analysis of the relative value of money market and credit instruments to generate investment ideas. The underlying portfolio consists of highly liquid and transparent fixed-income instruments that are supposed to function well in both good and bad times. Through these transparent derivatives, the fund positions for the increase or decrease of interest rate levels or changes in interest rate curves. The fund also takes relative value positions both on country and contract level. In order to avoid concentration and tail risks, positions are spread between different themes and strategies. Excalibur Fixed Income has an absolute return profile, meaning that it aims to contribute positively in rising or declining interest rates and equity markets.

Fund Information

General Information

NHX CategoryFixed Income
NHX CountrySweden
Legal StructureSwedish Special Fund
Fund DomicileSweden
Minimum Investment500,000 SEK
AUM870M SEK
Inception DateApr 2001
Management Fee1.00%
Performance Fee20.00%

Company Information

CompanyExcalibur Asset Management AB
PrincipalThomas Pohjanen
Investor RelationsLouise Möllander
AddressBirger Jarlsgatan 15
Stockholm, SE-111 45
Phone+46-8-599 295 10
E-mail[email protected]
Websitewww.excaliburfonder.se
Social Media

Monthly Performance

  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2024 1.65 -0.51 -1.35 -2.80 2.27 -0.83
2023 -0.32 1.40 1.05 0.70 -1.99 -0.01 1.04 0.74 1.01 -1.39 2.62 -0.15 4.72
2022 0.13 0.02 4.21 1.08 -2.71 -0.09 -2.22 3.23 0.12 0.03 0.24 2.09 6.09
2021 1.31 1.44 -0.18 0.30 -1.19 -0.23 0.08 0.65 0.13 0.98 0.26 0.40 4.00
2020 -0.66 -0.38 -2.81 2.24 3.51 1.88 1.01 2.36 0.34 0.41 2.42 0.24 10.91
2019 0.07 0.19 -0.16 -0.58 -1.23 0.29 -1.04 0.51 0.34 1.21 0.57 0.66 0.80
2018 -0.12 -0.41 0.47 -0.36 0.08 -0.11 0.18 -0.41 0.13 0.04 -1.12 0.10 -1.53
2017 0.31 -0.54 0.47 -0.24 -0.19 0.31 0.06 -0.02 0.38 -0.11 -0.32 0.43 0.54
2016 0.01 -0.84 0.20 0.50 0.21 -0.62 0.41 0.55 0.17 0.41 0.83 0.23 2.07
2015 0.45 1.03 -0.15 0.16 -0.87 -1.49 0.34 -0.33 -0.69 0.33 0.08 -0.50 -1.65
2014 0.49 0.21 0.28 0.50 0.19 0.37 0.78 0.32 0.51 -0.57 0.21 0.21 3.55
2013 0.08 0.04 0.24 0.63 0.42 -0.35 0.14 0.15 -0.17 0.31 0.12 0.15 1.77
2012 1.43 0.97 0.39 0.44 0.18 0.90 1.05 0.80 0.56 0.66 0.52 0.29 8.50
2011 -0.31 0.86 0.72 0.26 0.40 0.63 0.04 -0.34 0.45 0.01 0.64 0.45 3.87
2010 1.39 1.21 0.86 1.02 1.39 0.55 0.14 1.26 -0.13 -0.85 0.34 -0.31 7.06
2009 3.89 1.17 2.91 1.46 -0.10 0.05 1.28 0.51 1.34 -1.88 0.14 0.54 11.78
2008 1.78 -0.62 -2.03 -1.84 0.01 -0.38 1.13 2.80 -0.58 6.08 1.22 -0.22 7.32
2007 0.38 1.39 0.61 -0.04 -3.43 1.79 0.52 -0.67 2.99 1.26 1.50 -0.82 5.47
2006 -0.44 -1.12 -0.92 0.37 0.24 0.29 0.69 1.87 1.00 0.37 0.68 -0.28 2.75
2005 1.12 0.04 -0.29 0.50 0.59 2.34 -1.14 -0.24 -0.69 -1.60 0.02 0.62 1.22
2004 1.83 1.33 2.04 -0.11 1.26 0.66 -0.44 -0.79 1.13 -0.33 1.55 1.16 9.64
2003 0.83 4.82 -0.07 0.19 3.39 2.90 -1.02 -2.46 0.68 -1.44 0.68 3.16 12.02
2002 -0.58 -1.54 4.06 -4.85 2.62 -0.73 -0.93 -0.23 1.54 1.59 -0.80 5.33 5.19
2001 -0.43 -2.48 -3.80 4.47 -0.97 6.90 2.61 -3.76 1.24 3.28

Portfolio Managers

Thomas Pohjanen, CEO and Partner of Excalibur Asset Management, has worked in the financial industry since 1986. Between 1989-1993, he was responsible for the fixed income proprietary trading at the Nordbanken US branch. Pohjanen then was responsible for MeritaNordbanken’s global fixed income trading up until 2000. Since 2001, Pohjanen is portfolio manager of the Excalibur fund.

Björn Suurwee, Deputy CEO and Partner of Excalibur Asset Management, has been active in the financial industry since 1989. Between 1989-91, he was market maker in Swedish money market instruments at SEB. From 1991-1997, he was heading the interbank at the asset management firm Aragon. Between 1997-2000, Suurwee was head of money market at MeritaNordbanken in Stockholm. Since 2001, he is portfolio manager of the Excalibur fund.

Return Statistics

Last Month Return 2.27%
3 Month Return -1.93%
Year to Date Return -0.83%
12 Month Return 3.03%
36 Month Return 12.71%
Total Return Annualized 4.61%
Winning Months (%) 67.63%
Average Winning Month 1.01%
Average Losing Month -0.91%
Total Return Cumulative 184.17%

Risk Statistics (12M)

1 Year
Sharpe Ratio0.59
Sortino Ratio0.87
Sterling0.21
Calmar0.66
Skewness-0.38
Kurtosis0.29
Maximum Drawdown-4.60%
Correlation vs S&P 5000.43
Annualized Volatility5.34%
Annualized Down. Deviation3.30%

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 -6.59% 3 3 04/2001 09/2001
2 -5.56% 6 8 11/2001 12/2002
3 -5.39% 9 10 07/2005 01/2007
4 -5.07% 59 2 05/2015 05/2020
5 -4.96% 3 5 05/2022 12/2022

Drawdown

Up Capture vs. NHX Composite

Down Capture vs. NHX Composite

Time Window Analysis

3 Months6 Months1 Year2 Years3 Years
Avg. Monthly Return-0.65%-0.16%0.25%0.30%0.33%
% Positive33.33%33.33%50.00%58.33%66.67%
Avg. Pos. Period2.27%1.96%1.56%1.30%1.09%
Avg. Neg. Period-2.07%-1.20%-1.04%-1.08%-1.15%
Sharpe Ratio-1.02-0.300.590.710.80
Sortino Ratio-1.25-0.440.871.101.30
Monthly Volatility2.13%1.72%1.54%1.51%1.49%

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 6.90%-4.85%0.39%0.29%2.27%67.63%
3 Months 11.32%-6.59%1.18%0.91%-1.93%68.12%
6 Months 15.88%-5.56%2.46%1.76%-0.98%74.73%
1 Year 21.65%-4.54%4.91%4.33%3.03%83.90%
2 Years 31.94%-4.47%10.14%9.89%7.34%89.41%
3 Years 39.66%-4.24%15.13%14.61%12.71%93.83%
5 Years 50.93%-4.92%24.52%25.74%30.33%94.98%

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.