Danske Bank Asset Management

Danske Invest Hedge Fixed Income Strategies

Strategy Description

Danske Invest Hedge Fixed Income Strategies is a relative value fund investing in the fixed income markets of Scandinavia, Europe and the United States. The objective of the fund is to generate a high absolute return primarily employing an investment programme that uses conventional and alternative trading strategies such as short selling, the use of derivatives for hedging and speculative purposes, and the use of leverage. The target return is the risk-free rate plus 4%. The risk in the fund should be similar to a 10-year Danish government bond, as measured using Value at Risk. Danske Invest Hedge Fixed Income Strategies intends to generate value by exploiting inefficiencies in markets and collecting a number of well-established premiums, such as liquidity premiums, volatility premiums and complexity premiums. The fund only invests in high-rated bonds.

Fund Information

General Information

NHX CategoryFixed Income
NHX CountryDenmark
Legal StructureAlternative Investment Fund
Fund DomicileGuernsey
Minimum Investment10,000 DKK
AUM7,760M DKK
Inception DateJan 2005
Management Fee0.50%
Performance Fee20.00%

Company Information

CompanyDanske Bank Asset Management
PrincipalBerit Behring
AddressParallelvej 17
Kongens Lyngby, 2800
Phone+45 3914 9776
E-mail[email protected]
Websitewww.danskehedge.com
Social Media

Monthly Performance

  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2023 3.37 2.35 -1.38 2.96 -1.15 2.08 2.86 1.86 1.09 0.68 3.10 19.18
2022 -1.21 -6.68 -2.61 -1.56 -3.62 -2.46 2.12 -1.87 -6.29 4.41 8.04 2.99 -9.35
2021 1.11 -0.06 0.73 0.79 -0.50 0.51 -0.61 -0.21 0.52 -1.04 -0.27 1.66 2.63
2020 1.06 -0.17 -4.03 4.95 1.57 1.44 1.92 1.23 -0.17 0.00 1.40 0.28 9.65
2019 1.65 1.57 1.03 0.81 0.26 0.28 -0.01 -0.80 1.05 0.62 0.30 0.13 7.08
2018 1.16 0.15 -0.32 0.73 0.42 -0.48 1.06 0.08 0.51 -0.55 -0.30 -0.17 2.29
2017 1.48 1.79 1.50 1.23 1.18 1.17 0.41 0.65 0.26 0.01 0.85 0.34 11.41
2016 -2.12 -1.73 5.12 2.92 1.58 0.57 1.12 1.77 0.86 1.37 0.02 0.98 12.98
2015 2.89 1.45 -3.34 2.34 0.44 -0.83 0.25 0.91 -1.30 -0.55 1.25 1.59 5.05
2014 2.13 0.89 1.03 1.35 0.43 -0.44 1.73 -0.54 0.67 1.17 -1.58 -2.58 4.23
2013 2.15 1.10 1.89 2.45 2.24 -0.68 0.80 -0.58 2.24 2.28 2.82 0.74 18.83
2012 5.96 3.59 3.56 1.16 0.10 3.22 3.52 1.48 1.03 2.22 2.22 1.40 33.61
2011 2.58 2.57 1.07 2.74 1.89 0.73 1.60 -1.22 0.19 1.10 0.72 3.54 18.88
2010 2.11 -0.57 2.01 1.72 1.73 0.54 3.00 1.39 0.09 0.00 -0.23 1.95 14.56
2009 10.75 0.65 4.72 7.31 6.18 5.49 6.96 2.99 4.02 1.58 3.18 -0.27 68.05
2008 0.32 -1.08 -2.48 1.00 1.43 -1.59 3.51 0.47 -18.19 -1.26 -3.81 0.19 -21.01
2007 0.22 0.53 1.04 0.55 -0.50 0.26 -0.56 -0.38 0.50 2.54 -2.58 1.23 2.80
2006 0.45 -0.31 1.17 0.30 -1.10 0.79 0.62 -0.07 0.50 0.80 0.47 0.90 4.59
2005 0.03 0.89 0.74 -0.60 -1.02 -0.12 1.32 -0.51 1.11 1.30 0.46 1.41 5.09

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 -22.30% 3 6 09/2008 05/2009
2 -21.97% 9 10 01/2022 07/2023
3 -4.56% 5 5 11/2007 08/2008
4 -4.19% 2 1 02/2020 04/2020
5 -4.12% 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 Return1.62%1.94%1.72%0.39%0.29%
% Positive100.00%100.00%83.33%58.33%55.56%
Avg. Pos. Period1.62%1.95%2.33%2.83%2.18%
Avg. Neg. Period - - -1.27%-2.88%-1.97%
Sharpe Ratio5.327.763.870.460.42
Sortino Ratio0.000.0011.500.600.55
Monthly Volatility1.06%0.87%1.55%3.35%2.76%

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 10.75%-18.19%0.82%0.80%3.10%73.13%
3 Months 20.20%-22.30%2.50%1.79%4.93%81.33%
6 Months 40.31%-20.48%5.14%3.95%12.23%84.23%
1 Year 68.83%-21.72%10.66%7.20%22.74%87.50%
2 Years 92.52%-18.80%22.58%15.01%9.83%88.73%
3 Years 128.86%-15.07%38.18%28.35%11.18%92.71%
5 Years 263.34%-2.66%80.83%65.70%29.96%99.40%

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

Danske Invest Hedge Fixed Income Strategies is a relative value fund investing in the fixed income markets of Scandinavia, Europe and the United States. The objective of the fund is to generate a high absolute return primarily employing an investment programme that uses conventional and alternative trading strategies such as short selling, the use of derivatives for hedging and speculative purposes, and the use of leverage. The target return is the risk-free rate plus 4%. The risk in the fund should be similar to a 10-year Danish government bond, as measured using Value at Risk. Danske Invest Hedge Fixed Income Strategies intends to generate value by exploiting inefficiencies in markets and collecting a number of well-established premiums, such as liquidity premiums, volatility premiums and complexity premiums. The fund only invests in high-rated bonds.

Fund Information

General Information

NHX CategoryFixed Income
NHX CountryDenmark
Legal StructureAlternative Investment Fund
Fund DomicileGuernsey
Minimum Investment10,000 DKK
AUM7,760M DKK
Inception DateJan 2005
Management Fee0.50%
Performance Fee20.00%

Company Information

CompanyDanske Bank Asset Management
PrincipalBerit Behring
AddressParallelvej 17
Kongens Lyngby, 2800
Phone+45 3914 9776
E-mail[email protected]
Websitewww.danskehedge.com
Social Media

Monthly Performance

  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2023 3.37 2.35 -1.38 2.96 -1.15 2.08 2.86 1.86 1.09 0.68 3.10 19.18
2022 -1.21 -6.68 -2.61 -1.56 -3.62 -2.46 2.12 -1.87 -6.29 4.41 8.04 2.99 -9.35
2021 1.11 -0.06 0.73 0.79 -0.50 0.51 -0.61 -0.21 0.52 -1.04 -0.27 1.66 2.63
2020 1.06 -0.17 -4.03 4.95 1.57 1.44 1.92 1.23 -0.17 0.00 1.40 0.28 9.65
2019 1.65 1.57 1.03 0.81 0.26 0.28 -0.01 -0.80 1.05 0.62 0.30 0.13 7.08
2018 1.16 0.15 -0.32 0.73 0.42 -0.48 1.06 0.08 0.51 -0.55 -0.30 -0.17 2.29
2017 1.48 1.79 1.50 1.23 1.18 1.17 0.41 0.65 0.26 0.01 0.85 0.34 11.41
2016 -2.12 -1.73 5.12 2.92 1.58 0.57 1.12 1.77 0.86 1.37 0.02 0.98 12.98
2015 2.89 1.45 -3.34 2.34 0.44 -0.83 0.25 0.91 -1.30 -0.55 1.25 1.59 5.05
2014 2.13 0.89 1.03 1.35 0.43 -0.44 1.73 -0.54 0.67 1.17 -1.58 -2.58 4.23
2013 2.15 1.10 1.89 2.45 2.24 -0.68 0.80 -0.58 2.24 2.28 2.82 0.74 18.83
2012 5.96 3.59 3.56 1.16 0.10 3.22 3.52 1.48 1.03 2.22 2.22 1.40 33.61
2011 2.58 2.57 1.07 2.74 1.89 0.73 1.60 -1.22 0.19 1.10 0.72 3.54 18.88
2010 2.11 -0.57 2.01 1.72 1.73 0.54 3.00 1.39 0.09 0.00 -0.23 1.95 14.56
2009 10.75 0.65 4.72 7.31 6.18 5.49 6.96 2.99 4.02 1.58 3.18 -0.27 68.05
2008 0.32 -1.08 -2.48 1.00 1.43 -1.59 3.51 0.47 -18.19 -1.26 -3.81 0.19 -21.01
2007 0.22 0.53 1.04 0.55 -0.50 0.26 -0.56 -0.38 0.50 2.54 -2.58 1.23 2.80
2006 0.45 -0.31 1.17 0.30 -1.10 0.79 0.62 -0.07 0.50 0.80 0.47 0.90 4.59
2005 0.03 0.89 0.74 -0.60 -1.02 -0.12 1.32 -0.51 1.11 1.30 0.46 1.41 5.09

Portfolio Managers

   
No data filled

Return Statistics

Last Month Return 3.10%
3 Month Return 4.93%
Year to Date Return 19.18%
12 Month Return 22.74%
36 Month Return 11.18%
Total Return Annualized 9.89%
Winning Months (%) 73.13%
Average Winning Month 1.68%
Average Losing Month -1.58%
Total Return Cumulative 495.16%

Risk Statistics (12M)

1 Year
Sharpe Ratio3.87
Sortino Ratio11.50
Sterling2.00
Calmar16.48
Skewness-1.26
Kurtosis0.89
Maximum Drawdown-1.38%
Correlation vs S&P 5000.17
Annualized Volatility5.38%
Annualized Down. Deviation0.40%

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 -22.30% 3 6 09/2008 05/2009
2 -21.97% 9 10 01/2022 07/2023
3 -4.56% 5 5 11/2007 08/2008
4 -4.19% 2 1 02/2020 04/2020
5 -4.12% 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 Return1.62%1.94%1.72%0.39%0.29%
% Positive100.00%100.00%83.33%58.33%55.56%
Avg. Pos. Period1.62%1.95%2.33%2.83%2.18%
Avg. Neg. Period - - -1.27%-2.88%-1.97%
Sharpe Ratio5.327.763.870.460.42
Sortino Ratio0.000.0011.500.600.55
Monthly Volatility1.06%0.87%1.55%3.35%2.76%

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 10.75%-18.19%0.82%0.80%3.10%73.13%
3 Months 20.20%-22.30%2.50%1.79%4.93%81.33%
6 Months 40.31%-20.48%5.14%3.95%12.23%84.23%
1 Year 68.83%-21.72%10.66%7.20%22.74%87.50%
2 Years 92.52%-18.80%22.58%15.01%9.83%88.73%
3 Years 128.86%-15.07%38.18%28.35%11.18%92.71%
5 Years 263.34%-2.66%80.83%65.70%29.96%99.40%

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.

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Data and information is provided for informational purposes only. Past performance is not necessarily indicative of future results.

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