Strategy

The strategy is based on active risk management, where the risk level is adjusted depending on market opportunities. The strategy is expected to create a stable return with small drawdowns and low correlation to other asset classes. 

The investments are made within the Scandinavian bond universe and is based on relative-value analyses. This approach implies that all parts of the investment universe is analysed against each other, including the interest rate differentials between mortgage and government bonds as well as the interest rate differentials between different types of mortgage bonds. All for the purpose of identifying the trades that are expected to provide the best possible return, considering the risk and in the context of current events, macroeconomic prospects, the actions of central banks and the behaviour of other investors. By trades is meant either trades where an attractive carry is obtained or trades that potentially can generate returns in certain market scenarios. 

This creates an attractive return/risk-profile that does not follow other asset classes. CABA Hedge is a liquid alternative investment.

Structural Risk Premiums

The cornerstone of the strategy is to utilize structural risk premiums. For example, by buying a Swedish mortgage bond with the highest credit rating and at the same time hedging the interest rate risk by selling a Swedish government bond, a risk premium in the form of a higher interest rate is isolated. 

This is a low-risk risk premium, which is considered to be attractive relative to the underlying risk, although the risk premium for most investors is too small to be attractive in absolute terms. Hence, financial leverage is used to increase the risk premium to a higher and more attractive absolute level.

Risk

All investments in securities involve risks which, among others, include the risk of negative or unexpected market, financial or political developments and, in international transactions, currency risk. Because of such risks, the value of securities can go up as well as down. Leverage may increase fluctuations in returns compared to the market.

Key Facts

Name

CABA Hedge KL A

Sub-fund under

Kapitalforeningen Investin

Type

AIF

ISIN

DK0060814523

Inception

July 11, 2017

AIFM (administration)

FundRock

Subscription agent

Nykredit Bank

Depositary

The Bank of New York Mellon

Publicly listed

NO

Minimum subscription

EUR 100.000

Redemption

Weekly

Trade day

Tuesday (one week notice)

Accumulating

YES

Benchmark

NO

Management Fee

1% p.a.

Performance Fee

15%

High Water Mark

YES

Issuance costs (max.)

1%

Redemption costs (max.)

1%

Ongoing Costs

1,48%

Indirect Transaction Costs

1,30%

Risk Scale (1-7)

3

Product Group

COMPLEX

SFDR

Article 6 investment fund

CABA Hedge

Contact us

Please send us an e-mail at info@cabacapital.dk or reach out to your contact person in CABA Capital, if you would like a presentation of CABA Hedge.