Mortgage Arbitrage Fund, Class A Fund report Key figures

Transcription

Mortgage Arbitrage Fund, Class A Fund report Key figures
Mortgag e Arbitrage Fund, Class A
Key f igures
NAV as of 30-09-2014 Return year to date
Total assets mill. DKK
Fund report
1,371.58
1.35
901.31
Hist. perf. as of 30-09-2014
Danske Invest Hedge Mortgage Arbitrage Class A provided a 0.29% return in September. Year
to date, the sub-fund provided a return of 1.35%.
At its September 4th meeting, the ECB, somewhat surprisingly, chose to cut interest rates by
10 bp. The Danish central bank followed suit, lowering its deposit rate by 10 bp. The rate cut
by the Danish central bank was not expected by the market and sparked a drop in short-term
yields. In addition to the rate cut, the ECB announced a programme to buy a wide range of
European bonds with a view to reviving credit growth in Europe. These measures led to higher
long-term yields as the fixed income market began to price in higher real-economic growth and
higher inflation.
Due to its implicit exposure towards a steeper yield curve, the sub-fund benefited from the
decline at the short end of the yield curve. The decline at the short end in particular contributed
positively to this month’s return as, to a larger extent than the market, we had been expecting
the Danish central bank to cut rates.
The leverage of the sub-fund is currently at approx. 75% of its maximum allowed level.
Drawdown
Return
DIHMA
Cl.A
Euro
Corp.
Bank
deposit
EFFAS
Denmark
MSCI
World
OMXC20
Avg. return monthly 0.260.390.160.410.530.89
Return since inception 36.76
59.88
22.59
65.20
92.93
198.37
Return distribution
Keyf igures (Monthly data, annualised. All returns in base currency)
DIHMA
Cl.A
Historical return is no reliable indicator of
future return.
Euro
Corp.
Bank
deposit
EFFAS
Denmark
MSCI
World
OMXC20
Standard deviation 6.864.330.485.10
12.35
18.25
Sharpe ratio
0.140.600.000.590.350.47
Downside deviation 7.35 3.40 0.162.869.72
14.69
Minimum return -13.45-4.75-0.01-3.53
-10.40
-18.78
Maximum return 5.263.950.545.35
11.42
20.33
Worst drawdown -22.72-9.04-0.03-7.04
-48.60
-55.04
Positive months
88 79
1137680 79
Avg pos. monthly return 1.11
1.07
0.18
1.30
2.60
3.88
Negative months 374612494546
Avg. neg. monthly return -1.75
-0.77
0.00
-0.94
-3.00
-3.87
Trailing returns as of 30-09-2014
Fund
Year to date
1 mdr
3 mdr 12 mdr 36 mdr 60 mdr
Start
1.35 0.29 -0.60 4.7630.1031.6437.16
Mortgag e Arbitrage Fund, Class A
Investment manager
Basic information
Tom Rosenkrans is portfolio manager of
Danske Invest Hedge Mortgage Arbitrage.
Tom has more than twelve years of experience within the financial markets and
primarily focuses on Fixed Income and
bond markets. Tom joined Danske Capital
in January 2003 from a position at the
Department of Finance. Tom holds a MSc
in mathematics and economics from the
Copenhagen Business School.
ISIN Code
KYG265551625
DividendsNo
Launch
25 May 2004
Base currency
DKK
Websitewww.danskehedge.com
BenchmarkNone
Valuation Day
Every Monday
Subscription Day
Monday 15:00 CET
Redemption Day
Monday 15:00 CET, with 1 week notice
Fund Company
Danske Invest Leveraged Fund, Cayman Islands
Strategy
Fixed Income Arbitrage
Investment manager
Tom Rosenkrans
Return target Risk-free rate + 3%
Contact Details
About the fund
Danske Bank A/S
Holmens Kanal 2-12
DK-1092 Copenhagen
Denmark
The objective of the Fund is to generate high absolute returns primarily through an investment
programme utilising conventional and alternative investment and trading strategies including
short selling, the use of derivatives for hedging and speculative purposes and the use of leverage.
Email: [email protected]
Tel: +45 45 13 97 01
The Fund is a relative value fund and aims to reduce market risk. Thus, the return should not
depend on whether interest rates rise or fall. The main component of the return should therefore depend solely on the trend in the pricing of mortgage credit bonds relative to government
bonds (or the pricing between mortgage credit bonds).
08-OCT-14 - http://www.uk.danskehedge.com - 1273_N
The Fund’s major value creation will be through investments in Danish mortgage bonds. This
will include exploiting the yield spread between government and mortgage credit bonds – but
also exploiting opportunities among mortgage credit bonds and between mortgage credit bonds
and the swap market. Furthermore, differences in the spread in volatility between the government and mortgage credit bond markets will be a source of value.
The Fund is designed for investors who have the necessary experience and knowledge to understand the risk involved with hedge funds, and is only suitable for investors with the appropriate
risk profile and time horizon, together with an investment strategy that includes hedge funds.
This Fact Sheet which is issued by the Investment Manager is not an invitation to purchase units in the fund. Subscriptions for units in the sub-funds will be accepted only on the basis of the
most recent prospectus which can be obtained from the distributor, Danske Bank International S.A., 13, rue Edward Steichen, L-2540 Luxembourg. Fax: +352 46 12 75 596, Tel: +352 46 12
75 1.
Returns may differ from the actual price history. Historical returns are no guarantee of future returns. Prices, rates and values does not necessarily represent the terms at which a new transaction can be executed or an existing transaction can be liquidated.
This publication is not intended for private customers in the UK or any person in the US.