Three years duration fund
Returns are generated by capitalizing on the interest rate difference between Scandinavian mortgage and government bonds. CABA Flex has a duration of 3 years after which returns are realized and the fund is liquidated.
Realized return and model portfolio
(net of fees)
Case
The interest rate differential (spread) between Scandinavian mortgage and government bonds has widened and is so significant now, that it can only be compared to the levels during the financial crises of 2008 and 2011.
This presents a unique opportunity for investors to achieve a very attractive return. But this opportunity may diminish quickly – as spread levels tightens.
Strategy
The fund invests in Scandinavian government and mortgage bonds and bonds with equivalent security, including specially covered mortgage bonds. At the time of investment, the bonds must have a remaining duration of less than 5.5 years. As a starting point, the bonds are held for 3 years, after which the portfolio is realized. See illustration.
Investments will be leveraged via repo facilities in DKK, SEK, NOK, EUR as well as Danish, Swedish and Norwegian bonds. The interest rate risk is hedged with swaps or government bonds in local currency.
- Three years duration fund
- NO FX risk
- NO Duration risk
The Strategy's Historic Weighted Spread and Returns
Back-test: Inception of the fund with current (December 7, 2022) spread level per mentioned dates. Subsequently historical spread development.
Returns are gross of fees.
Contact us
CABA Flex is open for new investors.
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 Flex.
Please note that CABA Flex has a minimum subscription of EUR 100.000.