Calgus: Concentrated and Unconstrained

Stockholm (HedgeNordic) – Although this does not apply to every single manager out there, the name of the game for many equity-focused hedge fund managers is beating the market. Relying on a concentrated and unconstrained approach to investing, a Stockholm-based duo – Gustaf von Sivers and Carl Urban – is aiming to do just that with their long-biased long/short equity fund, Calgus Fond.

“Calgus Fond is a long/short equity fund only investing in Swedish equities with primary focus on large and mid-cap companies,” von Sivers tells HedgeNordic after their fund joined the Nordic Hedge Index. With a concentrated portfolio and unconstrained approach to investing, “Calgus Fond is a perfect fit for the investor who is interested in exposure to the Swedish equity market but is not interested in an index-like structure.” Usually running with a net market exposure between 70 to 110 percent, Calgus Fond has generated an annualized return of 12.4 percent adjusted for dividends since launching at the beginning of 2010.

“Calgus Fond has a highly concentrated portfolio with between 15 and 25 holdings, with the top 10 holdings accounting for roughly 70 percent of the entire portfolio.”

“Calgus Fond has a highly concentrated portfolio with between 15 and 25 holdings, with the top 10 holdings accounting for roughly 70 percent of the entire portfolio,” explains von Sivers. “The fund is allowed to stay 100 percent liquid whilst also being able to leverage up to 100 additional percent, allowing the investment team to act on their opinion on the market. Most of the time, however, the fund is 70 to 110 percent invested,” he continues. “The portfolio management team conducts its own analysis and looks for companies with a potential upside of 50 percent the coming two years.”

Shorting

Calgus Fond aims to return 10 percent on average per year over time, an objective that requires a long-biased exposure to Swedish equities. Although the team has the ability to engage in short selling individual companies and broader-based indices, Calgus Fond does not always make use of this toolbox. “We do not short very often, last year we shorted four to five times,” says von Sivers. “When the team wishes to reduce net market exposure, the primary execution method is trimming or liquidating existing long positions.”

“When our preferred market exposure is not reached by selling long positions, we short a broad Swedish equity index as a hedge.”

“When our preferred market exposure is not reached by selling long positions, we short a broad Swedish equity index as a hedge,” says von Sivers. “We also short individual stocks, but these are mainly in speculative purpose to generate alpha,” he continues. Although the shorts “have been very successful over time, they have not contributed very much to the fund’s overall performance due to the small size of the trades.”

Inception-to-Date Journey

“Thus far the fund’s journey has been a great success in our view. We have managed to exceed our long-term goal of an average return of 10 percent, which we are very happy with,” von Sivers tells HedgeNordic. Calgus Fond has delivered an annualized return of 12.4 percent, adjusted for dividends, since launching 11 and a half years ago, achieving an inception-to-date Sharpe ratio of 0.98. “We are moving between four and five stars in Morningstar’s rating system which we take pride in and aim to establish our spot in the five-star bracket.”

 

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About Author

Eugeniu Guzun serves as a data analyst responsible for maintaining and gatekeeping the Nordic Hedge Index (NHX), as well as being a novice columnist covering the Nordic hedge fund industry for HedgeNordic. Prior to joining HedgeNordic, Eugeniu had served as a columnist for a U.S. journal covering insider trading activity, activist campaigns and hedge fund moves. Eugeniu completed his Master’s degree at the Stockholm School of Economics in 2018.

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