A structurally unique
fixed income market
CABA Capital A/S is an independent hedge fund manager founded in Copenhagen in 2016, specialising in fixed income strategies anchored in the Danish and Scandinavian mortgage bond market. The Danish mortgage system is unique globally: it is the world's largest covered bond market relative to GDP, with total outstanding bonds exceeding DKK 2,500 billion, and operates under a balance principle that creates a direct, transparent link between mortgage loans and the bonds that fund them.
The strategy
CABA Capital targets the structural risk premia that arise from the mechanics of Scandinavian mortgage bonds. The primary return driver is the spread differential between Scandinavian mortgage bonds and government bonds.
The strategy uses arbitrage techniques and relative value analysis of Scandinavian spread premiums. Funds are launched when yield spreads are deemed favourable.
Three structural advantages
Home Market
Deep local knowledge of Danish and Scandinavian bond market mechanics, regulatory frameworks and issuer behaviour.
Quantitative excellence
Rigorous back-testing and empirical, data-driven investment decisions built on models refined over decades of direct experience managing Scandinavian fixed income portfolios at institutional scale.
Structural, not cyclical
Returns driven by persistent structural premia in the mortgage bond market — not by a view on credit cycles, interest rates or macro outcomes. The premia exist because of the market's inherent mechanics.
Team and infrastructure
CABA was founded by Carsten Bach (CIO), who spent over 30 years at Danske Bank including as Head of Investment Management and Deputy Director of Proprietary Trading — responsible for managing DKK 200bn+ in fixed income portfolios — and Niels-Ulrik Mousten (Chairman), former CEO of Danske Capital. The team combines deep expertise in quantitative analysis, fixed income portfolio management and Scandinavian market dynamics.
The firm employs only highly specialised professionals and is supervised by the Danish Financial Supervisory Authority. CABA is a signatory to the UN Principles for Responsible Investment.
Track record highlights
CABA Hedge has been operating since July 2017 and has delivered consistent performance through varied market environments. CABA Flex, the closed-end fund series, has been recognised by BarclayHedge with the Recognition Award for Excellence, ranking number one in the Fixed Income — Mortgage Backed category. The strategy has achieved returns materially in excess of investment-grade fixed income while maintaining substantially lower volatility than equity markets.
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