A capacitor assembly (200) comprising a group of wound film capacitor elements (210) and a cooling arrangement (350, 651, 652) is disclosed. Each capacitor element extends in an axial direction (A) between two axial end faces (211) and in a radial direction (R) crossing the axial direction. Each capacitor element extends more in the radial direction than in the axial direction. The cooling arrangement is adapted to provide a transfer of heat (230) through spaces (240) defined between adjacent axial end faces of neighboring capacitor elements. The transfer of heat through a space defined by the axial end faces of two neighboring capacitor elements is directed across the axial directions of the two neighboring capacitor elements. The capacitor assembly is applicable in for instance high voltage direct current, HVDC, power converters, but also in other electronic devices.