We present here measurements of the thermopower, thermal conductivity, and electrical resistivity of the newly reported compound CaFe4As3. Evidence is presented from specific heat and electrical resistivity measurements that a substantial fraction of the Fermi surface survives the onset of spin density wave (SDW) order at the Néel temperature TN=88 K, and its subsequent commensurate lockin transition at T2=26.4 K. The specific heat below T2 consists of a normal metallic component from the ungapped parts of the Fermi surface, and a Bardeen-Cooper-Schrieffer (BCS) component that represents the SDW gapping of the Fermi surface. A large Kadowaki-Woods ratio is found at low temperatures, showing that the ground state of CaFe4As3 is a strongly interacting Fermi liquid. The thermal conductivity κ of CaFe4As3 is an order of magnitude smaller than those of conventional metals at all temperatures, due to a strong phonon scattering. The thermoelectric power S displays a sign change from positive to negative indicating that a partial gap forms at the Fermi level with the onset of commensurate spin density wave order at T2 = 26.4 K. The small value of the thermopower S and the enhancements of the resistivity due to gap formation and strong quasiparticle interactions offset the low value of the thermal conductivity κ, yielding only a modest value for the thermoelectric figure of merit Z ≤ 5 × 10The results of ab initio electronic structure calculations are reported, confirming that the sign change in the thermopower at T2 is reflected by a sign change in the slope of the density of states at the Fermi level. Values for the quasiparticle renormalization Z are derived from measurements of the specific heat and thermopower, indicating that as T → 0, CaFe4As3 is among the most strongly correlated of the known Fe-based pnictide and chalcogenide systems.