Strategy
We actively manage portfolios of fixed income assets, using rigorous modelling and extensive market knowledge to deliver best-in-class, high risk-adjusted returns. Our investment discipline and continuous process are the foundation of our deep analysis of issuers, markets, opportunities and risks. We focus our effort solely on the areas where we have a proven competitive advantage. Our strategies offer strong performance and diversification benefits to investors with long-term investment horizons.
The core of the investment strategy consists of leveraged positions in Scandinavian covered mortgage bonds versus swaps and government bonds, as well as cross-currency basis swaps in Scandinavian currencies. The fund takes only spread risk and is fully hedged against interest rate and FX risk. The Scandinavian covered mortgage bonds that the fund invests in have essentially zero credit risk (almost exclusively AAA rated).
The bulk of the fund’s risk is allocated to covered non-callable bullet bonds with maturities of two to five years. This results in a portfolio with a relatively short average maturity of around three years. This makes the roll effect of the asset swap spread predictable and provides a very significant contribution to the return, resulting in high information ratios from the individual trade level to the aggregate portfolio.
The fund uses controlled leverage to efficiently extract the risk premium from the Scandinavian covered bond and cross-currency basis spreads. Although this risk premium is positively correlated with global risk premia, it has unique characteristics and offers global investors diversification benefits.
Awards
Nordic Hedge Award
Asgard Fixed Income Master Fund
2nd Best Nordic Fixed Income Hedge Fund 2020
Nordic Hedge Award
Asgard Fixed Income Risk Premia
3rd Best Nordic Fixed Income Hedge Fund 2020
Nordic Hedge Award
Asgard Fixed Income Master Fund
Best Nordic Fixed Income Hedge Fund 2019
Nordic Hedge Award
Asgard Fixed Income Master Fund
3rd Best Nordic Fixed Income Hedge Fund 2018
Nordic Hedge Award
Asgard Fixed Income Master Fund
2nd Best Nordic Fixed Income Hedge Fund 2017
Hedge Funds Review European Performance Awards
Asgard Fixed Income Master Fund
Best non-directional hedge fund over 10 years (2017)
Hedge Funds Review European Performance Awards
Asgard Fixed Income Master Fund
Best Fixed Income Hedge Fund 2017
HFM European Hedge Fund Performance Awards
Asgard Fixed Income Master Fund
Winner in Fixed Income 2016
HFM European Hedge Fund Performance Awards
Asgard Fixed Income Master Fund
Winner in Single Manager Long Term Perfomance Over $500M 2016
Nordic Hedge Award
Asgard Fixed Income Master Fund
Best Nordic Fixed Income Hedge Fund 2016
Nordic Hedge Award
Asgard Fixed Income Master Fund
Best Nordic Hedge Fund Overall 2015
Nordic Hedge Award
Asgard Fixed Income Master Fund
Best Nordic Fixed Income Hedge Fund 2015
Nordic Hedge Award
Asgard Fixed Income Master Fund
Best Nordic Fixed Income Hedge Fund 2014
Eurohedge Awards
Asgard Fixed Income Master Fund
Winner in Fixed Income 2014
Nordic Hedge Award
Asgard Fixed Income Master Fund
3rd Best Nordic Fixed Income Hedge Fund 2013
Nordic Hedge Award
Asgard Fixed Income Master Fund
Best Nordic Hedge Fund Overall 2012
HFM European Hedge Fund Performance Awards
Asgard Fixed Income Master Fund
Winner in Fixed income under $500m 2012
Nordic Hedge Award
Asgard Fixed Income Master Fund
Best Nordic Fixed Income Hedge Fund 2012
Investors Choice European Hedge Fund Awards
Asgard Fixed Income Master Fund
Winner in Fixed Income Arbitrage Fund – Last 3 Years (2012)
Investors Choice European Hedge Fund Awards
Asgard Fixed Income Master Fund
Best Fixed Income Arbitrage Fund of 2012
Eurohedge Awards
Asgard Fixed Income Master Fund
Winner in Specialist Strategies Fund of the Year 2011
Investment team
Since the inception of Asgard Asset Management the team have grown into a strong organization of 11 people. Especially our investment team has increased in size and now consists of multiple experienced principals. This have given the following results and dynamics:
Risk management
At Asgard Asset Management, we believe that risk management is essential to protecting our clients’ investments. That’s why we’ve developed a three-tiered risk management framework that leverages the expertise of three different teams:
- Portfolio Management Team: Our Portfolio Management team has extensive experience and proprietary quantitative and risk models to manage portfolio risk. They focus on market risk, credit risk, liquidity risk, and funding risk. This includes conducting volatility and correlation analysis of strategies, emphasizing expected shortfall analysis and stress testing, and monitoring limits and exposures.
- Independent Risk Management Team: A Independent Risk Management team builds on the extensive risk management experience within the SS&C Group to independently monitor market risk, credit risk, liquidity risk, and funding risk. They perform VAR calculations and analysis, conduct expected shortfall analysis and stress testing, and have formal responsibility for independent limit and exposure monitoring.
- Asgard Risk Management Function: Then Asgard Risk Management Function provides middle-office control and review, as well as compliance checks. This third tier of defense serves as a final safeguard to ensure that Asgard’s risk management framework is effective and comprehensive.
In addition to this three-tiered approach, we also employ a number of other risk management measures, including:
- A robust risk management culture
- A well-defined risk management policy and procedures manual
- Regular risk training for all employees
- Independent audits of the risk management framework
We are committed to risk management because we know that it is essential to protecting our clients investments and helping them achieve their financial goals.
Investing in Asgard Fixed Income Risk Premia
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