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 funds takes only spread risk and is fully hedged against interest rate and FX risk with the exception of EUR/DKK. The Scandinavian covered mortgage bonds that the funds invest 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 funds use 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.

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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

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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

Interested in investing in Asgard Fixed Income Risk Premia? Learn more about how to invest through this page

Asgard Asset Management A/S (CVR 33763492) - Landgreven 3, 1. tv., 1301 København K

Disclaimer

The text on this website is only meant for information. All information or statements contained on this website are based on information from sources believed to be reliable, but have not been independently verified. Asgard Asset Management makes no representations or warranties and assumes no liability of any kind for the accuracy or completeness of such information.

No information provided on this website should be construed as an offer to buy or sell shares in the funds. Subscription of investment shares in the funds is approved solely on the basis of the latest prospectus, key information document, etc., which is available on this website. Asgard Asset Management does not accept any liability for any damages or losses that may arise as a result of the use of this website or its content. Users of the website should not rely solely on material contained on this website and should, where necessary, seek independent advice.

Prices, rates and values are included for information purposes only and are, unless otherwise stated, indicative. Such prices, rates and values are not necessarily a reflection of the terms on which a new trade may be executed or an existing trade may be liquidated. Past performance is not a guarantee of future performance.

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