Plinius Capital

Asgard Fixed Income Fund

Strategy Description

Asgard Fixed Income Fund's investment policy is based on a top-down approach and follows a disciplined investment process divided into three phases: macro and micro analysis, portfolio construction, and evaluation/monitoring. The strategies are divided into five sub-strategies: Directional, Yield Curve, Volatility, Event, and Relative Value. The relative value sub-strategies primarily focuse on the analysis of investment opportunities in the Danish and Swedish mortgage markets. The fund believes in a high degree of risk control and in maintaining a diversified and largely uncorrelated portfolio.

General Information

NHX CategoryFixed Income
NHX CountryDenmark
Legal StructureOpen Ended Investment Fund
Fund DomicileCayman Islands
Minimum Investment250,000 EUR
AUM372M EUR
Highwater MarkYes
Inception DateJul 2003
Management Fee1.5%
Performance Fee20%

Company Information

CompanyPlinius Capital
PrincipalMORTEN MATHIESEN
AddressFlaesketorvet 68 1
Copenhagen V, DK-1711
PhoneN/A
Emailinfo@pliniuscapital.com

Monthly Performance

  JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC Year
2017 1.15 2.32 0.49 2.09 1.59 1.01 0.63 1.46 0.37 -0.54 11.05
2016 -0.75 -0.78 4.41 2.43 1.85 1.29 1.99 2.62 1.25 0.88 -0.15 2.01 18.31
2015 6.31 2.45 0.25 1.77 -1.85 -1.65 0.49 0.44 -2.75 0.50 0.64 3.18 9.88
2014 0.93 0.89 1.95 1.24 1.03 0.30 2.06 1.39 1.28 1.43 -1.12 -1.39 10.39
2013 1.62 1.36 1.08 2.02 1.46 -0.15 0.75 0.59 1.18 2.33 2.25 0.49 16.02
2012 4.64 3.91 4.58 1.49 1.75 2.48 4.75 -0.41 0.32 2.16 1.61 2.59 34.12
2011 2.32 3.60 1.57 3.64 2.01 0.05 1.85 0.65 -0.48 1.54 2.17 3.96 25.31
2010 2.19 0.39 2.00 4.27 1.27 1.93 2.05 2.00 0.66 -2.80 2.22 2.93 20.69
2009 5.60 5.27 5.66 2.98 3.61 4.56 7.60 2.88 3.04 2.52 2.16 0.55 57.41
2008 0.10 -0.35 0.16 1.46 2.53 0.75 1.23 0.80 -8.83 -1.72 1.07 -0.77 -3.98
2007 1.06 0.53 1.44 0.33 0.30 -0.86 -2.05 0.30 -0.46 2.24 -1.50 1.90 3.18
2006 1.24 -0.57 -0.56 -1.02 -0.07 0.94 -0.19 -1.03 1.26 1.14 1.95 1.90 5.04
2005 -0.92 2.13 1.12 -0.18 0.90 0.20 0.50 -0.35 0.78 -2.14 -1.66 0.36 0.66
2004 0.77 1.06 -0.25 0.44 -0.81 0.18 1.02 0.44 0.88 1.61 0.15 -0.95 4.60
2003 -1.26 -1.33 0.63 1.08 1.65 2.86 3.62
There is a substantial risk of loss in trading commodity futures, equities, options and off-exchange foreign currency products. Past performance is not indicative of future results.

Return Statistics

Last Month -
3 Month ROR 1.29
Year To Date 11.05
12 Month ROR 13.11
36 Month ROR 40.76
Compound ROR 14.19
Winning Months (%) 78.49
Average Winning Month 1.77
Average Losing Month -1.21
Total Return 570.11

Risk Statistics

Sharpe Ratio 2.10
Sortino Ratio 4.40
Sterling Ratio 0.97
Calmar Ratio 2.30
Skewness -0.37
Kurtosis 5.05
Maximum Drawdown -10.40
Correlation vs S&P 500 0.26
Average Losing Month -1.21
Standard Deviation (monthly) 1.86
Downside Deviation 0.88

Risk/Return Chart

Monthly Returns

Performance (VAMI)

Manager Bio

Morten Mathiesen (1972) has 13 years of experience as fund manager, risk manager, fixed income analyst and as developer of software for portfolio optimisation. Morten has worked with the Asgard Fixed Income Fund since 2003. From 2001 to 2003 Morten worked at Svenska Handelsbanken in Stockholm as quantitative analyst for an internal hedge fund developing quantitative strategies and risk control of a mortgage portfolio. From 1999 to 2001 Morten worked as interest analyst at Sydbank Markets and from 1997 to 1999 he worked with Jyske Bank, first as Fixed Income analyst and later with Risk Office/Treasury specializing in interest analysis, developing investment strategies, risk control and introduction of Value-at-Risk.

Distribution of Monthly Returns

12 Month Rolling ROR

Drawdown Report

No. Depth (%) Length (Months) Recovery (Months) Start date End date
1 -10.40 2 5 09/2008 03/2009
2 -5.25 5 6 05/2015 03/2016
3 -4.65 11 4 10/2005 12/2006
4 -3.05 4 7 06/2007 04/2008
5 -2.80 1 2 10/2010 12/2010

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 7.60-8.831.131.08-0.5478.49
3 Months 17.46-9.683.533.251.2982.94
6 Months 33.52-8.307.327.304.5983.23
1 Year 57.41-3.9815.3614.8013.1191.30
2 Years 89.97-0.9334.0929.9936.4399.33
3 Years 138.051.9658.7055.5940.76100.00
5 Years 270.399.57130.95129.7692.72100.00

Up Capture vs. NHX Composite

Down Capture vs. NHX Composite

Drawdown

Volatility (12 Months Rolling)

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Average ROR-0.540.430.751.031.300.95
% Positive0.0066.6783.3383.3383.3375.00
Avg. Pos. Period - 0.921.011.311.681.70
Avg. Neg. Period-0.54-0.54-0.54-0.35-0.56-1.22
Sharpe0.001.493.313.973.631.89
Sortino-3.464.7411.8022.1018.144.63
Std. Deviation0.001.000.790.901.251.77
Down. Deviation0.540.310.220.160.250.71

AUM

ALL DATA INCLUDING PERFORMANCE NUMBERS HAVE BEEN SUPPLIED BY THE RESPECITVE MANAGERS AND FUND. HEDGENORDIC IN NO WAY GUARANTEES THE ACCURACY OF THESE NUMBERS AND HAS SUPPLIED THEM TO YOU FOR INFORMATION PURPOSES ONLY. THIS DOES NOT CONSTITUTE A SOLICITATION TO BUY OR AN OFFER TO SELL. NO INVESTMENT SHOULD BE MADE WITHOUT FULLY REVIEWING THE ASSOCIATED RISK FACTORS, FEES AND CONFLICTS OF INTEREST AS OUTLINED IN EACH FUNDS S RISK DISCLOSURE DOCUMENT. THERE MAY BE FUNDS WHO HAVE CHOSEN NOT TO BE LISTED IN THE HEDGENORDIC DATABASE AND NHX THAT MAY HAVE BETTER OR WORSE PERFORMANCE THAN THOSE IN OUR DATABASE.

THE RISK OF LOSS IN INVESTING IN HEDGEFUNDS CAN BE SUBSTANTIAL. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADE ONLY WITH RISK CAPITAL. SALES RESTRICTIONS MAY APPLY IN YOUR JURISDICTION.