PFA Asset Management

Midgard Fixed Income Fund

Strategy Description

The Midgard Fixed Income Fund is a European fixed income fund investing in government bonds, mortgage bonds, index-linked bonds, swaps and derivatives issued in EU countries, Switzerland and Norway. The fund focuses on the Nordic fixed income markets and does not invest in corporate bonds. The Midgard Fixed Income Fund has maximum flexibility to invest in a wide range of instruments such as listed bonds, options, futures, swaps, and other derivative instruments. The fund’s investment policy is based on a top-down approach and follows a disciplined investment process divided into three phases: micro analysis, construction, evaluation and monitoring. The strategies employed by the Midgard Fixed Income Fund are divided into three sub-strategies: yield curve, volatility, and relative value.

General Information

NHX CategoryFixed Income
NHX CountryDenmark
Legal StructureFund
Fund DomicileCayman Islands
Minimum Investment250,000 EUR
AUM508M EUR
Highwater MarkYes
Inception DateSep 2009
Management Fee1%
Performance Fee10%

Company Information

CompanyPFA Asset Management
Principal -
AddressSundkrogsgade 4
Copenhagen, 2100
Phone+45 39 17 50 00
Email
Websitehttp://www.pfakapitalforvaltning.dk/

Monthly Performance

  JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC Year
2017 -0.62 3.53 -0.84 0.82 0.74 1.45 0.87 0.33 0.57 0.42 0.08 -0.07 7.46
2016 -1.67 -1.86 5.99 2.64 1.94 3.09 2.39 1.63 0.61 1.61 -3.75 0.41 13.43
2015 8.18 3.01 0.07 1.26 -2.69 -1.74 0.37 0.53 -3.37 -0.28 1.92 1.18 8.26
2014 0.51 0.41 1.29 0.42 0.64 -0.05 1.57 0.62 0.83 0.88 -2.06 -3.82 1.12
2013 0.91 1.01 2.41 1.81 2.70 -1.82 0.36 0.89 1.14 2.24 1.71 -0.16 13.93
2012 6.20 4.03 3.56 -0.01 3.26 5.43 6.97 -1.07 -1.82 1.47 0.50 1.54 33.99
2011 2.71 3.40 1.65 3.32 1.74 0.30 1.49 0.18 -0.75 1.31 1.77 3.46 22.52
2010 1.98 0.44 3.23 3.34 0.91 2.32 2.16 2.03 0.31 -2.98 2.80 2.56 20.66
2009 1.66 0.59 1.32 0.38 4.00
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.

Manager Bio

Return Statistics

Last Month -0.07
3 Month ROR 0.43
Year To Date 7.46
12 Month ROR 7.46
36 Month ROR 31.94
Compound ROR 14.68
Winning Months (%) 80.00
Average Winning Month 1.85
Average Losing Month -1.57
Total Return 213.15

Risk Statistics

Sharpe Ratio 1.96
Sortino Ratio 4.47
Sterling Ratio 0.70
Calmar Ratio 1.29
Skewness 0.38
Kurtosis 1.71
Maximum Drawdown -7.48
Correlation vs S&P 500 0.14
Average Losing Month -1.57
Standard Deviation (monthly) 2.06
Downside Deviation 0.89

Risk/Return Chart

Monthly Returns

Performance (VAMI)

Distribution of Monthly Returns

12 Month Rolling ROR

Drawdown Report

No. Depth (%) Length (Months) Recovery (Months) Start date End date
1 -7.48 10 2 05/2015 04/2016
2 -5.80 2 1 11/2014 01/2015
3 -3.95 3 4 11/2016 05/2017
4 -2.98 1 2 10/2010 12/2010
5 -2.87 2 3 08/2012 12/2012

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 8.18-3.821.170.96-0.0780.00
3 Months 16.46-4.973.603.010.4383.67
6 Months 25.45-7.037.436.452.2290.53
1 Year 41.30-6.2515.4713.637.4695.51
2 Years 70.884.6733.6524.8021.88100.00
3 Years 102.6518.0753.8150.4531.94100.00
5 Years 148.2750.8699.33100.2152.00100.00

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-0.070.140.370.600.830.77
% Positive0.0066.6783.3375.0075.0072.22
Avg. Pos. Period - 0.250.450.981.621.76
Avg. Neg. Period-0.07-0.07-0.07-0.51-1.47-1.69
Sharpe0.001.983.761.871.491.19
Sortino-3.4612.2744.396.893.042.45
Std. Deviation0.000.250.341.121.972.32
Down. Deviation0.070.040.030.300.941.09

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.