Asgard Fixed Income Fund

Asgard Asset Management

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.

Fund Information

General Information

NHX CategoryFixed Income
NHX CountryDenmark
Legal StructureOpen Ended Investment Fund
Fund DomicileCayman Islands
Minimum InvestmentClosed for new subscriptions
AUM436M EUR
Inception DateJul 2003
Management Fee1.50%
Performance Fee20.00%
SFDR Classification -

Company Information

CompanyAsgard Asset Management
Investor RelationsKasper Ullegård, CEO
AddressLandgreven 3
København K, 1301
Phone
E-mail[email protected]
Websitewww.asgardam.com
Social Media

Monthly Performance

  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2024 1.32 2.29 2.93 3.03 3.51 0.13 1.56 1.09 16.95
2023 3.20 2.29 -2.50 3.44 -1.50 3.57 2.84 2.88 1.67 0.42 2.46 1.51 22.02
2022 -1.12 -8.00 0.12 -2.08 -3.49 -1.74 -1.26 0.17 -8.36 6.50 5.40 3.57 -10.88
2021 1.56 -1.67 1.70 1.01 0.04 0.19 -0.27 -0.17 -1.00 -1.86 -2.08 2.02 -0.64
2020 3.35 -0.38 -4.61 4.03 3.77 1.65 2.64 1.24 0.90 0.14 2.28 0.37 16.16
2019 0.79 2.49 1.32 1.06 0.18 1.96 0.60 0.31 -1.00 0.60 0.03 -0.37 8.21
2018 -0.48 0.04 -0.85 1.17 0.49 0.14 0.31 0.86 0.73 -0.95 -1.28 1.20 1.35
2017 1.15 2.32 0.49 2.09 1.59 1.01 0.63 1.46 0.37 -0.54 1.16 -0.53 11.74
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

Portfolio Managers

Morten Mathiesen, CIO at Asgard Asset Management, has been a key manager with the Asgard Fixed Income Fund dating back to its inception in 2003. He has been ultimately responsible for the investment strategy since March 2008. In 2011, he launched Asgard Asset Management based in Copenhagen, Denmark.

Kenny Friis Gade joined Asgard Asset Management as Deputy Chief Investment Officer on March 1, 2023 after about eight years at SEB, where he worked as Head of Trading and Head of Markets. Before joining SEB in 2015, Friis worked at Nykredit Asset Management for more than ten years. He served as chief portfolio manager of Nykredit’s fixed-income-focused hedge fund strategies Mira and Kobra. He then joined SEB in April 2015 as Head of Trading before taking on an additional role as Head of Markets in September 2018.

Family of Funds

Company Programs
Asgard Fixed Income Risk Premia

Disclaimer

This information is intended for institutional investors only. All data including performance numbers have been supplied by the respective managers and funds. 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 fund’s risk disclosure document. There may be funds which have chosen not to be listed in the HedgeNordic database and the NHX that may have better or worse performance than those in our database.

The risk of loss in investing in hedge funds 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.

Monthly Returns

Performance (VAMI)

Distribution of Monthly Returns

12 MONTH ROLLING ROR Return

Drawdown Report

No. Depth (%) Length (Months) Recovery (Months) Start date End date
Fund Index Fund Index Fund Index Fund Index Fund Index
1 -25.92% 15 12 07/2021 09/2023
2 -10.40% 2 5 09/2008 03/2009
3 -5.25% 5 6 05/2015 03/2016
4 -4.97% 2 2 02/2020 05/2020
5 -4.65% 11 4 10/2005 12/2006

Drawdown

Up Capture vs. NHX Composite

Down Capture vs. NHX Composite

Time Window Analysis

3 Months6 Months1 Year2 Years3 Years
Avg. Monthly Return0.92%2.03%1.82%1.76%0.59%
% Positive100.00%100.00%100.00%87.50%66.67%
Avg. Pos. Period0.93%2.04%1.83%2.65%2.41%
Avg. Neg. Period - - - -4.12%-2.92%
Sharpe Ratio5.395.876.342.200.70
Sortino Ratio0.000.000.003.380.93
Monthly Volatility0.60%1.21%1.00%2.84%3.14%

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 7.60%-8.83%0.96%1.03%1.09%75.98%
3 Months 17.46%-9.81%2.98%2.84%2.80%78.17%
6 Months 33.52%-15.83%6.12%6.42%12.85%81.12%
1 Year 57.41%-24.85%12.61%10.39%24.19%87.65%
2 Years 89.97%-21.70%26.73%21.75%52.04%92.64%
3 Years 138.05%-11.29%44.56%36.06%23.44%97.26%
5 Years 270.39%-2.89%96.26%73.74%45.70%99.49%

Volatility (12 Months Rolling)

CORRELATION (12 MONTH ROLLING)

AUM (EUR)

Disclaimer

This information is intended for institutional investors only. All data including performance numbers have been supplied by the respective managers and funds. 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 fund’s risk disclosure document. There may be funds which have chosen not to be listed in the HedgeNordic database and the NHX that may have better or worse performance than those in our database.

The risk of loss in investing in hedge funds 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.

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.

Fund Information

General Information

NHX CategoryFixed Income
NHX CountryDenmark
Legal StructureOpen Ended Investment Fund
Fund DomicileCayman Islands
Minimum InvestmentClosed for new subscriptions
AUM436M EUR
Inception DateJul 2003
Management Fee1.50%
Performance Fee20.00%
SFDR Classification -

Company Information

CompanyAsgard Asset Management
Investor RelationsKasper Ullegård, CEO
AddressLandgreven 3
København K, 1301
Phone
E-mail[email protected]
Websitewww.asgardam.com
Social Media

Monthly Performance

  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2024 1.32 2.29 2.93 3.03 3.51 0.13 1.56 1.09 16.95
2023 3.20 2.29 -2.50 3.44 -1.50 3.57 2.84 2.88 1.67 0.42 2.46 1.51 22.02
2022 -1.12 -8.00 0.12 -2.08 -3.49 -1.74 -1.26 0.17 -8.36 6.50 5.40 3.57 -10.88
2021 1.56 -1.67 1.70 1.01 0.04 0.19 -0.27 -0.17 -1.00 -1.86 -2.08 2.02 -0.64
2020 3.35 -0.38 -4.61 4.03 3.77 1.65 2.64 1.24 0.90 0.14 2.28 0.37 16.16
2019 0.79 2.49 1.32 1.06 0.18 1.96 0.60 0.31 -1.00 0.60 0.03 -0.37 8.21
2018 -0.48 0.04 -0.85 1.17 0.49 0.14 0.31 0.86 0.73 -0.95 -1.28 1.20 1.35
2017 1.15 2.32 0.49 2.09 1.59 1.01 0.63 1.46 0.37 -0.54 1.16 -0.53 11.74
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

Portfolio Managers

Morten Mathiesen, CIO at Asgard Asset Management, has been a key manager with the Asgard Fixed Income Fund dating back to its inception in 2003. He has been ultimately responsible for the investment strategy since March 2008. In 2011, he launched Asgard Asset Management based in Copenhagen, Denmark.

Kenny Friis Gade joined Asgard Asset Management as Deputy Chief Investment Officer on March 1, 2023 after about eight years at SEB, where he worked as Head of Trading and Head of Markets. Before joining SEB in 2015, Friis worked at Nykredit Asset Management for more than ten years. He served as chief portfolio manager of Nykredit’s fixed-income-focused hedge fund strategies Mira and Kobra. He then joined SEB in April 2015 as Head of Trading before taking on an additional role as Head of Markets in September 2018.

Family of Funds

Company Programs
Asgard Fixed Income Risk Premia

Return Statistics

Last Month Return 1.09%
3 Month Return 2.80%
Year to Date Return 16.95%
12 Month Return 24.19%
36 Month Return 23.44%
Total Return Annualized 11.93%
Winning Months (%) 75.98%
Average Winning Month 1.75%
Average Losing Month -1.51%
Total Return Cumulative 985.57%

Risk Statistics (12M)

1 Year
Sharpe Ratio6.34
Sortino Ratio0.00
Sterling2.42
Calmar -
Skewness0.00
Kurtosis-0.17
Maximum Drawdown0.00%
Correlation vs S&P 5000.18
Annualized Volatility3.46%
Annualized Down. Deviation0.00%

Risk/Return Comparison

Monthly Returns

Performance (VAMI)

Distribution of Monthly Returns

12 MONTH ROLLING ROR Return

Drawdown Report

No. Depth (%) Length (Months) Recovery (Months) Start date End date
Fund Index Fund Index Fund Index Fund Index Fund Index
1 -25.92% 15 12 07/2021 09/2023
2 -10.40% 2 5 09/2008 03/2009
3 -5.25% 5 6 05/2015 03/2016
4 -4.97% 2 2 02/2020 05/2020
5 -4.65% 11 4 10/2005 12/2006

Drawdown

Up Capture vs. NHX Composite

Down Capture vs. NHX Composite

Time Window Analysis

3 Months6 Months1 Year2 Years3 Years
Avg. Monthly Return0.92%2.03%1.82%1.76%0.59%
% Positive100.00%100.00%100.00%87.50%66.67%
Avg. Pos. Period0.93%2.04%1.83%2.65%2.41%
Avg. Neg. Period - - - -4.12%-2.92%
Sharpe Ratio5.395.876.342.200.70
Sortino Ratio0.000.000.003.380.93
Monthly Volatility0.60%1.21%1.00%2.84%3.14%

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 7.60%-8.83%0.96%1.03%1.09%75.98%
3 Months 17.46%-9.81%2.98%2.84%2.80%78.17%
6 Months 33.52%-15.83%6.12%6.42%12.85%81.12%
1 Year 57.41%-24.85%12.61%10.39%24.19%87.65%
2 Years 89.97%-21.70%26.73%21.75%52.04%92.64%
3 Years 138.05%-11.29%44.56%36.06%23.44%97.26%
5 Years 270.39%-2.89%96.26%73.74%45.70%99.49%

Volatility (12 Months Rolling)

CORRELATION (12 MONTH ROLLING)

AUM (EUR)

Disclaimer

This information is intended for institutional investors only. All data including performance numbers have been supplied by the respective managers and funds. 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 fund’s risk disclosure document. There may be funds which have chosen not to be listed in the HedgeNordic database and the NHX that may have better or worse performance than those in our database.

The risk of loss in investing in hedge funds 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.

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Data and information is provided for informational purposes only. Past performance is not necessarily indicative of future results.

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