the Asgard fixed income risk premia fund
The fund invests primarily in Scandinavian (Denmark, Norway and Sweden) mortgage bonds. The risk mandate includes EUR denominated covered bonds and the fund can also take smaller positions in Nordic interest rate derivatives to take advantage of risk premia in curve trades and cross-currency and some other types of basis. Interest rate derivative instruments are used to eliminate directional exposure. For diversification, the risk mandate includes a small allocation to alternative risk premia, e.g. volatility. Risk is allocated among the buckets to diversify the portfolio while maximizing the risk premia harvested.
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The calculations prior to the launch of the fund the 1st of October 2017, are based on the The Asgard Fixed Income Global fund, which was moved to the Asgard ICAV and combined with Asgard Risk Premia through a scheme of amalgamation approved by the Irish FSA in 2017. Hence the Asgard Fixed Income Risk Premia Fund retains the track record of the Asgard Fixed Income Global Fund which was moved in its entirety.