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.

 

Return graph

return table