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New Billion Club Member

Report: Systematic Strategies

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Stockholm (HedgeNordic) – The Nordic hedge fund industry is welcoming a new member to its exclusive €1 billion club: Asgard Fixed Income Risk Premia Fund. Launched in late 2017 with approximately €130 million, Asgard Asset Management’s fixed-income hedge fund crossed the €1 billion milestone in May, reaching €1.037 billion by month’s end following strong performance in 2023 and the first five months of this year.

“Crossing this level is indeed a significant milestone for our firm,” says Kasper Ullegård (pictured left), the CEO of Asgard Asset Management. While emphasizing that “the number itself does not make that much of a difference from one day to the next, crossing the €1 billion mark is a strong testament to the robustness of the Asgard strategy.” The Danish fixed-income boutique specializes in identifying and capturing risk premiums in interest rate markets to achieve high risk-adjusted and uncorrelated returns.

“While the number itself does not make that much of a difference from one day to the next, crossing the €1 billion mark is a strong testament to the robustness of the Asgard strategy.”

Kasper Ullegård, CEO of Asgard Asset Management.

“Although a very symbolic number, this does not change anything in terms of managing the fund,” emphasizes Ullegård. “Growing the Asgard Fixed Income Risk Premia Fund is important; however, delivering attractive returns is always the top priority.” So far, both objectives have been successfully met, and Ullegård expects this trend to continue. After gaining 16.1 percent in 2020, edging down 0.8 percent in 2021, and experiencing a single-digit loss of 8 percent in the difficult market conditions of 2022, Asgard Fixed Income Risk Premia Fund rebounded with a 21.3 percent gain in 2023 and an additional 13.8 percent in the first five months of 2024.

“Growing the Asgard Fixed Income Risk Premia Fund is important; however, delivering attractive returns is always the top priority.”

Kasper Ullegård, CEO of Asgard Asset Management.

“Despite the turmoil of 2020 and 2022, pursuing the Asgard strategy with a stable risk exposure has paid off over time,” says Ullegård. He explains that the solid performance in recent years is primarily due to the core strategies of the fund, which are rooted in the Scandinavian covered bond markets. “The fund has delivered above expectations on several metrics,” he continues. “Not only has the absolute return been very high and consistent, but it has also been achieved despite volatility in other asset classes. And to top it off, alpha creation has been significant.”

Managed by a team led by CIO Morten Mathiesen and Deputy CIO Kenny Friis Gade (pictured right), the Asgard strategy dates back to 2003 and involves capturing relative-value opportunities predominantly in Scandinavian fixed-income markets. Asgard Asset Management oversees €1.46 billion across Asgard Fixed Income Risk Premia Fund and Asgard Fixed Income Fund, the latter being a fund of one, open to a single investor. The Asgard Fixed Income Risk Premia Fund has delivered an annualized return of 6.8 percent over the past three years and 7 percent since its inception in late 2017. Looking ahead, “the expected return of the Asgard strategy is still in solid double-digit territory one year ahead,” concludes Ullegård. “Although not at the peak level from late 2022, the market environment appears very favorable when measured against comparable risk premia in the financial markets.”

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Eugeniu Guzun
Eugeniu Guzun
Eugeniu Guzun serves as a data analyst responsible for maintaining and gatekeeping the Nordic Hedge Index, and as a journalist covering the Nordic hedge fund industry for HedgeNordic. Eugeniu completed his Master’s degree at the Stockholm School of Economics in 2018. Write to Eugeniu Guzun at eugene@hedgenordic.com

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