Bitte erläutern Sie kurz die drei Substile, in denen die neuen Nordea-Hedgefonds Tätig sind? Wie unterscheiden sich die drei Assetklassen voneinander?
Managed Derivatives
The investment strategy is based on the belief that certain structural imperfections exist in financial markets and these imperfections can be exploited through market volatility analysis. The key elements of the strategy involve selling volatility, primarily by selling short-dated strangles in various markets, then hedging the downside risk by buying longer-dated strangles and finally using variance swaps for complementary volatility management and diversification.
European Equity Hedged
The Fund’s objectives are to be achieved by creating sustainable alpha through investing in stocks with low risk and stable returns.
The return will primarily be obtained by engaging in strategies with a high degree of correlation between long and short positions. These are strategies in which a portfolio of stocks is bought and at the same time another portfolio of stocks is sold short. The short selling may be done in two different ways. Either as a sold index future on a regulated stock exchange or as a borrowed stock sold short by using a stock lending agreement. Assuming that the same volume has been traded on the sold and bought portfolio, the Fund will not have any exposure to general market movements. Fund exposure will arise from the price difference on the weighted assets between the bought and the sold portfolio.
Arbitrage Fund
The Fund invests according to an interest arbitrage strategy, assuming that Fishers interest rate parity is not perfectly fulfilled.
The strategy implies that loans can be taken in low-interest currencies and then placed in higher interest denominated assets. Leverage of the fund may not exceed 400% of the net assets. A loan could be taken up for example in Swiss francs (CHF) of approx. four times the investment subscription level. This would then be invested, along with the original investment, in Danish mortgage bonds or other higher yielding fixed income assets. This strategy then seeks to exploit the yield difference between the Danish mortgage bonds and the short-term Swiss interest rates. Assuming that prices on mortgage bonds as well as the CHF remain stable, the Fund will earn the difference between the coupon and the Swiss short term interest rates multiplied by four times. In addition the Fund will also earn the yield on the bonds purchased by the initial investment and the concept has historically also earned on the bond price increase as yields drifted downwards.
Welche Sektoren bieten (basierend auf den drei angebotenen Produkten) derzeit die relativ gesehen besten Chancen?
The three strategies are very much independent of one another and offer significant opportunities to very differing types of investors. It is not possible to suggest one strategy over another as we are quite confident that each of the strategies will be successful in their own right and will achieve their stated objectives on a consistent basis.
Wie sieht das Chancen/Risikoprofil der neuen Produkte aus: Mit welcher Renditen bzw. Risiko kann ein Anleger mit den 3 Fonds in den nächsten Jahren rechnen?
The Arbitrage Fund seeks to provide investors with a significant risk-adjusted annual absolute return of Euribor + 8% - 10% with a Sharpe ratio above 1 over a long-term period.
The European Equity Hedge Fund seeks to preserve capital and to provide a strong risk-adjusted annual return of 7% - 9% percent gross, whilst maintaining volatility at 2% – 5%, over a long-term period.
The Nordea Managed Derivatives Fund seeks to preserve the capital invested, by limiting the downside risk and to provide a significant annual average return of approximately 10% – 15% with average historic volatility of around 7% – 10%.
Wie stellen sich die Korrelationen dieser drei Produkte zu den breiten Aktien/Anleihenindizes dar?
The European Equity Hedge Fund is market neutral. Correlation to the market is expected to be around 0.0 to 0.1.
The Managed Derivatives Fund trades mostly through the equity markets, however the performance has little correlation, with the exception of during market shocks. A great amount of effort is concentrated on managing jump risk and hedging out these large market movements.
The Arbitrage Fund may be affected by short term factors such as the direction of global bond yields, currency movements and credit crunches. The team however through detailed analysis and security selection seeks to reduce any negative influence. Volatility of the Fund is however primarily dependent on external market factors.
Was hebt die Nordea-Hedgefonds von der Vielzahl bereits bestehenderKonkurrenzfonds ab?
Nordea Alternative Investment is a Luxembourg-registered investment company based on part II of the law of 20.12.2002 on collective investment undertakings. Compared to an offshore structure, this Fund is governed by the Luxembourg legislative framework and disclosure requirements. Nordea Alternative Products, also located in Luxembourg, takes investment decisions independently but has access to the full range of resources available to the Nordea Group. This allows the Team flexibility and timeliness in decision-making, as well as providing stability and reassurance for the investor. With many years of combined investment experience in related functions the team is well positioned to ensure the success of these new products.
The team introduced the arbitrage and European equity hedge concepts a number of years ago and were delighted by the success of these products and have therefore decided to open them up to a larger investor base through a fiscally transparent SICAV II vehicle.
The SICAV II structure into which these products have been launched allows the investor the opportunity to invest in a range of products under a single umbrella. The funds are among the first products on the market in a SICAV II structure from a UCITS III compliant company.
The European Equity Hedge Fund is one of the few long/short products on the market with a defensive style bias that is generally market neutral. Similar products managed by the Fund’s Team since February 2002 has successfully employed the investment strategy and the Team has achieved stated investment objectives. A sharp focus is maintained on defensive rather than on high beta sectors, with a beta very close to 0. The Team bases its ability to generate investor value on an investment process that has a tried-and-tested track record. Key aspects of this approach include: active investment management with a strong performance record; no benchmark constraints; the search for absolute return while stressing capital preservation; a defensive style bias; low volatility; and disciplined investment approach.
Drawing on proven expertise accumulated over a decade since 1996 the Arbitrage Fund Management team bases its ability to generate investor value on an investment process that has a proven and exhaustively tested track record. Key aspects of this approach include: leverage of the Fund (between 0 and 3 times); composition of the asset portfolio; duration of the assets; credit quality; composition of the liability portfolio; and duration of the liabilities. Nordea is one of only a few players applying this investment strategy and are not aware of any other players on the hedge fund scene with a longer track record than that of the off shore vehicle that laid the foundation for the strategy.
The Managed Derivatives Team draws on proprietary expertise in optimising the Fund’s short volatility component while hedging the prevalent risks, thereby endowing the product with its unique characteristics. To make the Fund even more appealing to a wider investor circle, the Team significantly controls the downside risk. The Team has also added diversification to the strategy, while maintaining a clear and consistent focus on trading volatility in various markets.
Volatility trading within the financial markets is a niche business and difficult to compare with other hedge funds. The team believe the Fund can provide a significant return for its investors, maintaining low volatility, and that is likely to have a maximum drawdown of approximately 10% over a three month period of time.
European Long/Short: Welcher Zusatzertrag zu europäischen Aktien ist mit diesem Produkt möglich? Wie stellt sich das derzeitige Marktumfeld bei Europa-Aktien dar?
The team focuses on absolute return rather than relative returns and has an active investment approach to portfolio management. The team uses the MSCI Europe index solely as a risk reference (beta, correlation) and does not use it for portfolio construction purposes. The Fund is market neutral and the team do not make predictions as to the outlook for markets in general. Focus is at the business level and identifying undervalued opportunities in the European market. The investment philosophy is designed to ensure the Fund is not affected by any one particular market influence and past performance of similar products has shown that the Funds perform well in different environments. The ability to execute a disciplined investment approach has allowed the team to capture strong returns in a wide variety of markets. The most advantageous environment for the approach is in slightly negative markets although similar products have been successful for a number of years in a variety of markets.
Arbitrage: Welche Investmentstrategien verfolgen Sie mit diesem Produkt derzeit?
"The core strategy is to make use of what we call the unfulfilled Fisher parity. That is taking up cheap investment loans and placing it into currencies with higher interest rates. We adhere to this strategy, but are a little cautious for the time being due to the historical low yields. Thus our asset portfolio does not currently have high duration and leverage is capped around 1 time in the present cycle.
Having said that we are still in the process of building up the portfolio after inception. Eventually, liabilities will consist of about half in CHF and half in JPY as there are no significant signs in these two economies that the currencies will appreciate any time soon. On the asset side we seek to add some Australian govies to the portfolio of Danish mortgage bonds that we already have."
