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Nordea 1 – Flexible Fixed Income FundISIN LU0915363070 (BI-EUR)
October 2019
*Regulated Qualified Investors are regulated financial intermediaries such as banks, securities dealers, fund
management companies, asset managers of Funds, central banks and regulated insurance institutions.
For Regulated Qualified Investors*
Multi Assets Team Investment Philosophy
Confidential
Strategic Dynamic Beta
Multi Assets – Process & Products
Portfolio Construction
Duration TAA
Equity TAA
Credit TAA
Proprietary Return Drivers
Reversals
Factor Models
Currency Premia
Low Risk
Volatility
Lead Momentum
…
Products & Services
FI Asset
Allocation
Stable Equities
Enhanced Equity
Equity Income
Alternatives
(Hedge Funds)
SAA
Balanced
Sweden
Balanced
Finland
Balanced
Norway
Balanced
Denmark
Unconstrained
Balanced
ALM
3
*Please note that not all MA team members are involved in the management of the sub-fund. Date: 30.06.2019.
Investment Committee and Management Structure
Multi Assets – Research structure:
Multi Assets in short*
• Around 40 professionals
• Total AuM: Around EUR 90 billion, managed across multiple strategies and asset classes
• AuM in the Nordea 1 – Flexible Fixed Income Fund is EUR 3.3 billion.
Asbjørn Trolle HansenHead of Multi Assets
Karsten BierrePortfolio Manager
Head of Fixed Income Allocation
Søren LolleCo-Portfolio Manager
SAA & Risk
Caroline HennebergCo-Portfolio Manager
TAA & Risk
Confidential
4
There can be no warranty that investment objectives, targeted returns and results of an investment structure are achieved. The value of your investment can go up and down, and you could lose some or all of your invested money.
Motivation – All-weather product:
• New risk-mitigating strategies in a low-yield environment
• Global asset allocation and unconstrained investment universe
• Risk balancing and true diversification
Nordea response to Low-Growth / Low-Yield Environment:Nordea 1 – Flexible Fixed Income Fund
Capital preservation obtained via flexibility
Objectives – Outcome:
• Build an optimal fixed income portfolio with a fairly low level of risk (normal target volatility 2-5%)
• Produce approx. 2% returns in excess of cash rate per annum over a full investment cycle
Confidential
5
Example: European Corporate Bonds
Focus on returns from duration and credit risk rather
than total return
We consider return driversUnderstanding asset class behaviour
• A return driver is interpreted as a risk premium
• Definition of a risk premium: Excess return required
for taking a certain risk
• Risk is easier to identify when focusing on risk
premiums rather than asset classes
• Correlation analysis is more robust for risk premiums
than for asset classes
Focus on risk premiums rather than asset classes
Risk Free Rate
German Duration
Risk Premium
Europe IG Credit Spreads
Note: For illustrative purposes only.
European Corporate Bonds Total Return
Confidential
6
Risk balancingTo significantly reduce the overall risk of the portfolio
Note: For illustrative purposes only.
The Economic Cycle
Return drivers working
in periods of recession
Return drivers working
in periods of recovery
Total performance
Illustrative performance
Peak
Trough
Peak
Recession
Expansion
Actual
growth
Growth
trend
Time
Output (GDP)
Time
Return
No need to make the correct macroeconomic call to achieve a positive Total Return in all periods of the
economic cycle
Confidential
7
Strengthening risk balancing principles
Due to the low yield environment the risk is no longer in balance
Bull Markets
Return drivers which perform during
bull markets
• High Yield Spreads
• Emerging Market Debt Spreads
Bear Markets
Return drivers which perform during
bear markets
• High Quality Gov. Bonds
Can we re-establish the risk balance?
Confidential
8
Strengthening risk balancing principles
Return drivers which perform
during bear markets
• High Quality Gov. Bonds
Re-establishing the risk balance:
• Flexible SAA
• Active Currency Management
• TAA risk reduction
Bear Markets Bull Markets
3 attempts to “re-establish” the risk balance (increase the risk protection without compromising the returns)
Return drivers which perform
during bull markets
• High Yield Spreads
• Emerging Market Debt Spreads
-0.8
-0.6
-0.4
-0.2
0
0.2
24 months rolling return correlation
EU HY Xover and US/German 10Ybond futures
Note: For illustrative purposes only. Source Nordea Investment Management AB. Period under consideration: 01.09.2005 to 28.06.2019.
Confidential
9
Examples of negatively correlated return drivers
Note: For illustrative purposes only. Source Nordea
Investment Management AB. Period under
consideration: 01.09.2005 – 31.12.2018
Confidential
10
Investment universeSelecting return drivers performing well in up or down markets
Asset classes which perform during bear markets
Asset classes which perform during bull markets
USD Emerging Markets
Gov.
US & EUCorp.
US & EU High Yield
Eurozone Gov.
EuropeanCovered
High Quality Gov. 5Y
High Quality
Gov. 10Y
G10 Currenci
es
High Quality
Currencies
Local
Currency
Emerging
Markets
Gov.
Inflation
spread
Confidential
11
Tactical asset allocation (TAA)Bringing risk down in times of trouble
Tactical models are used to Reduce the Risk:
•Strengthen the balance of risk by adding risk-off strategies
•Based on systematic valuation and tactical assessment
TAA adjustment on SAA
Example with 5% target volatility
Vol. < 5%
Vol. > 5%
Lower bound for the
allocation after applying
the tactical overlayNote: for illustrative purposes only.
Source: Thomson Reuters Datastream. 3 months rolling, daily data annualized %. Period under consideration: 01.01.2015– 15.07.2019.
TAA risk
reduction
TAA risk
reduction
TAA risk
reduction
TAA risk
reduction
Portfolio volatility (Nordea 1 – Flexible Fixed Income Fund)
Performance Update
Confidential
Calendar Year Returns in % Fund
2014 6,11%
2015 1,83%
2016 1,48%
2017 1,62%
2018 -0,88%
YTD 5,08%
Cumulative Returns in % Fund
YTD 5,08%
1 month 0,15%
3 months 1,95%
6 months 2,38%
1 year 4,65%
3 years 3,32%
5 years 9,41%
Since inception 13,34%
13
Nordea 1 – Flexible Fixed Income Fund (BI-EUR)Performance
Source (unless otherw ise stated): Nordea Investment Funds S.A.
Period under consideration (unless otherw ise stated): 29/08/2014 - 30/08/2019.
Performance calculated NAV to NAV (net of fees and Luxembourg taxes) in the currency of the respective share
class, gross income and dividends reinvested, excluding initial and exit charges as per 30/08/2019. Initial and exit
charges could affect the value of the performance. The performance represented is historical; past
performance is not a reliable indicator of future results and investors may not recover the full
amount invested. The value of shares can greatly fluctuate as a result of the sub-fund’s investment
policy and cannot be ensured, you could lose some or all of your invested money.
If the currency of the respective share class differs from the currency of the country w here the investor resides
the represented performance might vary due to currency f luctuations.
*Launch date: 02.05.2013.
*
Confidential
14
Flexible Fixed Income Strategy (Gross of Fees)Performance contributions YTD 2019 by return drivers
▪ Main positive contributors:
▪ Main negative contributors:
Source: Nordea Investment Management AB. Performance contributions based on the Nordea Flexible Fixed Income Strategy (gross of fees). The performance
represented is historical; past performance is not a reliable indicator of future results and investors may not recover the full amount invested.
The value of your investment can go up and down, and you could lose some or all of your invested money.
Period under consideration: 31.12.2018 - 30.08.2019.
HQ Govies, HY Spreads & IG Spreads
TAA Duration, TAA Credit & Inflation Spread
-2.64%
-0.46%-0.18%
0.08%0.16%0.24%0.24%0.44%0.48%
1.50%
1.62%
3.53%
-4.0%
-2.0%
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
Total
HQ Govies
HY Spreads
IG Spreads
FX Valuation & Quality
EM Spreads
Yield Curve
Eurozone Spreads
Covered Bonds Spreads
Cross Assets Anti-Beta
Inflation Spread
TAA Credit
TAA Duration -3.11%
8.13%
-4.0%
-2.0%
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
Total
SAA
TAA
Confidential
15
Flexible Fixed Income Strategy (Gross of Fees)Performance contributions 2018 by return drivers
▪ Main positive contributors:
▪ Main negative contributors:
Source: Nordea Investment Management AB. Performance contributions based on the Nordea Flexible Fixed Income Strategy (gross of fees). The performance
represented is historical; past performance is not a reliable indicator of future results and investors may not recover the full amount invested.
TAA Duration, FX Valuation & Quality & HQ Govies
Inflation Spread, HY Spreads & IG Spreads
The value of your investment can go up and down, and you could lose some or all of your invested money.
Period under consideration: 31.12.2017 - 28.12.2018.
-0.37%
-0.36%
-0.32%
-0.28%
-0.22%
-0.18%
0.08%0.10%
0.35%
0.39%
0.66%
-2.0%
-1.5%
-1.0%
-0.5%
0.0%
0.5%
1.0%
1.5%
2.0%
Total
TAA Duration
FX Valuation & Quality
HQ Govies
Cross Assets Anti-Beta
TAA Credit
Eurozone Spreads
EM Spreads
Covered Bonds Spreads
IG Spreads
HY Spreads
Inflation Spread
0.74%
-0.89%
-1.0%
-0.8%
-0.6%
-0.4%
-0.2%
0.0%
0.2%
0.4%
0.6%
0.8%
1.0%
Total
SAA
TAA
Confidential
16
Performance vs. peers 2018-2019Nordea 1 – Flexible Fixed Income Fund BI-EUR
Source: © 2019 Morningstar, Inc. All Rights Reserved. Data as at: 05.09.2019. European Open End Funds database, Morningstar EAA OE Global Flexible Bond – EUR Hedged category. Period under consideration: 01.01.2018 – 31.08.2019.
Performance in EUR and based on daily observations. The performance represented is historical; past performance is not a reliable indicator of future results and investors may not recover the full amount invested. The value of
shares can greatly fluctuate as a result of the sub-fund’s investment policy and cannot be ensured, you could lose some or all of your invested money. If the currency of the respective share class differs from the currency of the
country where the investor resides the represented performance might vary due to currency fluctuations.
EAA OE Global Flexible Bond
– EUR Hedged category
Nordea 1 – Flexible Fixed
Income Fund (BI-EUR)
Positioning
Confidential
18
Distribution of risk budgetThe power of diversification and TAA
Overall portfolio risk is significantly reduced thanks to truly diversifying return drivers and TAA
Note: For illustrative purposes. Sources: Bloomberg and Nordea Investment Management AB. Date: 30.08.2019.
Diversification and TAA overlay can
reduce total portfolio risk from 10.7% to
only 3.2%3.2%
1.3%
1.9%
4.3%
0.2%2.1%
1.6%
0.3%0.3% 0.7%
0.4%0.6%
1.7%
1.6%
1.1%
0%
2%
4%
6%
8%
10%
12%
Total risk and the individual return drivers’ contribution to risk
Confidential
19
Portfolio positioning as of September 05, 2019
Portfolio Characteristics
2.0 years
0.39%
AA-
Modified Duration
YTM
Avg. Credit Rating
1) The % of notional exposure is a breakdow n designed to represent the fund’s ow nership of both traditional f ixed income securities and derivatives including, but not limited to, futures,
credit default sw aps, options and sw ap contracts. Internal calculations taking derivatives and funds into account, w here derivatives count w ith their notional exposure. Based on internal
calculations and MSCI Barra. These figures may differ from our standard monthly reports as these only take physical positions into consideration.
Source: Nordea Investment Management AB. Date: 05.09.2019.
44.6%
Val. 10.5%FX, 2.2%
7.6%
13.7%
27.9%
9.9%
31.3%
19.8%
18.2%
3.0%
-21.7%-16.1%
Qual. 4.0%
FI, 1.1%
-7.6%
-30%
-20%
-10%
0%
10%
20%
30%
40%
50%
60%
70%
High
Quality
Govies
FX
Valuation
& Quality
Cross
Assets
Anti-Beta
Yield
Curve
Inflation
Spread
Covered
Bonds
Spreads
Eurozone
Spreads
IG
Spreads
HY
Spreads
EM
Spreads
Cash TAA
Credit
TAA
Duration
% Notional Exposures1
Confidential
20
Actively managed currencies
Source: Nordea Investment Management AB. Illustrative example based on the Flexible Fixed Income Strategy, hence there might be some minor deviations relative to the sub-fund.
4.9%
3.4%
1.3%
0.7%
-1.1% -1.1%
-2.4% -2.5%-2.7%
-4.0%
-3.0%
-2.0%
-1.0%
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
JPY SEK GBP USD NOK CAD NZD EUR AUD
FX Valuation & Quality exposures as of August 30, 2019
1.2%
0.6%
0.3%
-0.3% -0.3%
-0.6%
-0.9%
-1.5%
-1.0%
-0.5%
0.0%
0.5%
1.0%
1.5%
CHF JPY USD EUR GBP SEK CAD
Cross Assets Anti-Beta exposures as of August 30, 2019
Confidential
Main changes in the strategy the past 12 monthsStrategic and tactical asset allocation
21
Sources: Nordea Investment Management AB.
• New SAA return driver introduced: FX Valuation & Quality, which replaces the previous
FX Valuation return driver and now includes both Valuation and Quality selected
diversifying currencies. As of beginning October the portfolio have ~5% allocated to
Quality FX (USD).
• In December the overall risk was increased from 3.75% to 4.50% ex-ante, aiming
to exploit the opportunities created by the rise in rates and spreads over 2018
(which strengthens expected returns and implicit diversification). As a result SAA
duration increased approx. by 0.25 years and SAA HY sensitivity increased by
approx. 0.5 years.
• As of beginning of Q2 the overall SAA risk has been reduced to 4% ex-ante after
strong asset class performance in Q1.
• Both portfolio duration and credit sensitivity has been reduced, and there has been
a reallocation from IG/HY to EMD.
• Duration is down from ~4.7 years at the beginning of Jan to close to zero in the
beginning of Q2 (both TAA and SAA duration reduced).
• New SAA return driver introduced: Yield Curve Strategy. A yield curve steepness
based strategy for selecting high-conviction government bond country exposures
(as of March the strategy has a ~7% allocation). Source: Thomson Reuters Datastream. 3 months rolling, daily data annualized %. Period under consideration: 01.01.2015– 15.07.2019.
TAA risk
reduction
TAA risk
reduction
TAA risk
reduction
TAA risk
reduction
Portfolio volatility (Nordea 1 – Flexible Fixed Income Fund)
• Long position in JPY (~2%) replaced part of the USD exposure in the FX Quality
strategy.
• Exploiting the flexibility of the fund, duration was taken up to ~3.2 years at the
beginning of June. It was afterwards lowered again to around ~0.8 years going into
July.
• As of beginning of Q3 the strategic allocation to the FX Valuation Strategy
increased by ~3% .
Q3 2018
Q4 2018
Q1 2019
Q2 2019
Appendix
Confidential
23
Flexible Fixed Income Strategy (Gross of Fees)
Performance contributions February 2019 by return drivers
▪ Main positive contributors:
▪ Main negative contributors:
Source: Nordea Investment Management AB. Performance contributions based on the Nordea Flexible Fixed Income Strategy (gross of fees). The performance
represented is historical; past performance is not a reliable indicator of future results and investors may not recover the full amount invested.
HY Spreads, IG Spreads & TAA Duration
HQ Govies, TAA Credit & Cross Assets Anti-Beta
The value of your investment can go up and down, and you could lose some or all of your invested money.
Period under consideration: 31.01.2019 - 28.02.2019.
-0.21%
-0.12%
-0.05%-0.04%
0.02%0.04%0.04%0.06%0.07%
0.14%
0.29%
0.35%
-0.6%
-0.4%
-0.2%
0.0%
0.2%
0.4%
0.6%
0.8%
1.0%
1.2%
Total
HY Spreads
IG Spreads
TAA Duration
Inflation Spread
Covered Bonds Spreads
FX Valuation & Quality
EM Spreads
Eurozone Spreads
Yield Curve
Cross Assets Anti-Beta
TAA Credit
HQ Govies
0.01%
0.57%
0.0%
0.1%
0.2%
0.3%
0.4%
0.5%
0.6%
0.7%
Total
SAA
TAA
Confidential
24
Risk balancingTo significantly reduce the overall risk of the portfolio
Note: For illustrative purposes only.
The Economic Cycle
Return drivers working
in periods of recession
Return drivers working
in periods of recovery
Total performance
Illustrative performance
Peak
Trough
Peak
Recession
Expansion
Actual
growth
Growth
trend
Time
Output (GDP)
Time
Return
No need to make the correct macroeconomic call to achieve a positive Total Return in all periods of the
economic cycle
Confidential
25
Investment process
Note: for illustrative purposes only.
Focus on Return Drivers & Strategic AssetAllocation Research
Optimization Implementation
Tactical Asset Allocation &
Risk Monitoring
• Identification ofinvestable assets and return factors
− Risk/return characteristics
− Based on Strategic Asset Allocation Research
• Selection of relevantassets
− Based on factor risk
− Security selection consistent with factor
• Focus on both Risk-on and Risk-off strategies
− Risk-on assets work in periods of recovery
− Risk-off assets work in periods of recession
• Conviction setting based on SAA research
− Sharpe ratios
• Efficient frontier optimization
• Investment committee meeting
− Signs off portfolio composition
• Daily monitoring of proprietary asset allocation models
• Portfolio adjustments based on output from tactical asset allocation models
− Duration
− Credit
• Daily risk monitoring
• Implementation
− Cash bonds
− Synthetic replication
Step 1 Step 2 Step 3 Step 4
Confidential
26
Active currency management used as a defensive return driverNegative correlation to credit to facilitate risk balancing in the future
Nordea Multi Assets’ response:
Implement investment strategies that have positive expected return and anti-beta characteristics
• Some currencies or currency crosses have defensive characteristics and act a bit like a bond, e.g. USD and JPY
• However, like other return drivers, they can lose these defensive characteristics if they get overvalued
• We use valuation metrics to assess if a currency is over/under valued
Note: For illustrative purposes only. Source Nordea Investment Management AB. Period under consideration: 01.09.2005 to 26.08.2019
Sources: Datastream. Performance of JPY and USD relative to EUR during a crisis. Period under consideration:: 01.01.2007 – 08.01.2019.
-1
-0.8
-0.6
-0.4
-0.2
0
0.2
Sep-07 Sep-08 Sep-09 Sep-10 Sep-11 Sep-12 Sep-13 Sep-14 Sep-15 Sep-16 Sep-17 Sep-18
24 months rolling return correlation
EU HY Xover and US/German 10Ybond futures
EU HY Xover and MA FX Valuation& AntiBeta back test
Confidential
Government bond selection process - Yield curve strategy
27
Back-test, long/short
Back-test characteristics:
• Implemented through government bond futures
Investment philosophy
Ranking the countries on yield curve steepness
EUR CAD JPY USD AUD GBP
High quality government bonds
EUR
JPY
GBP
USD
AUD
CAD Sell
Buy
A steeper/flatter curve => greater long/short weight
Source: Bloomberg
Period under consideration: 01.01.2006 – 28.08.2019. There can be no warranty that an investment objective, targeted returns and results of an investment structure is achieved. The value of your
investment can go up and down, and you could lose some or all of your invested money.
0.95
1.05
1.15
1.25
1.35
1.45
Jan-06 Jan-08 Jan-10 Jan-12 Jan-14 Jan-16 Jan-18
0.8
1
1.2
1.4
1.6
1.8
2
Jan-06 Jan-08 Jan-10 Jan-12 Jan-14 Jan-16 Jan-18
Steepest curves
Flattest curves
Avg basket
3.36%
0.9
-0.14
0.33Correlation to ½-½ EU & US 10Y bond futures
Volatility
Sharpe Ratio after trading costs
Correlation to EU HY (Xover)
Monthly Periods Avg Strategy Perf
+ Xover MTH 99 0.24%
– Xover MTH 63 0.23%
+ RX/TY MTH 96 0.47%
– RX/TY MTH 67 -0.08%
Confidential
Cross Assets Anti-Beta strategy
28
Strategy description
• Overall the objective is to utilize tactical positions in FX forwards and
FI futures to minimize the drawdown and volatility of bull market
return drivers
• The strategy follows a 3 step procedure:
Back test
Historical performance in back test
• Volatility: 11.2%
• Correlation to European High Yield: -0.5
• Sharpe Ratio: 0.6
Europ. High Yield vs. Cross Asset – Anti Beta strategy(Performance sorted by European HY behavior)
Source: Nordea Investment Management AB. Date: 30.09.2005 - 31.12.2016. Data for calculation:European HY return is based on BofA Merrill Lynch European High Yield Constrained Index. For illustrativepurposes only. The performance represented is historical; past performance is not a reliable indicatorof future results and investors may not recover the full amount invested. The value of yourinvestment can go up and down, and you could lose some or all of your invested money.
Step 1
• Estimate the correlation between FI futures, FX forwards and equity markets using short term data
Step 2
• Build correlation matrices for bull and bear markets to optimize the allocation according to the expected environment
Step 3
• Build a portfolio of FX and FI positions in order to reduce the volatility and drawdown resulting from risky assets
Monthly Periods Avg Strategy Perf Avg Euro HY Perf
+ HY MTH 146 -0.07% 1.91%
– HY MTH 62 2.11% -2.12%
Confidential
Examples of models and parameter contributions:
Total portfolio duration (FFIF):
Source: Nordea Investment Management AB. Period under consideration: May
2013 - Sep 2019.
Source: Bloomberg and Multi Assets calculations - Nordea Investment
Management AB. For illustrative purposes only.
0.0
1.0
2.0
3.0
4.0
5.0
6.0
May 13 May 14 May 15 May 16 May 17 Jan 18 Aug 18 May 19
29
Tactical asset allocation modelsExample: Duration model
Note: For illustrative purposes only.
Duration investment philosophy: Buy attractive valuation given certain
conditions (supportive fundamental momentum and/or relative price
changes).
Valuation is measured by yield curve steepness.
Model output is the probability that bonds
will outperform cash.
LONG
DURATION
SHORT
DURATION
SHORT
DURATION
SHORT
DURATION
LONG
DURATION
LONG
DURATION
Momentum in
macro
and risk
assets
Yield curve
steepness
Confidential
Examples of models and parameter contributions:
Total portfolio credit exposure (FFIF):
Source: Nordea Investment Management AB. Credit exposure is measured as
total portfolio sensitivity to high yield spread movements. Period under
consideration: May 2013 - Sep 2019.
Source: Bloomberg and Multi Assets calculations - Nordea Investment
Management AB. For illustrative purposes only.
0.0
0.4
0.8
1.2
1.6
2.0
2.4
2.8
May 13 May 14 May 15 May 16 May 17 Jan 18 Aug 18 May 19
30
Tactical asset allocation modelsExample: Credit model
Note: for illustrative purposes only.
Credit investment philosophy: Buy attractive valuation given certain
conditions (supportive fundamental momentum and/or relative price
changes).
Valuation is measured by credit spreads adjusted for expected defaults.
Model output is the probability that credit bonds will outperform government
bonds.
LONG
CREDIT
SHORT
CREDIT
SHORT
CREDIT
SHORT
CREDIT
LONG
CREDIT
LONG
CREDIT
Momentum in
expected
defaults
Credit
spread
Confidential
31
Tactical asset allocation (TAA)Bringing risk down in times of trouble
Tactical models are used to Reduce the Risk:
• Strengthen the balance of risk by adding risk-off strategies
• Based on systematic valuation and tactical assessment
TAA adjustment on SAA
Example with 5% target volatility
Vol. < 5%
Vol. > 5%
Lower bound for the
allocation after applying
the tactical overlay
Note: for illustrative purposes only.
Confidential
32
2018: Diversification (risk-balancing) has worked well, especially in both Q3 and Q4
Source: Datastream, Multi Asset Team - Nordea Investment Management AB 28.12.2018 The performance represented is historical; past performance is not a reliable indicator of future results and investors may not recover the
full amount invested. The value of your investment can go up and down, and you could lose some or all of your invested money.
FFIF 2018 performance contribution
Note:
• ”Sum TAA” consists of TAA duration and TAA credit
• “Sum green” consists of HQ govies, FX Defensive,
Cross Assets Anti-Beta and Cash
• “Sum red” consists of spread exposures (HY, EM,
IG, Eurozone, Covered Bonds and Inflation)
-0.89%
-0.54%
-0.32%
-0.20%-0.12%-0.02%
0.05%0.22%
0.27%
0.36%
1.15%
-2.5%
-2.0%
-1.5%
-1.0%
-0.5%
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
Total
HQ Govies
FX Valuation & Quality
Cross Assets Anti-Beta
TAA Credit
EM Spreads
Eurozone Spreads
Covered Bonds Spreads
TAA Duration
Inflation Spread
IG Spreads
HY Spreads
Flexible Fixed Income Strategy Q4 2018 (Gross of Fees)
Confidential
33
Historical contribution – Yearly
Source: Nordea Investment Management AB. Performance contributions based on the Nordea Flexible Fixed Income Strategy (gross of fees). The performance
represented is historical; past performance is not a reliable indicator of future results and investors may not recover the full amount invested.
The value of your investment can go up and down, and you could lose some or all of your invested money.
Period under consideration: 31.05.2013 - 30.08.2019.
Before March 2015 the following comments apply: In March 2015 the strategy changed to invest in Return Drivers (duration, spreads etc.), w hile it prior to this invested in Asset Classes (HY
bonds, EM bonds, Govt bonds etc.). Accordingly, please note that: 1) Covered Bond Spreads consisted of unhedged Covered bonds (i.e. incl. a duration component), 2) EuroZone Spreads
consisted of unhegded Government bonds from the EuroZone (i.e. incl. a duration component), 3) EM Spreads had some of the strategy in unhedged EM ETF's (i.e. incl. a duration component).
Kindly note that 2013 performance contributions are running from inception date (03.05.2013) to year end. Current year performance contributions are on a Year to Date basis.
0.0%
0.2%
0.4%
0.6%
0.8%
1.0%
2013 2014 2015 2016 2017 2018 2019-6.0%
-4.0%
-2.0%
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
2013 2014 2015 2016 2017 2018 2019
HQ Govies Cross Assets Anti-Beta Inflation Spread Covered Bonds Spreads
Eurozone Spreads IG Spreads HY Spreads EM Spreads
TAA Credit TAA Duration FX Valuation & Quality Yield Curve
Confidential
34
Historical contribution – Quarterly
Source: Nordea Investment Management AB. Performance contributions based on the Nordea Flexible Fixed Income Strategy (gross of fees). The performance
represented is historical; past performance is not a reliable indicator of future results and investors may not recover the full amount invested.
The value of your investment can go up and down, and you could lose some or all of your invested money.
Before March 2015 the following comments apply: In March 2015 the strategy changed to invest in Return Drivers (duration, spreads etc.), w hile it prior to this invested in Asset
Classes (HY bonds, EM bonds, Govt bonds etc.). Accordingly, please note that: 1) Covered Bond Spreads consisted of unhedged Covered bonds (i.e. incl. a duration component), 2)
EuroZone Spreads consisted of unhegded Government bonds from the EuroZone (i.e. incl. a duration component), 3) EM Spreads had some of the strategy in unhedged EM ETF's (i.e.
incl. a duration component).
Period under consideration: 31.05.2013 - 30.08.2019.
0.0%
0.2%
0.4%
0.6%
0.8%
1.0%
2013 Q2 2013 Q4 2014 Q2 2014 Q4 2015 Q2 2015 Q4 2016 Q2 2016 Q4 2017 Q2 2017 Q4 2018 Q2 2018 Q4 2019 Q2-5.0%
-4.0%
-3.0%
-2.0%
-1.0%
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
2013 Q2 2013 Q4 2014 Q2 2014 Q4 2015 Q2 2015 Q4 2016 Q2 2016 Q4 2017 Q2 2017 Q4 2018 Q2 2018 Q4 2019 Q2
HQ Govies Cross Assets Anti-Beta Inflation Spread Covered Bonds Spreads
Eurozone Spreads IG Spreads HY Spreads EM Spreads
TAA Credit TAA Duration FX Valuation & Quality Yield Curve
Confidential
35
Historical gross asset allocation exposure
1) The % of notional exposure is a breakdow n designed to represent the fund’s ow nership of both traditional f ixed income securities and derivatives including, but not limited to, futures,
credit default sw aps, options and sw ap contracts. Note: Illustrative example based on the Nordea Flexible Fixed Income Strategy.
Source: Nordea Investment Management AB. Period under consideration: 31.05.2013 - 05.09.2019.
-100%
-50%
0%
50%
100%
150%
200%
250%
300%
Exposure in %
% Notional Exposures1
TAA Duration TAA Credit Cash EM Spreads HY Spreads
IG Spreads Eurozone Spreads Covered Bonds Spreads Inflation Spread Cross Assets Anti-Beta
High Quality Govies FX Valuation & Quality Yield Curve
0.0
1.0
2.0
3.0
4.0
5.0
6.0
31/05/2013 31/03/2014 31/01/2015 30/11/2015 30/09/2016 31/07/2017 31/01/2018 31/05/2018 28/02/2019 31/07/2019
Duration in years
Modified Duration
Thank you !
Confidential
The sub-funds mentioned are part of Nordea 1, SICAV, an open-ended Luxembourg-based investment company (Société d'Investissement à Capital Variable), validly formed and existing in accordance with the laws of Luxembourg and with
European Council Directive 2009/65/EC of 13 July 2009. This document is advertising material and does not disclose all relevant information concerning the presented sub-funds. Any investment decision in the sub-funds should be made
on the basis of the current prospectus and the Key Investor Information Document (KIID), which are available, along with the current annual and semi-annual reports, as well as the Articles of Association, electronically in English and in the
local language of the market where the mentioned SICAV is authorised for distribution, without charge upon request from Nordea Investment Funds S.A., 562, rue de Neudorf, P.O. Box 782, L-2017 Luxembourg and from the Swiss
Representative and Paying Agent, BNP Paribas Securities Services, Paris, succursale de Zurich, Selnaustrasse 16, CH-8002 Zurich, Switzerland. Investments in derivative and foreign exchange transactions may be subject to significant
fluctuations which may affect the value of an investment. Investments in Emerging Markets involve a higher element of risk. The value of shares can greatly fluctuate as a result of the sub-fund’s investment policy and cannot be
ensured. Investments in equity and debt instruments issued by banks could bear the risk of being subject to the bail-in mechanism (meaning that equity and debt instruments could be written down in order to ensure that
most unsecured creditors of an institution bear appropriate losses) as foreseen in EU Directive 2014/59/EU. For further details of investment risks associated with these sub-funds, please refer to the relevant Key Investor
Information Document (KIID), available as described above. Nordea Investment Funds S.A. has decided to bear the cost for research, i.e. such cost is covered by existing fee arrangements (Management-/Administration-Fee). Nordea
Investment Funds S.A. only publishes product-related information and does not make any investment recommendations. Published by Nordea Asset Management Schweiz GmbH, which is authorised in Switzerland by the Swiss Financial
Market Supervisory Authority FINMA. Nordea Asset Management Schweiz GmbH is registered in Switzerland under the number CHE-218.498.072. Further information can be obtained from your financial advisor. He/she can advise you
independently of Nordea Investment Funds S.A. Source (unless otherwise stated): Nordea Investment Funds S.A. Unless otherwise stated, all views expressed are those of Nordea Investment Funds S.A. This document may not be
reproduced or circulated without prior permission and must not be passed to private investors. This document contains information only intended for professional investors and financial advisers and is not intended for general publication.
Reference to companies or other investments mentioned within this document should not be construed as a recommendation to the investor to buy or sell the same but is included for the purpose of illustration.