Nordea 1 – Flexible Fixed Income Fund · Nordea 1 –Flexible Fixed Income Fund (BI-EUR)...

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

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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


The Economic Cycle

Return drivers working

in periods of recession


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

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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.

*

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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

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15

Flexible Fixed Income Strategy (Gross of Fees)Performance contributions 2018 by return drivers





TAA Duration, FX Valuation & Quality & HQ Govies

Inflation Spread, HY Spreads & IG Spreads



-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


HQ Govies


TAA Credit

Eurozone Spreads

EM 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

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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

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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





HY Spreads, IG Spreads & TAA Duration

HQ Govies, TAA Credit & Cross Assets Anti-Beta



-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



EM Spreads

Eurozone Spreads

Yield Curve


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

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Risk balancingTo significantly reduce the overall risk of the portfolio


The Economic Cycle


in periods of recession


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

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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


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


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

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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


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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



TAA Credit

EM Spreads

Eurozone Spreads


TAA Duration

Inflation Spread

IG Spreads

HY Spreads

Flexible Fixed Income Strategy Q4 2018 (Gross of Fees)

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33

Historical contribution – Yearly





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




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).


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.

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