Fixed Income Strateg ies Fund Class S Key f igures NAV as of 30-09-2014 Return year to date Total assets mill. DKK Fund report 2,993.64 7.71 8,508.55 Hist. perf. as of 30-09-2014 Danske Invest Hedge Fixed Income Strategies Class S provided a 0.67% return in September. For the year, the sub-fund has now returned 7.71%. Despite increased expectations for the European Central Bank (ECB) to act again, the ECB still took investors by surprise when at its meeting in early September it cut its deposit rate from -0.10% to -0.20% and announced a bond buying programme to purchase Asset Backed Securities. The sub-fund has been positioned to falling yields at the short end of the yield curve in Denmark, and when the Danish central bank chose to follow the ECB rate cut, the sub-fund was off to quite a positive start in September. Later in the month, however, the sub-fund, lost some performance. In early October, the Danish central bank published data on intervention operations in September, which showed that the bank had sold DKK700m vs. EUR to weaken the Danish currency. Interventions are likely to reach as much as approx. DKK20bn before the central bank would make an independent rate cut. We expect that interventions are likely to reach this level before the end of 2014 and that the Danish central bank will cut interest rates again sometime during the coming months. This is far from having been priced in by the market. We find good value in Danish and Norwegian government bonds compared to the corresponding interestrate swaps, Danish government bonds vs. German government bonds and at the short end of the DKK/ EUR yield curve. The sub-fund is also positioned towards rising yields at the very long end of the EUR yield curve (20 years - and 20-year forward starting). Finally, we find value in number of relative-value positions, being long in some forward structures in the American fixed income market vs. the corresponding structures in Euroland. As at end-September, the portfolio risk level (in terms of Value-at-Risk) is approx. 25 percentage points below our maximum risk limit. Drawdown <em>Historical returns are no reliable indicator of future returns. It should be noted that monthly returns (in per cent) are non-additive.</em> Return DIHFiIS S Euro Corp. Bank deposit EFFAS Denmark MSCI World OMXC20 Avg. return monthly 1.060.360.160.390.340.61 Return since inception 197.3843.2317.8647.6442.3586.24 Return distribution Keyf igures (Monthly data, annualised. All returns in base currency) DIHFiIS S Historical return is no reliable indicator of future return. Euro Corp. Bank deposit EFFAS Denmark MSCI World OMXC20 Standard deviation 9.756.890.559.15 10.91 17.39 Sharpe ratio 1.070.330.000.290.200.30 Downside deviation 8.71 4.06 0.504.868.01 14.03 Minimum return -17.22 -4.77 -0.93-5.73-9.20 -17.69 Maximum return 10.257.130.41 10.548.87 17.59 Worst drawdown -24.85 -11.67 -0.95-17.34-37.78 -46.60 Positive months 79 62 1005863 60 Avg pos. monthly return 1.98 1.54 0.17 2.11 2.33 3.68 Negative months 24 41 34540 43 Avg. neg. monthly return -1.77 -1.40 -0.32 -1.78 -2.67 -3.38 Trailing returns as of 30-09-2014 Fund Year to date 1 mdr 3 mdr 12 mdr 36 mdr 60 mdr Start 7.71 0.67 1.87 14.42 84.99137.41199.36 Fixed Income Strateg ies Fund Class S Investment manager Basic information Michael Petry is the portfolio manager of the Fixed Income Strategies Fund. Michael joined Danske Capital in November 2004, having previously held the position of Senior Dealer at Danske Markets, where he worked as a market maker in swaps and options. He has worked with derivatives sales at Danske Markets. Before that he was a portfolio manager at Danmarks Nationalbank. ISIN Code GB00B0XNFH73 DividendsNo Launch 2 March 2006 Base currency SEK Websitewww.danskehedge.com BenchmarkValuation Day Every Thursday Subscription Day Monday 15:00 CET Redemption Day Monday 15:00 CET, with 1 week notice Fund Company Danske Invest PCC, Ltd., Guernsey Strategy Fixed income arbitrage Investment manager Michael Petry Return target Risk-free rate + 3.5% Michael has more than 15 years of experience with fixed income investments. He has a Diploma in Business Administration from the Aarhus School of Business. Contact Details About the fund Danske Bank A/S Holmens Kanal 2-12 DK-1092 Copenhagen Denmark Danske Invest Hedge Fixed Income Strategies is a relative value Fund, investing in the fixed income markets in primarily Scandinavia, but also invests in Euroland, UK and USA. Email: [email protected] Tel: +45 45 13 97 01 The objective of the Fund is to generate a high absolute return primarily through an investment programme utilising conventional and alternative trading strategies including short selling, the use of derivatives for hedging and speculative purposes and the use of leverage. The target return is the risk-free rate plus 4 per cent. The risk in the Fund should be similar to a 10-year Danish government bond, as measured by Value at Risk. The Fund intends to generate value by exploiting inefficiencies in the markets and by collecting a number of well-established premiums, such as liquidity premiums, volatility premiums and complexity premiums. The Fund will only invest in high-rated bonds. The Fund is designed for investors who have the necessary experience and knowledge to understand the risk involved with hedge funds, and is only suitable for investors with the appropriate risk profile and time horizon, together with an investment strategy that includes hedge funds. 08-OCT-14 - http://www.uk.danskehedge.com - 1562_N The fund has received the following awards: • • • • • • • • • • • 2013 - Hedgeweek: Best Fixed Income Hedge Fund 2013 - HFM Week: Best Fixed Income Hedge Fund 2013 - EuroHedge: Best Fixed Income Hedge Fund 2013 - IAIR Awards: Best Hedge Fund Europe 2012 - HFM Week: Best Fixed Income Hedge Fund 2012 - WORLD FINANCE: Best Fixed Income Fund Europe 2011 - HFM Week: Best Fixed Income Hedge Fund 2011 - Investors Choice Media: Relative Value Hedge Fund 2011 - BarclayHedge: Best Fixed Income Hedge Fund 2010 - Hedgeweek: Best Fixed Income Hedge Fund 2009 - Hedgeweek: Best Fixed Income Hedge Fund This Fact Sheet which is issued by Danske Bank is not an invitation to purchase shares in the fund. Subscriptions for shares in the funds will be accepted only on the basis of the most recent prospectus which can be obtained from www.danskehedge.com. Danske Invest PCC Limited is a Protected Cell Company, incorporated under the Companies (Guernsey) Law, 2008 (”the Law”). The Fund is a Cell in Danske Invest PCC Limited. Licencee is RBC Offshore Fund Managers Limited having its address at, PO Box 246, Canada Court, Upland Road, St Peter Port, Guernsey, Channel Islands GY1 3QE. Returns may differ from the actual price history. Historical returns are no guarantee of future returns. Prices, rates and values does not necessarily represent the terms at which a new transaction can be executed or an existing transaction can be liquidated. This publication is not intended for private customers in the UK or any person in the US.