ourliquid alternative solutions: nordea‘salpha family3 source: bloomberg • low volatility was...

Our Liquid Alternative Solutions:Nordea‘s Alpha Family

*investing for their own account – according to MiFID definition

Experience pays off

For professional investors only*

May 2019

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2

Source: Nordea Investment Management AB, on the basis of analyses carried out by the Multi Assets Team. Period under consideration: 31.12.2008 – 31.12.2018. The performance represented is historical; past performance is not areliable indicator of future results and investors may not recover the full amount invested. There can be no warranty that an investment objective, targeted returns and results of an investment structure is achieved. The valueof your investment can go up and down, and you could lose some or all of your invested money.

Investors need solutions to face low expected returns……and higher volatility

3.2%2.5%

4.9%

3.6%

12.4%

10.4%

7.9%

11.7%

8.1%

0.3% 0.5%1.1%

1.3%

2.7% 2.9% 3.1%

6.8% 7.2%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

GovernmentBonds Europe

GovernmentBonds US

InvestmentGrade Bonds EU(Incl. Financials)

InvestmentGrade Bonds US

High Yield BondsEurope (Non-Fin

& Fin)

High Yield BondsUS

Emerging MarketBonds

Global Stocks EmergingMarkets Stocks

Past 10 years returns Next 10 year Expected Returns

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3

Source: Bloomberg

• Low volatility was one of the great benefits of recent years and was fueled by expansionary monetary policy

• But: Central banks (see Fed) and their monetary policy are becoming increasingly restrictive

• Results: A much more turbulent market environment

à Liquid Solutions are needed to increase diversification without sacrificing returns

Volatility returns in the late cycle market environmentDiversify your portfolio with Liquid Alternative Solutions!

Investment Philosophy

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Nordea’s experience in Risk Premia investing

2005 2006 2007 2009 2013

Long Only Equity Risk Premia strategy:

Stable Equities

Multi Asset Risk Premia strategy: A10 MA / A15 MA

Unconstrained Risk Premia Fixed income:

Flexible Fixed Income

Enhanced Index: Beta+

Balanced risk premia strategy launched: Stable Return

Multi Assets Team§ Around 40 professionals§ Total AuM: Around EUR 90 Billion, managed across multiple strategies and asset classes§ Bottom-up investment process based on fundamental and quantitative input – without depending on top-down macro calls § Portfolio construction based on risk balancing and diversification

Please note that not all MA team members are involved in the management of the sub-fund.Data as of: 31.12.2018.

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Example: European Corporate BondsFocus 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

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7

No need to make the correct macroeconomic call to achieve a positive total return in all periods of the economic cycle

The Economic Cycle

Peak

Trough

Peak

Recession

Expansion

Actual growth

Growthtrend

Time

Output (GDP)

Return drivers working in periods of recession

Return drivers working in periods of recovery

Total performance

Illustrative performance

Time

Return

What is unique about Nordea’s MAT Risk Premia approach?Macro-call’s independent

The Alpha familyOur Liquid Alternative Solutions

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Note: Example for illustrative purposes only. Source: Nordea Investment Management AB and Multi Assets team.

SuperStrategiesGrouping risk premia into 6 SuperStrategies

Risk Balancing Directional

Time

Retu

rn

Directional contributions

Marketgrowth

Time

Ret

urn

Risk-off Risk-on Risk balanced contr.

Equity Strategies

Fixed Income

Strategies

Currency Strategies

Strategic Risk

Balancing Strategies

Trading Strategies

X-Asset Momentum Strategies

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SuperStrategies are implemented according to a risk budget……based on the conviction on each strategy (ranging from 1-3)


0 1 2 3

Equity

Fixed Income

Currency

Strat. Risk. Bal.

Trading

X-Assets Mom.

SuperStrategies' conviction

0%

5%

10%

15%

20%

Equity FixedIncome

Currency Strat.Risk. Bal.

Trading X-AssetsMom.

Diversi-fication

Total Risk

SuperStrategies' risk allocation

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Total risk allocation

18,5

%

8,6

%

10,0

%

0%

5%

10%

15%

20%

25%

30%

35%

40%

Equity

Equity

Div

ers

ifica

tion

Fix

ed Inco

me

Fix

ed Inco

me

Div

ers

ifica

tion

Curr

ency

Curr

ency

Div

ers

ifica

tion

Str

. R

isk

Bala

nci

ng

Str

. R

isk

Bal.

Div

ers

ifica

tion

Tra

din

g

Tra

din

gD

ivers

ifica

tion

X-A

sset

Mom

entu

m

X-A

sset M

om

.D

ivers

ifica

tion

Sum

Intr

a-G

roup

Div

ers

ifica

tion

Sum

Inte

r-G

roup

Div

ers

ifica

tion

To

tal R

isk

Total risk and the individual strategies’ contribution to risk


Intra and inter diversification bring total portfolio risk down by 18.5%

and 8.6%, respectively, to overall 10% target volatility

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Our Liquid Alternative solutions: Identical investment philosophy and process, but scaled to fit different needs

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1) These products are liquid alternatives which use a broad and diversified source of return, leverage and advanced trading strategies. 2) With effect as of October 23, 2017 the sub-fund is renamed from Nordea 1 – Multi-Asset Fund to Nordea 1 – Alpha 10 MA Fund. 3) With effect as of October 23, 2017 the sub-fund is renamed from Nordea 1 – Alpha 15 to Nordea 1 – Alpha 15 MA Fund. 4) The target return is per annum over a full investment cycle and gross of fees. 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. 5) During adverse market environments the volatility can reach on average 7%. 6) During adverse market environments the volatility can reach on average 10%. 7) During adverse market environments the volatility can reach on average 15%.

A7MAF1 A10MAF1,2 A15MAF1,3

Portfolio Context Bond-like return and vol. Balanced-like return and vol. Equity-like returns and vol.

Target Return4 Cash +4-5% Cash +5-7% Cash +7-10%

Expected Volatility4 ~5-7%5 7-10%6 10-15%7

Risk Premia used 20-30 20-30 20-30

Use of DirectionalStrategies High (30-40%) High (30-40%) High (30-40%)

Leverage Typically 3-5x Typically 4-7x Typically 7-10x

Use of Derivatives High High High

Investment Universe Equities, Fixed Income, Currencies Equities, Fixed Income, Currencies Equities, Fixed Income, Currencies

Newly launched(May-18)

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Our “Liquid Alternatives” investment strategiesThe breadth of our capabilities

Source: Nordea Investment Management AB, Nordea Multi Assets. For illustrative purposes only. These products are liquid alternatives which use a broad and diversified source of return, leverage and advanced trading strategies. 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

For illustrative purposes only

Targ

et re

turn

Risk

Alpha 7 MA Strategy

Alpha 10 MA Strategy

Alpha 15 MA Strategy

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Cumulative Returns in % Fund

YTD 5,53%

1 month 0,16%

3 months 2,27%

6 months 4,74%

1 year 1,12%

3 years 11,91%

5 years 30,87%

Since inception 25,90%

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Nordea 1 – Alpha 10 MA Fund (BI-EUR)Performance*

*Up until March 18th, 2016, the sub-fund’s performance comprised performance fees.

**Launch date: 30.09.2009

**

Source (unless otherwise stated): Nordea Investment Funds S.A.Period under consideration (unless otherwise stated): 30/04/2014 - 30/04/2019.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 30/04/2019. Initial and exit charges could affect thevalue 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 where the investor resides the represented performance might vary due to currency fluctuations.

Calendar Year Returns in % Fund

2014 3,56%

2015 6,98%

2016 9,08%

2017 7,29%

2018 -3,56%

YTD 5,53%

The Alpha familyWhy invest?

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SuperStrategies – Correlations and market neutrality

Note: Example for illustrative purposes only. Source: Nordea Investment Management AB, Multi Assets team. 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: 31.01.2003 to 31.12.2017.

… and individually, based on backtests, they are generally fairly market neutral over time

SuperStrategies are typically quite independent of each other…

Strategies Equity Fixed Income Currency Stra.

Risk Bal. Trading X-Asset Mom.

Equity 1.00

Fixed Income 0.15 1.00

Currency 0.09 0.18 1.00

Stra. Risk Bal. 0.21 0.37 0.16 1.00

Trading 0.05 0.14 -0.16 0.13 1.00

X-Asset Mom. 0.17 0.10 0.12 -0.06 0.03 1.00-50%

0%

50%

100%

150%

200%

250%

300%

2003 2005 2006 2007 2008 2010 2011 2012 2013 2015 2016 2017

Equity Fixed Income Currency

SAA Risk Balancing Trading Cross Asset

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Nordea 1 – Alpha 10 MA Fund (BP-EUR)Offering diversification to traditional asset classes

Source: © 2019 Morningstar, Inc. All Rights Reserved as at: 08.03.2019. Performance in EUR and based on monthly observations. Period under consideration: 01.03.2014 - 28.02.2019. The performance represented is historical; pastperformance 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. Thefund has no official benchmark and all indices used above are only for comparison purposes.

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Why invest in the Nordea Alpha 7 MA / 10 MA / 15 MA Strategies?Equity-like returns with a limited correlation to equities

1) Expected return numbers are only targets. 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, andyou could lose some or all of your invested money. Source: Nordea Investment Management AB. The data relating to expected returns is based on the analysis of Nordea’s Multi-Assets Team as of 31.12.2018. 2) Sources: NordeaInvestment Funds S.A. and Datastream. Period under consideration: 31.12.2013 – 31.12.2018.

CashEuropean Govies

US TreasuriesEU IG

US IGEU HY

US HY

EM Govies

EM EquitiesGlobal Equities

A15 MAS

A10 MAS

A7 MAS

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

-0.30 -0.10 0.10 0.30 0.50 0.70 0.90

Expe

cted

retu

rns

over

10

year

s1

Historical Correlation vs Global Equities2

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Expected Risk

Expected R

eturn

Source (unless otherwise stated): Nordea Investment Management AB on the basis of analyses carried out by the Multi Assets Team for the next 10 years. Date as of 31.01.2019. The expected returns and risks for

Bonds exposure are based on 50/50 exposures to both Global Government Bonds and Global Investment Grade Bonds, while the Equity estimates are based on Global Stocks. 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.Comparison with other financial products or benchmarks is only meant for indicative purposes.

100% Bonds

70% Bonds30% Equities



100% Equities


10% Alpha 10 MAS


10% Alpha 10 MAS


10% Alpha 10 MAS

0,0%

1,0%

2,0%

3,0%

4,0%

5,0%

6,0%

7,0%

0,0% 2,0% 4,0% 6,0% 8,0% 10,0% 12,0% 14,0% 16,0% 18,0%

What could a 10% allocation to Alpha 10 MA Strategy add to traditional allocations?An allocation shift from Bonds to Alpha 10 MA Strategy could increase return without major impact on risk

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Key takeaways

• Extensive research: Relies on MAT’s extensive research capabilities and experience

• Diversified source of returns: To offer higher returns with lower risk than traditional asset classes

• Risk Management: At the center of and starting point for asset allocation

• Diversification: Low correlation to traditional asset classes

• Liquid alternative with no performance fees

Thank you!

Appendix

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A10 MA Strategy (EUR)UP and Down Market Analysis: An asymmetric beta

Source: Nordea Investment Management AB. Date: 31/12/2018. Period under consideration: 01/01/2015 - 31/12/2018. Performance represents a composite, gross of management fees. Figures are based on calculations using monthly performance intervals since inception. The mean monthly performance returns represents a geometric calculation. 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. For illustrative purposes only.

0.58% 0.65% 0.43%0.36%

1.96%

-3.15%

0.22%

-1.31%

3.58%

-4%

-2%

0%

2%

4%

All months Up Market Months Down Market Months

A10 MA Strategy (%) MSCI World100% EUR Hdg (%)

Relative Return (%)

Count of Months A10 MA Strategy (%) MSCI World 100% EUR Hdg (%) Relative Return (%) Beta

All months 48 0.58% 0.36% 0.22% 0.18

Up Market Months (MSCI World 100% EUR Hdg) 33 0.65% 1.96% -1.31%

Down Market Months (MSCI World 100% EUR Hdg) 15 0.43% -3.15% 3.58%

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Are all Risk Premia the same?They share characteristics (identifiable, replicable, scalable) but are different in nature

24

• Equity Beta• Credit• Duration

Traditional:Driven by market sensitivities and related

economic risks

• Carry• Momentum• Value

Alternative:Driven by investors’ behaviour, market

inefficiencies, etc.

• Size• Quality• ...

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Quantitative fundamental bottom-up risk premia investment approachInvestment process

25

Note: For illustrative purposes only. *A return driver is viewed as an individual, investable risk/return element in a portfolio context.

Identification, Estimation & Implementations of Return Drivers* &

Risk PremiaOptimization & Risk Budgeting

ContinuousMonitoring

Step 1 Step 2 Step 3

• Portfolio meeting: – Assessment of return delivery

of each strategy– Strategic review of research

agenda on existing and new strategies

– Discretionary risk allocation to the different strategies

• Clearly defined overall risk budget targeting 10% volatility in the tail stress tested across different risk tools

• Risk budget split across 6 SuperStrategies:

– Risk balancing within SuperStrategies

– Risk budget allocated to the 6 SuperStrategies

• Daily monitoring of proprietary return drivers

• Changes to portfolio made continuously as signals change

• Daily risk monitoring including possibility for risk driven discretionary changes

• Daily trade monitoring

• Identification of Risk Premia:ü Based on Risk Premia researchü Control for mainly beta as a risk

driver on each strategyü Risk On drivers work in periods of

recoveryü Risk Off drivers work in periods of

recessionü Directional drivers, e.g.

momentum

• Risk Premia categorized in 6 SuperStrategies to control risk balance:

– Equity – Fixed Income– Currencies– Strategic Risk Balancing– Trading– X-Asset Momentum

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Our Multi Assets SuperStrategiesExamples

Note: Example for illustrative purposes only. Source: Nordea Investment Management AB., Multi Assets team.

Directional - TacticalRisk Balancing – Market neutral

Trading

Equity

Low risk

Long low risk equities / short

MSCI World

Defensive stocks tend to outperform

during equity sell-off

Fixed Income

Duration

US Treasuries

Safe haven gov. bonds generate positive returns

during equity sell-off

Currency

Quality

Long SEK / short AUD

Cheaper FX tend to appreciate vs

expensive FX during equity sell-off

Strategic Risk Balancing

Risk-off

Duration and Quality currencies

Traditional safe haven gov. bonds generate

positive returns during equity sell-off

Relative Value

Long DAX / short AEX

A cheaper index outperform an

expensive Index during equity rallies

Spreads

HY spreads

High yield bonds are very correlated to

equities and perform during equity rallies

Carry

Long ZAR / Short CHF

FX of high yielding countries appreciate vs low yielding FX

during equity rallies

Risk-on

MSCI World

Traditional equity beta generates positive returns during risk-on environment

Trading

Spread

Long Amgen/ Short Nasdaq

Using mean reversion models to identify

stocks that the market has over-sold/bought and are expected to

return to normal price patterns

X-Asset Momentum

Cross Assets

Long S&P / short US duration

Assess market environment and risk

appetite to increase or decrease equity

exposure

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Conviction setting for SuperStrategies – Risk budgetingLook at Information Ratio given the weightings in each case

Note: Example for illustrative purposes only. Source: Nordea Investment Management AB, Multi Assets team. Data as of: 31.03.2016.

Conviction Level Return p.a. Volatility Information Ratio Return in Up Markets

Return in Down Markets

Equity 3 5.9% 3.1% 1.9 5.2% 7.1%

Fixed Income 2 3.0% 1.3% 2.3 4.2% 1.1%

Currency 1 2.6% 4.5% 0.6 5.2% -1.8%

Str. Risk Bal. 3 4.7% 3.0% 1.6 5.8% 2.9%

Trading 2 10.6% 7.5% 1.4 6.2% 2.9%

X-Asset Mom. 3 13.1% 7.8% 1.7 19.6% 2.2%

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SuperStrategy example – Equity strategiesBalancing risk on and risk off equity strategies

-30%

-20%

-10%

0%

10%

20%

30%

2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016Risk free rate Equity Beta Premium Low. Vol. Premium

§ Premium: Equity country

§ Trade: Long high Risk Premia equity country indices and sell low Risk Premia equity country indices

§ Risk/Return Control: Earnings momentum, sector deviation

§ Instruments used: Equity Index Futures

Equity country strategy Low risk anomaly strategy

Beta positive: Exploiting relative equity risk premiums based on country valuation and fundamental support; going long cheap and shorting expensive.

Anti-Beta: Isolating and exploiting the low risk anomaly premia; buying relatively stable/low risk equities and hedging out the equity beta.

Low Risk Anomaly premium

Equity Beta premium (0.7 beta)

Risk free rate

Low Risk Equities

Sources: Nordea Investment Management AB. The performance for this composite represents all portfoliosmanaged as Global Stable Equities. Period under consideration: 01.01.2006 – 31.12.2016. The performancerepresented is historical; past performance is not a reliable indicator of future results and investors may notrecover the full amount invested. The value of your investment can go up and down, and you could losesome or all of your invested money.

Example of trades:

Sources: Nordea Investment Management AB. Date: 24.02.2016.

Largest Longs Largest ShortsDAX INDEX FUTURE 3/2016 AMSTERDAM IDX FUT 3/2016

HANG SENG IDX FUT 3/2016 OMXS30 IND FUTURE 3/2016

CAC40 10 EURO FUT 3/2016 SPI 200 FUTURES 3/2016

2/24/2016

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SuperStrategy example – Fixed income strategiesBalancing duration and credit risk

Sources: Nordea Investment Management AB and Multi Assets team. Date: 28.02.2017. Actual performance is from the Nordea 1 - Alpha 15 MA Fund, in which the duration, credit and equity strategies have been used since inception(launched in July 2011). 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 upand down, and you could lose some or all of your invested money.

§ Valuation is measured by yield curve steepness

§ Model output is the probability that bonds will outperform cash

§ Valuation is measured by credit spreads adjusted for expected defaults

§ Model output is the probability that credit bonds will outperform government bonds

Credit model Duration modelCredit investment philosophy: Buy attractive valuation given certain conditions (supportive fundamental momentum and/or relative price changes)

Duration investment philosophy: Buy attractive valuation given certain conditions (supportive fundamental momentum and/or relative price changes)

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SuperStrategy example – Currency strategiesBalancing FX carry and valuation

Sources: Nordea Investment Management AB. Date: 24.02.2016.

Beta positive: Relative yield; borrowing in a lower rate currency and investing in a higher rate currency

Carry trade strategy FX valuation strategy

Anti-Beta: Benefiting from the relative FX valuation premiums based on the fair value of currency crosses; going long cheap and shorting expensive

§ Premium: Currency carry (attractive differential between lower and higher rate currencies)

§ Trade: Long high yield currencies and short low yield currencies

§ Risk/Return Control: Country fundamentals

§ Instruments used: FX forwards

§ Premium: Currency pairs exhibiting anti-beta behavior (provides protection in stressed market conditions)

§ Trade: Long undervalued currencies and short overvalued currencies that are negatively correlated to equity markets

§ Instruments used: FX forwards

§ Typically performs well when risky assets are struggling

Example of trades:

Largest Long

MXNCLPZAR

Largest Short

ILSCADCHF

Example of trades:

Largest Long

JPYSEKCAD

Largest Short

CHFNZDAUD

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SuperStrategy example – Strategic Risk Balancing strategiesRisk balancing the premia of the Assumption Paper

SAA Research & AnalysisReturn Drivers & Risk Characteristics

Risk On DriversRisk Off Drivers• Equity low volatility

• Duration region

• Covered bonds

• Credit low risk

• FX valuation (Purchasing

Power Parity principles)

• Equity beta

• Equity region

• Equity industry

• Equity size

• Equity style

• Credit risk premium

(EM, IG, HY)

Identification of all Return Drivers

Factor Risk Screening

Selection of relevant Return Drivers


31

Confidential

SuperStrategy example – Cross Asset & Momentum strategiesTactical Asset Allocation (TAA) – Equity vs. Fixed Income


Tactical Asset Allocation – Equity vs. Fixed Income Multi Assets EQ vs. FI decision tree

Equities vs. Fixed IncomeBased on a proprietary

Pattern Recognition Model →• State dependent modeling of expected levels of risk and return

(i.e. valuation) in dissimilar market states

• PRM gives long or short signals on equities vs. government bonds – depending on variables that are important drivers in different market regimes

• Examples of applicable variables:• Equity market sentiment, valuation and momentum• Yield vs. equities correlations• Earnings revisions• Investors’ risk aversion• Leading macro indicators

32

Confidential

Research agendaStrategy overview

1. Identify investable risk premiums and estimate strength (Information ratio)

2. Group them into risk on, risk off, and directional

3. In excess of 30 investable Risk Premia availablea. Risk on example: Long Credit betab. Risk off example: Equity low risk anomalyc. Directional example: Tactical duration call

*Please note that as per UCITS directives funds do not invest directly in commodities. However, the asset class is included in the table as this is an illustration of the risk premia research the Multi Assets team conducts. Note: For illustrative purposes only. Source: Nordea Investment Management AB, Multi Assets team.

RISK PREMIA

Strategic beta Value Momentum LowVolatility Time Variation (TAA) Liquidity Quality

UN

DER

LYIN

G

Equity Indices / stocks bSafe Govern. Bonds cCredit Indices / bonds aCurrencies

Implied Volatility

Commodities*

33

Confidential

Alpha 10 MA – Performance contributions (gross of fees)Calendar year & YTD

Sum of Contribution2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Trading -0.94% -2.89% 0.21% -3.64% -1.23% 4.61% 1.07% -0.76% -2.06% -0.07%

Strategic Risk Balancing 0.52% 0.23% 4.32% 4.86% -1.11% 3.76%

Fixed Income -2.44% -1.61% 8.83% 3.38% 7.10% 2.37% 1.80% 1.56% 1.42% 0.73%

Equity -0.63% 6.71% -1.96% -1.77% 5.91% 1.28% -0.06% 2.30% 1.96% 1.86%

Currencies -0.14% -2.81% -0.39% -1.98% -1.57% 0.39% 1.15% 1.33% 0.94% 0.02%

Cross Asset and Momentum 0.64% -1.72% 3.44% 4.15% -5.71% 1.13% 2.88% 0.84% -1.23% -0.71%

Cash Management and Implementation -0.38% 0.12% -0.25% -0.04% 0.00% -0.02% 0.11% -1.44% -1.40% -0.37%

Grand Total -3.88% -2.19% 9.88% 0.09% 5.02% 10.00% 11.28% 8.67% -1.48% 5.22%

Note: Illustrative example based on the Alpha 10 MA Strategy (gross of fees). Source: Nordea Investment Management AB. Past performance is not a reliable indicator of future results andinvestors 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.

The value of your investment can go up and down, and you could lose some or all of your invested money. Period under consideration: 31.12.2009 - 31.03.2019.

34

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.

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Alpha 10 MA Strategy (EUR)Gross of fees performance**

Source: Nordea Investment Management AB. Date: 31.03.2019. Performance figures for periods longer than 1 year are annualised. The inception date for Alpha 10 MA Strategy (Gross of Fees) is January 31st 2010. The performancerepresented 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 allof your invested money. Prior to March 18th, 2016, the fee structure of the Nordea 1 – Alpha 10 MA Fund included a performance fee and a fixed management fee that caused sizeable deviations from the performance of the Alpha 10 MAStrategy (Gross of Fees). In the March 18th, 2016, the Prospectus was changed, eliminating the performance fee and adjusting the management fee accordingly. As such, and to give a clearer picture of how the performance of the Nordea 1– Alpha 10 MA Fund, we have chosen to also show the track record of the Alpha 10 MA Strategy (Gross of Fees).

**Excluding performance and management fees

Strategy (%) Benchmark (%)* Relative Return (%) Volatility (%) Sharpe RatioYTD 2019 5.22

2018 -1.50 5.12 -0.23

2017 8.66 4.71 1.91

2016 11.28 7.45 1.53

2015 10.00 5.74 1.73

2014 5.02 8.51 0.56

*No Benchmark

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Alpha 10 MA – Historical exposure

Source: Nordea Investment Management AB. Multi Assets Team. Period under consideration: 31.12.2009 - 31.03.2019.

-6

-4

-2

0

2

4

6

8

10

-400%

-200%

0%

200%

400%

600%

800%

1000%

31/12/2009 31/12/2010 31/12/2011 31/12/2012 31/12/2013 31/12/2014 31/12/2015 31/12/2016 31/12/2017 31/12/2018

Dura

tion

in y

ears

Expo

sure

in %

Total Gross Exposure Net Equity Exposure Modified Duration (rha)

36

Confidential

Alpha 10 MA – Historical net equity exposure


-60%

-40%

-20%

0%

20%

40%

60%

80%

100%

Date 30/11/2010 30/11/2011 30/11/2012 30/11/2013 30/11/2014 30/11/2015 30/11/2016 30/11/2017 30/11/2018

Expo

sure

in %

Net Equity Exposure

37

Confidential

Alpha 10 MA – Historical exposure

-6

-4

-2

0

2

4

6

8

10

-500%

-400%

-300%

-200%

-100%

0%

100%

200%

300%

400%

500%

31/12/2009 31/12/2010 31/12/2011 31/12/2012 31/12/2013 31/12/2014 31/12/2015 31/12/2016 31/12/2017 31/12/2018

Dura

tion

in y

ears

Expo

sure

in %

Cash Equity - Short Equity - Long Fixed Income - Short

Fixed Income - Long Currencies - Short Currencies - Long Modified Duration (rha)


38

Confidential

Nordea 1 – Alpha 10 MA Fund (BI-EUR)Fund information

Source (unless otherwise stated): Nordea Investment Funds S.A. Date: 30.04.2019

39

Sub-fund's name Nordea 1 - Alpha 10 MA Fund

Fund Manager Multi Assets Team

Fund Domicile 562, rue de Neudorf, 2220 Luxembourg, Luxembourg

Share class BI-EUR

Annual Man. Fee 1,000%

Security number (ISIN) LU0445386955

Security number (WKN) A0YHE8

Fund Size in millions 2 301,12

Currency EUR

Reference index N/A

No. of holdings 179

Launch date 30/09/2009

Minimum investment (EUR) 75 000

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. Investments in the sub-funds should be made on the basis of current prospectus and the Key Investor Information Document (KIID), which are available, along with the current annual and semi-annual reports, 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, on the website www.nordea.it, and from the distributors in Italy. The updated list of distribution agents in Italy, grouped by homogeneous category, is available from the distributors themselves or from the Paying Agents: State Street Bank International GmbH – Succursale Italia. branches (located in the main towns of each region), BNP Paribas Securities Services - Succursale di Milano, Banca Sella Holding S.p.A., Allfunds Bank S.A,U. - Succursale di Milano, Banca Monte dei Paschi di Siena S.p.A., Société Générale Securities Services S.p.A., CACEIS Bank S.A – Succursale Italia and on the website www.nordea.it. The prospectus and KIID for the sub-funds have been published with Consob.

Before investing, please read the prospectus and the KIID carefully. We recommend that you read the most recent annual financial statement in order to be better informed about the fund's investment policy. For the risk profile of the mentioned sub-funds, please refer to the fund prospectus.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 Investment Funds S.A., 562, rue de Neudorf, P.O. Box 782, L-2017 Luxembourg, which is authorized by the Commission de Surveillance du Secteur Financier in Luxembourg.

Further information can be obtained from your financial advisor. He/she can advise you independentlyof 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.

http://www.nordea.it/

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