Key Takeaways
- • SEB Asset Selection Fund, once a €1 billion fund and the world's first UCITS-compliant CTA, marks its 20th anniversary in October 2026 (according to HedgeNordic).
- • The fund has been pure trend-following since its 2006 inception, with portfolio managers Mikael Nilsson and Otto Francke running it since a 2021 team takeover, which replaced the signal-generation engine.
- • The strategy trades a universe of 61 liquid assets, now including commodities, and places greater weight on recent price action, making it more reactive to shorter market cycles.
- • The fund was up approximately 11% year to date through end-September 2026 and returned approximately 16% over the prior 12 months, ranking 2026 as the fourth-best year in its 20-year history.
- • Sharp reversals in August 2024 and April 2025 caused losses, with the fund losing approximately 11.9% in April 2025, highlighting the strategy's exposure to abrupt trend changes.
Summary
SEB Asset Selection Fund, once a €1 billion fund and the world's first UCITS-compliant CTA, celebrates its 20th anniversary in October 2026, according to HedgeNordic. Since a new team took over in 2021, portfolio managers Mikael Nilsson and Otto Francke have adapted the strategy's models and investment universe to changing market conditions while retaining its core principles. Nilsson states that the objective remains to generate uncorrelated returns by systematically identifying and capitalizing on trends across financial markets, favoring simplicity and transparency over complexity.
The signal-generation engine was replaced when the current team assumed responsibility in 2021, though the new model retained similar characteristics. The strategy uses market prices across 61 liquid assets, and the universe has expanded to include commodities, which Nilsson says makes the model more robust and diversified. Greater emphasis is now placed on recent price developments, particularly when markets reach new highs or lows, which can shorten the effective lookback period from up to two years. Nilsson says this makes the strategy more reactive as market cycles potentially become shorter.
The fund has historically performed well during prolonged risk-off environments, including 2008, 2014 and 2022, though performance has varied considerably across other years. It has struggled during sharp reversals, notably around August 2024, when Bank of Japan rate hikes and weaker US labor data unwound carry trades, and April 2025, when US tariff announcements and their subsequent pause produced abrupt market moves. The fund lost approximately 11.9% during April 2025, after the model shifted to short equities and halved its dollar exposure around 8 April.
Despite these episodes and a challenging March 2026, the fund has had a strong year. It was up approximately 11% year to date through end-September 2026 and returned approximately 16% over the previous 12 months, with equities and interest rates providing the largest contributions. Long Korean and Japanese equities and short Japanese government bonds, US two-year Treasuries and German Schatz futures were notable contributors, while foreign exchange and commodities detracted. Nilsson argues the strategy's value lies in its role as an uncorrelated asset class within a traditional equity and bond portfolio rather than in performing in every environment.
The signal-generation engine was replaced when the current team assumed responsibility in 2021, though the new model retained similar characteristics. The strategy uses market prices across 61 liquid assets, and the universe has expanded to include commodities, which Nilsson says makes the model more robust and diversified. Greater emphasis is now placed on recent price developments, particularly when markets reach new highs or lows, which can shorten the effective lookback period from up to two years. Nilsson says this makes the strategy more reactive as market cycles potentially become shorter.
The fund has historically performed well during prolonged risk-off environments, including 2008, 2014 and 2022, though performance has varied considerably across other years. It has struggled during sharp reversals, notably around August 2024, when Bank of Japan rate hikes and weaker US labor data unwound carry trades, and April 2025, when US tariff announcements and their subsequent pause produced abrupt market moves. The fund lost approximately 11.9% during April 2025, after the model shifted to short equities and halved its dollar exposure around 8 April.
Despite these episodes and a challenging March 2026, the fund has had a strong year. It was up approximately 11% year to date through end-September 2026 and returned approximately 16% over the previous 12 months, with equities and interest rates providing the largest contributions. Long Korean and Japanese equities and short Japanese government bonds, US two-year Treasuries and German Schatz futures were notable contributors, while foreign exchange and commodities detracted. Nilsson argues the strategy's value lies in its role as an uncorrelated asset class within a traditional equity and bond portfolio rather than in performing in every environment.
Go deeper than the headline
Research every firm in this story, track the ones that matter and get the daily briefing — free for 7 days.