Lynx Active Balanced Program

The Lynx Active Balanced Program launched in December 2018 is a long-only strategy that actively allocates capital based on risk rather than nominal value. Using models derived from the Lynx Program, the strategy is designed to tactically alter the balance between asset classes and markets opportunistically.

Historical performance 2020-02-25

Daily return

-0.04%

Return month to date

1.10%

Return year to date

0.77%

Sharpe ratio since inception

2.78

Average Annual Return since inception

18.88%

Standard deviation since inception

7.01%

Investing in funds is associated with risk. Past performance is no guarantee of future return. The numbers shown above should be read together with this clarifying note.

Above average returns – Since inception, the Program has generated strong relative and absolute performance

Diversified – Long only strategy allocating risk instead of capital

Differentiated – Employing models inspired by the Lynx Program, risk shifts based on perceived market opportunity

Historical performance

Lynx Active Balanced Program
Choose index

Investing in funds is associated with risk. Past performance is no guarantee of future return. The numbers shown above should be read together with this clarifying note.

Lynx Active Balanced Program

Total return

Average annual return

Sharpe ratio

Maximum drawdown

Standard deviation

Lynx Active Balanced Program

Total return

Average annual return

Sharpe ratio

Maximum drawdown

Standard deviation

The investment strategy

The Lynx Active Balanced Program is actively managed and allocates across and within equity indices, fixed income and a commodity index. These asset classes have historically performed well in different market environments and exhibited low correlation among them making them suitable as building blocks of a long-term portfolio. The overarching investment principle is to allocate risk rather than capital to different asset classes. By balancing the risk, the strategy seeks to minimize the negative impact on performance of market downturns that may result from for example economic recessions or inflationary environments. The strategy has an expected long-term average volatility target of 8 per cent (annualized). However, the short-term risk level is actively managed through the automated systematic techniques embedded in the investment process. Depending on the strategy’s risk appetite, the total portfolio risk may vary; if the strategy´s proprietary developed models forecast low or negative returns for several or all asset classes, the total risk level will be set lower than the long-term average. If market volatility increases, the position exposures will decrease to maintain the desired risk level. The minimum exposure to each asset class may be as low as 0 per cent although the strategy will generally have some level of investment in most asset classes and financial instruments. The exposure to equities is not expected to exceed 100%. Indicatively, the strategic portfolio targets a risk-balanced allocation of 60% equities, 30% fixed income and 10% commodities. Based on perceived market opportunities the tactical portfolio may deviate substantially from these levels.

Contact Investor Relations

If you want more information about the Lynx Active Balanced Program or want to to discuss investment vehicles, please contact our investor relations team.

Approach

Rigor and innovation are key to developing our systematic investment strategies.