Strategies
The Lynx Program
The Lynx Program is a broadly diversified managed futures strategy that aims to deliver high risk-adjusted returns that are uncorrelated to traditional asset classes, particularly during periods of market stress.
Historical performance 2024-04-25
Daily return
0.11%
Return month to date
-0.15%
Return year to date
13.81%
Sharpe ratio since inception
0.55
Average Annual Return since inception
9.90%
Standard deviation since inception
14.83%
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.
Differentiated performance – Long term outperformance compared to industry benchmarks and exceptionally strong results during past market crises
Broadly diversified – Trades approximately 130 markets and a wide range of models spanning multiple timeframes and concepts
Innovative – Our investment team consistently strives to develop new models to capture unique opportunities
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.
The Lynx Program
Total return
Average annual return
Sharpe ratio
Maximum drawdown
Standard deviation
The Lynx Program
Total return
Average annual return
Sharpe ratio
Maximum drawdown
Standard deviation
Investment Strategy
The objective of the Lynx Program is to generate a high risk-adjusted return while maintaining attractive portfolio characteristics. The characteristics have been chosen with the aim of making the strategy suitable as a building block in an institutional investor’s portfolio. Examples of these characteristics include a low correlation to equities and bonds, a positive correlation to volatility and positive skewness of returns. Other characteristics relate to the ability to react to trend reversals and profit from prolonged bear market conditions (often referred to as “crisis alpha”). The Lynx program’s main approach is systematic advanced trend following. The program is employing a multi-model approach applying a range of statistical techniques to identify and capture trends over a span of time frames. In addition to innovative trend following concepts, the strategy includes an allocation to diversifying models that exploit other market phenomena than price momentum. These diversifying models consists of systematic global macro concepts based on fundamental data as well as models utilizing various machine learning techniques. In total the program consists of approximately 50 different models. The Investment Committee is responsible for strategy including setting the risk allocation to each model in the program.
Risk information
Lynx differs from conventional mutual funds in terms of investment philosophy and risk management. Lynx is therefore intended as a vehicle for investors who are very well informed about financial markets. An investment in Lynx should not be regarded as a separate alternative to an investment in a conventional equity or fixed income fund. Lynx should instead be used as an instrument for diversifying the risk of a portfolio. An investment in Lynx should only constitute a part of an investor’s total portfolio of financial investments. The portfolio managers’ aim is that an investment in Lynx should provide high risk-adjusted performance over time. However, in the short term it is impossible to forecast the performance. An investor should therefore regard an investment in Lynx as a long-term investment and have an investment horizon of at least two years. Investing in mutual funds always entails taking a risk. The capital invested in a mutual fund can increase in value, but equally it can decline, and investors risk losing all or part of the invested capital. Historic returns are no guarantee of future returns. Lynx Asset Management cannot guarantee that an investment in Lynx will not decline in value.
How to invest
The Lynx Program is available through several institutional fund vehicles; managed accounts, co-mingled funds and tailored solutions. The Lynx Fund is the original fund launched in May 2000. It is domiciled in Sweden and denominated in SEK. The offshore-based vehicles offer different leverage and accept investments in a number of different currencies.