Lynx Asset Management AB : Lynx Program

archived programs
Year-to-Date
N / A
Dec Performance
1.29%
Min Investment
$ 75k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
14.50%
Sharpe (RFR=1%)
0.88
CAROR
13.53%
Assets
$ 5,416.0M
Worst DD
-13.45
S&P Correlation
-0.23

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index Dec Qtr YTD 1yr 3yr 5yr 10yr Since
5/2000
Lynx Program 1.29 13.03 - 27.58 35.69 59.38 163.66 543.04
S&P 500 -0.42 4.39 - 11.39 63.72 84.61 69.86 44.91
+/- S&P 500 1.71 8.64 - 16.19 -28.03 -25.23 93.80 498.13

Strategy Description

Summary

The Lynx programme is managed by Jonas Bengtsson, Svante Bergström, Anders Holst, Jesper Sandin and Henrik Johansson. Lynx Asset Management was founded in 1999 and the Lynx Fund started in May 2000. The offshore vehicle, Lynx (Bermuda) Ltd., was launched 1 April 2004.... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 75k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
1.00%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
15-30 Days
Redemption Frequency
15-30 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
2000 RT/YR/$M
Avg. Margin-to-Equity
14%
Targeted Worst DD
-25.00%
Worst Peak-to-Trough
12.00%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
0%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Counter-trend
11.00%
Trend-following
48.00%
Other
41.00%
Strategy Pie Chart

Composition

Summary

The Lynx programme is managed by Jonas Bengtsson, Svante Bergström, Anders Holst, Jesper Sandin and Henrik Johansson. Lynx Asset Management was founded in 1999 and the Lynx Fund started in May 2000. The offshore vehicle, Lynx (Bermuda) Ltd., was launched 1 April 2004.

Investment Strategy

Lynx’ main approach is systematic trendfollowing applied to a broadly diversified portfolio of markets. Further diversification is achieved by using models over multiple time frames, with holding periods varying from a couple of hours up to a year or more. The programme also trades contrarian models in an attempt to achieve better risk-adjusted returns and enhance performance in a non-trending market environment. Intermarket models use other inputs than the price in the market itself. There is also a short-term module where trades are held from a few hours to a few days. In aggregate, these models are used to make quantitative analyses of price fluctuations on the market. They are designed to identify market situations in which there is an enhanced probability that future price changes will be in a certain direction. By using different models in conjunction with each other on each market, the programme can generate a more stable risk-adjusted return than a pure trendfollowing strategy. The implementation of the programme is fully systematic. The proprietary models generate buy and sell signals that are executed directly in the electronic markets using internally developed algorithms. The trading desk is staffed 24 hours a day, making sure that all the systems are functioning properly and that signals are valid and executed correctly. The quantitative and systematic approach enables Lynx to make extensive analyses of market relationships, and have an opinion on the direction of a large number of different markets. It also ensures a consistent approach, typically without any bias of being long or short in the markets. Given that the strategy trades only liquid instruments, the approach can adapt and change exposures when market sentiment changes. CTAs in general and Lynx in particular have historically performed well in volatile markets and during equity market crises, periods where risky assets and other hedge fund strategies have struggled. Lynx holds the view that the way markets function will change over time. Consequently, it is important to carry out continuous research to improve the models used in the asset management process. Lynx has a large team of researchers, whose task it is to develop new strategies and models to be used in the programme.

Risk Management

Risk management is an integrated feature in the investment process and Lynx focuses on diversification and portfolio construction. Around 70 futures markets are traded across four sectors; equity indices, fixed income, currencies and commodities. Position sizes are determined based on correlations with other markets. The models operate independently and the portfolio is built “bottom-up” based on the signals from each model. Minimization of each investment’s loss is integrated in the design of the models e.g. by using automated stop-loss mechanisms. As a result the risk utilization in the programme changes dynamically over time, limiting drawdowns. Value-at-Risk is used to limit position concentration and risk levels. Three parallel VaR-models are monitored in real-time by the trading desk and there are limits on instrument, asset class and total portfolio level.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-13.45 13 12 7/1/2012 8/1/2013
-11.59 13 7 12/1/2008 1/1/2010
-10.78 4 4 10/1/2001 2/1/2002
-9.76 2 3 4/1/2011 6/1/2011
-9.12 1 7 9/1/2011 10/1/2011
-8.40 2 2 1/1/2007 3/1/2007
-8.22 5 4 2/1/2004 7/1/2004
-7.67 3 2 3/1/2001 6/1/2001
-7.67 2 2 6/1/2007 8/1/2007
-7.28 2 2 9/1/2002 11/1/2002
-7.20 1 3 6/1/2008 7/1/2008
-6.90 5 3 5/1/2006 10/1/2006
-6.88 4 2 5/1/2000 9/1/2000
-6.05 1 1 5/1/2012 6/1/2012
-5.83 4 2 12/1/2004 4/1/2005
-5.76 1 1 2/1/2011 3/1/2011
-5.32 1 2 6/1/2003 7/1/2003
-4.52 1 2 2/1/2003 3/1/2003
-4.39 1 1 10/1/2010 11/1/2010
-3.83 1 2 3/1/2008 4/1/2008
-2.93 2 2 6/1/2005 8/1/2005
-2.43 1 1 11/1/2007 12/1/2007
-1.44 1 3 11/1/2005 12/1/2005
-1.04 1 1 8/1/2010 9/1/2010
-0.60 1 1 12/1/2010 1/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
34.79 7 3/1/2002 9/1/2002
33.35 9 4/1/2014 12/1/2014
31.51 6 10/1/2000 3/1/2001
28.13 5 8/1/2008 12/1/2008
23.84 7 8/1/2003 2/1/2004
18.87 3 4/1/2003 6/1/2003
16.56 4 7/1/2001 10/1/2001
15.49 3 10/1/2004 12/1/2004
15.12 3 4/1/2007 6/1/2007
14.62 3 9/1/2007 11/1/2007
14.60 4 9/1/2013 12/1/2013
14.35 3 1/1/2008 3/1/2008
13.68 3 7/1/2011 9/1/2011
12.17 3 12/1/2002 2/1/2003
10.67 5 2/1/2010 6/1/2010
10.38 1 8/1/2010 8/1/2010
10.01 2 4/1/2012 5/1/2012
9.38 2 5/1/2005 6/1/2005
8.84 3 3/1/2006 5/1/2006
8.79 2 5/1/2008 6/1/2008
8.16 3 9/1/2005 11/1/2005
8.06 3 11/1/2006 1/1/2007
7.71 1 11/1/2009 11/1/2009
6.97 1 7/1/2012 7/1/2012
6.56 1 4/1/2011 4/1/2011
5.85 3 11/1/2011 1/1/2012
5.45 1 12/1/2010 12/1/2010
4.14 1 2/1/2014 2/1/2014
4.05 2 3/1/2013 4/1/2013
4.01 3 7/1/2009 9/1/2009
3.97 1 8/1/2006 8/1/2006
3.78 1 10/1/2010 10/1/2010
3.60 1 1/1/2013 1/1/2013
3.35 1 5/1/2000 5/1/2000
2.77 2 12/1/2001 1/1/2002
2.39 1 2/1/2011 2/1/2011
2.12 1 8/1/2004 8/1/2004
1.82 1 5/1/2009 5/1/2009
1.61 1 2/1/2005 2/1/2005
0.88 1 7/1/2000 7/1/2000
0.83 1 5/1/2004 5/1/2004
0.79 1 11/1/2012 11/1/2012
0.56 1 7/1/2013 7/1/2013
0.23 1 2/1/2009 2/1/2009
0.16 1 1/1/2006 1/1/2006
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Consecutive Losses

Run-up Length (Mos.) Start End
-11.37 3 8/1/2012 10/1/2012
-10.44 2 12/1/2009 1/1/2010
-9.76 2 5/1/2011 6/1/2011
-9.12 1 10/1/2011 10/1/2011
-8.40 2 2/1/2007 3/1/2007
-7.67 3 4/1/2001 6/1/2001
-7.67 2 7/1/2007 8/1/2007
-7.30 1 2/1/2002 2/1/2002
-7.28 2 10/1/2002 11/1/2002
-7.20 1 7/1/2008 7/1/2008
-6.99 2 5/1/2013 6/1/2013
-6.57 2 6/1/2006 7/1/2006
-6.35 1 11/1/2001 11/1/2001
-6.05 1 6/1/2012 6/1/2012
-5.76 1 3/1/2011 3/1/2011
-5.57 2 8/1/2000 9/1/2000
-5.48 2 6/1/2004 7/1/2004
-5.32 1 7/1/2003 7/1/2003
-5.29 1 1/1/2014 1/1/2014
-4.71 2 2/1/2012 3/1/2012
-4.70 2 3/1/2009 4/1/2009
-4.52 1 3/1/2003 3/1/2003
-4.39 1 11/1/2010 11/1/2010
-4.18 1 1/1/2005 1/1/2005
-4.16 2 9/1/2006 10/1/2006
-4.06 1 6/1/2009 6/1/2009
-3.83 1 4/1/2008 4/1/2008
-3.72 1 10/1/2009 10/1/2009
-3.71 2 3/1/2004 4/1/2004
-3.27 2 3/1/2005 4/1/2005
-3.04 1 7/1/2010 7/1/2010
-3.00 1 3/1/2014 3/1/2014
-2.93 2 7/1/2005 8/1/2005
-2.78 1 8/1/2013 8/1/2013
-2.43 1 12/1/2007 12/1/2007
-2.25 1 6/1/2000 6/1/2000
-1.90 1 1/1/2009 1/1/2009
-1.44 1 12/1/2005 12/1/2005
-1.04 1 9/1/2010 9/1/2010
-0.97 1 12/1/2012 12/1/2012
-0.60 1 1/1/2011 1/1/2011
-0.60 1 9/1/2004 9/1/2004
-0.19 1 2/1/2013 2/1/2013
-0.13 1 2/1/2006 2/1/2006
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods176.00174.00171.00165.00159.00153.00141.00129.00117.00
Percent Profitable64.2063.7975.4486.0689.3192.8197.16100.00100.00
Average Period Return1.153.406.7313.1219.7627.3343.7361.1680.81
Average Gain3.657.4710.2216.0122.5629.7645.0961.1680.81
Average Loss-3.34-3.75-3.98-4.67-3.66-4.02-2.71
Best Period14.9023.1731.5142.2660.9486.56105.67130.09157.29
Worst Period-9.12-11.37-10.23-11.47-8.30-11.76-4.781.9210.33
Standard Deviation4.197.169.0912.3015.5120.1026.9531.9935.85
Gain Standard Deviation2.735.697.5710.6913.9618.7626.1231.9935.85
Loss Standard Deviation2.032.002.753.192.553.501.76
Sharpe Ratio (1%)0.250.440.690.991.181.261.511.782.11
Average Gain / Average Loss1.091.992.563.436.177.4016.61
Profit / Loss Ratio1.963.517.8821.1751.5495.53569.01
Downside Deviation (10%)2.543.233.503.964.034.414.514.263.64
Downside Deviation (5%)2.372.692.602.421.881.851.030.19
Downside Deviation (0%)2.332.552.392.101.441.400.52
Sortino Ratio (10%)0.290.671.222.053.023.876.209.3114.61
Sortino Ratio (5%)0.451.172.405.029.7113.6539.61303.66
Sortino Ratio (0%)0.491.332.826.2613.6919.5183.40

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 9 3.06 12/2011
Trend Following Strategy Index Month 9 3.97 1/2007
Trend Following Strategy Index Month 8 7.32 10/2004
Systematic Trader Index Month 10 7.32 10/2004
Trend Following Strategy Index Month 10 -2.05 4/2004
Trend Following Strategy Index Month 8 1.14 11/2003
Trend Following Strategy Index Month 3 3.25 6/2003
Systematic Trader Index Month 3 3.25 6/2003
Diversified Trader Index Month 3 3.25 6/2003
IASG CTA Index Month 4 3.25 6/2003
Trend Following Strategy Index Month 6 1.60 4/2002
Trend Following Strategy Index Month 6 8.02 8/2001
Systematic Trader Index Month 6 8.02 8/2001
Diversified Trader Index Month 6 8.02 8/2001
IASG CTA Index Month 7 8.02 8/2001
Trend Following Strategy Index Month 7 0.88 7/2000
Diversified Trader Index Month 9 0.88 7/2000

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.