Lynx Systematic Macro Program

Lynx Asset Management AB

Strategy Description

The Lynx Systematic Macro Program uses fundamental macroeconomic principles to invest broadly across currencies, fixed income, equity indices and commodities. The program combines around 100 proprietary signals designed to capitalize on unique inefficiencies and market phenomena and are segregated into themes including macro and monetary, valuation dynamics, risk sentiment, market dynamics and term structure dynamics. A completely integrated and systematized investment methodology is employed, from signal generation and portfolio construction to execution and risk management. The program trades across timeframes with positions expected to last from just a few days to multiple months. A portfolio optimization approach is utilized to maximize risk adjusted returns with constraints on thematic and asset class exposures to ensure broad participation in diverse opportunities over time. Additionally, the program attempts to limit directionality to minimize correlations to both traditional and alternative investment strategies. The Lynx Systematic Macro Program targets an annualized volatility of 15% gross of fees.

Fund Information

General Information

NHX CategoryCTA
NHX CountrySweden
Legal StructureFund
Fund Domicile -
Minimum Investment -
AUM104M USD
Inception DateOct 2022
Management Fee -
Performance Fee -

Company Information

CompanyLynx Asset Management AB
AddressNorrmalmstorg 14
Stockholm, SE-103 86
Phone+46 08–663 33 60
E-mail[email protected]
Websitewww.lynxhedge.se
Social Media

Monthly Performance

  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2024 6.95 4.37 7.01 5.09 -3.65 -1.45 19.19
2023 2.03 1.31 -4.63 0.66 -5.93 2.64 -0.19 3.99 7.37 -1.81 -3.15 -6.55 -5.11
2022 0.53 -4.63 2.46 -1.77

Portfolio Managers

 
No data filled

Disclaimer

This information is intended for institutional investors only. All data including performance numbers have been supplied by the respective managers and funds. HedgeNordic in no way guarantees the accuracy of these numbers and has supplied them to you for information purposes only. This does not constitute a solicitation to buy or an offer to sell. No investment should be made without fully reviewing the associated risk factors, fees and conflicts of interest as outlined in each fund’s risk disclosure document. There may be funds which have chosen not to be listed in the HedgeNordic database and the NHX that may have better or worse performance than those in our database.

The risk of loss in investing in hedge funds can be substantial. You should therefore carefully consider whether such trading is suitable for you in light of your financial condition. Past results are not necessarily indicative of future results. Trade only with risk capital. Sales restrictions may apply in your jurisdiction.

Monthly Returns

Performance (VAMI)

Distribution of Monthly Returns

12 MONTH ROLLING ROR Return

Drawdown Report

No. Depth (%) Length (Months) Recovery (Months) Start date End date
Fund Index Fund Index Fund Index Fund Index Fund Index
1 -11.13% 3 3 10/2023 03/2024
2 -9.69% 3 4 03/2023 09/2023
3 -5.05% 2 0 05/2024 -
4 -4.63% 1 3 11/2022 02/2023
5 - - - - -

Drawdown

Up Capture vs. NHX Composite

Down Capture vs. NHX Composite

Time Window Analysis

3 Months6 Months1 Year2 Years3 Years
Avg. Monthly Return-0.07%2.97%1.39% - -
% Positive33.33%66.67%50.00% - -
Avg. Pos. Period5.09%5.86%5.80% - -
Avg. Neg. Period-2.55%-2.55%-2.80% - -
Sharpe Ratio0.002.571.12 - -
Sortino Ratio-0.116.421.97 - -
Monthly Volatility3.71%4.12%4.63% - -

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 7.37%-6.55%0.59%0.66%-1.45%57.14%
3 Months 19.45%-11.13%2.54%-0.21%-0.21%47.37%
6 Months 19.19%-6.27%3.85%5.89%19.19%56.25%
1 Year 22.94%-5.11%8.42%4.46%18.04%80.00%
2 Years ------
3 Years ------
5 Years ------

Volatility (12 Months Rolling)

CORRELATION (12 MONTH ROLLING)

AUM (EUR)

Disclaimer

This information is intended for institutional investors only. All data including performance numbers have been supplied by the respective managers and funds. HedgeNordic in no way guarantees the accuracy of these numbers and has supplied them to you for information purposes only. This does not constitute a solicitation to buy or an offer to sell. No investment should be made without fully reviewing the associated risk factors, fees and conflicts of interest as outlined in each fund’s risk disclosure document. There may be funds which have chosen not to be listed in the HedgeNordic database and the NHX that may have better or worse performance than those in our database.

The risk of loss in investing in hedge funds can be substantial. You should therefore carefully consider whether such trading is suitable for you in light of your financial condition. Past results are not necessarily indicative of future results. Trade only with risk capital. Sales restrictions may apply in your jurisdiction.

Strategy Description

The Lynx Systematic Macro Program uses fundamental macroeconomic principles to invest broadly across currencies, fixed income, equity indices and commodities. The program combines around 100 proprietary signals designed to capitalize on unique inefficiencies and market phenomena and are segregated into themes including macro and monetary, valuation dynamics, risk sentiment, market dynamics and term structure dynamics. A completely integrated and systematized investment methodology is employed, from signal generation and portfolio construction to execution and risk management. The program trades across timeframes with positions expected to last from just a few days to multiple months. A portfolio optimization approach is utilized to maximize risk adjusted returns with constraints on thematic and asset class exposures to ensure broad participation in diverse opportunities over time. Additionally, the program attempts to limit directionality to minimize correlations to both traditional and alternative investment strategies. The Lynx Systematic Macro Program targets an annualized volatility of 15% gross of fees.

Fund Information

General Information

NHX CategoryCTA
NHX CountrySweden
Legal StructureFund
Fund Domicile -
Minimum Investment -
AUM104M USD
Inception DateOct 2022
Management Fee -
Performance Fee -

Company Information

CompanyLynx Asset Management AB
AddressNorrmalmstorg 14
Stockholm, SE-103 86
Phone+46 08–663 33 60
E-mail[email protected]
Websitewww.lynxhedge.se
Social Media

Monthly Performance

  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2024 6.95 4.37 7.01 5.09 -3.65 -1.45 19.19
2023 2.03 1.31 -4.63 0.66 -5.93 2.64 -0.19 3.99 7.37 -1.81 -3.15 -6.55 -5.11
2022 0.53 -4.63 2.46 -1.77

Portfolio Managers

 
No data filled

Return Statistics

Last Month Return -1.45%
3 Month Return -0.21%
Year to Date Return 19.19%
12 Month Return 18.04%
36 Month Return -
Total Return Annualized 6.20%
Winning Months (%) 57.14%
Average Winning Month 3.70%
Average Losing Month -3.55%
Total Return Cumulative 11.10%

Risk Statistics (12M)

1 Year
Sharpe Ratio1.12
Sortino Ratio1.97
Sterling0.85
Calmar1.62
Skewness-0.23
Kurtosis-1.00
Maximum Drawdown-11.13%
Correlation vs S&P 500-0.53
Annualized Volatility16.04%
Annualized Down. Deviation7.00%

Risk/Return Comparison

Monthly Returns

Performance (VAMI)

Distribution of Monthly Returns

12 MONTH ROLLING ROR Return

Drawdown Report

No. Depth (%) Length (Months) Recovery (Months) Start date End date
Fund Index Fund Index Fund Index Fund Index Fund Index
1 -11.13% 3 3 10/2023 03/2024
2 -9.69% 3 4 03/2023 09/2023
3 -5.05% 2 0 05/2024 -
4 -4.63% 1 3 11/2022 02/2023
5 - - - - -

Drawdown

Up Capture vs. NHX Composite

Down Capture vs. NHX Composite

Time Window Analysis

3 Months6 Months1 Year2 Years3 Years
Avg. Monthly Return-0.07%2.97%1.39% - -
% Positive33.33%66.67%50.00% - -
Avg. Pos. Period5.09%5.86%5.80% - -
Avg. Neg. Period-2.55%-2.55%-2.80% - -
Sharpe Ratio0.002.571.12 - -
Sortino Ratio-0.116.421.97 - -
Monthly Volatility3.71%4.12%4.63% - -

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 7.37%-6.55%0.59%0.66%-1.45%57.14%
3 Months 19.45%-11.13%2.54%-0.21%-0.21%47.37%
6 Months 19.19%-6.27%3.85%5.89%19.19%56.25%
1 Year 22.94%-5.11%8.42%4.46%18.04%80.00%
2 Years ------
3 Years ------
5 Years ------

Volatility (12 Months Rolling)

CORRELATION (12 MONTH ROLLING)

AUM (EUR)

Disclaimer

This information is intended for institutional investors only. All data including performance numbers have been supplied by the respective managers and funds. HedgeNordic in no way guarantees the accuracy of these numbers and has supplied them to you for information purposes only. This does not constitute a solicitation to buy or an offer to sell. No investment should be made without fully reviewing the associated risk factors, fees and conflicts of interest as outlined in each fund’s risk disclosure document. There may be funds which have chosen not to be listed in the HedgeNordic database and the NHX that may have better or worse performance than those in our database.

The risk of loss in investing in hedge funds can be substantial. You should therefore carefully consider whether such trading is suitable for you in light of your financial condition. Past results are not necessarily indicative of future results. Trade only with risk capital. Sales restrictions may apply in your jurisdiction.