Lynx UCITS Fund Strategy Overview

The Lynx UCITS Fund seeks to provide exposure to Lynx’s Programme, a diversified, medium-term managed futures programme. Further diversification is achieved by using trend systems over multiple timeframes and contrarian and intermarket models help achieve better risk-adjusted returns and enhance performance in a non-trending market environment.

Lynx Asset Management AB (“Lynx” which manages USD 5.2bn of assets as of 30 September 2018) is based in Sweden, and was founded in 1999 by Jonas Bengtsson, Svante Bergström and Martin Sandquist.  In 2002, Lynx joined Brummer & Partners, the leading Nordic hedge fund group, which acquired a 40% stake. Lynx has over 73 employees (including 34 investment professionals, 22 researchers and 12 programmers).

  • Systematic trend following using multiple approaches and applied over different timeframes
  • Programme applied on the most liquid global futures and forwards markets across fixed income, currencies, equity indices and commodities
  • Allocation to diversifying models that exploit other market phenomena than price momentum (e.g. mean reversion, relative value, pattern recognition) in order to enhance performance in a non-trending market environment
  • Target volatility of 18% p.a. before fees

Details

Investment Philosophy
  • Trend-following strategies offer attractive returns over time
  • Diversification in using different types of models reduces portfolio risk
  • Programme applied on the most liquid global futures and forwards markets
  • Varying risk level protects downside
  • 100% systematic investment process including trading and risk management
Instruments
  • The Lynx Programme is applied across a diversified portfolio of around 75 liquid futures and forward markets across four sectors:
    • Fixed Income
    • Currencies
    • Equity indices
    • Commodities
Investment Process
  • Investment committee sets risk budgets per market/model biannually
  • Day-to-day position taking is 100% systematic, bottom-up driven
  • Execution by proprietary algorithms, monitored 24 hours by trading desk
Risk Management
  • Stop-loss mechanisms on individual model level
  • Focus on diversification and portfolio construction
  • Three parallel VaR-models with limits on instrument, asset class and portfolio level

Fund Facts

Legal Structure:UCITS Irish ICAV
Umbrella Fund:Lynx UCITS Funds ICAV
Fund Manager: KBA Consulting Management Limited
Passporting:Approved in UK, Italy, Germany, France, Switzerland, Sweden, Finland, Belgium, Spain, Singapore, Luxembourg and Austria
Base Currency:USD
Other Currency Share Classes:EUR, GBP, CHF
Liquidity:Daily
Dealing Deadline (Subscription):5 pm Irish time 2 Business Days prior to the relevant Dealing Day
Dealing Deadline (Redemption):5 pm Irish time 2 Business Days prior to the relevant Dealing Day
Settlement Date (Subscription):To be received by the Dealing Deadline on the relevant Dealing Day
Settlement Date (Redemption):Within 5 Business Days after the relevant Dealing Day

Key Professionals

Svante Bergström
Portfolio Manager, CEO and Founding Partner

Svante Bergström is a B.Sc. econ and business admin graduate from the Stockholm School of Economics. Between 1984 and 1991, Bergström worked for Hagströmer & Qviberg Fondkommission, as a stock broker, and later as head of the firm’s bond trading department. In 1993, he joined Nordbanken as a quantitative analyst and bond trader within the Strategic Trading unit. In 1996, Mr. Bergström set up Nordbanken’s Proprietary Trading unit, where the investment methodology for Lynx was originally formulated. Bergström is a Founding Partner and has been Portfolio Manager of Lynx since the fund’s inception.

Jonas Bengtsson
Portfolio Manager and Founding Partner

Jonas Bengtsson holds a Licentiate degree in engineering physics from the Lund Institute of Technology. In 1993, Bengtsson joined Gota Bank (later merged with Nordbanken) as a quantitative analyst. From 1994, he was employed by the Strategic Trading unit at Nordbanken with responsibility for quantitative research. As of 1996, he was employed by the Proprietary Trading unit. Bengtsson is a Founding Partner and has been Portfolio Manager of Lynx since the fund’s inception.

Ander Holst
Portfolio Manager and Partner

Anders Holst holds an MSc degree in Engineering Physics and Financial Mathematics from the Royal Institute of Technology in Stockholm and an MSc degree in Business Administration and Economics from Stockholm University. Holst has worked within the financial markets both during and after his studies and has previously been involved in both marketplace administration/development and trading. Holst joined Lynx in 2004 and became portfolio manager and partner in 2011.

Henrik Johansson
Portfolio Manager and Partner

Henrik Johansson holds an MSc in Engineering Physics from the Royal Institute of Technology in Stockholm. Johansson joined ABB as a trainee in 1994 and worked at the Treasury Center from 1995–1996 with, among other things, evaluation and implementation of quantitative trading systems in the FX markets. Between 1996 and 1997 Johansson held a position as financial analyst and later Risk Manager within Skandia Investment Manager. In 1997, Johansson joined Nektar Asset Management and was until 2006 responsible for the Quant Team before moving to the service company within Brummer & Partners with responsibility for Risk, Valuations, System Development and IT. Johansson was also member of the Board of Directors at Lynx Asset Management between 2005 and 2008. In 2008, Johansson joined SEB Merchant Banking as Global Head of Risk Management, a position he held until joining Lynx Asset Management in 2011 as Head of Research and partner. Johansson became portfolio manager of Lynx in 2014.

Jesper Sandin
Portfolio Manager and Partner

Jesper Sandin holds an MSc degree in Engineering Physics and Financial Mathematics from the Royal Institute of Technology in Stockholm and is a Certified Financial Analyst from IFL Stockholm School of Economics. Sandin started his career in the financial markets in 1996, as a quantitative
analyst at Skandia Asset Management. In 1998 Sandin became Head of Quantitative Research at the First National Swedish Pension Fund and in 2006 he joined Brummer & Partners in a global tactical asset allocation research venture. Sandin joined Lynx in 2008 and became portfolio manager and partner in 2011.

Daniel Chapuis
Portfolio Manager and Partner

Daniel Chapuis studied Engineering Physics at the Royal Institute of Technology in Stockholm. Chapuis started his career at the First National Swedish Pension Fund as a quantitative analyst in 2000, where his main responsibility was to develop and manage trading models within fixed income. In 2006 he joined Brummer & Partners in a global tactical asset allocation research venture. Chapuis has worked as a Quantitative Researcher at Lynx since 2008, and he became portfolio manager and partner in 2017.

Fund Share Class Details

* Reference share classes used to report NAVs, Daily, MTD, YTD and LTD performances.

Overview

Lynx UCITS Fund Strategy Overview

The Lynx UCITS Fund seeks to provide exposure to Lynx’s Programme, a diversified, medium-term managed futures programme. Further diversification is achieved by using trend systems over multiple timeframes and contrarian and intermarket models help achieve better risk-adjusted returns and enhance performance in a non-trending market environment.

Lynx Asset Management AB (“Lynx” which manages USD 5.2bn of assets as of 30 September 2018) is based in Sweden, and was founded in 1999 by Jonas Bengtsson, Svante Bergström and Martin Sandquist.  In 2002, Lynx joined Brummer & Partners, the leading Nordic hedge fund group, which acquired a 40% stake. Lynx has over 73 employees (including 34 investment professionals, 22 researchers and 12 programmers).

  • Systematic trend following using multiple approaches and applied over different timeframes
  • Programme applied on the most liquid global futures and forwards markets across fixed income, currencies, equity indices and commodities
  • Allocation to diversifying models that exploit other market phenomena than price momentum (e.g. mean reversion, relative value, pattern recognition) in order to enhance performance in a non-trending market environment
  • Target volatility of 18% p.a. before fees
Performance
Details

Details

Investment Philosophy
  • Trend-following strategies offer attractive returns over time
  • Diversification in using different types of models reduces portfolio risk
  • Programme applied on the most liquid global futures and forwards markets
  • Varying risk level protects downside
  • 100% systematic investment process including trading and risk management
Instruments
  • The Lynx Programme is applied across a diversified portfolio of around 75 liquid futures and forward markets across four sectors:
    • Fixed Income
    • Currencies
    • Equity indices
    • Commodities
Investment Process
  • Investment committee sets risk budgets per market/model biannually
  • Day-to-day position taking is 100% systematic, bottom-up driven
  • Execution by proprietary algorithms, monitored 24 hours by trading desk
Risk Management
  • Stop-loss mechanisms on individual model level
  • Focus on diversification and portfolio construction
  • Three parallel VaR-models with limits on instrument, asset class and portfolio level
Fund Facts

Fund Facts

Legal Structure:UCITS Irish ICAV
Umbrella Fund:Lynx UCITS Funds ICAV
Fund Manager: KBA Consulting Management Limited
Passporting:Approved in UK, Italy, Germany, France, Switzerland, Sweden, Finland, Belgium, Spain, Singapore, Luxembourg and Austria
Base Currency:USD
Other Currency Share Classes:EUR, GBP, CHF
Liquidity:Daily
Dealing Deadline (Subscription):5 pm Irish time 2 Business Days prior to the relevant Dealing Day
Dealing Deadline (Redemption):5 pm Irish time 2 Business Days prior to the relevant Dealing Day
Settlement Date (Subscription):To be received by the Dealing Deadline on the relevant Dealing Day
Settlement Date (Redemption):Within 5 Business Days after the relevant Dealing Day
Key Professionals

Key Professionals

Svante Bergström
Portfolio Manager, CEO and Founding Partner

Svante Bergström is a B.Sc. econ and business admin graduate from the Stockholm School of Economics. Between 1984 and 1991, Bergström worked for Hagströmer & Qviberg Fondkommission, as a stock broker, and later as head of the firm’s bond trading department. In 1993, he joined Nordbanken as a quantitative analyst and bond trader within the Strategic Trading unit. In 1996, Mr. Bergström set up Nordbanken’s Proprietary Trading unit, where the investment methodology for Lynx was originally formulated. Bergström is a Founding Partner and has been Portfolio Manager of Lynx since the fund’s inception.

Jonas Bengtsson
Portfolio Manager and Founding Partner

Jonas Bengtsson holds a Licentiate degree in engineering physics from the Lund Institute of Technology. In 1993, Bengtsson joined Gota Bank (later merged with Nordbanken) as a quantitative analyst. From 1994, he was employed by the Strategic Trading unit at Nordbanken with responsibility for quantitative research. As of 1996, he was employed by the Proprietary Trading unit. Bengtsson is a Founding Partner and has been Portfolio Manager of Lynx since the fund’s inception.

Ander Holst
Portfolio Manager and Partner

Anders Holst holds an MSc degree in Engineering Physics and Financial Mathematics from the Royal Institute of Technology in Stockholm and an MSc degree in Business Administration and Economics from Stockholm University. Holst has worked within the financial markets both during and after his studies and has previously been involved in both marketplace administration/development and trading. Holst joined Lynx in 2004 and became portfolio manager and partner in 2011.

Henrik Johansson
Portfolio Manager and Partner

Henrik Johansson holds an MSc in Engineering Physics from the Royal Institute of Technology in Stockholm. Johansson joined ABB as a trainee in 1994 and worked at the Treasury Center from 1995–1996 with, among other things, evaluation and implementation of quantitative trading systems in the FX markets. Between 1996 and 1997 Johansson held a position as financial analyst and later Risk Manager within Skandia Investment Manager. In 1997, Johansson joined Nektar Asset Management and was until 2006 responsible for the Quant Team before moving to the service company within Brummer & Partners with responsibility for Risk, Valuations, System Development and IT. Johansson was also member of the Board of Directors at Lynx Asset Management between 2005 and 2008. In 2008, Johansson joined SEB Merchant Banking as Global Head of Risk Management, a position he held until joining Lynx Asset Management in 2011 as Head of Research and partner. Johansson became portfolio manager of Lynx in 2014.

Jesper Sandin
Portfolio Manager and Partner

Jesper Sandin holds an MSc degree in Engineering Physics and Financial Mathematics from the Royal Institute of Technology in Stockholm and is a Certified Financial Analyst from IFL Stockholm School of Economics. Sandin started his career in the financial markets in 1996, as a quantitative
analyst at Skandia Asset Management. In 1998 Sandin became Head of Quantitative Research at the First National Swedish Pension Fund and in 2006 he joined Brummer & Partners in a global tactical asset allocation research venture. Sandin joined Lynx in 2008 and became portfolio manager and partner in 2011.

Daniel Chapuis
Portfolio Manager and Partner

Daniel Chapuis studied Engineering Physics at the Royal Institute of Technology in Stockholm. Chapuis started his career at the First National Swedish Pension Fund as a quantitative analyst in 2000, where his main responsibility was to develop and manage trading models within fixed income. In 2006 he joined Brummer & Partners in a global tactical asset allocation research venture. Chapuis has worked as a Quantitative Researcher at Lynx since 2008, and he became portfolio manager and partner in 2017.

Shares

Fund Share Class Details

* Reference share classes used to report NAVs, Daily, MTD, YTD and LTD performances.

Lynx UCITS Funds ICAV

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