Multi-Strategy Linear Investments Limited

Transcription

1 Multi-Strategy Linear Investments Limited June 2017 Linear Investments Limited Regulated by FCA. Registered in England and Wales No

2 Linear Core Services Established in 2010 and authorised and regulated by the Financial Conduct Authority (FCA) Linear has and continues to be a market leader in Financial Services. At it s core, Linear is a market leading Boutique Prime Broker and Global Multi-Asset Agency Execution Provider. In addition, Linear has specialist teams that provide a range of services: Execution Prime Brokerage Outsourced Middle/Back Office Regulatory Umbrella Investment Management Platform Today its team of 60 professionals provide services to over 150 clients across the UK, Europe, Asia, Middle East and the United States from three office locations: London Belgravia London City Hamburg

3 Linear Overview Linear Investments Limited Authorised and regulated by the Financial Conduct Authority (FCA). 55 market professionals with over 150 clients Established 2010 London West End, London City, Hamburg Prime Broker & Hedge Fund Incubator Linear provides a regulatory umbrella to many Hedge Fund clients. Servicing all types of financial services companies. Capital Introduction & the Bainbridge/Linear Seeder Fund The Linear Joint Venture (JV) fund focuses on providing seed capital to emerging funds. Complete Investment management platform Facilities, infrastructure, Trading Desk and middle/back office. Linear Investments Limited Regulated by FCA. Registered in England and Wales No

4 Strategy Objectives & Approach The portfolio is constructed of 7 funds, each with varying strategies. All funds have a minimum track record of 3 years or greater The 7 funds can be summarised by the five strategies: CTA/Managed Futures Event Driven Arbitrage Forex Global Macro Long/Short Equity Compilation of multiple strategies trading uncorrelated products risk diversification Each strategy allocated a weighted portion of funds according to risk requirements to retain a balanced hedge of different approaches

5 Hedge Fund - Options Strategies Hedge Fund - Event Driven Hedge Fund - CTA/Managed Futures Hedge Fund - Global Macro Hedge Fund - Long/Short Equity Hedge Total Strategy Weights* Linear Investments GH01 Options 5.00% 5.00% Linear Investments GU01 - Event Driven Arbitrage 38.17% 38.17% Linear Investments IK01 - Bidirectional Gold 21.84% 21.84% Linear Investments MA002 - CTA 11.37% 11.37% Linear Investments MAC01 - Global Macro 13.62% 13.62% Linear Investments NG01 Long/Short Equity 5.00% 5.00% Linear Investments SC001 - Algorithmic Forex Trade 5.00% 5.00% Total Strategy 5.00% 38.17% 33.21% 18.62% 5.00% % Total Asset Type % % *Weighting risk optimised in August and kept constant since

6 Strategy Weights Long/Short Equity Hedge, 5.00% Options Strategies, 5.00% Global Macro, 18.62% Event Driven, 38.17% CTA/Managed Futures, 33.21%

7 Multi-Strategy Fund Platform Strategy Current Allocation (%) Annualized return Annualized volatility Average Positive Return LINEAR MULTI STRATEGY ADVISORY Multi-Strategy 19.64% 7.16% 2.05% Barclay Fund of Funds Index Barclay 5.10% 5.31% 0.79% Barclay Hedge Fund Index Barclay 8.60% 7.00% 1.19% Linear Investments GH01 Options Strategies 5% 21.32% 11.52% 2.13% Linear Investments GU01 Event Driven 38% 24.61% 16.23% 1.95% Linear Investments IK01 CTA/Managed Futures 22% 13.74% 25.84% 6.82% Linear Investments MA002n CTA/Managed Futures 11% 11.36% 9.63% 1.62% Linear Investments MAC01 Global Macro 14% 19.53% 15.62% 4.26% Linear Investments MFM001 Long/Short Equity Hedge 5% 18.14% 10.95% 2.97% Linear Investments SC001 Global Macro 5% 34.04% 23.23% 4.46%

8 Performance 140% MONTHLY RETURNS Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total % 0.71% 0.21% 7.23% 1.92% 8.17% -0.95% -0.14% 4.14% 1.04% 1.77% 3.24% 31.06% % 6.18% 2.41% -0.62% 0.77% 3.02% 0.41% 0.47% 1.00% 1.91% 1.33% -0.11% 18.19% % 0.64% 1.04% 0.80% 1.43% -1.46% 3.82% -0.72% 1.19% 1.18% 0.97% 0.20% 12.80% % 5.77% -0.76% 0.36% 1.33% -1.09% 0.50% 1.84% -1.40% 2.11% 3.01% 2.39% 20.45% % 0.64% -0.04% 1.02% 1.91% 4.90% 120% CUMULATIVE RETURNS 100% 80% 60% 40% 20% 0% Apr-13 Aug-13 Dec-13 Apr-14 Aug-14 Dec-14 Apr-15 Aug-15 Dec-15 Apr-16 Aug-16 Dec-16 Apr-17 Linear Multi-Strategy Advisory Barclay Hedge Fund Index Barclay Fund of Funds Index

9 Performance Linear Multi- Strategy Advisory Barclay Fund of Funds Index Barclay Hedge Fund Index Last 1 month return 1.91% Last 3 months return 2.91% 1.16% 0.88% Last 12 months return 12.77% 9.23% 4.65% Year-to-date return 4.90% 3.65% 2.50% Return % 2.88% 2.81% Return % 0.04% -0.07% Return % 6.10% -0.55% Historical annualized return in time window 19.64% 5.43% 3.06% Annualized volatility in the time window 7.16% 4.19% 3.34% Skewness Excess kurtosis Normal monthly VaR 99% -3.28% -2.36% -1.99% Modified monthly VaR 99% -0.78% -2.87% -2.42% Conditional monthly VaR 99% -1.46% -2.99% -2.46% Annual Sharpe Ratio (Rf=0.3%) Downside deviation (vs Rf) 1.35% 2.46% 2.23% Sortino Ratio (vs Rf) (Rf=0.3%) Up months % 81% 63% 69% Down months % 19% 37% 31% Max monthly loss -1.46% -2.99% -2.46% Max drawdown -1.46% -7.43% -7.34% Date of Max Drawdown Jun-15 Feb-16 Feb-16 Correlation to Barclay Hedge Fund Index Correlation to Barclay Fund of Funds Index

10 Drawdowns Jan-13 May-13 Sep-13 Jan-14 May-14 Sep-14 Jan-15 May-15 Sep-15 Jan-16 May-16 Sep-16 Jan-17 May % -1.0% -2.0% -3.0% -4.0% -5.0% -6.0% -7.0% -8.0% Linear Multi-Strategy Advisory Barclay Hedge Fund Index Barclay Fund of Funds Index

11 Average Monthly Returns 2.0% 1.5% 1.0% 1.6% 1.4% 1.2% 0.5% 0.0% -0.5% -1.0% -0.8% Average monthly return during negative Barclay Hedge Fund Index Average monthly return during positive Barclay Hedge Fund Index Linear Multi-Strategy Advisory Barclay Hedge Fund Index

12 Barclay Hedge Fund Index (Benchmark 1) Barclay Fund of Funds Index (Benchmark 2) Linear Investments GH01 Options Linear Investments GU01 - Event Driven Arbitrage Linear Investments MFM001 Long/Short Linear Investments MA002n - CTA Linear Investments SC001 - Algorithmic Forex Trade Linear Investments IK01 - Bidirectional Gold Linear Investments MAC01 - Global Macro Correlation Matrix Barclay Hedge Fund Index (Benchmark 1) Barclay Fund of Funds Index (Benchmark 2) Linear Investments GH01 Options Linear Investments GU01 - Event Driven Arbitrage Linear Investments MFM001 Long/Short Linear Investments MA002n - CTA Linear Investments SC001 - Algorithmic Forex Trade Linear Investments IK01 - Bidirectional Gold Linear Investments MAC01 - Global Macro

13 10 Highest Correlation Coefficients Eurekahedge Multi- Factor Risk Premia Index: 0.23 Barclay Systematic Traders Index: 0.23 MEBI Zero Beta Strategy L1 w/drc: HFI Absolute Return Managed Futures Index: 0.26 HFI Global Futures Index: 0.26 HFI Eurohedge Managed Futures - USD: 0.23 HFI InvestHedge Managed Futures Index: 0.24 Barclay Fin./Met. Traders Index: 0.24 HFI Eurohedge Managed Futures - EUR: 0.24 Hedge Fund Research HFRI Macro Systematic Diversified Index: 0.24

14 Cumulative Returns Historical & Future Returns 250% Values at the end date 1% percentile 219% 200% 5% percentile % 50% percentile % 150% 95% percentile % 99% percentile % 100% 50% 0% Jan-13 May-13 Sep-13 Jan-14 May-14 Sep-14 Jan-15 May-15 Sep-15 Jan-16 May-16 Sep-16 Jan-17 May-17 Sep-17 Jan-18 May-18 Sep-18 Jan-19 May-19 1% percentile 5% percentile 50% percentile 95% percentile Modified VaR 99% Normal VaR 99% Target return

15 Fund Overviews GH01 Options Options on broad based indices based on opinion that certain options are overpriced in comparison to traditional pricing methodologies. An attempt is made to then sell options that have a low probability of ending up in the money and would require settlement at a loss. MFM001 Long/Short Equity The fund s core methodology is to achieve capital growth by investing in mainly UK shares. The fund focuses in particular on shares which are believed to be undervalued with a potential for significant re-rating. Where appropriate the fund also takes advantage of underwritings and placings. SC001 Global Macro/FX A global macro fund seeking capital appreciation by generating strong absolute returns through trading foreign exchange (FX) and FX options. The fund seeks to generate capital appreciation through active short term FX trade management. The strategy is a primarily conservative trading system, yet can be applied aggressively when the opportunity presents itself. The strategy combines short-term trades with low margin position trades.

16 Fund Overviews MA002 CTA/Managed Futures A systematic trading programme that arbitrages the daily variation in the valuation of highly liquid exchange traded index futures over a number of time zones. More specifically, the strategy aims at exploring the opportunities created by the extended trading session for futures contracts i.e. the fact futures contracts trade during a longer time period of the day than the underlying markets. MAC01 Global Macro Investment process is started with a quantitative approach to macroeconomic data to evaluate main economic trends. These trends are then explored through a bottom-up approach to selected asset classes. The proprietary macroeconomic model is based on momentum signals. GU01 Event Driven Arbitrage An event driven / special situation hedge fund that exploits specific catalysts in global equity markets. By allocating to long and short volatility strategies along with rigorous portfolio construction and position limits the manager is able to provide attractive risk adjusted returns IK01 Bi-Directional Gold An entirely systematic trend following algorithm that trades rolling spot gold versus G7 currencies. Buy and sell signals are generated from price breakouts, volatility and other proprietary signals. Stop and reverse signals are taken as long as volatility constraints have not been exceeded.

17 For more details please contact: Linear Investments Jerry Lees +44 (0) Linear Investments Limited Regulated by FCA. Registered in England and Wales No

18 Disclaimer This presentation has not been approved by an authorised person within the meaning of the Financial Services and Markets Act 2000.Reliance on this promotion for the purpose of engaging in any investment activity may expose an individual to a significant risk of losing all of the property or other assets invested. These presentation materials (the Presentation Materials ) are being supplied to you by Linear Investments Limited (the Company )for information purposes only. These Presentation Materials have been prepared by and are the sole responsibility of the Company. The Directors of the Company have taken all reasonable care to ensure that the facts stated herein are true to the best of their knowledge, information and belief. These Presentation Materials are being distributed on request in or from the United Kingdom only to and are directed at (a) persons who have professional experience in matters relating to investments being investment professionals as defined in Article 19(5) of the Financial Services and Markets Act 2000 (Financial Promotion) Order 2005 (the FPO ), (b) high net worth companies as defined in Article 49(2) of the FPO (c) certified sophisticated investors as defined in Article 50(1) of the FPO or (d) persons to whom it may otherwise lawfully be communicated (together Relevant Persons ).In order to qualify as a certified sophisticated investor you must have a current certificate signed by a person authorised by the Financial Conduct Authority to the effect that you are sufficiently knowledgeable to understand the risks associated with this particular type of investment and you must have signed within the last 12 months a statement in the terms set out in Article 50(1)(b) of the FPO. Any person who is not a Relevant Person should not rely on this document nor take any action upon it, but should return it immediately to the Company. These Presentation Materials do not constitute, or form part of, a prospectus relating to the Company, nor do they constitute or contain any invitation or offer to any person to underwrite, subscribe for, otherwise acquire, or dispose of any shares in the Company or advise persons to do so in any jurisdiction, nor shall it, or any part of it, form the basis of or be relied on in any connection with any contract. No reliance may be placed for any purpose whatsoever on the information or opinions contained in this document or on its completeness and no liability whatsoever is accepted for any loss howsoever arising from any use of this document or its contents otherwise in connection therewith. 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These Presentation Materials are not for distribution outside the United Kingdom and, in particular, they or any copy of them should not be distributed, directly or indirectly, by any means (including electronic transmission) either to persons with addresses in Canada, Australia, Japan, the Republic of South Africa or the Republic of Ireland, or to persons with an address in the United States, its territories or possessions or to any citizens, nationals or residents thereof, or to any corporation, partnership or other entity created or organised under the laws thereof. Any such distribution could result in a violation of Canadian, Australian, Japanese, South African, Irish or United States law. Some statements contained in these Presentation Materials or in documents referred to therein are or may be forward-looking statements. Actual results may differ from those expressed in such statements, depending on a variety of factors. Past performance of the Company or its shares cannot be relied on as a guide to future performance. Any forward-looking information contained in these Presentation Materials has been prepared on the basis of a number of assumptions which may prove to be incorrect, and accordingly, actual results may vary. By attending the presentation and retaining these Presentation Materials you agree to be bound by the foregoing restrictions. Linear Investments Limited