Multi-Strategy Linear Investments Limited June 2017 Linear Investments Limited Regulated by FCA. Registered in England and Wales No. 07330725
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
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. 07330725
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
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% 100.00% Total Asset Type 100.00% 100.00% *Weighting risk optimised in August and kept constant since
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%
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%
Performance 140% MONTHLY RETURNS Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total 2013 0.46% 0.71% 0.21% 7.23% 1.92% 8.17% -0.95% -0.14% 4.14% 1.04% 1.77% 3.24% 31.06% 2014 0.23% 6.18% 2.41% -0.62% 0.77% 3.02% 0.41% 0.47% 1.00% 1.91% 1.33% -0.11% 18.19% 2015 3.13% 0.64% 1.04% 0.80% 1.43% -1.46% 3.82% -0.72% 1.19% 1.18% 0.97% 0.20% 12.80% 2016 4.95% 5.77% -0.76% 0.36% 1.33% -1.09% 0.50% 1.84% -1.40% 2.11% 3.01% 2.39% 20.45% 2017 1.29% 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
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 2014 18.19% 2.88% 2.81% Return 2015 12.80% 0.04% -0.07% Return 2016 20.45% 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 1.35-0.63-0.79 Excess kurtosis 2.02 0.44 0.42 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%) 2.71 1.24 0.84 Downside deviation (vs Rf) 1.35% 2.46% 2.23% Sortino Ratio (vs Rf) (Rf=0.3%) 14.40 2.11 1.26 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 -0.11 1.00 0.88 Correlation to Barclay Fund of Funds Index -0.06 0.88 1.00
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-17-0.0% -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
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
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) 1.00.88.54.39.46.19.00 -.40.01 Barclay Fund of Funds Index (Benchmark 2).88 1.00.44.36.53.24.11 -.33 -.06 Linear Investments GH01 Options.54.44 1.00.34.30.28.08 -.09 -.21 Linear Investments GU01 - Event Driven Arbitrage.39.36.34 1.00.30.31 -.05 -.16 -.22 Linear Investments MFM001 Long/Short.46.53.30.30 1.00.18.03 -.26 -.07 Linear Investments MA002n - CTA.19.24.28.31.18 1.00 -.01 -.08 -.39 Linear Investments SC001 - Algorithmic Forex Trade.00.11.08 -.05.03 -.01 1.00.10.04 Linear Investments IK01 - Bidirectional Gold -.40 -.33 -.09 -.16 -.26 -.08.10 1.00.20 Linear Investments MAC01 - Global Macro.01 -.06 -.21 -.22 -.07 -.39.04.20 1.00
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: 0.30 1 0.9 0.8 0.7 0.6 0.5 0.4 0.3 0.2 0.1 0 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
Cumulative Returns Historical & Future Returns 250% Values at the end date 1% percentile 219% 200% 5% percentile 211.89% 50% percentile 195.25% 150% 95% percentile 178.60% 99% percentile 171.70% 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
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.
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.
For more details please contact: Linear Investments Jerry Lees jlees@linearinvestment.com +44 (0)203 603 9801 Linear Investments Limited Regulated by FCA. Registered in England and Wales No. 07330725
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