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Lynx Asset Management AB

PRI reporting framework 2020

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Basic information

OO 01. Signatory category and services

01.1. Select the services and funds you offer

Select the services and funds you offer
% of asset under management (AUM) in ranges
Fund management
Fund of funds, manager of managers, sub-advised products
Other
Total 100%

Further options (may be selected in addition to the above)

01.2. Additional information. [Optional]

Lynx Asset Management was founded in 1999 in Stockholm, Sweden, by three partners with the shared vision that a systematic approach employing quantitative models could be used to persistently capture market opportunities. The focus over the next two decades has been on the continued development of our flagship strategy – The Lynx Program. We have gradually expanded our capacity and broadened our offerings into differentiated investment strategies. Our goal is to provide clients with high risk-adjusted returns using systematic investment strategies, developed through scientific methods utilizing data, analysis and technology. We employ around 80 dedicated professionals with varying backgrounds such as finance, physics, mathematics, bioinformatics and system development.

The Lynx Program is our original strategy that was launched in May 2000. It is a broadly diversified managed futures program that aims to deliver high risk-adjusted returns with attractive portfolio characteristics. It invests in a broad range of exchange-traded futures contracts across four asset classes: equity indices, fixed income, currencies and commodities as well as OTC FX forwards. The investment process is entirely systematic and based on proprietary models that identify trends and other patterns in financial markets. The models generate buy and sell signals that are executed directly in the electronic markets using internally developed algorithms.The quantitative approach enables the strategy to analyse extensive amounts of data in order to form a view on the direction of a large number of markets. It also ensures a consistent approach, typically without any bias to being long or short in the markets. Given that the strategy trade only liquid instruments, the approach can adapt and change exposures when the model’s market views change. The Lynx Program can be offered through commingled vehicles domiciled in different jurisdictions (onshore, offshore and UCITS) as well as managed accounts and bespoke solutions. As the majority of the firm AUM are in the Lynx Program all further responses will apply to this strategy even though the firm has adopted a firm-wide policy that outlines how we apply sustainability principles at a firm level and in our investment processes for all strategies. 

In December 2018, Lynx launched its second strategy: Lynx Active Balanced Program, a long-only strategy that actively allocates capital based on risk rather than nominal value. Using models derived from the Lynx Program, the strategy is designed to tactically alter the balance between asset classes and markets opportunistically. The strategy allocates across and within equity indices and fixed income through futures and in commodities through a swap. 

In October 2019, the Lynx Constellation Program was launched, employing the machine learning models traded in the Lynx Program since 2011. The objective of the program is to generate high risk-adjusted returns with a low correlation to trend-following and traditional asset classes. The models in Lynx Constellation attempt to identify both linear and non-linear relationships across a broadly diversified portfolio of fixed income, equity indices, foreign exchange and commodity markets, all through futures and OTC FX forwards. 


OO 02. Headquarters and operational countries

02.1. Select the location of your organisation’s headquarters.

Sweden

02.2. Indicate the number of countries in which you have offices (including your headquarters).

02.3. Indicate the approximate number of staff in your organisation in full-time equivalents (FTE).

80 FTE

02.4. Additional information. [Optional]


OO 03. Subsidiaries that are separate PRI signatories

03.1. Indicate whether you have subsidiaries within your organisation that are also PRI signatories in their own right.

03.3. Additional information. [Optional]


OO 04. Reporting year and AUM

04.1. Indicate the year end date for your reporting year.

31/12/2019

04.2. Indicate your total AUM at the end of your reporting year.

Include the AUM of subsidiaries, but exclude advisory/execution only assets, and exclude the assets of your PRI signatory subsidiaries that you have chosen not to report on in OO 03.2
Total AUM
trillions billions millions thousands hundreds
Currency
Assets in USD
trillions billions millions thousands hundreds

04.4. Indicate the assets which are subject to an execution and/or advisory approach. Provide this figure based on the end of your reporting year

04.5. Additional information. [Optional]


OO 06. How would you like to disclose your asset class mix

06.1. Select how you would like to disclose your asset class mix.

Internally managed (%)
Externally managed (%)

 

Listed equity 0 0 0 0
Fixed income 0 0 0 0
Private equity 0 0 0 0
Property 0 0 0 0
Infrastructure 0 0 0 0
Commodities 0 0 0 0
Hedge funds >50% 99 0 0
Fund of hedge funds 0 0 0 0
Forestry 0 0 0 0
Farmland 0 0 0 0
Inclusive finance 0 0 0 0
Cash 0 0 0 0
Money market instruments 0 0 0 0
Other (1), specify <10% 1 0 0
Other (2), specify 0 0 0 0

`Other (1)` specified

          Long only balanced strategy (equities, fixed income and commodities), as defined in OO 1.2.
        

06.2. Publish asset class mix as per attached image [Optional].

06.3. Indicate whether your organisation has any off-balance sheet assets [Optional].

06.5. Indicate whether your organisation uses fiduciary managers.

06.6. Provide contextual information on your AUM asset class split. [Optional]


OO 07. Fixed income AUM breakdown (Not Applicable)


OO 08. Segregated mandates or pooled funds (Not Applicable)


OO 09. Breakdown of AUM by market

09.1. Indicate the breakdown of your organisation’s AUM by market.

90 Developed Markets
10 Emerging Markets
0 Frontier Markets
0 Other Markets
Total 100% 100%

09.2. Additional information. [Optional]


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