Linear Investments Lim .Linear Investments Limited Linear Investments Limited Regulated by FCA.

download Linear Investments Lim .Linear Investments Limited Linear Investments Limited Regulated by FCA.

of 18

  • date post

    21-Jun-2018
  • Category

    Documents

  • view

    213
  • download

    0

Embed Size (px)

Transcript of Linear Investments Lim .Linear Investments Limited Linear Investments Limited Regulated by FCA.

  • Multi-StrategyLinear Investments Limited

    Linear Investments Limited

    Regulated by FCA.

    Registered in England and Wales No. 07330725

    March 2017

  • Linear Core Services

    Linear Investments Limited

    Regulated by FCA. Registered in England and Wales No. 07330725

    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 its 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

    Regulated by FCA.

    Registered in England and Wales No. 07330725

    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.

  • 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

    Linear Investments Limited

    Regulated by FCA. Registered in England and Wales No. 07330725

  • Strategy Weights*

    Linear Investments Limited

    Regulated by FCA. Registered in England and Wales No. 07330725

    He

    dg

    e F

    un

    d -

    Op

    tion

    s

    Str

    ate

    gie

    s

    He

    dg

    e F

    un

    d -

    Eve

    nt

    Drive

    n

    He

    dg

    e F

    un

    d -

    CT

    A/M

    ana

    ge

    d

    Futu

    res

    He

    dg

    e F

    un

    d -

    Glo

    ba

    l M

    acro

    He

    dg

    e F

    un

    d -

    Lon

    g/S

    hort

    Eq

    uity H

    edg

    e

    To

    tal

    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

    Linear Investments Limited

    Regulated by FCA. Registered in England and Wales No. 07330725

    Options Strategies, 5.00%

    Event Driven, 38.17%

    CTA/Managed Futures, 33.21%

    Global Macro, 18.62%

    Long/Short Equity Hedge, 5.00%

  • Multi-Strategy Fund Platform

    Linear Investments Limited

    Regulated by FCA. Registered in England and Wales No. 07330725

    StrategyCurrent

    Allocation (%)

    Annualized return Annualized volatility Average Positive Return

    LINEAR MULTI STRATEGY ADVISORY Multi-Strategy 19.66% 7.29% 2.08%

    Barclay Fund of Funds Index Barclay 5.10% 5.31% 0.80%

    Barclay Hedge Fund Index Barclay 8.60% 7.00% 1.20%

    Linear Investments GH01 Options Strategies 5% 21.42% 11.66% 2.16%

    Linear Investments GU01 Event Driven 38% 24.58% 16.30% 1.94%

    Linear Investments IK01 CTA/Managed Futures 22% 13.34% 25.99% 7.13%

    Linear Investments MA002n CTA/Managed Futures 11% 11.40% 9.71% 1.68%

    Linear Investments MAC01 Global Macro 14% 20.01% 15.74% 4.26%

    Linear Investments MFM001 Long/Short Equity Hedge 5% 17.33% 11.12% 2.98%

    Linear Investments SC001 Global Macro 5% 34.17% 23.44% 4.52%

  • 0%

    20%

    40%

    60%

    80%

    100%

    120%

    140%

    Apr-13 Aug-13 Dec-13 Apr-14 Aug-14 Dec-14 Apr-15 Aug-15 Dec-15 Apr-16 Aug-16 Dec-16

    Linear Multi-Strategy Advisory Barclay Fund of Funds Index Barclay Hedge Fund Index

    Performance

    Linear Investments Limited

    Regulated by FCA. Registered in England and Wales No. 07330725

    MONTHLY RETURNSYear 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% 1.90%

    CUMULATIVE RETURNS

  • Performance

    Linear Investments Limited

    Regulated by FCA. Registered in England and Wales No. 07330725

    Linear Multi-Strategy Advisory

    Barclay Fund of Funds Index

    Barclay Hedge Fund Index

    Last 1 month return -0.04% 0.37% 0.51%

    Last 3 months return 1.90% 1.98% 2.99%

    Last 12 months return 11.41% 4.93% 10.33%

    Year-to-date return 1.90% 1.98% 2.99%

    Return 2014 18.19% 2.81% 2.88%

    Return 2015 12.80% -0.07% 0.04%

    Return 2016 20.45% -0.55% 6.10%

    Historical annualized return in time window 19.66% 3.00% 5.38%

    Annualized volatility in the time window 7.29% 3.38% 4.23%

    Skewness 1.33 -0.77 -0.62

    Excess kurtosis 1.85 0.34 0.37

    Normal monthly VaR 99% -3.37% -2.02% -2.39%

    Modified monthly VaR 99% -0.83% -2.43% -2.88%

    Conditional monthly VaR 99% -1.46% -2.46% -2.99%

    Annual Sharpe Ratio (Rf=0.3%) 2.66 0.82 1.21

    Downside deviation (vs Rf) 1.37% 2.25% 2.49%

    Sortino Ratio (vs Rf) (Rf=0.3%) 14.14 1.22 2.07

    Up months % 80% 69% 63%

    Down months % 20% 31% 37%

    Max monthly loss -1.46% -2.46% -2.99%

    Max drawdown -1.46% -7.34% -7.43%

    Date of Max Drawdown Jun-15 Feb-16 Feb-16

    Correlation to Barclay Hedge Fund Index -0.11 0.88 1.00

    Correlation to Barclay Fund of Funds Index -0.04 1.00 0.88

  • Drawdowns

    Linear Investments Limited

    Regulated by FCA. Registered in England and Wales No. 07330725

    -0.0%

    -1.0%

    -2.0%

    -3.0%

    -4.0%

    -5.0%

    -6.0%

    -7.0%

    -8.0%

    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

    Linear Multi-Strategy Advisory Barclay Fund of Funds Index Barclay Hedge Fund Index

  • Average Monthly Returns

    Linear Investments Limited

    Regulated by FCA. Registered in England and Wales No. 07330725

    1.6%1.5%

    -0.8%

    1.2%

    -1.0%

    -0.5%

    0.0%

    0.5%

    1.0%

    1.5%

    2.0%

    Average monthly return during negative Barclay HedgeFund Index

    Average monthly return during positive Barclay HedgeFund Index

    Linear Multi-Strategy Advisory Barclay Hedge Fund Index

  • Correlation Matrix

    Linear Investments Limited

    Regulated by FCA. Registered in England and Wales No. 07330725

    Bar

    clay

    Hed

    ge F

    un

    d In

    dex

    (B

    ench

    mar

    k 1

    )

    Bar

    clay

    Fu

    nd

    of

    Fun

    ds

    Ind

    ex

    (Ben

    chm

    ark

    2)

    Lin

    ear

    Inve

    stm

    ents

    GH

    01

    O

    pti

    on

    s

    Lin

    ear

    Inve

    stm

    ents

    GU

    01

    -Ev

    ent

    Dri

    ven

    Arb

    itra

    ge

    Lin

    ear

    Inve

    stm

    ents

    MFM

    00

    1

    Lon

    g/Sh

    ort

    Lin

    ear

    Inve

    stm

    ents

    MA

    00

    2n

    -C

    TA

    Lin

    ear

    Inve

    stm

    ents

    SC

    00

    1 -

    Alg

    ori

    thm

    ic F

    ore

    x Tr

    ade

    Lin

    ear

    Inve

    stm

    ents

    IK

    01

    -B

    idir

    ecti

    on

    al G

    old

    Lin

    ear

    Inve

    stm

    ents

    MA

    C0

    1 -

    Glo

    bal

    M

    acro

    Barclay Hedge Fund Index (Benchmark 1) 1.00 .88 .54 .39 .46 .19 .00 -.40 .02

    Barclay Fund of Funds Index (Benchmark 2) .88 1.00 .44 .35 .53 .24 .12 -.33 -.05

    Linear Investments GH01 Options .54 .44 1.00 .35 .30 .28 .08 -.09 -.22

    Linear Investments GU01 - Event Driven Arbitrage .39 .35 .35 1.00 .30 .31 -.04 -.16 -.21

    Linear Investments MFM001 Long/Short .46 .53 .30 .30 1.00 .18 .04 -.27 -.06

    Linear Investments MA002n - CTA .19 .24