The Lynx Systematic Macro Program

About the program

The Lynx Systematic Macro Program uses fundamental macroeconomic principles to generate uncorrelated returns to traditional and alternative investment strategies by investing broadly across currencies, fixed income, equity indices and commodities. The program combines around 100 proprietary signals designed to capitalize on unique inefficiencies and market phenomena and are segregated into themes including macro and monetary, valuation dynamics, risk sentiment, market dynamics and term structure dynamics. As with all other programs offered by Lynx, a completely integrated and systematized investment methodology is employed, from signal generation and portfolio construction to execution and risk management. The program trades across timeframes with positions expected to last from just a few days to multiple months. A portfolio optimization approach is utilized to maximize risk adjusted returns with constraints on thematic and asset class exposures to ensure broad participation in diverse opportunities over time. Additionally, the program attempts to limit directionality to minimize correlations to traditional investment strategies. All signals are rigorously and scientifically tested before they are included in the portfolio. Multiple risk management tools dynamically adjust risk in each market, strategy, and across the entire portfolio, as market conditions change. The Lynx Systematic Macro Program targets an annualized volatility of 12%, net of fees.