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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 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
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
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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%
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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
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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 .28 .31 .18 1.00 .00 -.08 -.39
Linear Investments SC001 - Algorithmic Forex Trade .00 .12 .08 -.04 .04 .00 1.00 .10 .03
Linear Investments IK01 - Bidirectional Gold -.40 -.33 -.09 -.16 -.27 -.08 .10 1.00 .21
Linear Investments MAC01 - Global Macro .02 -.05 -.22 -.21 -.06 -.39 .03 .21 1.00
10 Highest Correlation Coefficients
•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
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1
Eurekahedge UCITS NorthAmerica Relative ValueHedge Fund Index: 0.29
HFI Absolute ReturnManaged Futures Index:
0.26
HFI Global Futures Index:0.26
Eurekahedge UCITSEurope CTA/Managed
Futures Hedge Fund Index:0.25
Hedge Fund ResearchHFRI Macro SystematicDiversified Index: 0.24
HFI InvestHedge ManagedFutures Index: 0.24
HFI Eurohedge ManagedFutures - EUR: 0.24
Credit Spread (BAA-AAABofA): 0.24
Barclay Fin./Met. TradersIndex: 0.24
HFI Eurohedge ManagedFutures - USD: 0.23
0%
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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
Cum
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1% percentile 5% percentile 50% percentile 95% percentile Modified VaR 99% Normal VaR 99% Target return
Historical & Future Returns
•Linear Investments Limited
•Regulated by FCA. Registered in England and Wales No. 07330725
Values at the end date
1% percentile 259%
5% percentile 243.47%
50% percentile 207.09%
95% percentile 170.72%
99% percentile 155.65%
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.
•Linear Investments Limited
•Regulated by FCA. Registered in England and Wales No. 07330725
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.
•Linear Investments Limited
•Regulated by FCA. Registered in England and Wales No. 07330725
Linear Investments Limited
Regulated by FCA. Registered in
England and Wales No. 07330725
For more details please contact:
Linear Investments Jerry Lees jlees@linearinvestment.com
+44 (0)203 603 9801
Disclaimer
Linear Investments Limited
Regulated by FCA.
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.
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