Lynx Asset Management (Lynx

(Bermuda) Ltd.)

Fund Investment Objectives

LYNX is a global managed futures fund. The objective of the Fund's investments is to achieve a high risk-adjusted return in combination with a low correlation with the stock and bond markets. The target is to generate an average yearly return of 15-20 percent subject to a risk level defined as a yearly standard deviation of 18 percent. The Fund invests in futures contracts, on the global futures markets. The Fund's holdings can be divided into four types of assets: stock indices, fixed-income, currencies and commodities. Lynx's main approach is systematic trend-following applied to a broadly diversified portfolio of markets. Further diversification is achieved by using models over multiple time frames, with holding periods varying from a couple of hours up to a year or more. The programme also trades contrarian models in an attempt to achieve better risk-adjusted returns and enhance performance in a non-trending market environment. Intermarket models use other inputs than the price in the market itself. There is also a short-term module where trades are held from a few hours to a few days. In aggregate, these models are used to make quantitative analyses of price fluctuations on the market. They are designed to identify market situations in which there is an enhanced probability that future price changes will be in a certain direction. By using different models in conjunction with each other on each market, the programme can generate a more stable risk-adjusted return than a pure trend-following strategy. Risk management is an integrated feature in the investment process and Lynx focuses on diversification and portfolio construction. Around 65 futures markets are traded across four sectors; equity indices, fixed income, currencies and commodities. Position sizes are determined based on correlations with other markets. The models operate independently and the portfolio is built "bottom-up" based on the signals from each model. Minimization of each investment's loss is integrated in the design of the models e.g. by using automated stop-loss mechanisms. As a result the risk utilization in the programme changes dynamically over time, limiting drawdowns. Value-at-Risk is used to limit position concentration and risk levels. Three parallel VaR-models are monitored in real-time by the trading desk and there are limits on instrument, asset class and total portfolio level. Assets reported represent total assets traded in the strategy.