Linsey, who founded North of South Capital, told the US broadcaster about the incident in which siblings Daniel and Amelie Linsey died following an explosion at their hotel.
After surviving the first blast, the pair were killed in a second blast at their Shangri-La hotel on Colombo.
'The bomb went off and they both were running towards me,' Linsey told CNN. 'I knew there'd be another bomb because there always is with these things.'
After the second blast in the Shangri-La, Linsey desperately tried to rescue his children.
'They both were unconscious,' he said. "My daughter seemed to be moving. My son wasn't. A woman offered to take my daughter downstairs to the ambulance. I needed help moving my son.'
Faced with an agonising choice, Linsey travelled with his son in the ambulance to the hospital, where he tried in vain to revive his son. 'I tried to massage his heart,' he said.
He then went in search of his daughter, only to find her lifeless under a hospital sheet.
'The people were very helpful,' Linsey said of the hospital staff. 'They're rudimentary facilities, they did their best.'
The emerging markets specialist, who is based in London, currently runs the Pacific North of South EM All Cap Equity fund and previously managed an EM-focused fund for GAM before the Swiss group opted to take the mandate back in-house.