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Strategy for selling weekly options on index funds

Absolute return | liquidity management

Target net return
USD:
6-7%
EUR:
4-5%
RUR:
10-11%
GBP:
6-7%
Forms of implementation of the strategy

Investment fund

8,3%
average
annual return (USD)
0%
maximum
monthly loss
5,1
Sharpe
ratio
5,9
Sortino
ratio
-0,4
correlation
with NASDAQ-100
100%
positive
months
*The financials were calculated for the 10-month period of testing the strategy on the company's own account. The trial, using the Group partners’ own capital, ran from September 2020 to July 2021.
Investment thesis

LAIF trades weekly options on Invesco QQQ Trust ETF (QQQ) — the largest and most liquid ETF that tracks NASDAQ-100 index. | QQQ options are a popular instrument for hedging market risk and short-term trading in the High Tech sector.

Fund writes CBOE-listed QQQ options, generating returns by enabling market participants to hedge market exposure or to bet on short-term market movements. | Premiums collected from written options are the source of fund’s returns. | Due to ineffective pricing and high volatility of short-term options, LAIF strategy is able generate stable, low volatility returns while maintaining conservative risk profile.

Investment strategy

LAIF strategy is based on a complex analytical system which includes mathematical, technical and structural analysis of historical performance of the underlying asset (NASDAQ-100), as well as analysis of the distribution and concentration of option contracts open interest, macroeconomic and news background, and risk management parameters.

Positions in QQQ options are opened on a weekly basis with 2-5 days to expiration and held to expire. | The main tasks of the portfolio managers are: (1) select the options within the target yield parameters, yet with a negligible probability of being executed and (2) sell the selected options over the course of the week at the highest possible price.

Key features
base
Higher returns during market
corrections and various crises
base
Low volatility
of returns
base
Conservative
risk profile
Investing in LAIF Fund
Stable return with a conservative
risk profile and no management fee
LAIF.
Basic parameters
Types of Investors
Eligible investors, other than US persons, politicians and high-ranking officials, who have passed KYC and AML procedures.
Investment options
Directly from a private person or a company, through a brokerage account in a bank or broker, through a holding account in an insurance company.
Main terms for investors
Management fee
0%
Performance fee
20/25% (applied only after
the minimum return
is reached*)
Minimum return
for Performance fee
4% USD | 2% EUR
6% RUR | 4% GBP
Minimum subscription
$250 000
Subscription and redemption
Weekly
Dividends
Yes
Fund facts
Country of registration
Cayman Islands
Start of operations
July 2021
Administrator
APEX Fund Services
Auditor
Deloitte
Bank
The Northern Trust
Broker
Exante
Value of 100 USD invested since September 2020
week

*including 10-month period of testing the strategy on the company's own account. The trial, using the Group partners’ own capital, ran from September 2020 to July 2021.

Fees & Bloomberg ISIN
Class № Currency Minimum
investment
Management
Fee
Performance
Fee
Divedends ISIN
1 USD 250 000 0% 25% No KYG1R84N1597
2 USD 1 000 000 0% 20% No KYG1R84N1670
3 EUR 250 000 0% 25% No KYG1R84N1910
4 EUR 1 000 000 0% 20% No KYG1R84N2090
5 RUR 15 000 000 0% 25% No KYG1R84N2173
6 GBP 250 000 0% 25% No KYG1R84N2256
7 USD 250 000 0% 25% Yes KYG1R84N1837
Portfolio management team
lman
Andrei Movchan
Managing Partner, Movchan’s Group
  • 27 years of experience in financial markets.
  • Formerly, executive director of the largest Russian investment firm «Troika Dialog» (after 2012, Sberbank-CIB); founder and chairman of the board of «Renaissance Investment Management» (assets under management of more than $7 bln).
  • Recipient of numerous awards, including “Best Asset Manager” by Forbes Russia, «Best CEO of an Asset Management Company» by RBC, «Legend of Industry» by SPEAR’S, «Manager of the Year» by RBC.
  • Winner of high school and university mathematics and computer science olympics; specialist in Probability Theory and Mathematical Statistics.
  • Graduated from: the Department of Mechanics and Mathematics of the Moscow State University; Russian State Financial University; University of Chicago Booth Business School.
lman
Michael Portnoy
Portfolio Manager, LAIF
  • 23 years of experience in financial markets.
  • 12 years of experience in analysis and development of trading strategies and in systematic trading of equities and derivatives.
  • 7 years of experience in selection, analysis and management of hedge-fund portfolios and portfolios of absolute return strategies in global financial and commodities markets.
  • Worked at major Russian banks and wealth management firms: Alfa-Bank, Bank URALSIB, GHP Group, UK MDM, Alfa Capital; headed departments of Global Markets, Hedge Funds and CTAs.
  • Specialist in absolute return and market-neutral strategies in futures and options markets.
  • Graduated from Baruch College CUNY (Finance & Investments).

Управление на собственном счете клиента

Услуга подразумевает применение Флагманской стратегии на личном счете клиента, открытом в удобном для него банке или брокере.

Преимущества внешнего управления:

предоставление консультаций по упрощению
комплаенс-процедуры

максимальная ликвидность капитала

предоставление индивидуальных подробных отчетов от управляющих

Базовые условия

Валюта
инвестирования

Доллар США

Минимальный размер
инвестиций

5 000 000

Комиссия
за управление

1%

Комиссия
за доход

10%

Company Information

This webpage is operated by Careful Investments SPC - Liquid Alpha Income Fund registered in Cayman Islands as a Segregated Portfolio of the exempted company incorporated with limited liability and registered as a segregated portfolio company under the laws of the Cayman Islands and registered as a mutual fund under the Mutual Funds Law (as amended) of the Cayman Islands with company registration number 1641581.

To verify https://www.cima.ky/upimages/commonfiles/QuarterlyListofallMutualFundsregisteredandlicensedwiththeCaymanIslandsMonetaryAuthority-30June2021_1625765870.pdf

The registered address of company:
Willow House, Cricket Square, PO Box 709, Grand Cayman KY1-1107, Cayman Islands

Investors

Only Eligible Investors who are Non-U.S. Persons could invest to Liquid Alpha Income Fund.

Compliance Information

The views expressed herein do not constitute investment or any other advice and are subject to change. They do not necessarily reflect the views of Careful Investments SPC - Liquid Alpha Income Fund and no assurances are made as to their completeness or accuracy. An investment in Careful Investments SPC - Liquid Alpha Income Fund should be viewed as a means of diversification within the context of an overall investment portfolio, and an investment should be made only after consulting with independent and qualified sources of investment and tax advice. No information on this site constitutes investment, tax, legal or any other advice.

If you are unsure about the meaning of any information provided, you must consult an appropriate regulated financial or other professional adviser. An investment in Careful Investments SPC - Liquid Alpha Income Fund is speculative and involves a high degree of risk. An investment in the products referred to in this website is suitable only for investors who can afford to lose all or a portion of their investment. No one should commit to invest a large percentage of their readily marketable assets in Careful Investments SPC - Liquid Alpha Income Fund. There can be no assurance that the investment objective of any of the products will be achieved and investment results may vary substantially over time.

Investment in any of the products is not intended to be a complete investment program for any investor. Past performance is not a guarantee of future performance. The price of units or shares can go down as well as up and may be affected by changes in rates of exchange. Income from investments may also fluctuate and be affected by changes in the rates of exchange. Data is complimentary to and not a substitute for independent professional advice from a person qualified to provide it in your home country. The information contained on this website is subject to copyright with all rights reserved.

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