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Liquid Alpha Income Fund (LAIF)
Market-neutral absolute-return strategy based on index options with a conservative risk profile
Stable, predictable income
100% positive months since inception
Weekly liquidity
Strategy
Systematically sells weekly options on stock indexes; opens positions that have a 99.5+% statistical probability of positive results
Assets
Options on the main US stock indexes
Better than
Bank deposits, short-term money-market instruments, conservative equity market portfolios
Who it’s for
Investors who want to earn a stable income in line with or above inflation
Target net return
6-7%
Risk profile
Risk of losses in line with default risk of BBB/A- rated banks (e.g., Societe Generale, Barclays, Saxo Bank, UBS)
Данные материалы не предназначены для резидентов ЕС, Великобритании и США и не являются предложением для инвестирования
Historical Profitability
Value of $100 invested on September 1, 2020
Historical metrics
Return in USD, % annualized
7,9Maximum monthly drawdown, %
0Correlation with Nasdaq 100
-0,1Sharpe ratio
3,0Sortino ratio
13,2% of positive months
100Pros
Stable, predictable income
Conservative risk profile
Minimal volatility
100% positive months since inception
Short investment horizon (Monday-Friday)
Weekly liquidity
Reliable infrastructure
Transparent results
Cons
Returns are driven by market volatility, so they may lag historical averages in periods of smooth, steady growth in the stock market.
Michael Portnoy, Senior Partner, Strategy Advisor
Michael Portnoy, Senior Partner, Strategy Advisor
- 27 years in the investment industry
- 13 years developing and analyzing trading strategies, systematic trading in equity, futures and options markets
- Eight years selecting, analyzing and managing portfolios of hedge funds and absolute-return strategies in global securities and commodity markets
- Worked at major Russian banks and wealth management firms like Alfa-Bank, Uralsib, GHP Group, MDM Management Company and Alfa-Capital; headed global markets, hedge fund and commodity trading desks
- Specialist in absolute-return products and market-neutral strategies in the futures and options markets
- Graduate of Baruch College CUNY (Finance & Investments)
Minimum initial investment:
$250,000
Bank:
Northern Trust
Investment horizon:
Three months and longer
Broker:
Marex
How to invest:
LAIF and FLAG funds or Interactive Brokers individual accounts (depending on needs of each investor) – contact us for more information
Administrator:
Apex Fund Services
Andrey Movchan on LAIF
Success in investing often is about who can do the math. The LAIF Strategy is an excellent illustration of this theory: to build it, we had to develop an advanced mathematical model. Without the long experience in options trading that we brought to bear, as well as our understanding of the structure and nature of the market, this product would not have come into being, and in this sense, LAIF is a success story of collaboration with Michael Portnoy.
I invest in LAIF and recommend it to our clients who want to keep part of their savings in a market-neutral product with high liquidity. I have tried to find superior alternatives to the LAIF Strategy, but it is unrivalled – it is not for nothing that I put in all that work studying mathematics and Michael Portnoy, the manager of LAIF, acquired all that trading experience.
Still have questions?
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