

Liquid Alpha Income Fund
ContactObjectives
Fund objectives
LAIF SP – investment fund aiming to provide investors with market-decorrelated stable conservative returns by creating a portfolio of short positions in ultra short-term puts on the largest and most liquid world equity indices, using an advanced statistical methodology.
Net target return: 6–7% p.a. in USD and GBP, 4–5% p.a in EUR.
Strategy
Investment strategy
The fund trades weekly options on the largest and most liquid ETFs replicating major stock indices, with an expiration of fewer than four days. These options are a popular instrument for hedging market risks and short-term transactions.
The fund writes options, generating returns by enabling market participants to hedge market exposure or to bet on short-term market movements. The premiums collected from written options are the source of fund’s returns.
The strikes are set based on a sophisticated statistical model using a variety of market parameters so that the probability of the puts being exercised does not exceed 0.3–0.4%. The managers apply extra caution lowering the strikes manually to account for any idiosyncratic factors arising in the moment and to exclude non-systematic risks.

This product is suitable for
Target investor
An investor interested in a sophisticated investment product with stable returns and a negative correlation with the primary markets. The fund's target return is 6–7% annualised, with returns volatility of less than 3%.
ContactFund objectives
LAIF SP – investment fund aiming to provide investors with market-decorrelated stable conservative returns by creating a portfolio of short positions in ultra short-term puts on the largest and most liquid world equity indices, using an advanced statistical methodology.
Net target return: 6–7% p.a. in USD and GBP, 4–5% p.a in EUR.
About the fund
Fund facts
Investment terms
GBP 250,000
Why this is profitable
Strategy advantages
Why this is profitable
Structure advantages
Results
Risks
Risk Management
Description The risk of loss due to a strike level breach.
Risk management method Managers typically keep the probability of such an event below 0.3%, within the framework of the model (i.e. one such event can be expected once in 6–7 years); the managers exercise particular caution in unusual circumstances. The event could result in significant realised losses (theoretically unlimited, in practice ranging from 0 to 20–30%).
Description A sharp increase in the margin requirements on the option positions is possible during extreme market falls, such as in March 2020.
Risk management method The size of the position to be opened (the number of options to be sold) is calculated to reduce this risk to near zero. Positions are opened with a margin safety gap of 30–40% to the maximum historical margin levels during the worst periods of the market.