Paris-based quantitative investment manager LFIS has launched the LFIS Vision - Global Derivatives Opportunities fund, a highly-diversified derivatives arbitrage strategy that seeks to profit from dislocations in implied parameters to generate all-weather, absolute returns.
The fund leverages LFIS' investment approach which blends quantitative and qualitative analysis, and the firm's complete investment infrastructure and proprietary pricing models which are close to those of an investment bank. The result is a fund with multiple dimensions of diversification, across asset classes, including equities, interest rates, currencies and commodities; geographies, including the US, Europe and Asia; and instruments, including vanilla puts and calls, variance swaps and various bespoke derivatives.
GDO (as the strategy is known) was launched in response to growing client demand for dedicated exposure to the implied premia strategies in LFIS' flagship premia funds where the firm has an established track record since 2013 and almost $5bn in assets.
GDO seeks to deliver stable returns with a low correlation to traditional markets and target annualized volatility of up to 10% (under normal market conditions, there is no guarantee that the fund will deliver on its objectives). Since its launch in August 2019, the fund has delivered net positive performance in line with these objectives.
Yann Le Her, partner and senior portfolio manager at LFIS, commented: "The launch of GDO demonstrates our commitment to meeting the needs of our clients going forward. GDO is a natural extension of LFIS' existing capabilities and adds to our range of innovative investment strategies targeting all-weather absolute returns. As one of the largest volatility players in the industry with a proven track record in derivatives strategies and payoffs, LFIS is uniquely positioned to deliver this truly diversified, cross-asset solution."
The LFIS Vision-Global Derivatives Opportunities fund is an AIF fund offering monthly liquidity and passported for sale across Europe including in France, the U.K., Germany, Italy, Spain, Belgium, Austria, the Netherlands, Finland, Sweden and Portugal. Any investment in the fund is subject to risks, including investment manager risk, risk of loss, capital risk linked to the use of leverage and investment in derivatives and model risk. These risks are not exhaustive.