LFIS Fund Seeks To Profit From Dislocations In Implied Parameters

LFIS’ Global Derivatives Opportunities Fund aims to be a highly-diversified derivative arbitrage strategy that seeks to capture dislocations in implied parameters to generate all-weather, absolute returns. The strategy, aimed primarily at sovereign wealth funds, pension funds, family offices and endowments, focuses solely on market-neutral relative-value trades on implied parameters, targeting a volatility of 10% in normal market conditions, with a Sharpe ratio above one, said Yann Le Her, partner and senior portfolio manager at LFIS.