Pilot on fund liquidity reporting now live at Lannebo Fonder

As both AIF:s and UCIT:s funds now must report a liquidity ladder on a quarterly basis to the national competent authority, a number of problems needed to be addressed. What assumptions are needed to assess the number of days it takes to sell a position? How do you handle non-frequent traded products? Are you allowed to assume partial sale of assets during the number of days until the position is closed?

In a joint pilot effort with the risk management team at Lannebo Fonder, Algorithmica has recently released a hybrid liquidity model. The model harvests market traded volume data where available and uses a multi-level expert scoring model where market information is missing. Market maker commitments and informal views can also be weighted in.

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