There are a couple of key idiosyncratic behaviors to keep in mind for funds that trade and hold Synthetix synths that do not apply to the general asset universe, and there are certain mitigations for these behaviors that fund managers are encouraged to take to provide protective guarantees to their investors.
Trading synths via the SynthetixAdapter temporarily blocks actions that transfer or burn the received synth
See the "Adapter Integratees" section for detail.
Note that these same restrictions do not apply for trading synths via 3rd party protocols such as Uniswap.
Recommended mitigation: use of the GuaranteedRedemption policy to provide a daily window during which investors will be able to redeem shares
Liquidations can occur that will force the conversion of the synth into sUSD
A PurgeableSynth can be liquidated by the Synthetix team if certain conditions are met. This action burns the full synth balance and mints an equivalent amount of sUSD (minus fees) for the specified synth holders.
In such a case, the fund would receive sUSD and they would still have the liquidated Synth as a tracked asset, albeit with a 0 balance.
If the fund does not have sUSD as a tracked asset already, this opens the door to arbitrage the fund's (too low) share price, since the sUSD value will not be included in the fund's GAV.
Recommended mitigation: set sUSD as the fund's denomination asset (which guarantees it will always be tracked in the current release)
Alternative mitigation: always carry a nominal balance of sUSD (a less "trustless" solution as it relies on trusting the fund manager to not intentionally open the door for arbitrage)