No investment is risk-free, however margin lending is generally considered low-risk if done responsibly.
The main risk of margin lending is counter-party risk, which is mitigated by the trading rules imposed by crypto exchanges. All large margin lending platforms require either a high maintenance margin or automatically close losing positions, such that it is not possible for margin traders to have a negative trading balance (i.e. by design there are no losses for the lender). Further, exchanges also maintain substantial insurance pools which provides further protection of funds should the market move to quickly for losing positions to be closed.
Margin-lending activities will only take place on reputable exchanges such as Bitfinex, Poloniex and Binance. The loans are collateralised; positions are liquidated automatically if losses approach the collateral value. In this way the risks are minimized. Fund assets will also be split across exchanges so as to reduce exposure.
No losses have been realized to date on loans provided on the top tier lending platforms on which the fund will be operating.
Bitfinex, for example, has a very good track record for protecting funds. Lended funds are either in USD or liquid USD-equivalent stable coins. The only way a similar hard default could happen in our case is if the USD loses the majority of it's value in a flash crash. Bitfinex also has a layered force liquidation engine that handles defaulted positions and slows down liquidations to prevent the situation from spinning out of control. Bitfinex has numerous resources explaining the process, for example this article which provides real-world examples.