One River Dynamic Convexity UCITS

One River Asset Management is an innovative, majority employee-owed asset management firm that focus on two core competencies: risk mitigation and alpha generation. The firm manage more than $1bn of assets in systematic strategies ($2.3bn at the firm level), which include Dynamic Convexity (systematic long equity volatility) and Trend (both standard and alternative markets). In addition, also manage discretionary volatility strategies, which include Volatility Relative Value and Long Volatility, and also an Inflation Alpha strategy. The strategy has been live since April 2015 via SMAs and was launched as a commingled fund in December 2019 and more recently as a UCITS product in late 2021. The fund is a systematic pure long volatility strategy that seeks to capitalise on aspects of momentum, carry, and value found in volatility markets to maximize upside capture with an automated profit-taking mechanism in periods of stress, while minimizing negative bleed in times of relative calm. The fund consists of three sub-strategies. Firstly, Quant VIX (65% weight), a long-only futures momentum strategy, that dynamically adjusts positioning across the VIX term structure to the points of optimal risk and reward at any given time. VIX Convexity (15% weight), consists of a portfolio of VIX options (always long options, never short) optimized to benefit from persistent pricing inefficiencies on the volatility surface. And finally, a short dated equity straddle strategy (20% weight) that scans global equity market indices for options that are mispriced relative to their expected value after accounting for upward drift and/or periodic crash, and purchases the options only if the expected value is positive. Whilst the first two strategies have a higher correlation due to their inherent long-vol profiles, the straddle strategy has a lower correlation and helps to smooth overall returns during more benign environments.