Alternative
Strategies
RISK RESPONDERS STRATEGY
The Risk Responders Strategy is a cash-efficient, fully systematic combination of Dynamic Convexity (long equity volatility), Core Markets Trend, and Alternative Markets Trend. The strategy combines these strategies into one integrated vehicle and deploys additional leverage to each sleeve, with the intention of providing robust risk mitigation in the face of both market crises (Dynamic Convexity), as well as during prolonged risk asset declines or macro asset regime shifts (Trend).
Risk shifts dynamically between long volatility and trend exposures over time, such that the portfolio risk tends to be primarily driven either by long volatility or trend themes, based on how the model views the comparative attractiveness of the underlying strategies. This combination of risk mitigating exposures is expected to deliver a strong risk-adjusted return in most environments, particularly during major equity market crises. Profit-taking is embedded into the model, relieving investors of the pressure to time their exit from the strategy, allowing it to be held through the cycle as a source of positive portfolio convexity.
TOTAL PORTFOLIO STRATEGY
The One River Total Portfolio utilizes the One River Risk Responders Strategy with an S&P 500 (or Nasdaq or MSCI World) Overlay, using thes ame capital for both equity appreciation and long convexity protection. The One River Total Portfolio is a cash-efficient, fully systematic combination of One River's Dynamic Convexity (long equity volatility), Core Markets Trend, and Alternative Markets Trend strategies. The strategy combines these strategies into one integrated vehicle and deploys additional leverage to each sleeve, with the intention of providing robust risk mitigation in both market crises (Dynamic Convexity) as well as during prolonged risk asset declines or macro asset regime shifts (Trend). Further, the strategy rebalances between the lowly correlated sleeves with the intention of improving compounded returns over the long-run.
DYNAMIC CONVEXITY EQUITY OVERLAY STRATEGY
This strategy deploys a combination of the Dynamic Convexity strategy with an S&P 500 Overlay using free cash within the fund for the equity exposure. The strategy is built to produce a roughly beta 1 to markets in benign markets, and fully hedge outsized downside moves in equity markets in periods of stress. Further, the strategy routinely rebalances between the long equity and long volatility sleeves, with the intention of improving long-term compounding through favorable correlation and convexity dynamics.
DYNAMIC CONVEXITY BETA NEUTRAL STRATEGY
This strategy deploys a combination of the Dynamic Convexity strategy with an S&P 500 Overlay using free cash within the fund for the equity exposure. The strategy is built to produce a roughly beta 0 to markets in benign markets, and fully hedge outsized downside moves in equity markets in periods of stress. Further, the strategy routinely rebalances between the long equity and long volatility sleeves, with the intention of improving long-term compounding through favorable correlation and convexity dynamics.
DYNAMIC CONVEXITY
This highly convex systematic strategy trades volatility futures, volatility options, and options on major global equity indexes from the long-side only. It codifies several discrete volatility trading strategies developed and honed through years of trading these markets on a discretionary basis and combines them into a fully systematic portfolio. The strategy capitalizes on inefficiencies in volatility markets to maximize upside capture in periods of stress while minimizing bleed in times of relative calm. Risk is adjusted automatically using a range of signals and measures of value. Profit-taking is embedded into the algorithm, relieving investors of the pressure to time their exit from the strategy, allowing it to be held through the cycle as a source of positive portfolio convexity.
DISPERSION ALPHA
The Dispersion ALpha strategy seeks to generate alpha from dislocations between index volatility and its constituents' volatility. The strategy implements Dispersion trading across four key trade types: Classic Dispersion, Value-Oriented Dispersion, Flow-Driven and Thematic Dispersion, and Active Dispersion. The strategy is designed to capture the correlation risk premium and generate additional alpa through inefficiencies in dipersion trading, while maintaining neutrality to equity markets and a low correlation to other major market betas and hedge fund betas.
SYSTEMATIC TREND
The pure trend following strategy seeks to exploit medium to long-term trends frequently observed in the world’s most liquid equity index, fixed income, foreign exchange, and commodity markets to generate positive returns. It is built through a combination of deep quantitative research and discretionary macro trading expertise, and is sensibly constructed to maximize alpha instead of capacity, using a limited number of parameters to improve robustness. We embed common-sense risk management logic into our unique algorithm, combining the attractive attributes of medium to longer-term signals with the nimbleness to get into or out of positions quickly if needed.
SYSTEMATIC ALTERNATIVE MARKETS TREND
The strategy applies a unique trend model to esoteric global markets that tend to exhibit more idosyncratic return behavior. These markets include developed and emerging market interest rate swaps, emerging market foreign exchange, credit indexes, equity market sectors, European power and emissions markets, etc. One River has traded these global macro markets for years and has developed the systems to price, trade, and quantify/manage the risks. The strategy embeds common-sense risk management logic into the unique algorithm, combining the attractive attributes of medium to longer-term signals with the nimbleness to get into or out of positions quickly if needed.
Our alternative strategies leverage the full capabilities of our investment team’s experience over multiple decades running both discretionary and systematic strategies. Our approach is distinct in the industry, leveraging macro awareness, data-driven processes, and market-tested risk management.
We offer six strategies across three categories: Volatility, Trend, and Inflation. Within Volatility, we operate two Long Volatility strategies, and one alpha-seeking Volatility Relative Value strategy. Within Trend we offer two fully systematic strategies, one of which is focused on major markets, and another on alternative markets. Our forthcoming Inflation strategy seeks to benefit from an inflationary backdrop and higher potential inflation volatility.
THE ABSURDITY OF CERTAINTY: The Total Portfolio Approach to Sizing Long Volatility
We explore the important portfolio allocation factors when determining the ppropriate weight to convexity, and how impactful implementation style is in determining the optimal weight to maximize returns.