One River Firm Overview
Founded in 2013 by Eric Peters, One River Asset Management is an investment manager dedicated to delivering highconviction absolute-return strategies that help our clients build superior portfolios. We see the world in a period of major economic and political transition, with the investment landscape shifting in ways that will make the coming five years look profoundly different from the past five. Our strategies are built to profit from this dynamic environment while providing strong diversification benefits to traditional investment portfolios. Each is developed and managed in-house by our diverse team of investment professionals with deep expertise in thematic macro, volatility, systematic,and inflation trading/investing. The firm manages assets for corporate pensions, university endowments, superannuations, and asset managers across the US, UK, Australia and Asia.The strategies are delivered at sensible fees via commingled funds, and/or in bespoke combinations for large institutions via fund-of-one structures, managed accounts, swaps or UCITS compliant structures.
Volatility Relative Value: The discretionary market-neutral strategy takes long/short positions across global equity index, foreign exchange, interest rate and commodity volatility markets. The strategy is dynamic and can generate positive returns in both bullish and bearish equity environments. Since its September 2018 inception it has generated over a +3 Sharpe with 0% correlation to the HFRX Volatility RV Index - profiting during both the sharp equity market decline in Q4 2018 and the powerful rebound in H1 2019. Our expertisein finding ways to be longvol while minimizing carry is a distinct advantage when constructing a Vol RV book that can generate strong, differentiated returns and is built to withstand market dislocations.
Discretionary Long Volatility: The strategy is structured to profit from a rise in cross-asset volatility that is typical at cycle turns and we believe will be a historical outlier in the transition ahead. We take a value-oriented approach to portfolio construction, looking for the best risk-reward opportunities to be long volatility across the globe, with a dominant allocation to equity and high-beta volatility. The highlyconvex strategy is built to minimize carry, and partially crystalize profits through rebalancing and asset class rotation. It has outperformed a wide range of competing long-only volatility strategies since its inception 5 years ago.
Dynamic Convexity: This highly convex systematic strategy trades VIX futures, VIX options, and straddles on major global equity indexes from the long-side only. It codifies several discrete trading strategies developed and honed through years of trading these markets on a discretionary basis and combines them into a systematic portfolio. 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. The strategy has produced positive net returns since inception 4yrs ago and returned +18% in 2018. We know of no other long-only volatility strategy with this performance profile.
Systematic Trend: The pure trend strategy is informed by deep quantitative research combined with our discretionary macro and volatility expertise. It is sensibly constructed, using a limited number of parameters to improve robustness, and trades 60 of the world’s most liquid equity index, fixed income, foreign exchange and commodity markets. 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 out of positions quickly if needed. The strategy has consistently outperformed the SocGen Trend Index by roughly. 4 Sharpe since its inception 4.5 years ago.
Systematic Alternative Markets Trend: The strategy applies One River’s existing systematic pure trend algorithm to 104 more esoteric global markets which 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 fund is the first of its kind to offer a management fee-only share class.
For institutional clients who prefer a customized solution to our commingled fund vehicles, we can deliver any combination of our investment strategies in a fund-of-one, managed account, swap or UCITS compliant structure. We partner with such bespoke clients in one of three ways; (1) they present us with an investment need to tilt their portfolio and/or hedge a specific risk and we then create a combination of our strategies to achieve that objective, (2) they ask us to build a holistic, stand-alone portfolio of our strategies that is designed to fit well within their larger alternatives portfolio, and (3) they turn to us for solutions that materially reduce the expense ratio and capital efficiency of their existing portfolio while maintaining equivalent market exposures.
One River is based in Greenwich, Connecticut and has offices in Santa Barbara, California. Eric Peters, CEO & CIO of One River, is also the author of an investment letter called “Weekend Notes” which is read by investment professionals who directly deploy over $1 trillion in alternative assets. For further information, please contact Mara Peters, Head of Investor Relations at email@example.com