„RP Vega“ became „RP Gamma“

On September 15th, 2017 the name of the RP Vega fund was changed to RP Gamma.
Following note gives a brief motivation for the name change.


The main focus of our fund is the management of gamma risks. As such, by changing the name to RP Gamma we achieve a higher congruity between purpose of the fund and its name.
There are many options-based strategies with strongly varying risk focuses to be found in the asset management industry. Generally, these can be differentiated according to one of the following three main risk focus areas:

Delta-based strategies: delta is the sensitivity of a strategy to price changes in the option’s underlying instrument. The performance of delta-based strategies such as discount certificates, covered call or put write strategies, depends mainly on the development of the delta, which is determined by the directional market evolvement of the underlying instrument.

Vega-based strategies: vega denotes the sensitivity of a strategy to changes in the level of implied volatility. The performance of option strategies with longer maturities or volatility futures based strategies is mainly dependant on vega, i.e. the direction and magnitude of the change in implied volatilities.

Gamma-based strategies: gamma is a measure of how the delta of an options strategy changes when the price of the underlying instrument fluctuates. The risk focus of all strategies that aim at harvesting the difference between realized and implied volatilities is typically the gamma risk. The performance of such strategies is largely independent of the directional market evolvement and will be positive as long the actual market fluctuations are less pronounced than those forecasted by the implied volatility.


RP Crest’s asset allocation process: vega-risk reduced gamma participation

Our asset allocation process enables investors to participate in the performance evolvement of gamma. The performance contribution resulting from vega risks are hereby largely neutralised by way of an active risk management process.

The name change to RP Gamma will enhance the profile of our fund and facilitate the positioning of our fund within the heterogeneous and complex asset management world.

For those that follow our fund evolvement via their custody bank’s system our other financial market information platforms, the name change will be without consequence. The ISIN and other identifiers will remain unchanged as will be our asset allocation process.

Risk premiums on capital markets can metaphorically be regarded as ocean waves: they roll in continuously and always come from the same direction, they are, however not always equally strong as they are shaped by the environment and weather conditions. Read more if you are interested in understanding why we at RP Crest chose the image of a surfer as our logo.

In this metaphor, capital market models are the surfboards. For centuries, new materials and designs have improved the sport of surfing, just as research has furthered our understanding of capital markets and risk. As portfolio managers, we see ourselves as surfers riding the waves of the capital markets. Here, as in surfing, what matters most is experience, discipline, training and behaving appropriately in each situation to mitigate risks. As no two waves are alike. Consequently, we do not see ourselves as ‘quants’ following once-established rules, but rather as a team that evolves and adapts to each new circumstance and type of wave while at the same time applying our experience. An inexperienced surfer, even equipped with the best board, will not be able to master the surf. We are an experienced team focused on a single product, the RP Vega fund, through which we capture the volatility risk premium for you.

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