RP Crest renames volatility funds
RP Crest, the Munich-based asset manager, renames its volatility fund ‘RP Vega’ to ‘RP Gamma’ as the fund exceeds €600m mark, effective 15 September 2017.
“The renaming of the public fund serves to create a higher congruence between fund names and fund content”, said Matthias van Randenborg, founder and CEO of RP Crest. “We hope to make it easier for our investors to change the position of our fund in the complex and heterogeneous universe of volatility funds.”
Vega and Gamma characterise different risk parameters of an option strategy. Vega describes the sensitivity of a strategy to changes in the level of implied volatility. Whoever sees the risk centre in the Vega, sets the direction and extent of the change in the implied volatility.
“This is not exactly the focus of our fund”, added Matthias van Randenborgh. “We refer to the difference between the implicit and the realised volatility, that is, the so-called ‘Gammarisiko’. We are also implementing an active risk management process, which should neutralise Vega’s contribution to the company.”
With €600m in assets under management, the RP Vega fund is the largest volatility fund in Europe, independent of banks and insurance companies.