The Derivative

SuperCars, Salad, and Sumo Wrestlers: Inside OneRiver’s Systematic Risk Mitigation Playbook with Patrick Kazley

Mar 5, 2026
Guest
Patrick Kazley
Patrick Kazley, an investment pro at OneRiver who builds systematic long-vol and defensive strategies, explains combining long volatility, convexity, trend following, and capital-efficient constructions. He discusses crisis shapes, calendar rebalancing vs. thresholds, changing volatility microstructure, and how metaphors like F1 brakes and soup vs. salad illuminate portfolio defense.
Ask episode
AI Snips
Chapters
Transcript
Episode notes
ADVICE

Offset Hedge Beta With Extra Equity Exposure

  • Neutralize a long‑vol strategy's benign negative beta by adding proportional equity exposure (e.g., if hedge has −0.2 beta, add 20% equity).
  • Run both sleeves together so rebalancing creates timing alpha without new cash.
ANECDOTE

Rebalancing Example From 2020 Demonstrates Timing Alpha

  • One River showed a rebalanced combined portfolio that compounded far more than the sum of sleeves in 2020 (example: static sum 58% vs rebalanced compound ~82%).
  • They illustrated resizing sleeves after convexity accrues then rebalancing through recovery to capture compound upside.
ADVICE

Prefer Time Based Rebalancing Over Thresholds

  • Use time‑based rebalancing rather than threshold triggers to avoid path‑dependent mistakes when scaling hedges.
  • One River rebalances incrementally (e.g., weekly quarters to monthly full rebalance) to maximize path independence and remove timing stress.
Get the Snipd Podcast app to discover more snips from this episode
Get the app