DISCOVER THE PATTERNS. We use intricate systems to understand the investment universe.

PARK CAPITAL DIMENSION

  • Multi-strategy quantitative approach
  • Highly diversified range of systematic strategies trading liquid instruments
  • Aims to perform in a variety of market conditions
  • Historically uncorrelated with many major asset classes
  • Targets Sharpe ratio of greater than 1+
  • Long-term track record
  • Dedicated research team with full access to one of the world’s largest quantitative research

APPROACH

Park Capital SA Dimension Programme comprises a broad mix of high-conviction systematic strategies, spanning technical, fundamental, and momentum styles.
These utilise a wide universe of highly liquid instruments – currently around 400 futures and forwards spanning the major asset classes of equity, FX, fixed income and commodities – as well as options, interest-rate swaps, credit derivatives and over 2000 single-name equities.
Around half of the Programme’s momentum allocation is to the Park Capital SA Evolution Programme which trades momentum on instruments not typically traded by CTAs, such as interest-rate swaps, credit and power derivatives, and cash equities.
Technical strategies seek to capture risk premia associated with a wide variety of sources.
They potentially include seasonality patterns, predictable price moves around major economic events, the mean-reverting nature of fixed income yield curves, and machine learning, for example.
Fundamental strategies use non price-based information to determine trading signals. These might be, for example, carry strategies in FX, fixed income, commodity instruments and long-short equity models based on fundamental data. Park Capital SA has been a pioneer in momentum strategies for over one decade and historically momentum itself has been shown to persist in markets for well over a century. Momentum strategies have holding periods of between two and three months.
StyleMulti-strategy systematic
Investment ApproachBalanced Allocation
Volatility Target10%
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PERFORMANCE

YEAR TO DATE

2.2%

LAST 3 MONTHS

2.2%

1 YEAR

9.8%

3 YEAR

3.3%

5 YEAR

33.4%

SINCE INCEPTION

91.6%

PERFORMANCE BY CALENDAR YEAR

2018

2.9%

2017

3.9%

2016

-1.5%

2015

6.9%

2015

16.3%

As at May 2019
Inception Date 21st May 2009

Past performance is not indicative of future results. Returns may increase or decrease as a result of currency fluctuations.

Please note that the performance data is not intended to represent actual past or simulated past performance of an investment product. The data is calculated in USD and is based on a representative investment product or products that follow the programme. An example fee load of 1% and 20% has been applied.