“It is not the strongest of the species that survives, nor the most intelligent that survives. It is the one that is most adaptable to change” - Charles Darwin

 

 

The essence of this brilliant quote inspires PCP investment philosophy in its discretionary and quantitative products.

 

Even if our first fund was launched in 2010, since 2016 we adapted our investment process to the new financial environment shaped by Central Banks through huge injections of liquidity. We have innovated our approach by using technology and quantitative systems as screening tools to support decisions in our discretional funds and into our brand new QEEDA fund, a completely systematic fund managed by two algorithms.

Discretionary funds:

Pegaso Capital Strategic Trend

Pegaso Strategic Trend is  a Multi-Asset fund with a flexible asset allocation based on trends and opportunities offered by  financial markets.

The fund falls within the category of "Flexible Funds" as such, investments are not subject to constraints with reference to asset allocation (equity/bond) as well as individual risk factors (geographical, sectorial etc.) other than those provided by the investment policy and prospectus.

Pegaso Capital Strategic Bond

Pegaso Strategic Bond is a Bond fund with a flexible strategy investing in global debt financial markets.

Selection of duration, market debt segments like Goverment, Corporates IG-HY and Emerging debt  and currency exposure as well will be made dynamically according to market assessment within limits related to the investment policy and prospectus.

Quantitative funds:

Pegaso Capital Q Eurozone Equity Dual Alpha - “QEEDA”

The Pegaso QEEDA fund is completely managed by two algorithms – no human interference or bias. Those two algorithms were developed in a joint venture R&D project over three years including Stefano Iacus, Full Professor of Statistics and Data Science at University of Milano (Italy). The intellectual property rights are in sole ownership of Algo Finance Sagl a subsidiary company of Pegaso Capital Partners SA, which has the exclusivity license of use.

One of the algorithms selects stocks in various sectors of the EuroStoxx 300 index, and rotates over different sectors during the year thus changing exposure, weight and size. The other algorithm determines the shorts positions on various high liquid European stock indices (indices – not stocks!).

The Pegaso QEEDA fund incorporates three proven features which can be rarely found in other equity funds:

  1. focus on capital preservation – e.g. average net long exposure is about 17%;

  2. achievement of a significant above-market return on investment;

  3. an extremely low volatility in comparison to any benchmarks.

The Pegaso QEEDA fund was also analyzed by an independent third party expert and a highly acknowledged portfolio intelligence and analytics provider in the asset management industry. 

The in-depth study was carried by Novus which provides among other services analytics to help managers to receive funding by large asset allocators. Novus has performed analysis on more than 1.000 investment managers globally. The asset allocators Novus is servicing have combined more than USD 3.5 trillion under management. Novus has offices in London, New York, Austin, Boston and Zurich.

According to our research and Novus Analysis, both algorithms create independent and additive sources of alpha hence the name “dual alpha”.

The stock-selection of Algo-1 displays an unusual high battling rate win-/loss ratio of 5.1 – which means it picks significantly more winners than losers and moreover, as quantitative simulations carried out by Novus demonstrate, the performance of the fund cannot be replicated by using classical equity factors like value, momentum, etc.