Dimacos Diversified Program

Our flagship strategy, the Dimacos Diversified Program is a systematic absolute return investment program (the “Program”).

Dynamic and risk-managed, the Program diversifies across uncorrelated investment strategies having reasonable positive expectancy over the longer term.

The investment objective of the Program is to generate, over the long-term, attractive risk-adjusted capital appreciation, not broadly linked to the performance of the stock and bond markets. In achieving its objective, the Program adopts a multi-strategy approach investing in:

  • long-term, systematic value strategies where investments are made primarily in equities and equity-related securities of issuers exhibiting attractive long-term business characteristics, durability, sound financial health as well as other positive business and economic factors. All analysis and selection is carried out in a systematic way. The investment horizon has a very long-term view.
  • long-term, trend-following and momentum based strategies where positions are taken primarily in equity securities, futures, other derivatives and cash in sectors such as equities, indices, government bonds, interest rates, currencies and commodities. The strategies seek to capitalize on long-term upward and/or downward trends exhibited in these markets, by taking long and/or short positions in the relevant securities, whilst implementing strict risk controls where trends seem to approach the end of their life. The investment horizon has a moderately long-term view.

The strategies adopted, although each one has a positive expectancy over the longer term, they are designed in a way that makes them uncorrelated and independent to each other over long periods. As such, they complement one another in a way that creates an attractive investment program with sound expected risk-adjusted returns.

 

Key features

  • Dynamically shifts risk capital between strategies depending on market regime
  • Scales positions according to market volatility
  • Focuses on markets exhibiting highest trend potential
  • Maximises trading when market conditions are most favourable
  • Systematic fundamental analysis to identify optimum opportunities

 

Risk Management

  • Reduces trading and leverage during periods of drawdown and when opportunities appear to be limited
  • Reduces equities capital at risk during equity bear markets
  • Targets a specific annualised volatility over the long-term
  • Asset class, portfolio and sector limits on positions
  • Limits on correlated positions
  • Dynamic deleveraging during sharp market reversals
  • In addition, the Program employs its own internal risk controls focused on margin control and position management. Individual positions and strategies are closely monitored to determine if as market conditions change they remain within the Program’s risk parameters.

Depending on the nature of the security involved, the strategy in which it is traded and market conditions, the Program may use one or more of the above risk control mechanisms to achieve an overall risk management framework that is suitable for the Program as a whole.

To view the latest performance of the Program, click here.