PGR CAPITAL's investment programme seeks to profit over the medium term by exploiting opportunities in futures markets across a broad range of asset classes and geographic regions. Proprietary models developed by the founding partners are implemented in an in-house trading system which systematically processes real-time data and executes trades automatically.
PGRs investment strategies have a strong mathematical and statistical basis and exploit established signal processing and econometric techniques. Underlying our system are models of how markets move; it is an important principle that focuses on real markets rather than data mining. The strategies are primarily directional in nature and identify and take advantage of both upward and downward price momentum. The source of these trends may be sound economic considerations, asymmetric information or behavioural patterns of market participants. Whatever the cause, persistent trends can be shown to occur in all markets across all sectors with varying strengths and durations. PGRs strategies have been designed to identify the direction and strength of any trend over multiple timeframes and have the ability to adapt to the prevailing market conditions.
Rigorous risk management is central to all PGRs systems and operations. Risk control is integral to the trading strategies themselves; the strategies scale positions according to individual market risk and react dynamically to changing market conditions to control the risk of the portfolio as a whole. The automation of trade execution and reconciliation avoids the possibility of human errors while further processes continuously monitor and assess risk throughout all stages of the investment process. PGR has developed novel processes to monitor and assess market risk using a number of standard and non-standard measures including correlations, value at risk, sector exposure, entropy, stress tests etc. These measures enable us to better understand and react to market risks.