Old Park Capital is to launch its systematic Maestro strategy via an offshore Cayman fund from 11 November, the company announced on Thursday.

The Maestro Managed Futures Strategy is a systematic trading programme that arbitrages the daily variation in the valuation of highly liquid exchange traded index futures over a number of time zones.

More specifically, the strategy aims at exploiting the opportunities created by the extended trading session for futures contracts, i.e. the fact that futures contracts trade during a longer time period of the day than the underlying markets. For example, EuroStoxx Futures trade on Eurex from 8:00 am CET to 10:00 pm CET whereas the underlying European cash equity markets trade only from 9:00 am CET to 5:30 pm CET.

When both the futures and the underlying market trade, the futures price is guided by the behaviour of the underlying market. But after the close of the underlying market, the futures is “orphan”, i.e. trades without the informational support of the underlying market. The futures may then get carried away by external factors such as markets of other regions, i.e. the futures may experience a price deviation that may not be in line with the valuation of the underlying market in absence of significant news.

Maestro exploits the fact that in absence of significant news the futures will mean-revert back to the valuation level of the underlying market when the latter re-opens the following day.

Strategy Category

Managed Futures, Systematic

Strategy Objective

Absolute return generation over medium term

Strategy Asset Classes

Only exchange-traded, highly liquid futures that trade across a number of time zones in Europe and the USA

Platform Facts

Strategy Manager: Old Park Capital, London, United Kingdom

Established: May 2009

Total Team Size: 9

Fund management team longevity: 7 years, since May 2005

Team average experience per person: 15 years

Regulated by: Financial Conduct Authority, United Kingdom

Ownership: Held entirely by senior management

Legal Advisor: Pinsent Masons, United Kingdom

Auditor: Moore Stephens, United Kingdom

For more on Maestro Managed Futures Strategy go to:

http://www.oldparkcapital.com/homepage.html