Preheat the oven to 400°F.
Cut the bottoms off each pepper. Standing each upright, cut four rectangles off each side. Pinch off any flesh that it on close to the stem.
Place all the pepper pieces onto the lined baking sheet and toss with the olive oil, salt and pepper. Place the pan in the oven for 20 minutes.
While the peppers are cooking, in a medium bowl, combine the cumin, capers, lemon zest, sherry vinegar, parsley and garlic.
Remove the peppers from the oven and let them cool. This can be done a day in advance. When cool, cut the pepper pieces into 1/3 inch strips.
Place the pepper pieces in the bowl and combine with the caper mixture. Season with additional salt and pepper if desired.