Copy Intalcon US Equities ESG Systematic

Intalcon US Equities ESG SystemaTic

Strategy

‍‍Fund Theme:
Balanced, US Equity. Low Volatility Systematic strategy, ESG weighted.
The fund is designed to contribute to a better world by generating the capital necessary to protect life on this planet.

Summary:
‍The Strategy aims to generate Alpha through the use of systematic models that provide timed trend following and counter-trend signals. A further model also modifies weightings to components for ESG adoption principles.

Benchmarked against 60% of the S&P 500 Top 50 Index. Dynamic equity exposure (on average 60%) to reduce volatility and drawdowns (unique dynamic exposure model).

Asset types:              
Equities; 50 largest companies from S&P 500 (US mega-caps).

Diversification:
The Strategy will select from The Strategy Universe (S&P 500 Top 50). The position size will reflect the ratio of fund size with benchmark weighting.  So, a stock with a 10% weight in the index, will have a position equivalent to 10% of the fund value. There may be variation according to a proprietary ESG adjustment.

The Strategy will adjust its own constituents in line with the S&P 500 Top 50 Index at each annual reconstitution of the Index. The two parts of the strategy will run and alter the weighting.

Investor types:          
Investors seeking capital growth through a balanced exposure to the US Equity markets.

Discretionary Fund Managers, IFA clients, Family Offices, Faith groups, Impact Investors, Pension Funds.
Organisations that require a ‘ESG’ or ‘Impact’ element to their portfolio, achieved by the use of the performance fee, see Impact Ethos below.

Investor countries:
Predominantly the investors will be the UK, Europe, MENA region. USA and Canada may also be targeted for investment at a later date.

Statistics

Status:
28.02.2022.
Return (YTD)
+5.30%
Return (last 12 months)
+11.10%
SHARPE RATIO (15 Years)
1.02
ANNUALIZED RETURN (15 Years)
+11.74%
ANNUALIZED VOLATILITY (15 Years)
11.31%
Maximum Drawdown
-17.18%
annualized ALPHA (15 YEARS)
6.00%
Portfolio
LARGEST STOCKS FROM S&P 500
Benchmark
60% S&P 500 TOP 50 PRICE INDEX (EUR)
Correlation
0.92
TRADING FREQUENCY
15 ROUND TURNS PER STOCK / YEAR
Average holding period
16 CALENDAR DAYS
Portfolio Currency
EUR

Directory

Sub-Fund/Portfolio Name:
Intalcon Alpha-Max Strategy Fund    

The Fund Company/PCS:
SKYLINE UMBRELLA FUND ICAV

Fund Legal Structure:
UCITS (Undertakings for Collective Investment in Transferable Securities)

Manager:
DAVY GLOBAL FUND MANAGEMENT LIMITED    

Administrator:
NORTHERN TRUST INTERNATIONAL FUND ADMINISTRATION SERVICES (IRELAND) LIMITED

Custodian:
NORTHERN  TRUST FIDUCIARY SERVICES (IRELAND) LIMITED

Investment Manager:
[TBD]    

Investment Advisor:
INTALCON  [.  ]  

Strategy Provider:
INTALCON  [.  ]  

Derivative Counterparties:
N/A    

Prime Broker:
[TBD]        

Auditor:
DELOITTE, IRELAND

Other Parties:  

Legal Advisors to the ICAV:
WALKERS, IRELAND

Product Details

Investment Objective:
The fund adopts a strategy that uses a fully systematic approach to invest in US Equities, whose weights are adjusted with an ESG overlay. The strategy aims to provide capital growth and to outperform its benchmark (60% of S&P 500 Top 50, 40% Cash) on average by 25% of the benchmark‘s total returns while keeping a high correlation to the benchmark.

Investment Strategy/Policy:
This long-only model is a combination of trend and counter trend logic that continuously attempts to capitalize on short-term market swings. Its superior timing qualities enables it to generate attractive results in both up trending and sideways trending markets. The ESG overlay is a proprietary Key Performance Indicator (KPI) weighting methodology.
 
Underlying portfolio:
The fund will hold a diversified portfolio of around 50 of the largest and most liquid US equities from the S&P 500 Top 50 index.

Model/Algorithm Summary:
The model underlying the Strategy consist of a robust trading rules based on price patterns and technical indicators. The model is a combination of several entry and exit signals and uses limit orders to enter and exit market positions – thereby, the recent volatility of the underlying stock is taken into account. Equity exposure varies dynamically depending on which stocks the model generates the signals.  A further weighting maybe applied as per the ESG KPI score. The average holding period is around 2-3 weeks.

Signal Generation:
Signals are generated after the close of business for execution the next business day. New signals are generated daily on a Limit Order basis. Approximately 15 round turns are expected per year per constituent, with an average holding term of 16 days.

IMPACT Ethos:

Anyone should be able to invest who has a will or need to grow their underlying capital and to support good causes that help achieve the Sustainable Development Goals from the UN. Intalcon will donate part of the performance fee immediately to the Intalcon Foundation for, a further donation will be made from the annual profits of the Intalcon company.

This means clients funds remain liquid while having indirect contributions to otherwise illiquid Impact projects.

Benchmark:
60% S&P 500 Top 50 (S&P 500 Top 50) , 40% Cash (no return assumption)
 
Use of Discretion:
No
 
Rebalancing Frequency:
Exactly as the main benchmark Index. Portfolio constituents are re-balanced and screened annually in July. The components are cap-weight-adjusted on a monthly basis. If the strategy identifies a buy, the signal will offer a position size in accordance to this weighting.

ESG KPI weightings are adjusted on a monthly basis.

Use of derivatives:
No

Liquidity Portfolios/Cash Management:
Uninvested amount of capital is held in cash.
 
Collateral Management Techniques:
N/A  

Base Currency:
GBP  

Minimum Fund Size:
50,000,000

Risk Management

Principal Protection/Stop-Loss mechanisms:
Each equity position will be sold when specific conditions are identified and met by the algorithm by placing a sell limit order.

Volatility Control mechanisms:
The portfolio is made up from the S&P 500 Top 50 thus ensuring a high diversification on a sectoral basis. Each stock`s position size in the portfolio is weighted according to its weight in the benchmark with a further adjustment to the proprietary ESG weighting index. The equity exposure varies dynamically depending on the market conditions. On average, the equity exposure is around 65-70%.    

Currency & Interest Rate Hedging mechanisms:
No Hedging.

Shareclass Information

Share class types:
Normal / Special

Currencies:
GBP

Hedged currency classes:
No  

Dividend Policy:
Re-invested (accumulation)  

Minimum initial investment:
£500,000 / £10,000,000

Minimum additional investment:  
£100,000 / £1,000,000

Minimum holding:
£500,000 / £10,000,000

Minimum Share class size:
£10,000,000

Initial Offer Period: 3 months

Initial subscription price per share:
£100 / £100 (TBD)

Fees

Management Fee:
0.85% / 0.75%

Investment Manager Fee:    
0.85% / 0.75%


Strategy Advisor Fee:
0.6% / 0.5% incl.

Performance Fees:
25% of performance over Hurdle rate/Benchmark, subject to High Watermark mechanism    

Index / Strategy Fees:
No    

Derivative Fees:
No    

Other Costs & Expenses:
0.25%, included in total Management Fee

UICTS Manager:
incl.    

Administration:
incl.    

Custody:
incl.    

Other:    

TER (Total Expense Ratio):
0.85% / 0.75%

Cost Underwriting Provisions:      

Distribution Fees:
Up to 5% of initial investment    

Redemption Fees:
No

Deferred Subscription Fees (CDSCs):
No  

Trail Fees/Rebates:
Potentially where permissible

Distribution

Client types:
Institutional, Pension Funds, HNW, Family Offices, Advised Retail (IFA)

Platforms:
UK Fund Patforms, Offshore Bonds
 
Countries:
UK, European Countries (initial)

Passporting required        

Launch AUM:
£4-10 MM

6 months:
£10-50 MM

1 year:
£25-100 MM     

2 years:
£100 MM plus

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Annual ReturnS

Annualized Return

Annualized Volatility

Maximum Drawdown

Sharpe Ratio

Rolling 12M Performance

Rolling 12M Volatility

MONTHLY RETURNS

Important Note

The content of this website is for information only. They do not constitute investment advice or a recommendation to buy or sell any financial product. No guarantees or representations are made as to the accuracy, completeness or correctness of the information contained herein. All information on the investment strategy is based on a model calculation (back test) and is not an indication of future performance. Backtests are no guarantee of future success. The stated alpha does not represent a guaranteed return. Neither Intalcon GmbH nor its organs or employees can be held liable for losses that arise from the use or dissemination of this information.

Intalcon GmbH is recognized by the German Federal Financial Supervisory Authority (BaFin) as an institution-independent creator and/or distributor of investment strategy and investment recommendations within the meaning of MAR (Market Abuse Regulation or German: Marktmissbrauchsverordnung).