Intalcon Global Bonds Systematic
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Intalcon Global Bonds Systematic

Strategy

The Intalcon systematic strategy is applied to trade 14 highly liquid treasury futures from US, Europe and UK to achieve a close correlation with the FTSE WGBI index as Pacific-zone markets have been discarded due to trading-logistic concerns.

Portfolio weights are allocated across the geographical and effective-duration spectrum to produce an acceptable sample of the underlying complex.

This robust long-only model is a medium-term combination of trend following and mean reversion methods that applies the same technical rules and parameters to trade all markets at all time. Buy / Exit orders at limit prices are issued on daily basis and, where applicable, require the ability to timely place overnight orders. The strategy’s numbers include a fair representation of trade-execution costs and currency-basket fluctuations.

The performance profile features a pretty low tracking error while boasting an alpha net-advantage target that exceeds 25% of the benchmark’s returns.

Statistics

Status:
30.09.2021.
Return (YTD)
+0.80%
Return (last 12 months)
+1.30%
SHARPE RATIO (15 Years)
1.04
ANNUALIZED RETURN (15 Years)
6.32%
ANNUALIZED VOLATILITY (15 Years)
5.83%
Maximum Drawdown
-6.30%
annualized ALPHA (15 YEARS)
2.62%
Portfolio
14 Treasury bond futures (US, Europe, UK)
Benchmark
FTSE WGBI Developed Markets ex Japan (EUR)
Correlation
0.93
TRADING FREQUENCY
15 Round Turns Per Contract / YEAR
Average holding period
16 calendar days
Portfolio Currency
EUR
Minimum Investment Ammount
30.000.000

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).