Intalcon Global Equities Systematic
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Intalcon Global Equities Systematic

Strategy

The Intalcon systematic strategy is applied to trade a global portfolio of 10 highly liquid equity index futures on a long-only basis. The model combines trend and counter trend logics with an average trade duration of around two weeks. A close correlation to the MSCI World DM is ensured by assigning geographical index-reflective weights to all traded contracts and holding cash in a currency basket.

The strategy uses only price-limit orders and requires the ability to timely place them on the trading platform. The benchmark is set at 50% of the full index to provide for a comfortable low-volatility environment but leverage can, of course, be changed upwards or downwards to fit any desired risk-level.

The strategy‘s net performance measures (trading futures) are calculated versus the benchmark’s net-return (including dividends).

The goal is to, on average, beat the benchmark returns by more than 25% whilst maintaining the same index-risk profile.

Statistics

Status:
30.09.2021.
Return (YTD)
+6.90%
Return (last 12 months)
+8.8%
SHARPE RATIO (15 Years)
1.34
ANNUALIZED RETURN (15 Years)
+9.08%
ANNUALIZED VOLATILITY (15 Years)
6.58%
Maximum Drawdown
7.57%
annualized ALPHA (15 YEARS)
+5.70%
Portfolio
10 Global Equity Index Futures
Benchmark
50% MSCI World DM Net (EUR)
Correlation
0.77
TRADING FREQUENCY
15 round trades per contract / YEAR
Average holding period
16 calendar days
Portfolio Currency
EUR
Minimum Investment Ammount
20.000.000 EUR

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).