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16.8 % Gain in US Equities - Intalcon Performance Review H1 2023

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Intalcon's systematic strategies, which combine trend following and mean reversion elements with strict risk management and are based solely on price data, delivered strong results in the first half of 2023, proving that the use of algorithms adds value.

Intalcon US Equities ESG Systematic

This investment strategy is a long-only strategy that trades the largest stocks from the S&P 500. Entry and exit timing is systematically determined using a sophisticated algorithm that combines trend following and mean reversion elements with price pattern recognition. After a significant outperformance in 2022, the proven investment strategy continued its success story in the first half of 2023: The US portfolio consisting of around 40 stocks generated a return of 16.8% in euro terms, outperforming its volatility-adjusted benchmark (60% S&P 500 Top 50 Price Index) by 3.5 percentage points after only 6 months. On a 5-year basis, the Sharpe ratio of the strategy is 1.3 while the Sharpe ratio of the benchmark is 0.81. Over a 15-year period, the algorithmic investment strategy delivered an alpha of 6.5% per year, impressively demonstrating its robustness.

Intalcon Global Bonds Systematic

This long-only strategy trades 14 highly liquid Treasury futures from the U.S. and Europe and generated a price gain of 1.3% in the first half of 2023. As a result, the performance of the systematic investment strategy since the beginning of the year is 1.2 percentage points above the benchmark WGBI DM ex JPY. On a 5-year basis, Intalcon's bond futures strategy has a Sharpe ratio of -0.03, compared to -0.05 for the benchmark.

Intalcon Global Equities Systematic

This long-only portfolio includes 10 highly liquid equity index futures from the U.S., Europe and Japan, all managed with an algorithmic approach. The rule-based investment strategy closed the first six months of the 2023 stock market year with a gain of 8.4%, outperforming its volatility-adjusted benchmark by 2.2 percentage points year-to-date. On a 5-year basis, the Sharpe ratio of the strategy is 0.80 and thus above the benchmark's comparative value, which is 0.65.

Further information on all Intalcon strategies can be found here:

Note: All data as of 6/30/2023. Results are calculated in EUR. Trading costs have been included, but not our management fee and performance participation.

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