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: https://www.intalcon.com/en/investment-strategies
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.