Due to the Covid-19 pandemic, the markets have experienced a very volatile year in 2020. Notably, equity markets suffered significant losses during March, making it one of the fastest declines in market history. The S&P 500 lost around 35 percent from its top in mid February until March 23rd, while the VIX spiked above 80. While the crash was extremely fast, the following recovery also beat all expectations – the S&P 500 marked a fresh all time high by end of August and continued its rise in the following months.
Despite the difficult market environment, our systematic trading strategies have mastered the crisis well (all results in EUR):
Intalcon US Equities ESG Systematic
The Intalcon systematic trading strategy is applied to trade the largest stocks from the S&P 500 screened for ESG compliance. This long-only model is a combination of trend and counter trend logics that continuously attempts to capitalize on short-term market swings. In 2020, the trading strategy gained 9.0% and outperformed its volatility-adjusted benchmark (60% S&P 500 Top 50 Price Index in EUR / 40% cash) by 4.6 percentage points. On a 3-year basis the Sharpe Ratio stands at 1.08, while the benchmark´s Sharpe Ratio is at 0.75.
Intalcon Global Bonds Systematic
The Intalcon systematic trading strategy is applied to trade 15 highly liquid treasury futures from US, Canada, Europe and UK to achieve a close correlation with the FTSE WGBI DM ex Japan in EUR. 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. Using this systematic approach, the trading strategy generated a profit of 7.3% in 2020, beating its volatility-adjusted benchmark by 5.2 percentage points. On a 3-year basis the Sharpe Ratio stands at 1.2, while the benchmark`s equivalent is at 0.92.
Intalcon Global Equities Systematic
The Intalcon systematic trading strategy is applied to trade a global portfolio of 12 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 benchmark is set at 50% of the full index to provide for a comfortable low-volatility environment. In 2020, the trading strategy gained 9.1%, outperforming its volatility-adjusted benchmark by 5.3 percentage points. On a 3-year basis, the Sharpe Ratio stands at 0.92, while the benchmark´s equivalent is at 0.7.
Our goal, to beat the corresponding benchmark returns by more than 25% whilst maintaining the same index-risk profile, were more than fulfilled in 2020.