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Intalcon's systematic strategies continue to outperform in q1 2021.

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After a successful performance in 2020, Intalcon's systematic trading strategies also performed well in the first quarter of 2021. The following performance report summarises the results of three different trading strategies that we offer to institutional clients.

The first quarter ended with positive results for stocks – especially small caps – while gold and long-duration bonds suffered significant price losses due to rising interest rates. Intalcon`s systematic strategies which combine trend following and mean reversion elements have mastered the volatility in the first quarter:

Intalcon US Equities ESG Systematic

Our long-only strategy which trades the largest stocks from the S&P500, gained 9.8% in the first three months and outperformed its volatility-adjusted benchmark by 3.4 percentage points. On a 3-year basis the Sharpe Ratio stands at 1.49, while the benchmark´s Sharpe Ratio is at 1.08.

Intalcon US Equities ESG Systematic Q1 2021
Figure 1: Intalcon US Equities ESG Systematic - Performance
In Q1 2021, the strategy gained 9.8% and outperformed its volatility-adjusted benchmark 3.4 percentage points.
On a 3-year basis the Sharpe Ratio stands at 1.49, while the benchmark´s Sharpe Ratio is at 1.08.

Intalcon Global Equities Systematic

This systematic long-only strategy trading 12 highly liquid equity index futures, gained 5.3% in the initial quarter, outperforming its volatility-adjusted benchmark by 0.7 percentage points. On a 3-year basis, the Sharpe Ratio stands at 1.05, while the benchmark´s equivalent is at 0.86.

Intalcon Global Equities Systematic Q1 2021
Figure 2: Intalcon Global Equities Systematic - Performance
In Q1 2021, the strategy gained 5.3% and outperformed its volatility-adjusted benchmark 0.7 percentage points.
On a 3-year basis the Sharpe Ratio stands at 1.05, while the benchmark´s Sharpe Ratio is at 0.86.

Intalcon Global Bonds Systematic

This systematic long-only strategy which trades 15 highly liquid treasury futures, clearly cushioned the negative market performance finishing the first quarter with -0.7%. On a 3-year basis, the systematic strategy shows a Sharpe Ratio of 1.24.

Further information on all Intalcon strategies can be found here.

Status: 31.03.2021. All results are calculated in EUR and exclude performance fees.

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