The Intalcon systematic strategy is applied to trade 14 highly liquid treasury futures from US, Europe and UK to achieve a close correlation with the FTSE WGBI index as Pacific-zone markets have been discarded due to trading-logistic concerns.

Portfolio weights are allocated across the geographical and effective-duration spectrum to produce an acceptable sample of the underlying complex.

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. Buy / Exit orders at limit prices are issued on daily basis and, where applicable, require the ability to timely place overnight orders. The strategy’s numbers include a fair representation of trade-execution costs and currency-basket fluctuations.

The performance profile features a pretty low tracking error while boasting an alpha net-advantage target that exceeds 25% of the benchmark’s returns.