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.
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.
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.
