Standpoint Trend
Portfolio Specification
Assets
Policy
| Rebalancing Interval | Daily |
|---|---|
| Weights Algorithm | Constant Weights |
Anyone who has a link can see this portfolio.
Portfolio Description
This portfolio seeks to isolate the trend strategy of the Standpoint Multi-Asset Fund “BLDNX”.
It is comprised of 100% long BLNDX, and -100% short [50% VT (Global Stocks) + 50% Cash]
The resulting portfolio is rebalanced daily.
Policy Report
Backtest Report
From to (6y 5m 16d)
Returns (annualized)
| Portfolio | 5.89% |
| Benchmark | 8.53% |
Risk (annualized)
| Portfolio | 9.29% |
| Benchmark | 12.61% |
Sharpe (annualized)
| Portfolio | 0.36 |
| Benchmark | 0.49 |
Excess Return (annualized)
| -2.64% |
Tracking Error (annualized)
| 11.52% |
Information Ratio
| -0.23 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 9.73% | 14.02% |
| Sortino Ratio | 0.35 | 0.44 |
| Calmar Ratio | 0.20 | 0.30 |
| Ulcer Index | 15.12 | 14.78 |
| Max Drawdown | 16.64% | 20.44% |
| VaR (99% Confidence) | $-2,161 | $-2,932 |
| VaR (99.9% Confidence) | $-2,870 | $-3,894 |
| Beta to Benchmark | 0.35 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 12.07 |
Skew
| 0.04 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Credit Factor | -0.1504 | -0.0434 | -0.1071 |
| Duration Factor | -0.1301 | -0.3909 | 0.2608 |
| Inflation Factor | 0.2450 | 0.3827 | -0.1377 |
| Market Factor | -0.1600 | 0.0208 | -0.1808 |
| U.S. Tilt (Non U.S.) | -0.0275 | -0.0988 | 0.0714 |
| Vol Factor | -0.0275 | -0.0368 | 0.0093 |
| Yield Curve Factor | 0.0610 | 0.0901 | -0.0291 |
Adjusted R2
| Portfolio | 0.14 |
| Benchmark | 0.20 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |