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 13d)
Returns (annualized)
| Portfolio | 5.63% |
| Benchmark | 7.84% |
Risk (annualized)
| Portfolio | 8.88% |
| Benchmark | 12.43% |
Sharpe (annualized)
| Portfolio | 0.35 |
| Benchmark | 0.45 |
Excess Return (annualized)
| -2.21% |
Tracking Error (annualized)
| 11.37% |
Information Ratio
| -0.19 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 9.09% | 13.77% |
| Sortino Ratio | 0.35 | 0.41 |
| Calmar Ratio | 0.19 | 0.27 |
| Ulcer Index | 15.10 | 14.73 |
| Max Drawdown | 16.64% | 20.44% |
| VaR (99% Confidence) | $-2,065 | $-2,890 |
| VaR (99.9% Confidence) | $-2,744 | $-3,839 |
| Beta to Benchmark | 0.34 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 13.94 |
Skew
| 0.39 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Credit Factor | -0.1533 | -0.0144 | -0.1389 |
| Duration Factor | -0.1303 | -0.3996 | 0.2693 |
| Inflation Factor | 0.1920 | 0.3629 | -0.1710 |
| Market Factor | -0.1536 | -0.0062 | -0.1474 |
| U.S. Tilt (Non U.S.) | -0.0458 | -0.0603 | 0.0145 |
| Vol Factor | -0.0292 | -0.0395 | 0.0104 |
| Yield Curve Factor | 0.0582 | 0.0891 | -0.0309 |
Adjusted R2
| Portfolio | 0.14 |
| Benchmark | 0.22 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |