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 4m 6d)
Returns (annualized)
| Portfolio | 6.57% |
| Benchmark | 8.56% |
Risk (annualized)
| Portfolio | 9.28% |
| Benchmark | 12.66% |
Sharpe (annualized)
| Portfolio | 0.43 |
| Benchmark | 0.49 |
Excess Return (annualized)
| -1.99% |
Tracking Error (annualized)
| 11.55% |
Information Ratio
| -0.17 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 9.74% | 14.04% |
| Sortino Ratio | 0.41 | 0.45 |
| Calmar Ratio | 0.24 | 0.31 |
| Ulcer Index | 15.11 | 14.77 |
| Max Drawdown | 16.64% | 20.44% |
| VaR (99% Confidence) | $-2,157 | $-2,943 |
| VaR (99.9% Confidence) | $-2,866 | $-3,910 |
| 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
| 12.37 |
Skew
| 0.03 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Credit Factor | -0.1492 | -0.0358 | -0.1134 |
| Duration Factor | -0.1280 | -0.3934 | 0.2654 |
| Inflation Factor | 0.2369 | 0.3787 | -0.1418 |
| Market Factor | -0.1614 | 0.0132 | -0.1747 |
| U.S. Tilt (Non U.S.) | -0.0278 | -0.0924 | 0.0645 |
| Vol Factor | -0.0279 | -0.0375 | 0.0095 |
| Yield Curve Factor | 0.0614 | 0.0908 | -0.0294 |
Adjusted R2
| Portfolio | 0.14 |
| Benchmark | 0.20 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |