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 (4m 18d)
Returns
| Portfolio | 8.94% |
| Benchmark | 15.66% |
Risk (annualized)
| Portfolio | 6.95% |
| Benchmark | 11.53% |
Sharpe (annualized)
| Portfolio | 2.67 |
| Benchmark | 2.98 |
Excess Return
| -6.72% |
Tracking Error (annualized)
| 8.03% |
Information Ratio
| -2.59 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 6.55% | 12.08% |
| Sortino Ratio | 2.83 | 2.85 |
| Calmar Ratio | 6.81 | 7.31 |
| Ulcer Index | 15.77 | 15.78 |
| Max Drawdown | 2.72% | 4.70% |
| VaR (99% Confidence) | $-1,608 | $-2,668 |
| VaR (99.9% Confidence) | $-2,136 | $-3,544 |
| Beta to Benchmark | 0.44 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| -0.00 |
Skew
| 0.05 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Credit Factor | 0.0427 | 0.0714 | -0.0287 |
| Duration Factor | 0.1641 | -0.0805 | 0.2446 |
| Inflation Factor | 0.2115 | 0.2688 | -0.0573 |
| Market Factor | 0.6528 | 0.7807 | -0.1279 |
| U.S. Tilt (Non U.S.) | -0.2458 | -0.3818 | 0.1360 |
| Vol Factor | 0.0437 | -0.0006 | 0.0443 |
| Yield Curve Factor | -0.0789 | -0.0885 | 0.0097 |
Adjusted R2
| Portfolio | 0.65 |
| Benchmark | 0.52 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |