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 (5y 10m 16d)
Returns (annualized)
| Portfolio | 4.80% |
| Benchmark | 6.97% |
Risk (annualized)
| Portfolio | 8.92% |
| Benchmark | 12.53% |
Sharpe (annualized)
| Portfolio | 0.27 |
| Benchmark | 0.39 |
Excess Return (annualized)
| -2.17% |
Tracking Error (annualized)
| 11.48% |
Information Ratio
| -0.19 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 9.12% | 13.89% |
| Sortino Ratio | 0.26 | 0.35 |
| Calmar Ratio | 0.14 | 0.24 |
| Ulcer Index | 15.11 | 14.70 |
| Max Drawdown | 16.64% | 20.44% |
| VaR (99% Confidence) | $-2,075 | $-2,913 |
| VaR (99.9% Confidence) | $-2,756 | $-3,869 |
| Beta to Benchmark | 0.33 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 14.05 |
Skew
| 0.41 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Credit Factor | -0.1487 | -0.0110 | -0.1378 |
| Duration Factor | -0.1346 | -0.4041 | 0.2694 |
| Inflation Factor | 0.1953 | 0.3649 | -0.1696 |
| Market Factor | -0.1599 | -0.0111 | -0.1488 |
| U.S. Tilt (Non U.S.) | -0.0435 | -0.0585 | 0.0151 |
| Vol Factor | -0.0295 | -0.0400 | 0.0105 |
| Yield Curve Factor | 0.0567 | 0.0879 | -0.0312 |
Adjusted R2
| Portfolio | 0.15 |
| Benchmark | 0.22 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |