Standpoint Trend
Specification
Policy
| Rebalancing Interval | Daily |
|---|---|
| Weights Algorithm | Constant Weights |
Assets
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 2m 30d)
Returns (annualized)
| Portfolio | 5.95% |
| Benchmark | 5.31% |
Risk (annualized)
| Portfolio | 8.92% |
| Benchmark | 12.79% |
Sharpe (annualized)
| Portfolio | 0.41 |
| Benchmark | 0.27 |
Excess Return (annualized)
| 0.63% |
Tracking Error (annualized)
| 11.60% |
Information Ratio
| 0.05 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 9.03% | 14.32% |
| Sortino Ratio | 0.40 | 0.24 |
| Calmar Ratio | 0.40 | 0.17 |
| Ulcer Index | 15.26 | 14.75 |
| Max Drawdown | 9.10% | 20.44% |
| VaR (99% Confidence) | $-2,075 | $-2,975 |
| VaR (99.9% Confidence) | $-2,756 | $-3,952 |
| 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
| 15.63 |
Skew
| 0.51 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Credit Factor | -0.1296 | -0.1296 |
| Duration Factor | -0.1454 | -0.1454 |
| Inflation Factor | 0.2067 | 0.2067 |
| Market Factor | -0.1825 | -0.1825 |
| U.S. Tilt (Non U.S.) | 0.0047 | 0.0047 |
| Vol Factor | -0.0303 | -0.0303 |
| Yield Curve Factor | 0.0694 | 0.0694 |
Adjusted R2
| Portfolio | 0.18 |
| Benchmark | 0.24 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |