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 7m 6d)
Returns (annualized)
| Portfolio | 4.27% |
| Benchmark | 5.42% |
Risk (annualized)
| Portfolio | 9.00% |
| Benchmark | 12.50% |
Sharpe (annualized)
| Portfolio | 0.22 |
| Benchmark | 0.27 |
Excess Return (annualized)
| -1.15% |
Tracking Error (annualized)
| 11.60% |
Information Ratio
| -0.10 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 9.21% | 13.91% |
| Sortino Ratio | 0.21 | 0.25 |
| Calmar Ratio | 0.12 | 0.17 |
| Ulcer Index | 15.17 | 14.69 |
| Max Drawdown | 16.64% | 20.44% |
| VaR (99% Confidence) | $-2,093 | $-2,907 |
| VaR (99.9% Confidence) | $-2,780 | $-3,862 |
| 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
| 14.25 |
Skew
| 0.42 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Credit Factor | -0.1422 | 0.0000 | -0.1422 |
| Duration Factor | -0.1418 | -0.4118 | 0.2699 |
| Inflation Factor | 0.2014 | 0.3737 | -0.1723 |
| Market Factor | -0.1724 | -0.0254 | -0.1470 |
| U.S. Tilt (Non U.S.) | -0.0339 | -0.0457 | 0.0118 |
| Vol Factor | -0.0297 | -0.0391 | 0.0093 |
| Yield Curve Factor | 0.0561 | 0.0877 | -0.0317 |
Adjusted R2
| Portfolio | 0.16 |
| Benchmark | 0.22 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |