Standpoint Trend
Specification
Policy
| Rebalancing Interval | Daily |
|---|---|
| Weights Algorithm | Constant Weights |
Description
This portfolio seeks to isolate the trend strategy of the Standpoint Multi-Asset Fund “BLDNX”.
It is comprised of 200% long BLNDX, and -100% short VT (Global Stocks)
= 200% * (50% trend + 50% stocks) - 100% stocks
= (100% trend + 100% stocks) - 100% stocks
= 100% trend
The resulting portfolio is rebalanced daily.
Policy Report
Backtest Report
From to (4y 3m 28d)
Returns (annualized)
| Portfolio | 14.67% |
|---|---|
| Benchmark | 9.26% |
Risk (annualized)
| Portfolio | 19.53% |
|---|---|
| Benchmark | 13.27% |
Sharpe (annualized)
| Portfolio | 0.69 |
|---|---|
| Benchmark | 0.58 |
Excess Return (annualized)
| 5.42% |
Tracking Error (annualized)
| 18.08% |
Risk Free Rate (annualized)
| 2.12% |
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 16.13 |
Skew
| 0.48 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Credit Factor | -0.2421 | -0.2421 |
| Duration Factor | -0.3238 | -0.3238 |
| Inflation Factor | 0.4381 | 0.4381 |
| Market Factor | -0.4745 | -0.4745 |
| U.S. Tilt (Non U.S.) | 0.0045 | 0.0045 |
| Vol Factor | -0.0585 | -0.0585 |
| Yield Curve Factor | 0.1455 | 0.1455 |
Adjusted R2
| Portfolio | 0.25 |
|---|---|
| Benchmark | 0.23 |
Intercept
| Portfolio | 0.00 |
|---|---|
| Benchmark | 0.00 |