Standpoint Trend
Portfolio Specification
Assets
Policy
| Rebalancing Interval | Daily |
|---|---|
| Weights Algorithm | Constant Weights |
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 6m 16d)
Returns (annualized)
| Portfolio | 4.24% |
| Benchmark | 5.50% |
Risk (annualized)
| Portfolio | 9.00% |
| Benchmark | 12.55% |
Sharpe (annualized)
| Portfolio | 0.21 |
| Benchmark | 0.28 |
Excess Return (annualized)
| -1.26% |
Tracking Error (annualized)
| 11.64% |
Information Ratio
| -0.11 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 9.23% | 13.98% |
| Sortino Ratio | 0.21 | 0.25 |
| Calmar Ratio | 0.12 | 0.17 |
| Ulcer Index | 15.18 | 14.70 |
| Max Drawdown | 16.64% | 20.44% |
| VaR (99% Confidence) | $-2,092 | $-2,919 |
| VaR (99.9% Confidence) | $-2,779 | $-3,878 |
| 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
| 14.43 |
Skew
| 0.42 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Credit Factor | -0.1379 | -0.1379 |
| Duration Factor | -0.1419 | -0.1419 |
| Inflation Factor | 0.2013 | 0.2013 |
| Market Factor | -0.1759 | -0.1759 |
| U.S. Tilt (Non U.S.) | -0.0286 | -0.0286 |
| Vol Factor | -0.0296 | -0.0296 |
| Yield Curve Factor | 0.0552 | 0.0552 |
Adjusted R2
| Portfolio | 0.16 |
| Benchmark | 0.22 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |