Standpoint Trend

Specification

Policy
Rebalancing Interval Daily
Weights Algorithm Constant Weights
Benchmark
IMGP DBI MANAGED FUTURES STRATEGY ETF (DBMF)

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 26d)

Returns (annualized)

Portfolio 6.04%
Benchmark 5.34%

Risk (annualized)

Portfolio 8.93%
Benchmark 12.80%

Sharpe (annualized)

Portfolio 0.42
Benchmark 0.27

Excess Return (annualized)

0.70%

Tracking Error (annualized)

11.60%

Information Ratio

0.06
Statistic Portfolio Benchmark
Downside Volatility 9.04% 14.33%
Sortino Ratio 0.41 0.24
Calmar Ratio 0.41 0.17
Ulcer Index 15.26 14.75
Max Drawdown 9.10% 20.44%
VaR (99% Confidence) $-2,076 $-2,977
VaR (99.9% Confidence) $-2,757 $-3,955
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

15.62

Skew

0.51
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor -0.1298 -0.1298
Duration Factor -0.1451 -0.1451
Inflation Factor 0.2061 0.2061
Market Factor -0.1823 -0.1823
U.S. Tilt (Non U.S.) 0.0048 0.0048
Vol Factor -0.0302 -0.0302
Yield Curve Factor 0.0696 0.0696

Adjusted R2

Portfolio 0.18
Benchmark 0.24

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution