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 (6y 1m 10d)
Returns (annualized)
| Portfolio | 5.45% |
| Benchmark | 8.52% |
Risk (annualized)
| Portfolio | 9.00% |
| Benchmark | 12.62% |
Sharpe (annualized)
| Portfolio | 0.33 |
| Benchmark | 0.49 |
Excess Return (annualized)
| -3.08% |
Tracking Error (annualized)
| 11.41% |
Information Ratio
| -0.27 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 9.31% | 13.92% |
| Sortino Ratio | 0.32 | 0.45 |
| Calmar Ratio | 0.18 | 0.31 |
| Ulcer Index | 15.10 | 14.74 |
| Max Drawdown | 16.64% | 20.44% |
| VaR (99% Confidence) | $-2,093 | $-2,935 |
| VaR (99.9% Confidence) | $-2,781 | $-3,898 |
| Beta to Benchmark | 0.35 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 13.65 |
Skew
| 0.25 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Credit Factor | -0.1644 | -0.0277 | -0.1367 |
| Duration Factor | -0.1291 | -0.4005 | 0.2714 |
| Inflation Factor | 0.1897 | 0.3632 | -0.1735 |
| Market Factor | -0.1452 | 0.0058 | -0.1510 |
| U.S. Tilt (Non U.S.) | -0.0559 | -0.0780 | 0.0221 |
| Vol Factor | -0.0293 | -0.0394 | 0.0100 |
| Yield Curve Factor | 0.0636 | 0.0937 | -0.0300 |
Adjusted R2
| Portfolio | 0.13 |
| Benchmark | 0.21 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |