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 2m 4d)
Returns (annualized)
| Portfolio | 6.12% |
| Benchmark | 8.81% |
Risk (annualized)
| Portfolio | 8.99% |
| Benchmark | 12.69% |
Sharpe (annualized)
| Portfolio | 0.40 |
| Benchmark | 0.51 |
Excess Return (annualized)
| -2.69% |
Tracking Error (annualized)
| 11.45% |
Information Ratio
| -0.24 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 9.29% | 14.01% |
| Sortino Ratio | 0.39 | 0.46 |
| Calmar Ratio | 0.22 | 0.32 |
| Ulcer Index | 15.10 | 14.75 |
| Max Drawdown | 16.64% | 20.44% |
| VaR (99% Confidence) | $-2,090 | $-2,951 |
| VaR (99.9% Confidence) | $-2,777 | $-3,921 |
| Beta to Benchmark | 0.34 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 13.59 |
Skew
| 0.24 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Credit Factor | -0.1666 | -0.0402 | -0.1264 |
| Duration Factor | -0.1295 | -0.3995 | 0.2700 |
| Inflation Factor | 0.1941 | 0.3609 | -0.1669 |
| Market Factor | -0.1416 | 0.0189 | -0.1605 |
| U.S. Tilt (Non U.S.) | -0.0576 | -0.0990 | 0.0414 |
| Vol Factor | -0.0283 | -0.0378 | 0.0095 |
| Yield Curve Factor | 0.0640 | 0.0941 | -0.0301 |
Adjusted R2
| Portfolio | 0.13 |
| Benchmark | 0.21 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |