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 (5y 9m 7d)
Returns (annualized)
| Portfolio | 4.99% |
| Benchmark | 7.02% |
Risk (annualized)
| Portfolio | 8.94% |
| Benchmark | 12.42% |
Sharpe (annualized)
| Portfolio | 0.29 |
| Benchmark | 0.39 |
Excess Return (annualized)
| -2.03% |
Tracking Error (annualized)
| 11.48% |
Information Ratio
| -0.18 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 9.14% | 13.78% |
| Sortino Ratio | 0.28 | 0.35 |
| Calmar Ratio | 0.16 | 0.24 |
| Ulcer Index | 15.13 | 14.68 |
| Max Drawdown | 16.64% | 20.44% |
| VaR (99% Confidence) | $-2,078 | $-2,887 |
| VaR (99.9% Confidence) | $-2,760 | $-3,835 |
| 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
| 14.24 |
Skew
| 0.41 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Credit Factor | -0.1455 | -0.0038 | -0.1417 |
| Duration Factor | -0.1359 | -0.4029 | 0.2670 |
| Inflation Factor | 0.1986 | 0.3715 | -0.1729 |
| Market Factor | -0.1666 | -0.0189 | -0.1477 |
| U.S. Tilt (Non U.S.) | -0.0384 | -0.0505 | 0.0121 |
| Vol Factor | -0.0297 | -0.0389 | 0.0092 |
| Yield Curve Factor | 0.0553 | 0.0888 | -0.0335 |
Adjusted R2
| Portfolio | 0.15 |
| Benchmark | 0.22 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |