Standpoint Trend
Specification
Policy
| Rebalancing Interval | Daily |
|---|---|
| Weights Algorithm | Constant Weights |
Assets
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 (4y 11m 17d)
Returns (annualized)
| Portfolio | 7.24% |
| Benchmark | 6.04% |
Risk (annualized)
| Portfolio | 8.98% |
| Benchmark | 12.97% |
Sharpe (annualized)
| Portfolio | 0.55 |
| Benchmark | 0.33 |
Excess Return (annualized)
| 1.21% |
Tracking Error (annualized)
| 11.77% |
Information Ratio
| 0.10 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 9.08% | 14.53% |
| Sortino Ratio | 0.54 | 0.29 |
| Calmar Ratio | 0.54 | 0.21 |
| Ulcer Index | 15.28 | 14.80 |
| Max Drawdown | 9.10% | 20.44% |
| VaR (99% Confidence) | $-2,088 | $-3,016 |
| VaR (99.9% Confidence) | $-2,774 | $-4,006 |
| 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
| 16.02 |
Skew
| 0.52 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Credit Factor | -0.1255 | -0.1255 |
| Duration Factor | -0.1323 | -0.1323 |
| Inflation Factor | 0.1978 | 0.1978 |
| Market Factor | -0.1874 | -0.1874 |
| U.S. Tilt (Non U.S.) | -0.0011 | -0.0011 |
| Vol Factor | -0.0311 | -0.0311 |
| Yield Curve Factor | 0.0680 | 0.0680 |
Adjusted R2
| Portfolio | 0.18 |
| Benchmark | 0.23 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |