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 10m 17d)
Returns (annualized)
| Portfolio | 7.02% |
| Benchmark | 6.23% |
Risk (annualized)
| Portfolio | 9.03% |
| Benchmark | 13.05% |
Sharpe (annualized)
| Portfolio | 0.53 |
| Benchmark | 0.34 |
Excess Return (annualized)
| 0.79% |
Tracking Error (annualized)
| 11.84% |
Information Ratio
| 0.07 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 9.11% | 14.62% |
| Sortino Ratio | 0.52 | 0.31 |
| Calmar Ratio | 0.52 | 0.22 |
| Ulcer Index | 15.28 | 14.81 |
| Max Drawdown | 9.10% | 20.44% |
| VaR (99% Confidence) | $-2,099 | $-3,033 |
| VaR (99.9% Confidence) | $-2,788 | $-4,029 |
| 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
| 15.95 |
Skew
| 0.53 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Credit Factor | -0.1242 | -0.1242 |
| Duration Factor | -0.1358 | -0.1358 |
| Inflation Factor | 0.1985 | 0.1985 |
| Market Factor | -0.1876 | -0.1876 |
| U.S. Tilt (Non U.S.) | -0.0052 | -0.0052 |
| Vol Factor | -0.0306 | -0.0306 |
| Yield Curve Factor | 0.0675 | 0.0675 |
Adjusted R2
| Portfolio | 0.19 |
| Benchmark | 0.23 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |