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 3m 18d)
Returns (annualized)
| Portfolio | 6.08% |
| Benchmark | 8.34% |
Risk (annualized)
| Portfolio | 9.25% |
| Benchmark | 12.67% |
Sharpe (annualized)
| Portfolio | 0.39 |
| Benchmark | 0.48 |
Excess Return (annualized)
| -2.26% |
Tracking Error (annualized)
| 11.56% |
Information Ratio
| -0.20 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 9.71% | 14.02% |
| Sortino Ratio | 0.37 | 0.43 |
| Calmar Ratio | 0.21 | 0.30 |
| Ulcer Index | 15.11 | 14.76 |
| Max Drawdown | 16.64% | 20.44% |
| VaR (99% Confidence) | $-2,151 | $-2,946 |
| VaR (99.9% Confidence) | $-2,857 | $-3,914 |
| 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
| 12.64 |
Skew
| 0.05 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Credit Factor | -0.1503 | -0.0401 | -0.1102 |
| Duration Factor | -0.1274 | -0.3921 | 0.2647 |
| Inflation Factor | 0.2289 | 0.3735 | -0.1446 |
| Market Factor | -0.1601 | 0.0172 | -0.1773 |
| U.S. Tilt (Non U.S.) | -0.0317 | -0.0999 | 0.0682 |
| Vol Factor | -0.0281 | -0.0376 | 0.0094 |
| Yield Curve Factor | 0.0617 | 0.0897 | -0.0280 |
Adjusted R2
| Portfolio | 0.13 |
| Benchmark | 0.20 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |