Standpoint Trend
Portfolio Specification
Assets
Policy
| Rebalancing Interval | Daily |
|---|---|
| Weights Algorithm | Constant Weights |
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 5m 29d)
Returns (annualized)
| Portfolio | 4.06% |
| Benchmark | 5.53% |
Risk (annualized)
| Portfolio | 9.03% |
| Benchmark | 12.60% |
Sharpe (annualized)
| Portfolio | 0.20 |
| Benchmark | 0.28 |
Excess Return (annualized)
| -1.47% |
Tracking Error (annualized)
| 11.69% |
Information Ratio
| -0.13 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 9.26% | 14.03% |
| Sortino Ratio | 0.19 | 0.25 |
| Calmar Ratio | 0.11 | 0.17 |
| Ulcer Index | 15.20 | 14.70 |
| Max Drawdown | 16.64% | 20.44% |
| VaR (99% Confidence) | $-2,099 | $-2,930 |
| VaR (99.9% Confidence) | $-2,789 | $-3,893 |
| 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
| 14.35 |
Skew
| 0.42 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Credit Factor | -0.1381 | -0.1381 |
| Duration Factor | -0.1425 | -0.1425 |
| Inflation Factor | 0.1996 | 0.1996 |
| Market Factor | -0.1761 | -0.1761 |
| U.S. Tilt (Non U.S.) | -0.0290 | -0.0290 |
| Vol Factor | -0.0297 | -0.0297 |
| Yield Curve Factor | 0.0560 | 0.0560 |
Adjusted R2
| Portfolio | 0.16 |
| Benchmark | 0.23 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |