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 3m 22d)
Returns (annualized)
| Portfolio | 4.65% |
| Benchmark | 5.26% |
Risk (annualized)
| Portfolio | 9.04% |
| Benchmark | 12.78% |
Sharpe (annualized)
| Portfolio | 0.26 |
| Benchmark | 0.27 |
Excess Return (annualized)
| -0.61% |
Tracking Error (annualized)
| 11.76% |
Information Ratio
| -0.05 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 9.24% | 14.24% |
| Sortino Ratio | 0.26 | 0.24 |
| Calmar Ratio | 0.17 | 0.17 |
| Ulcer Index | 15.25 | 14.74 |
| Max Drawdown | 13.87% | 20.44% |
| VaR (99% Confidence) | $-2,102 | $-2,971 |
| VaR (99.9% Confidence) | $-2,793 | $-3,947 |
| 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
| 14.75 |
Skew
| 0.45 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Credit Factor | -0.1318 | -0.1318 |
| Duration Factor | -0.1517 | -0.1517 |
| Inflation Factor | 0.2031 | 0.2031 |
| Market Factor | -0.1816 | -0.1816 |
| U.S. Tilt (Non U.S.) | -0.0125 | -0.0125 |
| Vol Factor | -0.0300 | -0.0300 |
| Yield Curve Factor | 0.0612 | 0.0612 |
Adjusted R2
| Portfolio | 0.18 |
| Benchmark | 0.24 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |