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 2m 25d)
Returns (annualized)
| Portfolio | 6.47% |
| Benchmark | 8.39% |
Risk (annualized)
| Portfolio | 9.09% |
| Benchmark | 12.70% |
Sharpe (annualized)
| Portfolio | 0.43 |
| Benchmark | 0.48 |
Excess Return (annualized)
| -1.92% |
Tracking Error (annualized)
| 11.54% |
Information Ratio
| -0.17 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 9.42% | 14.04% |
| Sortino Ratio | 0.42 | 0.44 |
| Calmar Ratio | 0.24 | 0.30 |
| Ulcer Index | 15.10 | 14.75 |
| Max Drawdown | 16.64% | 20.44% |
| VaR (99% Confidence) | $-2,113 | $-2,953 |
| VaR (99.9% Confidence) | $-2,807 | $-3,923 |
| Beta to Benchmark | 0.34 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 13.02 |
Skew
| 0.19 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Credit Factor | -0.1615 | -0.0449 | -0.1166 |
| Duration Factor | -0.1291 | -0.3931 | 0.2640 |
| Inflation Factor | 0.2111 | 0.3650 | -0.1539 |
| Market Factor | -0.1486 | 0.0230 | -0.1716 |
| U.S. Tilt (Non U.S.) | -0.0478 | -0.1057 | 0.0579 |
| Vol Factor | -0.0282 | -0.0375 | 0.0093 |
| Yield Curve Factor | 0.0641 | 0.0908 | -0.0267 |
Adjusted R2
| Portfolio | 0.13 |
| Benchmark | 0.20 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |