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 (5y 8m 2d)
Returns (annualized)
| Portfolio | 4.49% |
| Benchmark | 5.73% |
Risk (annualized)
| Portfolio | 8.98% |
| Benchmark | 12.46% |
Sharpe (annualized)
| Portfolio | 0.24 |
| Benchmark | 0.30 |
Excess Return (annualized)
| -1.24% |
Tracking Error (annualized)
| 11.54% |
Information Ratio
| -0.11 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 9.17% | 13.82% |
| Sortino Ratio | 0.23 | 0.27 |
| Calmar Ratio | 0.13 | 0.18 |
| Ulcer Index | 15.15 | 14.68 |
| Max Drawdown | 16.64% | 20.44% |
| VaR (99% Confidence) | $-2,087 | $-2,896 |
| VaR (99.9% Confidence) | $-2,773 | $-3,848 |
| 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
| 14.22 |
Skew
| 0.42 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Credit Factor | -0.1436 | -0.0006 | -0.1430 |
| Duration Factor | -0.1373 | -0.4058 | 0.2685 |
| Inflation Factor | 0.2011 | 0.3734 | -0.1723 |
| Market Factor | -0.1710 | -0.0244 | -0.1467 |
| U.S. Tilt (Non U.S.) | -0.0355 | -0.0462 | 0.0107 |
| Vol Factor | -0.0303 | -0.0396 | 0.0093 |
| Yield Curve Factor | 0.0547 | 0.0872 | -0.0325 |
Adjusted R2
| Portfolio | 0.16 |
| Benchmark | 0.22 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |