Standpoint Trend
Specification
Policy
Rebalancing Interval | Daily |
---|---|
Weights Algorithm | Constant Weights |
Assets
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 2m 26d)
Returns (annualized)
Portfolio | 6.04% |
Benchmark | 5.34% |
Risk (annualized)
Portfolio | 8.93% |
Benchmark | 12.80% |
Sharpe (annualized)
Portfolio | 0.42 |
Benchmark | 0.27 |
Excess Return (annualized)
0.70% |
Tracking Error (annualized)
11.60% |
Information Ratio
0.06 |
Statistic | Portfolio | Benchmark |
---|---|---|
Downside Volatility | 9.04% | 14.33% |
Sortino Ratio | 0.41 | 0.24 |
Calmar Ratio | 0.41 | 0.17 |
Ulcer Index | 15.26 | 14.75 |
Max Drawdown | 9.10% | 20.44% |
VaR (99% Confidence) | $-2,076 | $-2,977 |
VaR (99.9% Confidence) | $-2,757 | $-3,955 |
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
15.62 |
Skew
0.51 |
Data Table
Factor | Portfolio | Benchmark |
---|---|---|
Credit Factor | -0.1298 | -0.1298 |
Duration Factor | -0.1451 | -0.1451 |
Inflation Factor | 0.2061 | 0.2061 |
Market Factor | -0.1823 | -0.1823 |
U.S. Tilt (Non U.S.) | 0.0048 | 0.0048 |
Vol Factor | -0.0302 | -0.0302 |
Yield Curve Factor | 0.0696 | 0.0696 |
Adjusted R2
Portfolio | 0.18 |
Benchmark | 0.24 |
Intercept
Portfolio | 0.00 |
Benchmark | 0.00 |