Historical Performance
| Year | Model Portfolio | AGG |
|---|---|---|
| 2008 | 8.88% | 7.90% |
| 2009 | 10.80% | 2.97% |
| 2010 | 6.28% | 6.36% |
| 2011 | 10.72% | 7.70% |
| 2012 | 4.06% | 3.76% |
| 2013 | 2.37% | -1.98% |
| 2014 | 5.72% | 6.00% |
| 2015 | -1.11% | 0.48% |
| 2016 | 7.75% | 2.41% |
| 2017 | 5.94% | 3.55% |
| 2018 | -2.35% | 0.09% |
| 2019 | 11.21% | 8.46% |
| 2020 | 7.73% | 7.48% |
| 2021 | 3.71% | -1.77% |
| 2022 | -6.54% | -13.02% |
| 2023 | 5.12% | 5.65% |
| 2024 | 2.89% | 1.31% |
| 2025 | 4.87% | 7.19% |
| 2026 YTD | -0.57% | -0.74% |
Data as of 30 Nov 2026
Performance and Risk Summary
| Return | Volatility | Return/Vol | MaxDD | |||||
|---|---|---|---|---|---|---|---|---|
| Period | Model Portfolio | AGG | Model Portfolio | AGG | Model Portfolio | AGG | Model Portfolio | AGG |
| YTD | -0.57% | -0.74% | 2.97% | 5.13% | – | – | -2.31% | -4.55% |
| 1y | -0.87% | -1.02% | 2.84% | 4.90% | -0.31 | -0.21 | -2.31% | -4.55% |
| 3y | 3.22% | 3.78% | 3.73% | 5.11% | 0.86 | 0.74 | -2.31% | -4.55% |
| Live (since Oct 2021) | 1.35% | -0.20% | 3.82% | 6.55% | 0.35 | -0.03 | -7.18% | -15.78% |
| Return | Volatility | Return/Vol | MaxDD | |||||
|---|---|---|---|---|---|---|---|---|
| Period | Model Portfolio | AGG | Model Portfolio | AGG | Model Portfolio | AGG | Model Portfolio | AGG |
| 5y | 1.15% | -0.26% | 3.87% | 6.66% | 0.30 | -0.04 | -7.18% | -15.48% |
| 10y | 3.23% | 1.66% | 3.61% | 5.21% | 0.89 | 0.32 | -7.18% | -17.14% |
| Inception (Oct 2003) | 4.24% | 2.94% | 4.53% | 4.45% | 0.94 | 0.66 | -7.18% | -17.14% |
Return and volatility are annualized (YTD return is not). The chart and annual returns are shown from Dec 2007; inception statistics use the full history from Oct 2003.
| Risk Measure | Monthly Risk |
|---|---|
| VaR [95%] | 0.80% |
| VaR [99%] | 2.52% |
| ES [95%] | 1.69% |
| CF-VaR [95%] | 1.13% |
Model Portfolio Holdings
Allocation held during Nov 2026, set at the prior month-end; Return is each holding's Nov 2026 return.
| Ticker | Exchange | Name | ISIN | Weights | Return |
|---|---|---|---|---|---|
| SHV | US | iShares Short Treasury Bond ETF | US4642886794 | 75.00% | 0.08% |
| HYG | US | iShares iBoxx $ High Yield Corporate Bond ETF | US4642885135 | 25.00% | -0.10% |