Historical Performance
| Year | Model Portfolio |
|---|---|
| 2007 | 13.64% |
| 2008 | 10.95% |
| 2009 | -1.91% |
| 2010 | 15.96% |
| 2011 | 6.57% |
| 2012 | 1.52% |
| 2013 | 15.97% |
| 2014 | 6.11% |
| 2015 | -2.41% |
| 2016 | 13.61% |
| 2017 | 12.50% |
| 2018 | 1.29% |
| 2019 | 12.71% |
| 2020 | 4.78% |
| 2021 | 20.87% |
| 2022 | 4.13% |
| 2023 | 6.98% |
| 2024 | 20.19% |
| 2025 | 24.29% |
| 2026 YTD | 10.74% |
Data as of 30 Nov 2026
Performance and Risk Summary
| Period | Return | Volatility | Return/Vol | MaxDD |
|---|---|---|---|---|
| YTD | 10.74% | 11.37% | – | -5.78% |
| 1y | 12.68% | 10.87% | 1.17 | -5.78% |
| 3y | 18.60% | 8.65% | 2.15 | -5.78% |
| Live (since Oct 2021) | 13.22% | 8.52% | 1.55 | -6.95% |
| Period | Return | Volatility | Return/Vol | MaxDD |
|---|---|---|---|---|
| 5y | 13.60% | 8.36% | 1.63 | -6.95% |
| 10y | 11.87% | 7.73% | 1.54 | -6.95% |
| Inception (Aug 2006) | 9.65% | 7.56% | 1.28 | -8.72% |
Return and volatility are annualized (YTD return is not). The chart and annual returns are shown from Dec 2002; inception statistics use the full history from Aug 2006.
| Risk Measure | Monthly Risk |
|---|---|
| VaR [95%] | 7.52% |
| VaR [99%] | 11.40% |
| ES [95%] | 11.45% |
| CF-VaR [95%] | 8.44% |
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 |
|---|---|---|---|---|---|
| DBC | US | Invesco DB Commodity Index Tracking Fund | US73935S1050 | 13.79% | -8.24% |
| XLE | US | Energy Select Sector SPDR Fund | US81369Y5069 | 13.35% | -9.50% |
| XLV | US | Health Care Select Sector SPDR Fund | US81369Y2090 | 13.35% | 2.21% |
| XLF | US | Financial Select Sector SPDR Fund | US81369Y6059 | 13.35% | 3.75% |
| DBE | US | Invesco DB Energy Fund | US73936B1017 | 8.70% | -13.97% |
| Other positions (10) | 37.45% | ||||