Historical Performance
| Year | Model Portfolio | SPY |
|---|---|---|
| 2003 | 31.96% | 28.18% |
| 2004 | 17.36% | 10.70% |
| 2005 | 6.48% | 4.83% |
| 2006 | 7.41% | 15.85% |
| 2007 | 12.89% | 5.15% |
| 2008 | -31.57% | -36.79% |
| 2009 | 24.95% | 26.35% |
| 2010 | 12.74% | 15.06% |
| 2011 | 11.43% | 1.89% |
| 2012 | 5.48% | 15.99% |
| 2013 | 34.01% | 32.31% |
| 2014 | 9.86% | 13.46% |
| 2015 | -2.39% | 1.23% |
| 2016 | 17.27% | 12.00% |
| 2017 | 20.29% | 21.71% |
| 2018 | -1.81% | -4.57% |
| 2019 | 24.33% | 31.22% |
| 2020 | 18.36% | 18.33% |
| 2021 | 30.80% | 28.73% |
| 2022 | 1.67% | -18.18% |
| 2023 | 15.09% | 26.18% |
| 2024 | 21.83% | 24.89% |
| 2025 | 6.97% | 17.72% |
| 2026 YTD | 11.15% | 12.29% |
Data as of 30 Nov 2026
Performance and Risk Summary
| Return | Volatility | Return/Vol | MaxDD | |||||
|---|---|---|---|---|---|---|---|---|
| Period | Model Portfolio | SPY | Model Portfolio | SPY | Model Portfolio | SPY | Model Portfolio | SPY |
| YTD | 11.15% | 12.29% | 10.17% | 13.49% | – | – | -2.68% | -5.76% |
| 1y | 12.59% | 12.38% | 9.70% | 12.90% | 1.30 | 0.96 | -2.68% | -5.76% |
| 3y | 14.35% | 19.96% | 11.00% | 11.36% | 1.31 | 1.76 | -9.96% | -7.58% |
| Live (since Oct 2021) | 12.24% | 13.15% | 13.12% | 15.38% | 0.93 | 0.85 | -10.96% | -23.93% |
| Return | Volatility | Return/Vol | MaxDD | |||||
|---|---|---|---|---|---|---|---|---|
| Period | Model Portfolio | SPY | Model Portfolio | SPY | Model Portfolio | SPY | Model Portfolio | SPY |
| 5y | 11.66% | 12.26% | 13.22% | 15.40% | 0.88 | 0.80 | -10.96% | -23.93% |
| 10y | 14.73% | 14.98% | 14.29% | 15.29% | 1.03 | 0.98 | -19.02% | -23.93% |
| Inception (Jan 1999) | 9.91% | 8.58% | 14.22% | 15.07% | 0.70 | 0.57 | -42.33% | -50.78% |
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 Jan 1999.
| Risk Measure | Monthly Risk |
|---|---|
| VaR [95%] | 7.99% |
| VaR [99%] | 14.08% |
| ES [95%] | 12.34% |
| CF-VaR [95%] | 9.24% |
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 |
|---|---|---|---|---|---|
| XLE | US | Energy Select Sector SPDR Fund | US81369Y5069 | 30.00% | -9.50% |
| XLV | US | Health Care Select Sector SPDR Fund | US81369Y2090 | 30.00% | 2.21% |
| XLF | US | Financial Select Sector SPDR Fund | US81369Y6059 | 30.00% | 3.75% |
| SPY | US | SPDR S&P 500 ETF Trust | US78462F1030 | 10.00% | 0.54% |