Historical Performance
| Year | Model Portfolio |
|---|---|
| 2007 | 14.72% |
| 2008 | 14.20% |
| 2009 | -5.20% |
| 2010 | 13.92% |
| 2011 | 9.21% |
| 2012 | 0.12% |
| 2013 | 15.95% |
| 2014 | 6.27% |
| 2015 | -3.92% |
| 2016 | 16.67% |
| 2017 | 13.39% |
| 2018 | 2.42% |
| 2019 | 11.45% |
| 2020 | 4.48% |
| 2021 | 22.45% |
| 2022 | 5.00% |
| 2023 | 8.76% |
| 2024 | 24.17% |
| 2025 | 25.33% |
| 2026 YTD | 12.39% |
Data as of 30 Nov 2026
Performance and Risk Summary
| Period | Return | Volatility | Return/Vol | MaxDD |
|---|---|---|---|---|
| YTD | 12.39% | 12.97% | – | -6.29% |
| 1y | 14.00% | 12.37% | 1.13 | -6.29% |
| 3y | 20.85% | 9.73% | 2.14 | -6.29% |
| Live (since Oct 2021) | 15.08% | 9.54% | 1.58 | -7.54% |
| Period | Return | Volatility | Return/Vol | MaxDD |
|---|---|---|---|---|
| 5y | 15.44% | 9.37% | 1.65 | -7.54% |
| 10y | 13.00% | 8.83% | 1.47 | -7.60% |
| Inception (Aug 2006) | 10.24% | 8.95% | 1.14 | -12.06% |
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%] | 8.27% |
| VaR [99%] | 12.02% |
| ES [95%] | 12.26% |
| CF-VaR [95%] | 9.13% |
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 |
|---|---|---|---|---|---|
| XLF | US | Financial Select Sector SPDR Fund | US81369Y6059 | 19.07% | 3.75% |
| XLE | US | Energy Select Sector SPDR Fund | US81369Y5069 | 19.07% | -9.50% |
| XLV | US | Health Care Select Sector SPDR Fund | US81369Y2090 | 19.07% | 2.21% |
| DBC | US | Invesco DB Commodity Index Tracking Fund | US73935S1050 | 18.21% | -8.24% |
| DBE | US | Invesco DB Energy Fund | US73936B1017 | 11.49% | -13.97% |
| Other positions (3) | 13.08% | ||||