Historical Performance
| Year | Model Portfolio |
|---|---|
| 2003 | 15.04% |
| 2004 | 3.00% |
| 2005 | 9.36% |
| 2006 | 5.45% |
| 2007 | 11.95% |
| 2008 | 3.28% |
| 2009 | 1.89% |
| 2010 | 13.42% |
| 2011 | 4.18% |
| 2012 | 0.62% |
| 2013 | 13.90% |
| 2014 | 5.60% |
| 2015 | -2.55% |
| 2016 | 8.47% |
| 2017 | 12.38% |
| 2018 | -2.23% |
| 2019 | 9.54% |
| 2020 | 9.38% |
| 2021 | 19.46% |
| 2022 | 2.49% |
| 2023 | -0.24% |
| 2024 | 15.62% |
| 2025 | 29.36% |
| 2026 YTD | 8.55% |
Data as of 31 Oct 2026
Performance and Risk Summary
| Period | Return | Volatility | Return/Vol | MaxDD |
|---|---|---|---|---|
| YTD | 8.55% | 8.94% | – | -5.89% |
| 1y | 10.72% | 8.09% | 1.32 | -5.89% |
| 3y | 18.27% | 7.46% | 2.45 | -5.89% |
| Live (since Jan 2022) | 11.05% | 7.97% | 1.39 | -10.26% |
| Period | Return | Volatility | Return/Vol | MaxDD |
|---|---|---|---|---|
| 5y | 10.08% | 8.38% | 1.20 | -10.26% |
| 10y | 10.38% | 7.84% | 1.32 | -10.26% |
| Inception (Jun 2000) | 7.59% | 7.68% | 0.99 | -11.20% |
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 Jun 2000.
| Risk Measure | Monthly Risk |
|---|---|
| VaR [95%] | 5.57% |
| VaR [99%] | 9.30% |
| ES [95%] | 8.74% |
| CF-VaR [95%] | 6.63% |
Model Portfolio Holdings
Allocation held during Oct 2026, set at the prior month-end; Return is each holding's Oct 2026 return.
| Ticker | Exchange | Name | Symbol | Weights | Return |
|---|---|---|---|---|---|
| GSCI | CME | S&P-GSCI Index | GSCI | 34.88% | 3.77% |
| ES | CME | E-mini S&P 500 | ES | 27.10% | -1.32% |
| CASH_EUR | — | EURO CASH | — | 19.45% | 0.00% |
| DAX | EUREX | DAX 40 Index (Deutsche Aktien Xchange 40) | FDAX | 9.17% | 2.14% |
| N225 | OSE.JPN | Nikkei 225 | NKY 225 | 5.12% | -5.15% |
| Other positions (1) | 4.28% | ||||