Our worst years were: 2001 when we lost 27.6%, 2008, when we lost 13.9%; and 2015 when we also lost 13.3%. I’ll discuss each year in order. I should preface this by saying they are very simplistic explanations for a rather complex model.
As I said in the previous question, in 2001, we were underweight in the short end of the yield curve. Our losses were in line with stock market returns, but exposed a flaw in our model.
In 2008, we felt the overall result was good considering the circumstances. We did over-ride the model by over weighting money market securities and adding volatility securities.
In 2015, we were hurt by the collapse of the commodities market; but commodities are an essential part of our diversification strategy. They have helped us more than they have hurt us over the years.