Portfolio

Historical Performance

Annual Returns
Year	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	10.13%

Performance and Risk Summary

Risk-Return Summary
Period	Return	Volatility	MaxDD
YTD	10.13%	10.25%	-6.29%
1y	14.68%	8.85%	-6.29%
3y	21.44%	8.42%	-6.29%
5y	15.16%	8.93%	-7.54%
10y	13.02%	8.57%	-7.60%
Inception	10.22%	8.79%	-12.06%

Portfolio Risk
Risk Measure	Monthly Risk
VaR [95%]	7.83%
VaR [99%]	10.39%
ES [95%]	10.62%
CF_VaR [95%]	8.27%

Return and Volatility are in annualized terms except YTD Return
ES [95%] is the Expected Shortfall, i.e., the mean of losses exceeding the 95% quantile level
CF-VaR [95%] is the Cornish-Fischer VaR at the 95% quantile level, taking into account skewness and kurtosis of the P&L distribution

Portfolio Holdings - Top Five

Select Date

Ticker	Exchange	Name	ISIN	Weights	Return
XLY	US	Consumer Discretionary Select Sector SPDR Fund	US81369Y4070	18.66%	-3.97%
XLK	US	Technology Select Sector SPDR Fund	US81369Y8030	18.66%	-0.69%
XLI	US	Industrial Select Sector SPDR Fund	US81369Y7040	18.66%	-2.62%
DBC	US	Invesco DB Commodity Index Tracking Fund	US73935S1050	17.00%	7.41%
DBE	US	Invesco DB Energy Fund	US73936B1017	10.73%	16.12%