Portfolio

Historical Performance

Annual Returns
Year	portfolio
2003	14.89%
2004	3.06%
2005	6.90%
2006	4.00%
2007	13.29%
2008	2.90%
2009	2.68%
2010	15.93%
2011	2.99%
2012	0.15%
2013	15.01%
2014	6.61%
2015	-3.86%
2016	7.90%
2017	14.69%
2018	-2.32%
2019	10.45%
2020	9.28%
2021	21.37%
2022	2.26%
2023	0.82%
2024	18.28%
2025	26.64%
2026	9.04%

Performance and Risk Summary

Risk-Return Summary
Period	Return	Volatility	MaxDD
YTD	9.04%	9.18%	-6.04%
1y	11.27%	8.31%	-6.04%
3y	18.82%	7.73%	-6.04%
5y	10.49%	8.60%	-9.66%
10y	11.01%	8.24%	-10.70%
Inception	7.76%	8.11%	-11.37%

Portfolio Risk
Risk Measure	Monthly Risk
VaR [95%]	5.59%
VaR [99%]	9.06%
ES [95%]	8.96%
CF_VaR [95%]	6.82%

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
ES	CME	E-mini S&P 500	ES	41.69%	-1.32%
GSCI	CME	S&P-GSCI Index	GSCI	38.80%	3.77%
CASH_EUR	None	EURO CASH	None	19.51%	nan%