Historical Performance
| Year | 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 | 7.14% |
Performance and Risk Summary
| Period | Return | Volatility | MaxDD |
|---|---|---|---|
| YTD | 7.14% | 6.96% | 0.00% |
| 1y | 14.86% | 6.56% | -2.13% |
| 3y | 4.67% | 7.39% | -10.26% |
| 5y | 11.15% | 8.00% | -10.26% |
| 10y | 7.50% | 7.61% | -10.26% |
| Inception | 6.92% | 7.60% | -11.20% |
| Risk Measure | Monthly Risk |
|---|---|
| VaR [95%] | 3.59% |
| VaR [99%] | 6.08% |
| ES [95%] | 5.80% |
| CF_VaR [95%] | 4.87% |
Portfolio Holdings - Top Five
| Ticker | Exchange | Name | ISIN | Weights | Return |
|---|---|---|---|---|---|
| GC | NYMEX | Gold | GC | 48.54% | 6.07% |
| CASH_EUR | None | EURO CASH | None | 23.44% | nan% |
| GSCI | GLOBEX | S&P-GSCI Index | GSCI | 13.47% | 0.77% |
| DAX | DTB | DAX 40 Index (Deutsche Aktien Xchange 40) | FDAX | 5.95% | 1.52% |
| ES | GLOBEX | E-mini S&P 500 | ES | 5.35% | -5.00% |