Historical Performance
| 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 | 6.40% |
Performance and Risk Summary
| Period | Return | Volatility | MaxDD |
|---|---|---|---|
| YTD | 6.40% | 7.01% | -0.22% |
| 1y | 15.43% | 7.10% | -2.01% |
| 3y | 5.67% | 7.93% | -9.66% |
| 5y | 12.05% | 8.35% | -9.66% |
| 10y | 8.17% | 8.08% | -10.70% |
| Inception | 7.15% | 8.06% | -11.37% |
| Risk Measure | Monthly Risk |
|---|---|
| VaR [95%] | 3.97% |
| VaR [99%] | 6.48% |
| ES [95%] | 6.32% |
| CF_VaR [95%] | 5.23% |
Portfolio Holdings - Top Five
| Ticker | Exchange | Name | ISIN | Weights | Return |
|---|---|---|---|---|---|
| GC | NYMEX | Gold | GC | 51.02% | 6.07% |
| CASH_EUR | None | EURO CASH | None | 22.83% | nan% |
| GSCI | GLOBEX | S&P-GSCI Index | GSCI | 17.91% | 0.77% |
| ES | GLOBEX | E-mini S&P 500 | ES | 8.24% | -5.00% |