FUT_US – DQS

Historical Performance

Annual Returns
Year	Model 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 YTD	9.04%

Data as of 31 Oct 2026

Performance and Risk Summary

Live Track Record
Period	Return	Volatility	Return/Vol	MaxDD
YTD	9.04%	9.18%	–	-6.04%
1y	11.27%	8.31%	1.36	-6.04%
3y	18.82%	7.73%	2.44	-6.04%
Live (since Jan 2022)	11.38%	8.26%	1.38	-9.66%

Full History (includes backtest)
Period	Return	Volatility	Return/Vol	MaxDD
5y	10.49%	8.60%	1.22	-9.66%
10y	11.01%	8.24%	1.34	-10.70%
Inception (Jun 2000)	7.76%	8.11%	0.96	-11.37%

Return and volatility are annualized (YTD return is not). The chart and annual returns are shown from Dec 2002; inception statistics use the full history from Jun 2000.

Model 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
Return/Vol is annualized return per unit of annualized volatility (not shown for YTD)
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
Monthly risk measures apply the latest portfolio weights to historical monthly returns

Model Portfolio Holdings

Select Date

Allocation held during Oct 2026, set at the prior month-end; Return is each holding's Oct 2026 return.

Ticker	Exchange	Name	Symbol	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	—	EURO CASH	—	19.51%	0.00%