| Stocks | Bonds | Real Estate | Monetary | Portfolio (S) | |
| Capital Allocation | 20% | 65% | 10% | 5% | 100% |
| VaR(1year) | −9.59% | −0.70% | −21.18% | 0.05% | −3.22% |
| PVaR(1year) | −1.70% | −0.03% | −1.50% | 0.01% | |
| ∂VaR(x)/∂xi | −8.52% | −0.08% | −15.01% | 0.08% | |
| ES(1year) | −16.69% | −1.25% | −36.82% | 0.00% | −5.79% |
| PES(1year) | −2.67% | −0.10% | −3.03% | 0.00% | |
| ∂ES(x)/∂xi | −13.35% | −0.15% | −30.28% | 0.08% | |
| Allocation Risk | 46.1% | 1.7% | 52.3% | −0.1% | 100.0% |
| Annual performance | 10.11% | 4.18% | 4.38% | 1.92% | 5.27% |
| Contribution to performance | 2.02% | 2.72% | 0.44% | 0.10% |