| Portfolio (R) | Portfolio (S) | Portfolio (P) | |||||
| Capital allocation | Capital allocation | ∂ES(x)/∂xi | Tactical deviations | Capital allocation | Δ | Δ | |
| Expected ES(1year) | Expected return | ||||||
| Stocks | 30% | 20% | −13.4% | 3% | 23% | −0.40% | 0.30% |
| Bonds | 50% | 65% | −0.1% | −4% | 61% | 0.004% | −0.17% |
| Real estate | 15% | 10% | −30.3% | 1% | 11% | −0.30% | 0.04% |
| Monetary | 5% | 5% | 0.1% | 0% | 5% | 0.0% | 0.00% |
| Total | 100% | 100% | - | - | 100% | −0.70% | 0.18% |
| Annual performance | 5.88% | 5.27% | 5.45% | ||||
| Performance gap | 0.61% | - | 0.18% | ||||
| ES(1year) | −8.65% | −5.79% | −6.49% | ||||
| ESSAA | 5.79% | ||||||
| RBTAA max | 0.77% | ||||||
| RBTAA used | 2.86% | 0.00% | 0.70% | ||||
| RBTAA residual | - | 0.77% | 0.07% | ||||