nah, it’s just the figures are a little bit unfortunate here - the daily var was slightly negative but because you multiply returns by 250 and volatilty by only 250^0.5, the outcome happens to be positive

I ran a Monte Carlo simulation using the data you gave (assuming that the returns are normally distributed), compounding the daily return for 250 days. The results are:

Mean annual return = 2.37% (which is consistent with 0.85% compounded for 250 days)

Annual standard deviation of returns = 2.15%, which is a lot more than 0.11% × √ 250 (=1.7393%)

That’s probably why they didn’t compute the statistics for the annual return: it isn’t remotely as simple as you’d imagine.