Error in demo description?

Hello, I am not sure if it is an error or my thinking is wrong. In the demo it is written that: "... we can be 90 percent confident that our portfolio will lose no more than 3 percent.<http://www.mathworks.de/company/newsletters/articles/modeling-market-risk-using-extreme-value-theory-and-copulas.html see Link >k

Is this true? I thought that we do not have an extreme loss from more than 3% based on the RETURNS and not on the total Portfolio. We model returns - how can the statement tell us about the data itself?

Can somebody help me to understand if it is about returns or the portfolio.

___________________________ same in the demo at http://www.mathworks.de/de/help/econ/examples/using-extreme-value-theory-and-copulas-to-evaluate-market-risk.html