# How to annualize Expected Shortfall?

I have a time series with monthly data from which I compute the expected shortfall empirically, following the classical definition which can be found, for example, in wikipedia's definition.

That is, assuming I have 200 monthly returns and I am looking to compute the 10% expected shortfall, I take the worst 20 returns and I compute their mean to get my $ES_{10}$.

The thing is, I have a "monthly" expected shortfall, and I would like to annualize this result.

I wonder whether I should consider it as a "return" and do $(1+ES_{10})^{12}-1$ or maybe use the volatility annualization $ES_{10} \cdot \sqrt{12}$? Or is it something different?

-