The Expected shortfall measures the average value of a loss in an investment that exceeds the given confidence level.
For example, if the Historical Daily Expected Shortfall 5% (All) = 4%:
Our confidence level in this case is 5%. The expected shortfall measures the average loss in the lowest 5% in the distribution of returns for this investment.
Since this example is a Daily Expected Shortfall, it means 5% of the time your investment will return an average loss of 4% in one day.