Multiple PDF documents in same Preview window

I have 4 PDF documents which I need to access at the same time. The easiest way I found is to open them in the same Preview window. This way, I can switch between them by using the side bar (I'm on a 13" screen, it isn't practical to have multiple windows).

My problem is that whenever I switch documents, I see the first page instead of seeing where I was the last time. There is a setting (At document opening: start by last shown page) which logically would solve my problem, but in this case it doesn't work. The most frustrating is that the documents are open at all times, yet they kind of "reset" as if I had closed them.

Does anyone have any kind of useful input? It would be very appreciated.

 

Is that keyboard shortcut supposed to switch window? I can't get it to work, ~ is not on a key of its own in French Canadian keyboards.

Thanks anyway for your help, it's very appreciated.