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  4. 29454210 / EQUITABLE LIFE MTG & RLTY INVS

29454210 / EQUITABLE LIFE MTG & RLTY INVS

1977-05-14 to 1977-10-14
Non-overlapping, 99% VaR Non-overlapping, 99% ES 10-day overlapping, 99% VaR 10-day overlapping, 99% ES Non-overlapping, 97.5% VaR Non-overlapping, 97.5% ES 10-day overlapping, 97.5% VaR 10-day overlapping, 97.5% ES
obs 106.00 106.00 106.00 106.00 106.00 106.00 106.00 106.00
min 2.63 2.92 2.83 2.88 2.33 2.63 2.68 2.77
max 4.25 4.70 9.14 12.03 3.76 4.24 8.86 9.01
mean 3.42 3.78 4.68 4.89 2.96 3.38 4.40 4.62
st.dev. 0.35 0.38 1.15 1.52 0.32 0.35 1.05 1.23
Q5% 2.83 3.13 3.23 3.29 2.46 2.80 3.05 3.15
Q50% 3.41 3.77 4.48 4.56 2.95 3.37 4.25 4.37
Q95% 4.00 4.42 6.96 7.24 3.48 3.93 6.45 6.80

1980-01-14 to 1980-07-14
Non-overlapping, 99% VaR Non-overlapping, 99% ES 10-day overlapping, 99% VaR 10-day overlapping, 99% ES Non-overlapping, 97.5% VaR Non-overlapping, 97.5% ES 10-day overlapping, 97.5% VaR 10-day overlapping, 97.5% ES
obs 127.00 127.00 127.00 127.00 127.00 127.00 127.00 127.00
min 1.48 1.77 1.03 1.04 1.31 1.56 1.08 1.05
max 4.43 5.38 5.30 6.33 3.90 4.70 5.30 5.52
mean 2.18 2.62 2.29 2.33 1.95 2.30 2.27 2.30
st.dev. 0.64 0.79 0.92 1.00 0.55 0.69 0.87 0.93
Q5% 1.56 1.86 1.28 1.29 1.38 1.63 1.29 1.29
Q50% 1.97 2.32 1.96 1.99 1.76 2.06 1.98 1.96
Q95% 3.76 4.56 4.26 4.37 3.31 3.99 4.10 4.31

1981-07-14 to 1982-11-14
Non-overlapping, 99% VaR Non-overlapping, 99% ES 10-day overlapping, 99% VaR 10-day overlapping, 99% ES Non-overlapping, 97.5% VaR Non-overlapping, 97.5% ES 10-day overlapping, 97.5% VaR 10-day overlapping, 97.5% ES
obs 320.00 320.00 320.00 320.00 320.00 320.00 320.00 320.00
min 1.54 1.82 1.26 1.40 1.32 1.59 1.08 1.26
max 16.29 20.57 10.92 10.89 14.66 17.08 11.35 10.85
mean 2.69 3.36 2.73 2.96 2.38 2.88 2.61 2.75
st.dev. 1.46 1.86 1.64 1.69 1.32 1.53 1.70 1.65
Q5% 1.72 2.13 1.38 1.49 1.51 1.83 1.26 1.38
Q50% 2.41 3.00 2.26 2.50 2.15 2.57 2.13 2.27
Q95% 3.94 5.01 6.54 7.17 3.47 4.25 6.54 7.17

1974-01-01 to 2012-12-31
Non-overlapping, 99% VaR Non-overlapping, 99% ES 10-day overlapping, 99% VaR 10-day overlapping, 99% ES Non-overlapping, 97.5% VaR Non-overlapping, 97.5% ES 10-day overlapping, 97.5% VaR 10-day overlapping, 97.5% ES
obs 1963.00 1963.00 1954.00 1954.00 1963.00 1963.00 1954.00 1954.00
min 1.42 1.57 1.03 1.04 1.27 1.44 1.08 1.05
max 16.29 20.57 10.92 16.13 14.66 17.08 11.35 11.86
mean 2.41 2.86 2.90 3.02 2.11 2.50 2.78 2.88
st.dev. 0.92 1.08 1.49 1.60 0.80 0.92 1.41 1.48
Q5% 1.59 1.89 1.33 1.37 1.41 1.67 1.28 1.32
Q50% 2.17 2.60 2.51 2.61 1.91 2.28 2.41 2.50
Q95% 3.80 4.40 5.99 6.35 3.34 3.86 5.64 5.91