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  4. 40589110 / HALL FRANK B & CO INC

40589110 / HALL FRANK B & CO INC

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 1.37 1.55 1.16 1.17 1.26 1.42 1.15 1.17
max 2.48 2.88 3.70 3.93 2.27 2.59 3.63 3.76
mean 1.63 1.85 1.91 1.97 1.49 1.69 1.89 1.92
st.dev. 0.25 0.29 0.46 0.48 0.23 0.26 0.46 0.47
Q5% 1.39 1.57 1.34 1.37 1.27 1.44 1.33 1.36
Q50% 1.57 1.78 1.86 1.92 1.44 1.63 1.86 1.88
Q95% 2.17 2.46 2.69 2.69 1.99 2.25 2.69 2.69

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 339.00 339.00 339.00 339.00 339.00 339.00 339.00 339.00
min 1.43 1.64 1.09 1.10 1.30 1.48 1.09 1.08
max 4.43 5.22 11.05 17.54 4.14 4.65 8.96 13.07
mean 2.01 2.38 2.19 2.24 1.83 2.11 2.18 2.19
st.dev. 0.54 0.64 0.90 1.13 0.50 0.57 0.83 0.96
Q5% 1.52 1.78 1.29 1.30 1.37 1.60 1.27 1.28
Q50% 1.80 2.14 2.09 2.13 1.66 1.89 2.07 2.09
Q95% 3.10 3.63 3.55 3.55 2.83 3.25 3.57 3.55

1987-10-19 to 1988-01-19
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 64.00 64.00 64.00 64.00 64.00 64.00 64.00 64.00
min 2.75 3.34 1.46 1.57 2.42 2.92 1.23 1.51
max 6.63 8.28 9.28 10.90 5.98 7.10 8.53 9.72
mean 4.40 5.44 3.46 3.80 3.88 4.69 3.36 3.53
st.dev. 0.80 1.01 1.72 1.86 0.75 0.86 1.65 1.74
Q5% 3.55 4.35 1.56 2.16 3.10 3.77 1.48 1.75
Q50% 4.27 5.29 3.09 3.22 3.73 4.56 3.04 3.16
Q95% 5.80 7.19 7.36 7.53 5.28 6.19 7.23 7.40

1990-07-14 to 1991-03-14
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 169.00 169.00 169.00 169.00 169.00 169.00 169.00 169.00
min 1.42 1.64 1.18 1.78 1.29 1.48 1.23 1.32
max 2.23 2.58 5.26 5.95 2.08 2.32 5.68 5.44
mean 1.69 1.97 2.10 3.01 1.54 1.76 1.95 2.30
st.dev. 0.17 0.20 0.54 0.84 0.17 0.18 0.54 0.60
Q5% 1.47 1.70 1.27 1.80 1.33 1.53 1.36 1.40
Q50% 1.64 1.91 2.11 2.85 1.51 1.71 1.88 2.36
Q95% 2.04 2.35 2.88 4.40 1.90 2.11 2.97 3.22

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 3465.00 3465.00 3456.00 3456.00 3465.00 3465.00 3456.00 3456.00
min 1.31 1.38 1.05 1.07 1.26 1.28 1.06 1.05
max 6.63 8.28 22.55 36.40 5.98 7.10 16.85 26.85
mean 1.86 2.20 2.12 2.45 1.70 1.95 2.01 2.19
st.dev. 0.50 0.65 0.93 1.36 0.44 0.55 0.81 1.04
Q5% 1.44 1.62 1.28 1.32 1.32 1.48 1.25 1.29
Q50% 1.75 2.05 1.97 2.17 1.58 1.83 1.88 2.01
Q95% 2.63 3.21 3.33 4.35 2.37 2.78 3.19 3.48