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  4. 45843910 / INTERCAPITAL INCOME SECS INC

45843910 / INTERCAPITAL INCOME SECS INC

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 1.14 1.29 1.23 1.36 1.19 1.15 1.27 1.23
max 4.84 4.79 5.69 6.48 5.56 4.79 5.26 5.90
mean 1.99 2.00 2.50 2.58 2.20 1.97 2.51 2.52
st.dev. 0.66 0.65 0.95 1.10 0.76 0.65 0.86 0.99
Q5% 1.30 1.40 1.46 1.47 1.36 1.32 1.50 1.46
Q50% 1.79 1.77 2.30 2.32 2.00 1.77 2.38 2.30
Q95% 3.05 3.25 4.90 5.17 3.28 3.09 4.54 5.08

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 1.21 1.37 1.23 1.44 1.14 1.24 1.15 1.29
max 1.92 2.09 4.15 4.12 1.91 1.96 4.18 4.14
mean 1.41 1.60 2.03 2.21 1.35 1.44 1.98 2.08
st.dev. 0.12 0.15 0.57 0.54 0.12 0.12 0.59 0.56
Q5% 1.25 1.41 1.32 1.55 1.21 1.28 1.28 1.37
Q50% 1.39 1.58 1.93 2.09 1.31 1.43 1.85 1.97
Q95% 1.61 1.92 3.12 3.14 1.56 1.68 3.11 3.12

1998-08-14 to 1998-11-14
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 50.00 50.00 50.00 50.00 50.00 50.00 50.00 50.00
min 1.33 1.47 1.09 1.13 1.28 1.37 1.07 1.09
max 2.27 2.19 2.62 2.95 1.95 2.01 2.62 2.63
mean 1.84 1.83 1.69 1.71 1.61 1.69 1.68 1.69
st.dev. 0.24 0.17 0.33 0.36 0.16 0.15 0.32 0.33
Q5% 1.45 1.59 1.35 1.37 1.35 1.48 1.33 1.35
Q50% 1.89 1.82 1.63 1.63 1.61 1.68 1.63 1.63
Q95% 2.24 2.16 2.32 2.35 1.92 1.98 2.29 2.32

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 3113.00 3113.00 3104.00 3104.00 3113.00 3113.00 3104.00 3104.00
min 1.09 1.09 1.08 1.08 1.07 1.07 1.03 1.08
max 4.84 4.79 5.69 6.48 5.56 4.79 5.26 5.90
mean 1.44 1.58 2.07 2.29 1.40 1.46 1.90 2.08
st.dev. 0.28 0.33 0.55 0.63 0.28 0.28 0.48 0.54
Q5% 1.15 1.19 1.31 1.40 1.13 1.15 1.25 1.31
Q50% 1.38 1.53 2.03 2.26 1.34 1.41 1.84 2.05
Q95% 1.94 2.09 3.01 3.35 1.90 1.94 2.70 3.01