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  4. 47024510 / JAMES FRED S & CO INC

47024510 / JAMES FRED S & CO INC

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 1.57 1.88 1.18 1.16 1.39 1.64 1.21 1.17
max 2.54 2.84 5.32 7.21 2.26 2.47 5.19 5.87
mean 1.91 2.29 2.46 2.49 1.70 1.98 2.46 2.46
st.dev. 0.24 0.24 0.69 0.80 0.21 0.21 0.67 0.72
Q5% 1.59 1.94 1.37 1.37 1.42 1.69 1.38 1.37
Q50% 1.91 2.29 2.53 2.56 1.69 2.00 2.53 2.53
Q95% 2.34 2.69 3.21 3.22 2.08 2.32 3.21 3.21

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 1.72 1.10 1.08 1.33 1.54 1.09 1.09
max 2.57 2.98 5.91 9.24 2.34 2.68 4.68 7.00
mean 1.75 2.05 2.15 2.19 1.58 1.83 2.13 2.15
st.dev. 0.27 0.31 0.79 0.96 0.25 0.28 0.75 0.84
Q5% 1.50 1.75 1.24 1.22 1.35 1.57 1.22 1.23
Q50% 1.64 1.93 2.07 2.05 1.46 1.72 2.03 2.06
Q95% 2.33 2.70 3.65 3.83 2.12 2.43 3.63 3.66

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 340.00 340.00 340.00 340.00 340.00 340.00 340.00 340.00
min 1.55 1.83 1.07 1.06 1.38 1.63 1.09 1.05
max 10.48 14.33 5.90 5.98 8.91 11.65 6.08 5.87
mean 2.34 2.95 2.12 2.16 2.03 2.52 2.14 2.14
st.dev. 0.93 1.27 0.87 0.87 0.80 1.03 0.89 0.87
Q5% 1.65 1.97 1.19 1.21 1.46 1.73 1.21 1.21
Q50% 2.10 2.61 1.95 1.98 1.81 2.25 1.98 1.97
Q95% 3.82 4.65 3.73 3.70 3.38 4.04 3.66 3.69

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 1826.00 1826.00 1817.00 1817.00 1826.00 1826.00 1817.00 1817.00
min 1.33 1.54 1.06 1.06 1.29 1.36 1.01 1.02
max 10.48 14.33 8.07 11.05 8.91 11.65 8.07 8.29
mean 2.06 2.52 2.21 2.30 1.82 2.18 2.20 2.23
st.dev. 0.59 0.84 0.82 0.91 0.49 0.66 0.81 0.84
Q5% 1.49 1.73 1.25 1.26 1.36 1.56 1.25 1.25
Q50% 1.91 2.28 2.09 2.14 1.70 2.01 2.09 2.09
Q95% 2.86 3.75 3.35 3.79 2.50 3.11 3.32 3.49