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  4. 60032R10 / MILLEA HOLDINGS INC

60032R10 / MILLEA HOLDINGS 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 2.73 3.99 1.18 1.36 2.18 3.13 1.10 1.18
max 5.04 7.91 7.33 8.25 3.89 5.98 6.57 7.30
mean 3.62 5.43 2.69 3.04 2.90 4.20 2.40 2.69
st.dev. 0.52 0.87 0.87 1.00 0.39 0.64 0.77 0.87
Q5% 2.90 4.24 1.34 1.51 2.31 3.32 1.24 1.34
Q50% 3.56 5.28 2.74 3.13 2.88 4.10 2.43 2.74
Q95% 4.48 6.90 3.75 4.29 3.62 5.27 3.37 3.75

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 2.57 3.69 1.12 1.15 2.07 2.92 1.24 1.06
max 4.72 6.85 3.38 3.86 4.21 5.39 3.43 3.33
mean 3.15 4.57 1.86 1.93 2.69 3.60 1.93 1.83
st.dev. 0.41 0.59 0.57 0.67 0.44 0.46 0.54 0.56
Q5% 2.71 3.89 1.21 1.20 2.22 3.08 1.30 1.17
Q50% 3.02 4.39 1.67 1.67 2.60 3.45 1.80 1.67
Q95% 3.89 5.59 3.06 3.43 3.47 4.43 3.00 2.99

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 2.11 2.90 1.15 1.07 1.73 2.35 1.23 1.12
max 14.10 19.19 9.09 11.65 12.91 15.21 9.27 9.03
mean 3.28 4.56 3.22 5.28 2.81 3.63 2.39 3.40
st.dev. 1.57 2.13 1.45 2.49 1.48 1.67 1.36 1.52
Q5% 2.33 3.18 1.30 1.27 1.92 2.58 1.33 1.29
Q50% 2.81 3.95 2.89 5.06 2.37 3.14 1.97 3.11
Q95% 5.59 7.79 5.96 9.78 5.05 6.10 5.68 6.32

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 3.45 5.06 1.14 1.07 2.81 3.96 1.14 1.12
max 26.28 44.71 2.58 2.58 20.58 32.52 2.58 2.58
mean 8.06 13.03 1.68 1.65 6.44 9.71 1.68 1.67
st.dev. 6.87 11.95 0.42 0.42 5.35 8.60 0.42 0.42
Q5% 3.60 5.34 1.15 1.14 2.90 4.15 1.15 1.14
Q50% 5.10 7.77 1.54 1.52 4.11 5.93 1.54 1.54
Q95% 25.16 42.75 2.47 2.47 19.72 31.11 2.47 2.47

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 1.56 1.89 1.09 1.11 1.38 1.66 1.03 1.09
max 3.36 4.15 21.70 36.45 3.25 3.59 15.52 25.90
mean 2.09 2.58 2.14 2.33 1.93 2.23 2.04 2.18
st.dev. 0.38 0.48 1.67 2.78 0.38 0.41 1.25 1.98
Q5% 1.62 1.96 1.26 1.31 1.43 1.72 1.26 1.27
Q50% 2.01 2.49 1.85 1.92 1.82 2.15 1.83 1.85
Q95% 2.79 3.48 3.71 3.83 2.66 2.98 3.23 3.73

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 65.00 65.00 65.00 65.00 65.00 65.00 65.00 65.00
min 1.42 1.61 1.13 1.13 1.33 1.47 1.17 1.13
max 2.51 2.86 19.11 30.74 2.32 2.60 14.94 22.96
mean 1.98 2.27 2.84 3.18 1.86 2.06 2.75 2.95
st.dev. 0.35 0.40 2.59 4.26 0.31 0.36 2.03 3.14
Q5% 1.44 1.63 1.27 1.27 1.36 1.49 1.27 1.27
Q50% 1.99 2.30 2.24 2.30 1.91 2.07 2.24 2.24
Q95% 2.44 2.80 4.56 4.70 2.25 2.54 4.66 4.72

2001-03-14 to 2001-11-14
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 168.00 168.00 168.00 168.00 168.00 168.00 168.00 168.00
min 1.31 1.45 1.06 1.06 1.23 1.35 1.03 1.04
max 2.15 2.38 2.98 3.28 2.04 2.19 2.77 3.01
mean 1.57 1.74 1.73 1.72 1.49 1.62 1.71 1.71
st.dev. 0.19 0.21 0.38 0.38 0.19 0.19 0.37 0.37
Q5% 1.34 1.48 1.17 1.17 1.24 1.37 1.16 1.17
Q50% 1.56 1.72 1.77 1.76 1.47 1.60 1.76 1.76
Q95% 1.93 2.16 2.33 2.33 1.90 1.99 2.33 2.33

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 7726.00 7726.00 7717.00 7717.00 7726.00 7726.00 7717.00 7717.00
min 1.17 1.24 1.05 1.04 1.11 1.18 1.03 1.04
max 26.28 44.71 21.70 36.45 20.58 32.52 18.25 25.90
mean 2.63 3.53 2.22 2.52 2.28 2.89 2.09 2.23
st.dev. 1.92 3.23 1.03 1.72 1.52 2.34 0.82 1.10
Q5% 1.32 1.40 1.26 1.25 1.25 1.33 1.26 1.25
Q50% 1.95 2.27 2.01 2.06 1.83 2.02 1.95 2.00
Q95% 5.62 8.07 4.11 5.97 4.68 6.28 3.25 4.18