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  4. 62916110 / N L T CORP

62916110 / N L T CORP

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 1.69 1.93 1.42 1.43 1.57 1.75 1.23 1.33
max 3.19 3.60 5.27 5.28 2.97 3.29 4.54 4.91
mean 2.12 2.41 2.99 3.00 1.99 2.20 2.59 2.79
st.dev. 0.39 0.43 1.00 1.01 0.36 0.40 0.85 0.93
Q5% 1.71 1.95 1.51 1.52 1.60 1.77 1.40 1.43
Q50% 1.98 2.25 3.13 3.14 1.87 2.06 2.70 2.91
Q95% 2.98 3.37 4.71 4.73 2.77 3.07 4.06 4.39

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 1.23 1.35 1.13 1.20 1.16 1.26 1.12 1.14
max 2.96 3.28 4.56 5.14 2.75 3.04 4.56 4.56
mean 1.86 2.05 2.26 2.32 1.73 1.91 2.23 2.27
st.dev. 0.44 0.49 0.81 0.85 0.40 0.45 0.79 0.82
Q5% 1.26 1.38 1.29 1.33 1.19 1.29 1.26 1.31
Q50% 1.87 2.07 2.05 2.10 1.75 1.92 2.04 2.06
Q95% 2.65 2.94 3.76 3.80 2.47 2.73 3.76 3.76

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 333.00 333.00 333.00 333.00 333.00 333.00 333.00 333.00
min 1.46 1.68 1.07 1.05 1.33 1.52 1.06 1.05
max 5.87 7.26 6.67 6.73 5.27 6.23 6.67 6.67
mean 2.00 2.36 2.26 2.25 1.83 2.09 2.25 2.26
st.dev. 0.72 0.91 1.04 1.04 0.64 0.77 1.03 1.04
Q5% 1.50 1.73 1.18 1.17 1.37 1.55 1.17 1.18
Q50% 1.71 1.96 2.05 2.05 1.58 1.77 2.04 2.05
Q95% 3.46 4.24 4.71 4.60 3.08 3.67 4.49 4.67

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 1659.00 1659.00 1650.00 1650.00 1659.00 1659.00 1650.00 1650.00
min 1.13 1.18 1.06 1.05 1.09 1.15 1.06 1.05
max 5.87 7.26 24.52 38.92 5.27 6.23 18.71 29.08
mean 1.87 2.10 2.44 2.52 1.75 1.92 2.33 2.41
st.dev. 0.52 0.62 1.26 1.70 0.48 0.54 1.06 1.36
Q5% 1.28 1.40 1.27 1.27 1.20 1.31 1.27 1.26
Q50% 1.76 2.01 2.19 2.24 1.64 1.81 2.14 2.18
Q95% 2.87 3.25 4.31 4.37 2.67 2.95 4.01 4.21