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  4. 78462F10 / SPDR S & P 500 E T F TRUST

78462F10 / SPDR S & P 500 E T F TRUST

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 1.52 1.72 1.52 1.52 1.46 1.58 1.62 1.52
max 4.34 4.91 5.52 5.91 4.01 4.49 5.52 5.61
mean 2.61 2.94 2.67 2.69 2.44 2.70 2.77 2.67
st.dev. 0.74 0.84 0.76 0.82 0.69 0.77 0.77 0.78
Q5% 1.70 1.92 1.86 1.84 1.59 1.76 1.97 1.84
Q50% 2.51 2.83 2.41 2.41 2.31 2.59 2.52 2.41
Q95% 4.05 4.58 3.97 3.98 3.76 4.19 4.16 3.97

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 1.18 1.27 1.19 1.25 1.13 1.20 1.06 1.16
max 1.97 2.14 6.22 8.10 1.87 2.01 5.27 6.78
mean 1.47 1.63 2.11 2.21 1.39 1.51 2.03 2.09
st.dev. 0.18 0.21 0.63 0.71 0.17 0.19 0.62 0.66
Q5% 1.22 1.31 1.28 1.38 1.16 1.24 1.22 1.26
Q50% 1.43 1.61 2.03 2.11 1.35 1.49 1.93 2.01
Q95% 1.78 1.98 3.20 3.21 1.69 1.82 3.26 3.20

2007-12-14 to 2009-06-14
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 376.00 376.00 376.00 376.00 376.00 376.00 376.00 376.00
min 1.27 1.35 1.15 1.13 1.14 1.25 1.18 1.16
max 7.56 8.47 12.01 12.27 6.98 7.79 12.18 12.07
mean 2.41 2.69 2.53 2.85 2.26 2.48 2.50 2.59
st.dev. 1.21 1.36 1.20 1.42 1.12 1.25 1.23 1.21
Q5% 1.43 1.56 1.36 1.38 1.35 1.47 1.34 1.37
Q50% 2.01 2.25 2.24 2.40 1.88 2.06 2.23 2.32
Q95% 5.15 5.79 4.23 5.21 4.85 5.31 4.37 4.38

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 4017.00 4017.00 4008.00 4008.00 4017.00 4017.00 4008.00 4008.00
min 1.12 1.16 1.04 1.08 1.08 1.12 1.05 1.04
max 7.56 8.47 12.01 12.27 6.98 7.79 12.18 12.07
mean 1.96 2.20 2.34 2.68 1.83 2.02 2.18 2.40
st.dev. 0.69 0.84 0.84 1.08 0.63 0.73 0.75 0.90
Q5% 1.26 1.35 1.30 1.39 1.20 1.28 1.28 1.30
Q50% 1.80 1.99 2.18 2.46 1.69 1.85 2.05 2.23
Q95% 3.28 3.99 3.79 4.57 3.02 3.51 3.47 3.96