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  4. 81947010 / SHAPELL INDUSTRIES INC

81947010 / SHAPELL INDUSTRIES 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 1.65 1.67 1.82 1.82 1.65 1.65 1.82 1.82
max 2.80 2.86 5.31 5.31 2.80 2.80 5.31 5.31
mean 2.17 2.22 3.29 3.29 2.17 2.18 3.29 3.29
st.dev. 0.31 0.34 0.97 0.97 0.31 0.32 0.97 0.97
Q5% 1.72 1.74 1.87 1.87 1.72 1.72 1.87 1.87
Q50% 2.15 2.21 3.33 3.33 2.15 2.16 3.33 3.33
Q95% 2.66 2.74 4.96 4.96 2.66 2.66 4.96 4.96

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 1.49 1.85 1.15 1.29 1.27 1.57 1.09 1.17
max 8.20 11.02 5.76 5.76 7.12 9.05 5.76 5.76
mean 2.28 2.97 2.57 2.70 1.98 2.48 2.50 2.59
st.dev. 0.73 0.98 0.96 1.01 0.64 0.80 0.94 0.96
Q5% 1.75 2.31 1.35 1.41 1.52 1.93 1.26 1.36
Q50% 2.14 2.80 2.45 2.55 1.85 2.33 2.40 2.45
Q95% 3.03 3.92 4.27 4.52 2.61 3.28 4.05 4.28

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 338.00 338.00 338.00 338.00 338.00 338.00 338.00 338.00
min 1.73 2.29 1.21 1.35 1.73 1.84 1.12 1.24
max 16.55 25.59 5.89 6.95 12.86 19.49 5.57 5.98
mean 4.70 7.39 2.93 3.26 3.65 5.58 2.72 2.99
st.dev. 1.96 3.07 1.30 1.50 1.52 2.32 1.18 1.33
Q5% 2.76 4.27 1.48 1.58 2.16 3.24 1.43 1.49
Q50% 4.26 6.75 2.42 2.67 3.29 5.09 2.32 2.48
Q95% 7.96 12.51 5.34 5.98 6.18 9.38 4.94 5.45

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 2349.00 2349.00 2340.00 2340.00 2349.00 2349.00 2340.00 2340.00
min 1.28 1.40 1.06 1.06 1.20 1.31 1.08 1.09
max 71.43 119.06 18.66 28.13 59.32 87.42 14.87 21.70
mean 3.38 4.84 2.69 2.91 2.81 3.83 2.60 2.74
st.dev. 2.92 4.94 1.35 1.63 2.39 3.56 1.27 1.42
Q5% 1.53 1.77 1.33 1.40 1.41 1.59 1.31 1.34
Q50% 2.37 2.79 2.37 2.51 2.14 2.49 2.31 2.40
Q95% 7.91 12.87 4.96 5.57 6.02 9.56 4.61 5.07