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  4. 91153610 / UNITED STATES & FGN SECS CORP

91153610 / UNITED STATES & FGN SECS 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 1.62 1.84 1.71 1.95 1.49 1.68 1.45 1.70
max 2.50 2.96 4.55 5.19 2.30 2.64 3.85 4.53
mean 2.12 2.51 3.13 3.57 1.95 2.24 2.65 3.12
st.dev. 0.21 0.26 0.73 0.84 0.20 0.23 0.62 0.73
Q5% 1.69 2.01 1.89 2.15 1.56 1.79 1.60 1.88
Q50% 2.14 2.54 3.02 3.44 1.97 2.26 2.56 3.00
Q95% 2.41 2.86 4.38 4.99 2.22 2.55 3.71 4.36

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 1.24 1.35 1.20 1.58 1.16 1.26 1.10 1.32
max 1.90 2.09 3.32 3.33 1.78 1.95 3.32 3.32
mean 1.46 1.58 1.92 2.17 1.35 1.48 1.88 1.94
st.dev. 0.17 0.19 0.43 0.50 0.16 0.18 0.42 0.42
Q5% 1.26 1.37 1.28 1.61 1.18 1.29 1.23 1.36
Q50% 1.41 1.51 1.90 2.04 1.30 1.42 1.84 1.91
Q95% 1.80 1.94 2.57 3.20 1.67 1.82 2.54 2.61

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 1.16 1.22 1.18 1.32 1.12 1.18 1.09 1.20
max 2.33 2.52 3.16 3.29 2.20 2.38 3.16 3.16
mean 1.36 1.45 1.91 2.10 1.28 1.37 1.78 1.94
st.dev. 0.17 0.18 0.38 0.42 0.15 0.17 0.35 0.39
Q5% 1.18 1.24 1.32 1.39 1.14 1.19 1.27 1.33
Q50% 1.32 1.41 1.88 2.06 1.24 1.33 1.77 1.91
Q95% 1.61 1.72 2.48 2.73 1.50 1.61 2.37 2.52

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 2592.00 2592.00 2592.00 2592.00 2592.00 2592.00 2592.00 2592.00
min 1.11 1.22 1.07 1.07 1.12 1.18 1.06 1.07
max 5.94 6.67 4.95 6.36 7.71 5.88 4.92 4.96
mean 1.61 1.84 2.23 2.48 1.53 1.65 2.06 2.25
st.dev. 0.37 0.49 0.70 0.86 0.42 0.39 0.61 0.71
Q5% 1.24 1.34 1.31 1.39 1.18 1.26 1.27 1.32
Q50% 1.51 1.72 2.12 2.31 1.40 1.55 1.98 2.13
Q95% 2.34 2.75 3.62 4.17 2.23 2.42 3.17 3.63