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  4. 89350610 / TRANSAMERICA INCOME SHS INC

89350610 / TRANSAMERICA INCOME SHS 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 1.37 1.48 1.18 1.16 1.29 1.40 1.16 1.16
max 1.85 1.88 9.94 14.81 1.89 1.86 7.86 11.50
mean 1.57 1.67 2.80 2.83 1.57 1.60 2.70 2.75
st.dev. 0.13 0.11 1.13 1.59 0.17 0.13 0.92 1.24
Q5% 1.39 1.52 1.58 1.57 1.32 1.42 1.57 1.57
Q50% 1.55 1.67 2.49 2.45 1.53 1.58 2.46 2.45
Q95% 1.79 1.85 4.35 4.24 1.83 1.81 4.15 4.16

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 1.20 1.22 1.19 1.25 1.19 1.22 1.14 1.21
max 2.52 2.66 4.28 4.34 2.45 2.55 4.25 4.29
mean 1.64 1.70 2.22 2.24 1.63 1.65 2.21 2.22
st.dev. 0.32 0.34 0.67 0.67 0.33 0.33 0.67 0.67
Q5% 1.24 1.28 1.44 1.46 1.25 1.25 1.44 1.44
Q50% 1.51 1.56 2.07 2.08 1.50 1.52 2.07 2.07
Q95% 2.17 2.23 3.49 3.49 2.22 2.17 3.49 3.49

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 1.14 1.18 1.04 1.13 1.12 1.15 1.10 1.08
max 2.29 2.49 3.87 4.24 2.37 2.32 3.87 3.87
mean 1.40 1.51 1.78 1.93 1.39 1.42 1.79 1.81
st.dev. 0.15 0.16 0.49 0.51 0.17 0.15 0.50 0.49
Q5% 1.24 1.33 1.20 1.24 1.22 1.26 1.21 1.21
Q50% 1.38 1.47 1.68 1.89 1.34 1.39 1.68 1.74
Q95% 1.69 1.81 2.83 2.88 1.70 1.70 2.77 2.77

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 1.15 1.20 1.21 1.21 1.11 1.16 1.28 1.21
max 2.86 3.07 3.95 3.95 2.79 2.91 3.99 3.95
mean 1.81 1.93 2.24 2.25 1.88 1.83 2.29 2.24
st.dev. 0.35 0.38 0.67 0.67 0.33 0.35 0.68 0.67
Q5% 1.40 1.48 1.44 1.44 1.45 1.43 1.53 1.44
Q50% 1.75 1.86 2.04 2.04 1.87 1.77 2.13 2.04
Q95% 2.47 2.66 3.67 3.68 2.49 2.52 3.83 3.67

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 1.29 1.55 1.05 1.05 1.20 1.32 1.03 1.04
max 2.01 2.58 2.91 2.91 1.81 2.09 2.91 2.91
mean 1.49 1.79 1.75 1.77 1.35 1.54 1.76 1.76
st.dev. 0.17 0.24 0.46 0.47 0.12 0.18 0.47 0.46
Q5% 1.31 1.59 1.09 1.13 1.21 1.36 1.11 1.11
Q50% 1.43 1.69 1.78 1.77 1.33 1.47 1.75 1.74
Q95% 1.82 2.30 2.60 2.57 1.53 1.89 2.56 2.57

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 1.17 1.25 1.10 1.07 1.12 1.19 1.15 1.10
max 2.39 2.49 2.61 2.47 2.10 2.27 2.72 2.54
mean 1.65 1.75 1.75 1.75 1.52 1.63 1.78 1.74
st.dev. 0.33 0.32 0.36 0.39 0.25 0.28 0.35 0.36
Q5% 1.28 1.39 1.16 1.10 1.21 1.31 1.21 1.14
Q50% 1.55 1.69 1.73 1.71 1.46 1.56 1.79 1.69
Q95% 2.31 2.36 2.26 2.35 2.02 2.18 2.29 2.26

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 1.49 1.72 1.09 1.12 1.34 1.55 1.09 1.09
max 2.32 2.72 3.91 4.61 2.09 2.43 3.59 4.10
mean 1.69 2.01 1.96 2.01 1.51 1.78 1.94 1.96
st.dev. 0.16 0.20 0.55 0.58 0.14 0.17 0.54 0.55
Q5% 1.50 1.75 1.18 1.22 1.36 1.57 1.18 1.19
Q50% 1.66 1.97 1.91 1.94 1.48 1.74 1.90 1.91
Q95% 1.95 2.35 2.81 2.90 1.76 2.06 2.81 2.82

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 1.46 1.71 1.13 1.13 1.31 1.53 1.13 1.13
max 12.79 14.11 12.55 13.52 14.90 12.15 14.95 12.79
mean 2.53 3.08 2.57 2.81 2.55 2.66 2.71 2.62
st.dev. 1.65 1.90 1.53 1.85 1.98 1.65 1.71 1.59
Q5% 1.57 1.87 1.32 1.38 1.40 1.65 1.33 1.36
Q50% 1.89 2.41 2.05 2.19 1.71 2.02 2.20 2.07
Q95% 6.19 7.58 6.04 6.75 6.46 6.60 6.47 6.30

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 9018.00 9018.00 9009.00 9009.00 9018.00 9018.00 9009.00 9009.00
min 1.04 1.05 1.03 1.04 1.03 1.03 1.03 1.03
max 12.79 14.11 12.55 14.81 14.90 12.15 14.95 12.79
mean 1.65 1.92 2.13 2.29 1.54 1.71 2.09 2.16
st.dev. 0.57 0.82 0.77 0.99 0.55 0.62 0.74 0.82
Q5% 1.18 1.24 1.27 1.29 1.14 1.18 1.27 1.27
Q50% 1.51 1.70 1.98 2.07 1.43 1.55 1.95 1.98
Q95% 2.57 3.48 3.48 4.19 2.20 2.80 3.30 3.67