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Model risk of risk models

92190884 / VANGUARD SPECIALIZED FUND


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 681.00 681.00 672.00 672.00 681.00 681.00 672.00 672.00
min 1.24 1.43 1.41 1.62 1.18 1.30 1.28 1.48
max 4.41 5.31 10.50 16.19 4.19 4.64 8.17 12.35
mean 2.31 2.76 3.04 3.55 2.11 2.44 2.70 3.13
st.dev. 0.68 0.85 1.04 1.28 0.63 0.73 0.92 1.09
Q5% 1.35 1.49 1.55 1.78 1.28 1.39 1.42 1.62
Q50% 2.20 2.69 3.02 3.52 1.98 2.34 2.67 3.12
Q95% 3.53 4.30 4.56 5.42 3.21 3.75 4.16 4.71