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Model risk of risk models

36865810 / GEMINI FUND 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 1.98 2.09 1.84 1.84 1.95 2.01 1.84 1.84
max 3.53 3.72 4.57 4.54 3.47 3.58 4.60 4.56
mean 2.69 2.84 3.34 3.34 2.65 2.73 3.34 3.34
st.dev. 0.41 0.43 0.81 0.81 0.40 0.42 0.81 0.81
Q5% 2.08 2.19 1.87 1.87 2.04 2.11 1.87 1.87
Q50% 2.73 2.89 3.60 3.60 2.69 2.77 3.60 3.60
Q95% 3.30 3.49 4.27 4.27 3.25 3.35 4.27 4.27


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 1.44 1.67 1.04 1.09 1.31 1.50 1.04 1.06
max 2.22 2.62 5.48 8.49 1.99 2.33 5.24 6.46
mean 1.65 1.93 2.22 2.31 1.49 1.73 2.20 2.25
st.dev. 0.16 0.19 0.93 1.09 0.14 0.17 0.89 0.98
Q5% 1.47 1.71 1.14 1.17 1.33 1.53 1.14 1.16
Q50% 1.62 1.90 1.97 2.00 1.46 1.70 1.97 1.99
Q95% 1.96 2.29 3.84 4.42 1.77 2.04 3.61 4.10


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 1.67 2.02 1.04 1.09 1.47 1.77 1.07 1.03
max 2.89 3.63 6.78 10.98 2.50 3.10 5.17 8.17
mean 2.17 2.71 2.14 2.24 1.89 2.33 2.12 2.15
st.dev. 0.30 0.41 0.79 0.90 0.25 0.33 0.77 0.81
Q5% 1.76 2.13 1.22 1.28 1.55 1.86 1.22 1.22
Q50% 2.11 2.59 1.94 2.02 1.85 2.24 1.93 1.95
Q95% 2.66 3.35 3.50 3.48 2.29 2.86 3.48 3.51


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 2590.00 2590.00 2590.00 2590.00 2590.00 2590.00 2590.00 2590.00
min 1.25 1.39 1.04 1.03 1.14 1.26 1.04 1.03
max 4.38 4.63 16.46 26.20 4.32 4.45 12.63 19.64
mean 2.03 2.38 2.41 2.47 1.85 2.13 2.39 2.42
st.dev. 0.49 0.62 1.02 1.22 0.45 0.52 0.96 1.07
Q5% 1.44 1.61 1.29 1.30 1.34 1.48 1.28 1.28
Q50% 1.91 2.23 2.20 2.24 1.74 2.00 2.19 2.20
Q95% 2.95 3.57 4.04 4.10 2.71 3.10 4.04 4.05