--- title: Firms layout: default ---

Model risk of risk models

  1. Home
  2. Model risk of risk models
  3. Firms
  4. 41012310 / HANCOCK JOHN INCOME SECS TR

41012310 / HANCOCK JOHN INCOME SECS TR

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 97.00 97.00 88.00 88.00 97.00 97.00 88.00 88.00
min 1.34 1.53 1.69 1.75 1.30 1.40 1.63 1.68
max 2.31 2.64 4.32 4.47 2.23 2.43 4.16 4.29
mean 1.69 1.92 2.73 2.83 1.63 1.77 2.64 2.72
st.dev. 0.28 0.31 0.67 0.69 0.26 0.29 0.65 0.67
Q5% 1.36 1.55 1.76 1.82 1.32 1.43 1.69 1.75
Q50% 1.58 1.81 2.63 2.72 1.54 1.66 2.53 2.61
Q95% 2.15 2.46 3.99 4.13 2.08 2.26 3.85 3.97

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 1.11 1.13 1.09 1.14 1.11 1.10 1.06 1.09
max 2.71 2.80 4.81 4.99 2.73 2.70 4.81 4.81
mean 1.70 1.71 2.43 2.46 1.76 1.70 2.42 2.43
st.dev. 0.40 0.42 0.87 0.89 0.44 0.40 0.86 0.87
Q5% 1.21 1.21 1.47 1.48 1.22 1.21 1.45 1.46
Q50% 1.61 1.61 2.18 2.18 1.66 1.61 2.19 2.18
Q95% 2.34 2.45 4.51 4.53 2.44 2.36 4.50 4.51

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 1.17 1.24 1.09 1.13 1.13 1.18 1.06 1.09
max 2.04 2.20 3.86 3.93 1.94 2.08 3.86 3.86
mean 1.38 1.46 1.96 1.98 1.34 1.40 1.94 1.96
st.dev. 0.15 0.15 0.48 0.49 0.16 0.15 0.47 0.48
Q5% 1.20 1.28 1.33 1.35 1.15 1.22 1.27 1.33
Q50% 1.35 1.43 1.95 1.96 1.30 1.37 1.95 1.95
Q95% 1.70 1.76 2.87 2.97 1.68 1.73 2.81 2.87

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 1.29 1.40 1.51 1.83 1.45 1.32 1.36 1.44
max 3.50 3.31 3.96 3.99 3.69 3.26 4.09 3.97
mean 2.02 1.99 2.38 2.48 2.24 1.95 2.44 2.37
st.dev. 0.56 0.48 0.55 0.51 0.53 0.47 0.62 0.56
Q5% 1.36 1.48 1.70 1.86 1.51 1.35 1.52 1.63
Q50% 1.77 1.84 2.28 2.33 2.06 1.76 2.38 2.28
Q95% 3.25 3.16 3.58 3.62 3.38 3.02 3.73 3.58

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 1.39 1.30 1.53 1.18 1.28 1.07 1.29
max 2.37 2.50 2.97 3.04 2.24 2.30 2.99 2.98
mean 1.57 1.71 1.90 2.16 1.47 1.56 1.69 1.90
st.dev. 0.24 0.21 0.36 0.44 0.21 0.20 0.34 0.36
Q5% 1.34 1.48 1.38 1.56 1.25 1.37 1.21 1.38
Q50% 1.47 1.66 1.88 2.13 1.40 1.50 1.65 1.86
Q95% 2.11 2.15 2.48 2.83 1.89 1.99 2.26 2.47

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 1.11 1.16 1.39 1.42 1.16 1.13 1.34 1.39
max 2.03 2.14 2.37 2.48 1.95 2.05 2.29 2.39
mean 1.48 1.47 1.82 1.86 1.55 1.49 1.81 1.83
st.dev. 0.17 0.18 0.19 0.19 0.20 0.17 0.19 0.19
Q5% 1.19 1.24 1.57 1.57 1.18 1.20 1.53 1.57
Q50% 1.47 1.46 1.82 1.87 1.58 1.48 1.81 1.83
Q95% 1.74 1.83 2.11 2.13 1.80 1.76 2.10 2.11

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 1.39 1.60 1.20 1.21 1.26 1.45 1.20 1.20
max 2.70 3.12 3.81 3.98 2.45 2.81 3.74 3.85
mean 1.71 2.03 1.87 1.95 1.55 1.80 1.84 1.89
st.dev. 0.20 0.29 0.48 0.48 0.18 0.23 0.48 0.48
Q5% 1.50 1.73 1.33 1.41 1.36 1.56 1.29 1.35
Q50% 1.66 1.96 1.73 1.82 1.50 1.73 1.70 1.75
Q95% 2.11 2.61 2.93 2.93 1.92 2.25 2.93 2.92

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 1.33 1.51 1.25 1.35 1.22 1.37 1.12 1.26
max 9.00 10.30 15.81 22.62 8.91 9.34 12.75 17.94
mean 2.36 2.76 2.59 2.77 2.17 2.43 2.51 2.63
st.dev. 1.27 1.45 1.33 1.70 1.24 1.33 1.20 1.44
Q5% 1.44 1.60 1.35 1.45 1.29 1.46 1.29 1.36
Q50% 1.85 2.39 2.42 2.51 1.69 1.91 2.34 2.45
Q95% 5.09 5.87 4.54 4.80 4.66 5.29 4.53 4.64

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 8980.00 8980.00 8971.00 8971.00 8980.00 8980.00 8971.00 8971.00
min 1.03 1.02 1.05 1.05 1.01 1.03 1.04 1.05
max 9.00 10.30 15.81 22.62 8.91 9.34 12.75 17.94
mean 1.68 1.91 2.07 2.25 1.54 1.71 1.97 2.09
st.dev. 0.67 0.97 0.74 0.93 0.46 0.69 0.69 0.79
Q5% 1.18 1.21 1.28 1.33 1.15 1.17 1.25 1.28
Q50% 1.49 1.63 1.88 1.99 1.42 1.51 1.80 1.89
Q95% 3.11 4.08 3.46 3.97 2.30 3.19 3.29 3.56