Risk and Return Input Data |
|
Output |
|
|
S/A DFC |
|
|
PCA |
|
---------------------------------------------- |
108 3 |
|
|
USD IRS |
|
|
IRS (Scaled to 6M Horizon) |
|
Five Best Rolldown + Carry Portfolios |
USD/S/1Y 0.2812 0.00994 -0.0935
0.1070 0.0768 0.00062 |
|
|
24-Jun-09 |
|
|
1996 to 2006 |
|
---------------------------------------------- |
USD/S/2Y 1.0806 0.01969 -0.3559
0.2894 0.1112 0.00240 |
JPY 21 Jul 06 |
|
0.997137 |
6 |
|
USD6M |
(4.7119) |
6.3420 |
7.8400 |
|
Tracking error coefficient = 0.150 |
USD/S/3Y 1.6133 0.02913 -0.7119
0.4405 0.0633 0.00520 |
0.997592 |
|
0.991495 |
12 |
|
USD1Y |
(9.4005) |
10.7607 |
7.7281 |
|
-------------------------------- |
USD/S/4Y 1.8898 0.03817 -1.1329
0.4954 -0.0426 0.00883 |
0.993643 |
|
0.981857 |
18 |
|
USD2Y |
(18.0719) |
14.6940 |
5.6477 |
|
Benchmark portfolio (USD/S/2Y, USD/S/10Y) |
USD/S/5Y 2.0119 0.04681 -1.5766
0.4544 -0.1587 0.01316 |
0.988253 |
|
0.968467 |
24 |
|
USD3Y |
(24.4426) |
15.1229 |
2.1723 |
|
Benchmark weights: (
-100, 100) |
USD/S/7Y 2.0603 0.06288 -2.5007
0.1734 -0.3143 0.02341 |
0.981673 |
|
0.952256 |
30 |
|
USD4Y |
(29.6777) |
12.9792 |
(1.1148) |
|
Benchmark alpha =
-3075 |
USD/S/10Y 2.0325 0.08423 -3.4584
-0.3326 -0.1751 0.04149 |
0.97447 |
|
0.934083 |
36 |
|
USD5Y |
(33.6816) |
9.7077 |
(3.3909) |
|
Benchmark volatility =
3078 |
USD/S/12Y 2.0178 0.09683 -4.0210
-0.5903 0.0116 0.05457 |
0.966768 |
|
0.914640 |
42 |
|
USD6Y |
(37.0061) |
6.2025 |
(4.5314) |
|
-------------------------------- |
USD/S/15Y 1.9940 0.11361 -4.6919
-0.9904 0.2801 0.07475 |
0.958093 |
|
0.894468 |
48 |
|
USD7Y |
(39.7700) |
2.7584 |
(4.9980) |
|
Portfolio alpha =
-817 |
USD/S/20Y 1.9563 0.13682 -5.6710
-1.4631 0.6674 0.10803 |
0.948601 |
|
0.873973 |
54 |
|
USD8Y |
(40.5093) |
0.2220 |
(4.1436) |
|
Subspace (USD/S/1Y, USD/S/10Y, USD/3Y/2Y) |
USD/S/25Y 1.9126 0.15529 -6.4368
-1.8195 0.9787 0.13946 |
0.938576 |
|
0.853459 |
60 |
|
USD9Y |
(40.8344) |
(1.9591) |
(3.1109) |
|
Portfolio is (
-109, 129, -36, ) |
USD/S/30Y 1.8561 0.17017 -7.0540
-2.1679 1.3150 0.16902 |
0.928032 |
|
0.833135 |
66 |
|
USD10Y |
(41.0602) |
(3.9489) |
(2.0794) |
|
-------------------------------- |
USD/6M/1Y 0.6893 0.00987 -0.2029
0.1679 0.0553 0.00061 |
0.91718 |
|
0.813123 |
72 |
|
USD12Y |
(41.5260) |
(6.0957) |
0.1193 |
|
Portfolio alpha =
-840 |
USD/6M/2Y 1.3865 0.01947 -0.5147
0.3357 0.0482 0.00235 |
0.905994 |
|
0.793504 |
78 |
|
USD15Y |
(41.2981) |
(8.7178) |
2.4655 |
|
Subspace (USD/S/1Y, USD/S/10Y, USD/3Y/3Y) |
USD/6M/3Y 1.7765 0.02871 -0.9063
0.4394 -0.0292 0.00506 |
0.894616 |
|
0.774325 |
84 |
|
USD20Y |
(41.4492) |
(10.6940) |
4.8782 |
|
Portfolio is (
-124, 143, -43, ) |
USD/6M/4Y 1.9651 0.03756 -1.3422
0.4468 -0.1406 0.00859 |
0.883168 |
|
0.755614 |
90 |
|
USD25Y |
(41.4504) |
(11.7166) |
6.3027 |
|
-------------------------------- |
USD/6M/5Y 2.0386 0.04599 -1.7982
0.3700 -0.2444 0.01278 |
0.871582 |
|
0.737383 |
96 |
|
USD30Y |
(41.4517) |
(12.7393) |
7.7272 |
|
Portfolio alpha =
-841 |
USD/6M/7Y 2.0577 0.06167 -2.6745
0.0664 -0.3438 0.02276 |
0.859991 |
|
0.719629 |
102 |
|
USD35Y |
(41.4508) |
(12.8696) |
8.6136 |
|
Subspace (USD/S/1Y, USD/S/10Y, USD/3Y/1Y) |
USD/6M/10Y 2.0291 0.08251 -3.6143
-0.4291 -0.1686 0.04040 |
0.848508 |
|
0.702342 |
108 |
|
USD40Y |
(41.4500) |
(13.0000) |
9.5000 |
|
Portfolio is (
-97, 119, -31, ) |
USD/6M/12Y 2.0138 0.09481 -4.1575
-0.6932 0.0175 0.05318 |
0.836971 |
|
0.685509 |
114 |
|
-------------------------------- |
USD/6M/15Y 1.9902 0.11120 -4.8292
-1.0788 0.2828 0.07294 |
0.825457 |
|
0.669110 |
120 |
|
Portfolio alpha =
-854 |
USD/6M/20Y 1.9524 0.13387 -5.8001
-1.5450 0.6647 0.10565 |
0.8138 |
|
0.653128 |
126 |
|
Subspace (USD/S/1Y, USD/S/10Y, USD/4Y/1Y) |
USD/6M/25Y 1.9075 0.15194 -6.5624
-1.9061 0.9821 0.13669 |
0.802047 |
|
0.637554 |
132 |
|
Portfolio is (
-128, 140, -40, ) |
USD/6M/30Y 1.8497 0.16652 -7.1779
-2.2411 1.3130 0.16608 |
0.790315 |
|
0.622380 |
138 |
|
-------------------------------- |
USD/1Y/1Y 0.8019 0.00975 -0.2642
0.1837 0.0347 0.00059 |
0.77854 |
|
0.607600 |
144 |
|
Portfolio alpha =
-905 |
USD/1Y/2Y 1.3390 0.01918 -0.6242
0.3371 -0.0131 0.00228 |
0.76685 |
|
0.593203 |
150 |
|
Subspace (USD/S/1Y, USD/S/10Y, USD/2Y/4Y) |
USD/1Y/3Y 1.6198 0.02823 -1.0509
0.3944 -0.1195 0.00491 |
0.755355 |
|
0.579181 |
156 |
|
Portfolio is (
-104, 131, -39, ) |
USD/1Y/4Y 1.7456 0.03687 -1.5018
0.3551 -0.2368 0.00832 |
0.74393 |
|
0.565525 |
162 |
|
-------------------------------- |
USD/1Y/5Y 1.7897 0.04510 -1.9700
0.2428 -0.3289 0.01239 |
0.732691 |
|
0.552226 |
168 |
|
0 |
USD/1Y/7Y 1.7935 0.06040 -2.8000
-0.0842 -0.3736 0.02208 |
0.721506 |
|
0.539273 |
174 |
|
0 |
USD/1Y/10Y 1.7690 0.08074 -3.7210
-0.5703 -0.1625 0.03924 |
0.710427 |
|
0.526659 |
180 |
|
0 |
USD/1Y/12Y 1.7544 0.09275 -4.2446
-0.8407 0.0235 0.05169 |
0.699507 |
|
0.514374 |
186 |
|
0 |
USD/1Y/15Y 1.7320 0.10875 -4.9156
-1.2122 0.2858 0.07098 |
0.68862 |
|
0.502409 |
192 |
|
0 |
USD/1Y/20Y 1.6947 0.13091 -5.8766
-1.6715 0.6625 0.10301 |
0.677836 |
|
0.490757 |
198 |
|
0 |
USD/1Y/25Y 1.6486 0.14858 -6.6337
-2.0367 0.9857 0.13357 |
0.667224 |
|
0.479409 |
204 |
|
0 |
USD/1Y/30Y 1.5891 0.16286 -7.2460
-2.3580 1.3111 0.16269 |
0.656676 |
|
0.468358 |
210 |
|
0 |
USD/2Y/1Y 0.5410 0.00943 -0.3621
0.1544 -0.0480 0.00056 |
0.646318 |
|
0.457596 |
216 |
|
0 |
USD/2Y/2Y 0.8265 0.01848 -0.7927
0.2129 -0.1550 0.00212 |
0.636044 |
|
0.447116 |
222 |
|
0 |
USD/2Y/3Y 0.9563 0.02711 -1.2484
0.1743 -0.2733 0.00456 |
0.625921 |
|
0.436910 |
228 |
|
0 |
USD/2Y/4Y 1.0035 0.03535 -1.7221
0.0622 -0.3666 0.00772 |
0.616009 |
|
0.426973 |
234 |
|
0 |
USD/2Y/5Y 1.0153 0.04318 -2.2004
-0.1065 -0.4340 0.01151 |
0.606207 |
|
0.417298 |
240 |
|
0 |
USD/2Y/7Y 1.0027 0.05776 -2.8906
-0.4365 -0.3641 0.02053 |
0.596576 |
|
0.407880 |
246 |
|
0 |
USD/2Y/10Y 0.9832 0.07714 -3.7874
-0.8866 -0.1115 0.03656 |
0.587172 |
|
0.398711 |
252 |
|
0 |
USD/2Y/12Y 0.9689 0.08859 -4.2684
-1.1685 0.0747 0.04822 |
0.577887 |
|
0.389788 |
258 |
|
0 |
USD/2Y/15Y 0.9473 0.10385 -4.9319
-1.5109 0.3314 0.06635 |
0.56882 |
|
0.381103 |
264 |
|
0 |
USD/2Y/20Y 0.9093 0.12501 -5.8647
-1.9536 0.6969 0.09660 |
0.559865 |
|
0.372653 |
270 |
|
0 |
USD/2Y/25Y 0.8601 0.14192 -6.6035
-2.3234 1.0297 0.12572 |
0.551068 |
|
0.364433 |
276 |
|
0 |
USD/2Y/30Y 0.7970 0.15564 -7.2023
-2.6149 1.3427 0.15379 |
0.542471 |
|
0.356437 |
282 |
|
0 |
USD/3Y/1Y 0.2867 0.00905 -0.4321
0.0588 -0.1073 0.00051 |
0.533976 |
|
0.348662 |
288 |
|
0 |
USD/3Y/2Y 0.4179 0.01768 -0.8902
0.0203 -0.2262 0.00195 |
0.525627 |
|
0.341101 |
294 |
|
0 |
USD/3Y/3Y 0.4661 0.02591 -1.3667
-0.0920 -0.3201 0.00418 |
0.517464 |
|
0.333752 |
300 |
|
0 |
USD/3Y/4Y 0.4786 0.03375 -1.8480
-0.2611 -0.3882 0.00709 |
0.509393 |
|
0.326610 |
306 |
|
0 |
USD/3Y/5Y 0.4752 0.04122 -2.2142
-0.4216 -0.3679 0.01056 |
0.501498 |
|
0.319670 |
312 |
|
0 |
USD/3Y/7Y 0.4597 0.05510 -2.8554
-0.7779 -0.2537 0.01886 |
0.493691 |
|
0.312929 |
318 |
|
0 |
USD/3Y/10Y 0.4409 0.07357 -3.6965
-1.1907 0.0295 0.03363 |
0.48601 |
|
0.306382 |
324 |
|
0 |
USD/3Y/12Y 0.4265 0.08448 -4.1600
-1.4617 0.2078 0.04440 |
0.478494 |
|
0.300025 |
330 |
|
0 |
USD/3Y/15Y 0.4050 0.09905 -4.8099
-1.7739 0.4587 0.06117 |
0.471056 |
|
0.293855 |
336 |
|
0 |
USD/3Y/20Y 0.3652 0.11926 -5.7060
-2.1967 0.8117 0.08928 |
0.463736 |
|
0.287867 |
342 |
|
0 |
USD/3Y/25Y 0.3127 0.13546 -6.4191
-2.5672 1.1518 0.11654 |
0.456569 |
|
0.282059 |
348 |
|
0 |
USD/3Y/30Y 0.2464 0.14865 -6.9975
-2.8264 1.4509 0.14311 |
0.449473 |
|
0.276425 |
354 |
|
0 |
USD/4Y/1Y 0.1315 0.00864 -0.4589
-0.0385 -0.1191 0.00047 |
0.442524 |
|
0.270963 |
360 |
|
0 |
USD/4Y/2Y 0.1800 0.01687 -0.9367
-0.1509 -0.2133 0.00178 |
0.435642 |
|
0.265668 |
366 |
|
0 |
USD/4Y/3Y 0.1927 0.02471 -1.4193
-0.3204 -0.2816 0.00381 |
0.428863 |
|
0.260538 |
372 |
|
0 |
USD/4Y/4Y 0.1894 0.03217 -1.7868
-0.4812 -0.2615 0.00646 |
0.422222 |
|
0.255569 |
378 |
|
0 |
USD/4Y/5Y 0.1812 0.03928 -2.1177
-0.6526 -0.2125 0.00963 |
0.415645 |
|
0.250757 |
384 |
|
0 |
USD/4Y/7Y 0.1687 0.05251 -2.7346
-0.9758 -0.0512 0.01721 |
0.409167 |
|
0.246099 |
390 |
|
0 |
USD/4Y/10Y 0.1480 0.07011 -3.5120
-1.3914 0.2276 0.03072 |
0.402821 |
|
0.241592 |
396 |
|
0 |
USD/4Y/12Y 0.1336 0.08052 -3.9661
-1.6332 0.4025 0.04058 |
0.396538 |
|
0.237232 |
402 |
|
0 |
USD/4Y/15Y 0.1119 0.09442 -4.5896
-1.9329 0.6430 0.05596 |
0.390383 |
|
0.233016 |
408 |
|
0 |
USD/4Y/20Y 0.0698 0.11374 -5.4456
-2.3341 0.9830 0.08184 |
0.384288 |
|
0.228941 |
414 |
|
0 |
USD/4Y/25Y 0.0143 0.12926 -6.1295
-2.7035 1.3292 0.10713 |
0.378287 |
|
0.225005 |
420 |
|
0 |
USD/4Y/30Y -0.0546 0.14195
-6.6844 -2.9292 1.6134
0.13203 |
0.372409 |
|
0.221204 |
426 |
|
0 |
USD/5Y/1Y 0.0486 0.00823 -0.4781
-0.1125 -0.0943 0.00042 |
0.36659 |
|
0.217535 |
432 |
|
0 |
USD/5Y/2Y 0.0613 0.01607 -0.9612
-0.2821 -0.1627 0.00161 |
0.36086 |
|
0.213996 |
438 |
|
0 |
USD/5Y/3Y 0.0580 0.02354 -1.3291
-0.4431 -0.1426 0.00346 |
0.355248 |
|
0.210584 |
444 |
|
0 |
USD/5Y/4Y 0.0498 0.03065 -1.6604
-0.6146 -0.0937 0.00587 |
0.349693 |
|
0.207296 |
450 |
|
0 |
USD/5Y/5Y 0.0426 0.03742 -1.9732
-0.8006 -0.0285 0.00875 |
0.344253 |
|
0.204130 |
456 |
|
0 |
USD/5Y/7Y 0.0309 0.05002 -2.5684
-1.0692 0.1595 0.01565 |
0.338868 |
|
0.201084 |
462 |
|
0 |
USD/5Y/10Y 0.0094 0.06680 -3.2831
-1.4868 0.4340 0.02795 |
0.333567 |
|
0.198154 |
468 |
|
0 |
USD/5Y/12Y -0.0050 0.07674
-3.7271 -1.7002 0.6055
0.03695 |
0.328376 |
|
0.195339 |
474 |
|
0 |
USD/5Y/15Y -0.0271 0.09001
-4.3238 -1.9870 0.8358
0.05100 |
0.323238 |
|
0.192637 |
480 |
|
0 |
USD/5Y/20Y -0.0716 0.10848
-5.1392 -2.3666 1.1628
0.07473 |
0.318181 |
|
|
0 |
USD/5Y/25Y -0.1300 0.12336
-5.7935 -2.7339 1.5142
0.09809 |
|
|
|
0 |
USD/5Y/30Y -0.2013 0.13559
-6.3239 -2.9264 1.7836
0.12134 |
|
|
|
0 |
USD/7Y/1Y -0.0033 0.00746
-0.3680 -0.1610 0.0201
0.00035 |
|
|
|
0 |
USD/7Y/2Y -0.0115 0.01457
-0.6993 -0.3326 0.0690
0.00133 |
|
|
|
0 |
USD/7Y/3Y -0.0187 0.02135
-1.0120 -0.5185 0.1342
0.00285 |
|
|
|
0 |
USD/7Y/4Y -0.0240 0.02780
-1.3166 -0.6559 0.2304
0.00483 |
|
|
|
0 |
USD/7Y/5Y -0.0304 0.03395
-1.6069 -0.7869 0.3221
0.00721 |
|
|
|
0 |
USD/7Y/7Y -0.0447 0.04540
-2.0937 -1.0715 0.5093
0.01290 |
|
|
|
0 |
USD/7Y/10Y -0.0663 0.06067
-2.7638 -1.4171 0.7678
0.02309 |
|
|
|
0 |
USD/7Y/12Y -0.0808 0.06972
-3.1689 -1.6118 0.9244
0.03054 |
|
|
|
0 |
USD/7Y/15Y -0.1046 0.08183
-3.7025 -1.8630 1.1359
0.04224 |
|
|
|
0 |
USD/7Y/20Y -0.1543 0.09874
-4.4408 -2.2330 1.4701
0.06214 |
|
|
|
0 |
USD/7Y/25Y -0.2179 0.11246
-5.0312 -2.5212 1.7827
0.08205 |
|
|
|
0 |
USD/7Y/30Y -0.2934 0.12383
-5.5085 -2.6953 2.0466
0.10232 |
|
|
|
0 |
USD/10Y/1Y -0.0053 0.00645
-0.3044 -0.1373 0.0962
0.00026 |
|
|
|
0 |
USD/10Y/2Y -0.0117 0.01260
-0.5945 -0.2682 0.1878
0.00099 |
|
|
|
0 |
USD/10Y/3Y -0.0187 0.01847
-0.8432 -0.4137 0.2835
0.00213 |
|
|
|
0 |
USD/10Y/4Y -0.0259 0.02405
-1.0805 -0.5524 0.3748
0.00362 |
|
|
|
0 |
USD/10Y/5Y -0.0331 0.02938
-1.3068 -0.6847 0.4618
0.00540 |
|
|
|
0 |
USD/10Y/7Y -0.0475 0.03932
-1.7486 -0.8970 0.6327
0.00968 |
|
|
|
0 |
USD/10Y/10Y -0.0695 0.05259
-2.3407 -1.1815 0.8617
0.01736 |
|
|
|
0 |
USD/10Y/12Y -0.0857 0.06048
-2.6824 -1.3405 0.9991
0.02301 |
|
|
|
0 |
USD/10Y/15Y -0.1137 0.07106
-3.1451 -1.5556 1.1851
0.03193 |
|
|
|
0 |
USD/10Y/20Y -0.1715 0.08595
-3.7827 -1.9146 1.5309
0.04733 |
|
|
|
0 |
USD/10Y/25Y -0.2417 0.09817
-4.2897 -2.0954 1.7918
0.06319 |
|
|
|
0 |
USD/10Y/30Y -0.3233 0.10848
-4.6959 -2.2445 2.0498
0.07990 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|