| 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 | ||||||||||