| 10% |
1 |
GP(RQ+Brownian/RQ×Brownian) |
4.70/3.75 |
0.04/0.05 |
1.17/2.08 |
0.14/0.13 |
0.11/0.11 |
0.04/0.05 |
1.16/2.06 |
0.14/0.14 |
0.10/0.11 |
2.33/1.88 |
0.36/0.29 |
| GP(RQ+Exp/RQ×Exp) |
4.76/4.96 |
0.04/0.04 |
1.29/1.15 |
0.14/0.13 |
0.11/0.11 |
0.04/0.04 |
1.29/1.14 |
0.14/0.14 |
0.11/0.11 |
2.39/2.54 |
0.37/0.40 |
| GP(RQ+Periodic/RQ×Periodic) |
4.54/4.57 |
0.04/0.04 |
1.18/1.19 |
0.14/0.14 |
0.11/0.11 |
0.04/0.04 |
1.17/1.18 |
0.14/0.14 |
0.10/0.11 |
2.25/2.19 |
0.35/0.34 |
| GP(RQ+RBF/RQ×RBF) |
4.63/4.55 |
0.04/0.04 |
1.14/1.25 |
0.14/0.14 |
0.10/0.11 |
0.04/0.04 |
1.13/1.25 |
0.14/0.14 |
0.10/0.10 |
2.36/2.23 |
0.37/0.35 |
|
| 3 |
GP(RQ+Brownian/RQ×Brownian) |
5.03/4.53 |
0.07/0.08 |
1.70/2.29 |
0.12/0.12 |
0.13/0.13 |
0.07/0.08 |
1.70/2.30 |
0.13/0.13 |
0.13/0.13 |
2.43/2.17 |
0.38/0.34 |
| GP(RQ+Exp/RQ×Exp) |
5.06/5.20 |
0.07/0.07 |
1.95/1.59 |
0.12/0.12 |
0.13/0.13 |
0.07/0.07 |
1.97/1.60 |
0.13/0.13 |
0.13/0.13 |
2.47/2.51 |
0.39/0.40 |
| GP(RQ+Periodic/RQ×Periodic) |
4.84/4.91 |
0.07/0.07 |
2.00/1.79 |
0.12/0.12 |
0.13/0.13 |
0.07/0.07 |
2.03/1.80 |
0.12/0.13 |
0.13/0.13 |
2.41/2.36 |
0.38/0.37 |
| GP(RQ+RBF/RQ×RBF) |
4.93/4.95 |
0.07/0.07 |
1.78/1.90 |
0.12/0.12 |
0.13/0.13 |
0.07/0.07 |
1.80/1.91 |
0.12/0.13 |
0.13/0.13 |
2.44/2.39 |
0.38/0.37 |
|
| 5 |
GP(RQ+Brownian/RQ×Brownian) |
5.14/4.81 |
0.09/0.11 |
1.92/2.29 |
0.14/0.14 |
0.16/0.16 |
0.09/0.11 |
1.93/2.29 |
0.15/0.15 |
0.15/0.15 |
2.32/2.25 |
0.36/0.35 |
| GP(RQ+Exp/RQ×Exp) |
5.15/5.27 |
0.09/0.10 |
2.27/1.73 |
0.14/0.14 |
0.16/0.16 |
0.09/0.10 |
2.29/1.73 |
0.15/0.15 |
0.15/0.15 |
2.34/2.37 |
0.37/0.37 |
| GP(RQ+Periodic/RQ×Periodic) |
4.95/5.01 |
0.09/0.09 |
2.53/2.08 |
0.15/0.15 |
0.16/0.16 |
0.09/0.09 |
2.57/2.10 |
0.15/0.15 |
0.15/0.15 |
2.33/2.30 |
0.36/0.36 |
| GP(RQ+RBF/RQ×RBF) |
5.03/5.08 |
0.09/0.09 |
2.17/2.18 |
0.15/0.14 |
0.16/0.16 |
0.09/0.09 |
2.19/2.20 |
0.15/0.15 |
0.15/0.15 |
2.34/2.30 |
0.37/0.36 |
|
| 7 |
GP(RQ+Brownian/RQ×Brownian) |
5.25/5.03 |
0.12/0.12 |
2.11/2.30 |
0.16/0.16 |
0.13/0.13 |
0.12/0.12 |
2.10/2.30 |
0.17/0.17 |
0.12/0.13 |
2.27/2.25 |
0.36/0.35 |
| GP(RQ+Exp/RQ×Exp) |
5.25/5.36 |
0.11/0.12 |
2.55/1.85 |
0.16/0.16 |
0.13/0.13 |
0.11/0.12 |
2.55/1.84 |
0.17/0.17 |
0.13/0.13 |
2.30/2.31 |
0.36/0.36 |
| GP(RQ+Periodic/RQ×Periodic) |
5.07/5.12 |
0.11/0.11 |
2.93/2.32 |
0.16/0.16 |
0.13/0.13 |
0.11/0.11 |
2.94/2.32 |
0.17/0.17 |
0.12/0.12 |
2.28/2.26 |
0.36/0.35 |
| GP(RQ+RBF/RQ×RBF) |
5.15/5.20 |
0.11/0.11 |
2.47/2.42 |
0.16/0.16 |
0.13/0.13 |
0.11/0.11 |
2.47/2.43 |
0.17/0.17 |
0.12/0.12 |
2.29/2.25 |
0.36/0.35 |
|
| Variable Duration |
GP(RQ+Brownian/RQ×Brownian) |
5.10/4.74 |
0.10/0.11 |
1.89/2.26 |
0.13/0.12 |
0.17/0.17 |
0.10/0.11 |
1.94/2.31 |
0.13/0.13 |
0.16/0.17 |
2.30/2.15 |
0.36/0.34 |
| GP(RQ+Exp/RQ×Exp) |
5.12/5.24 |
0.10/0.10 |
2.25/1.70 |
0.13/0.12 |
0.17/0.17 |
0.10/0.10 |
2.31/1.75 |
0.13/0.13 |
0.17/0.17 |
2.33/2.37 |
0.37/0.37 |
| GP(RQ+Periodic/RQ×Periodic) |
4.91/4.97 |
0.09/0.10 |
2.51/2.07 |
0.13/0.13 |
0.17/0.19 |
0.09/0.10 |
2.58/2.14 |
0.13/0.13 |
0.17/0.18 |
2.28/2.25 |
0.36/0.35 |
| GP(RQ+RBF/RQ×RBF) |
5.00/5.03 |
0.09/0.10 |
2.16/2.17 |
0.13/0.13 |
0.17/0.17 |
0.09/0.10 |
2.22/2.23 |
0.13/0.13 |
0.17/0.16 |
2.31/2.25 |
0.36/0.35 |
| 20% |
1 |
GP(RQ+Brownian/RQ×Brownian) |
9.69/7.63 |
0.06/0.07 |
2.45/4.32 |
0.24/0.23 |
0.24/0.25 |
0.06/0.07 |
2.44/4.29 |
0.25/0.24 |
0.23/0.24 |
4.57/3.67 |
0.71/0.57 |
| GP(RQ+Exp/RQ×Exp) |
9.81/10.21 |
0.06/0.06 |
2.68/2.33 |
0.24/0.23 |
0.24/0.25 |
0.06/0.06 |
2.68/2.32 |
0.24/0.24 |
0.23/0.24 |
4.76/4.96 |
0.74/0.78 |
| GP(RQ+Periodic/RQ×Periodic) |
9.39/9.47 |
0.06/0.06 |
2.49/2.49 |
0.25/0.24 |
0.23/0.24 |
0.06/0.06 |
2.50/2.49 |
0.25/0.24 |
0.23/0.23 |
4.50/4.43 |
0.70/0.69 |
| GP(RQ+RBF/RQ×RBF) |
9.39/9.34 |
0.06/0.06 |
2.42/2.68 |
0.24/0.24 |
0.23/0.24 |
0.06/0.06 |
2.42/2.69 |
0.25/0.24 |
0.23/0.23 |
4.59/4.23 |
0.72/0.66 |
|
| 3 |
GP(RQ+Brownian/RQ×Brownian) |
10.33/9.24 |
0.10/0.12 |
3.38/4.63 |
0.29/0.29 |
0.28/0.28 |
0.10/0.12 |
3.38/4.62 |
0.30/0.30 |
0.27/0.27 |
4.81/4.27 |
0.75/0.67 |
| GP(RQ+Exp/RQ×Exp) |
10.33/10.65 |
0.10/0.11 |
3.90/3.06 |
0.29/0.29 |
0.28/0.28 |
0.10/0.11 |
3.92/3.05 |
0.30/0.30 |
0.27/0.27 |
4.83/4.92 |
0.76/0.77 |
| GP(RQ+Periodic/RQ×Periodic) |
9.91/10.11 |
0.10/0.10 |
4.13/3.61 |
0.29/0.29 |
0.28/0.28 |
0.10/0.10 |
4.17/3.63 |
0.30/0.30 |
0.27/0.27 |
4.74/4.68 |
0.74/0.73 |
| GP(RQ+RBF/RQ×RBF) |
9.98/10.17 |
0.10/0.10 |
3.75/3.86 |
0.29/0.30 |
0.28/0.28 |
0.10/0.10 |
3.77/3.88 |
0.30/0.31 |
0.27/0.27 |
4.75/4.73 |
0.74/0.74 |
|
| 5 |
GP(RQ+Brownian/RQ×Brownian) |
10.67/9.96 |
0.14/0.15 |
3.77/4.54 |
0.34/0.34 |
0.32/0.32 |
0.14/0.15 |
3.79/4.55 |
0.36/0.36 |
0.31/0.31 |
4.65/4.46 |
0.73/0.70 |
| GP(RQ+Exp/RQ×Exp) |
10.65/10.93 |
0.14/0.15 |
4.55/3.22 |
0.34/0.34 |
0.32/0.32 |
0.14/0.15 |
4.58/3.22 |
0.36/0.36 |
0.31/0.31 |
4.66/4.71 |
0.73/0.74 |
| GP(RQ+Periodic/RQ×Periodic) |
10.26/10.44 |
0.13/0.14 |
5.19/4.17 |
0.35/0.34 |
0.32/0.32 |
0.13/0.14 |
5.25/4.21 |
0.36/0.36 |
0.31/0.31 |
4.63/4.57 |
0.72/0.72 |
| GP(RQ+RBF/RQ×RBF) |
10.34/10.53 |
0.13/0.14 |
4.53/4.42 |
0.35/0.34 |
0.31/0.32 |
0.13/0.14 |
4.57/4.46 |
0.36/0.36 |
0.30/0.31 |
4.64/4.58 |
0.73/0.72 |
|
| 7 |
GP(RQ+Brownian/RQ×Brownian) |
10.76/10.28 |
0.17/0.18 |
4.00/4.38 |
0.32/0.32 |
0.32/0.32 |
0.17/0.18 |
4.02/4.41 |
0.33/0.33 |
0.31/0.31 |
4.48/4.41 |
0.70/0.69 |
| GP(RQ+Exp/RQ×Exp) |
10.73/10.97 |
0.16/0.18 |
5.02/3.25 |
0.32/0.32 |
0.32/0.32 |
0.16/0.18 |
5.07/3.26 |
0.33/0.33 |
0.31/0.31 |
4.50/4.54 |
0.71/0.71 |
| GP(RQ+Periodic/RQ×Periodic) |
10.36/10.52 |
0.16/0.16 |
5.94/4.53 |
0.32/0.32 |
0.32/0.33 |
0.16/0.16 |
6.01/4.58 |
0.33/0.34 |
0.31/0.32 |
4.48/4.42 |
0.70/0.69 |
| GP(RQ+RBF/RQ×RBF) |
10.48/10.64 |
0.15/0.16 |
5.09/4.78 |
0.32/0.32 |
0.32/0.32 |
0.15/0.16 |
5.15/4.83 |
0.33/0.34 |
0.31/0.31 |
4.50/4.44 |
0.71/0.70 |
|
| Variable Duration |
GP(RQ+Brownian/RQ×Brownian) |
10.64/9.82 |
0.14/0.16 |
3.72/4.50 |
0.30/0.30 |
0.36/0.37 |
0.14/0.16 |
3.79/4.56 |
0.31/0.31 |
0.35/0.35 |
4.72/4.36 |
0.74/0.68 |
| GP(RQ+Exp/RQ×Exp) |
10.62/10.92 |
0.14/0.15 |
4.48/3.16 |
0.30/0.30 |
0.36/0.37 |
0.14/0.15 |
4.59/3.22 |
0.31/0.31 |
0.35/0.35 |
4.75/4.83 |
0.75/0.76 |
| GP(RQ+Periodic/RQ×Periodic) |
10.22/10.39 |
0.14/0.14 |
5.14/4.12 |
0.31/0.30 |
0.36/0.36 |
0.14/0.14 |
5.27/4.22 |
0.32/0.31 |
0.35/0.35 |
4.66/4.61 |
0.73/0.72 |
| GP(RQ+RBF/RQ×RBF) |
10.32/10.47 |
0.14/0.14 |
4.51/4.36 |
0.31/0.30 |
0.36/0.36 |
0.14/0.14 |
4.63/4.46 |
0.32/0.31 |
0.35/0.35 |
4.70/4.63 |
0.74/0.72 |
| 30% |
1 |
GP(RQ+Brownian/RQ×Brownian) |
15.10/11.84 |
0.08/0.10 |
3.96/6.76 |
0.41/0.41 |
0.36/0.37 |
0.08/0.10 |
3.94/6.72 |
0.42/0.42 |
0.35/0.36 |
6.58/5.32 |
1.02/0.83 |
| GP(RQ+Exp/RQ×Exp) |
15.50/15.98 |
0.08/0.09 |
4.54/3.62 |
0.41/0.41 |
0.36/0.37 |
0.08/0.09 |
4.54/3.60 |
0.42/0.42 |
0.35/0.36 |
7.14/7.39 |
1.11/1.15 |
| GP(RQ+Periodic/RQ×Periodic) |
14.78/14.75 |
0.08/0.08 |
4.08/4.02 |
0.42/0.41 |
0.35/0.36 |
0.08/0.08 |
4.10/4.02 |
0.43/0.42 |
0.34/0.35 |
6.80/6.57 |
1.06/1.02 |
| GP(RQ+RBF/RQ×RBF) |
14.95/14.65 |
0.08/0.08 |
3.91/4.31 |
0.42/0.41 |
0.35/0.36 |
0.08/0.08 |
3.92/4.32 |
0.43/0.42 |
0.34/0.35 |
6.84/6.37 |
1.06/0.99 |
|
| 3 |
GP(RQ+Brownian/RQ×Brownian) |
16.10/14.34 |
0.13/0.15 |
5.31/7.10 |
0.49/0.49 |
0.48/0.49 |
0.13/0.15 |
5.34/7.11 |
0.50/0.50 |
0.46/0.47 |
7.15/6.35 |
1.12/1.00 |
| GP(RQ+Exp/RQ×Exp) |
16.10/16.60 |
0.13/0.14 |
6.10/4.60 |
0.49/0.49 |
0.48/0.49 |
0.13/0.14 |
6.16/4.61 |
0.50/0.50 |
0.46/0.47 |
7.22/7.35 |
1.13/1.15 |
| GP(RQ+Periodic/RQ×Periodic) |
15.46/15.74 |
0.13/0.13 |
6.56/5.66 |
0.49/0.48 |
0.48/0.49 |
0.13/0.13 |
6.66/5.71 |
0.50/0.50 |
0.46/0.47 |
7.11/6.98 |
1.11/1.09 |
| GP(RQ+RBF/RQ×RBF) |
15.57/15.77 |
0.13/0.13 |
5.90/6.11 |
0.49/0.49 |
0.48/0.48 |
0.13/0.13 |
5.97/6.17 |
0.50/0.50 |
0.46/0.46 |
7.13/6.94 |
1.12/1.09 |
|
| 5 |
GP(RQ+Brownian/RQ×Brownian) |
16.55/15.40 |
0.18/0.20 |
5.81/6.89 |
0.53/0.52 |
0.48/0.48 |
0.18/0.20 |
5.86/6.92 |
0.55/0.54 |
0.46/0.46 |
7.05/6.72 |
1.10/1.05 |
| GP(RQ+Exp/RQ×Exp) |
16.52/16.93 |
0.18/0.19 |
7.04/4.72 |
0.53/0.52 |
0.48/0.48 |
0.18/0.19 |
7.12/4.77 |
0.54/0.54 |
0.46/0.46 |
7.06/7.12 |
1.11/1.12 |
| GP(RQ+Periodic/RQ×Periodic) |
15.89/16.19 |
0.17/0.18 |
8.10/6.43 |
0.53/0.53 |
0.48/0.47 |
0.17/0.18 |
8.21/6.51 |
0.55/0.55 |
0.46/0.46 |
7.01/6.91 |
1.10/1.08 |
| GP(RQ+RBF/RQ×RBF) |
15.93/16.33 |
0.17/0.18 |
7.22/6.84 |
0.52/0.53 |
0.48/0.48 |
0.17/0.18 |
7.31/6.91 |
0.54/0.55 |
0.46/0.46 |
7.04/6.93 |
1.10/1.09 |
|
| 7 |
GP(RQ+Brownian/RQ×Brownian) |
16.81/16.02 |
0.22/0.23 |
6.15/6.71 |
0.55/0.55 |
0.56/0.56 |
0.22/0.23 |
6.22/6.76 |
0.58/0.58 |
0.53/0.54 |
6.81/6.69 |
1.07/1.05 |
| GP(RQ+Exp/RQ×Exp) |
16.76/17.13 |
0.21/0.23 |
7.61/4.76 |
0.55/0.55 |
0.56/0.56 |
0.21/0.23 |
7.71/4.80 |
0.58/0.58 |
0.53/0.54 |
6.84/6.89 |
1.07/1.08 |
| GP(RQ+Periodic/RQ×Periodic) |
16.16/16.46 |
0.20/0.21 |
9.28/7.00 |
0.56/0.55 |
0.55/0.56 |
0.20/0.21 |
9.40/7.09 |
0.58/0.57 |
0.53/0.53 |
6.80/6.73 |
1.07/1.05 |
| GP(RQ+RBF/RQ×RBF) |
16.25/16.63 |
0.20/0.21 |
8.13/7.40 |
0.56/0.55 |
0.55/0.56 |
0.20/0.21 |
8.24/7.49 |
0.58/0.57 |
0.53/0.53 |
6.82/6.75 |
1.07/1.06 |
|
| Variable Duration |
GP(RQ+Brownian/RQ×Brownian) |
16.43/15.06 |
0.18/0.20 |
5.70/6.90 |
0.48/0.48 |
0.63/0.63 |
0.18/0.20 |
5.85/7.02 |
0.50/0.50 |
0.60/0.60 |
7.05/6.53 |
1.10/1.02 |
| GP(RQ+Exp/RQ×Exp) |
16.43/16.86 |
0.18/0.19 |
6.85/4.63 |
0.48/0.48 |
0.63/0.63 |
0.18/0.19 |
7.03/4.75 |
0.50/0.50 |
0.60/0.60 |
7.11/7.24 |
1.12/1.14 |
| GP(RQ+Periodic/RQ×Periodic) |
15.78/16.08 |
0.18/0.18 |
7.84/6.30 |
0.49/0.48 |
0.62/0.63 |
0.18/0.18 |
8.06/6.48 |
0.50/0.50 |
0.60/0.60 |
6.99/6.92 |
1.10/1.08 |
| GP(RQ+RBF/RQ×RBF) |
15.89/16.15 |
0.18/0.18 |
6.91/6.69 |
0.49/0.48 |
0.62/0.62 |
0.17/0.18 |
7.11/6.87 |
0.51/0.50 |
0.60/0.60 |
7.03/6.88 |
1.10/1.08 |