spb/wp47_uqo

1\begin{table}[tp]2\centering3\footnotesize4\begin{threeparttable}5\caption{Mimicking-portfolio weights: in-sample OLS estimates, 2016--2026, and quarterly out-of-sample estimates, 2011Q1--2026Q4}6\label{tab:weights}7\setlength{\tabcolsep}{3pt}8\begin{tabular}{lrrrrrrr}9\toprule10Root & \multicolumn{3}{c}{In sample, 2016--2026, six roots} & \multicolumn{3}{c}{Quarterly out-of-sample weights: mean (SD)} & Quarters \\ \cmidrule(lr){2-4}\cmidrule(lr){5-7} & Level & Slope & Curvature & Level & Slope & Curvature & included \\11\midrule12ZT & 0.138 & $-$0.286 & $-$1.064 & 0.107 (0.058) & $-$0.205 (0.138) & $-$0.748 (0.391) & 64/64 \\13ZF & 0.049 & 0.046 & $-$0.346 & 0.044 (0.024) & 0.042 (0.060) & $-$0.478 (0.203) & 64/64 \\14ZN & $-$0.047 & 0.081 & $-$0.199 & $-$0.042 (0.021) & 0.060 (0.027) & $-$0.092 (0.169) & 64/64 \\15TN & $-$0.023 & 0.005 & 0.025 & $-$0.027 (0.019) & 0.014 (0.021) & 0.020 (0.032) & 33/64 \\16US & $-$0.031 & 0.026 & 0.147 & $-$0.045 (0.026) & 0.037 (0.019) & 0.140 (0.079) & 64/64 \\17UB & $-$0.030 & 0.023 & 0.062 & $-$0.028 (0.007) & 0.021 (0.006) & 0.070 (0.030) & 57/64 \\18Constant (pp) & 0.0007 & 0.0007 & $-$0.0044 & & & & \\19$R^2$ (in sample) & 0.95 & 0.77 & 0.76 & & & & \\20\bottomrule21\end{tabular}22\begin{tablenotes}[flushleft]\footnotesize23\item \textit{Notes:} Appendix table. Weights are OLS coefficients of the daily Nelson--Siegel factor change (percentage points) on the yield-day log return of each futures root (percent), so entries are in percentage points per percent. Left panel: one regression on all 2,707 yield days from 2016 with the six roots, with the constant (four decimals) and the $R^2$ in the last rows; no standard errors are reported. Right panel: mean and, in parentheses, standard deviation across quarters of the 64 rolling three-year estimates (2011Q1--2026Q4), over the quarters in which the root met the coverage rule of Table~\ref{tab:fidelity} (``Quarters included''). Root sets used out of sample: {ZT, ZF, ZN, TN, US, UB} in 33 quarters; {ZT, ZF, ZN, US, UB} in 24 quarters; {ZT, ZF, ZN, US} in 7 quarters; five roots from 2012Q4, six roots from 2018Q4.24\end{tablenotes}25\end{threeparttable}26\end{table}27