Duration Capital

Quantitative research for proactive duration management

Duration Capital publishes the QuAD Model, a quantitative framework for the direction of US interest rates, built on more than 70 years of market data and two decades of live research. The model’s directional outlook and implementation levels are available by subscription on identical terms to every subscriber.

The QuAD Model
20+ years
of Market Experience
70+ years
of Research Data
4 countries
Interest Rate Models
Our Approach

Uncorrelated alpha at the core

The QuAD framework is built to express active duration views while leaving a portfolio's systematic exposures undisturbed. The active decision lives entirely within the duration overlay, so the research can be applied at any active risk level without repositioning the underlying holdings.

01
Capital Efficiency
Beta is satisfied through passive instruments, freeing active risk budget for true alpha generation through the duration overlay.
02
Adaptive Risk Calibration
The same signal scales with the active duration band — from a conservative ±5-year expression to a high-active-risk one — without changing the underlying research.
03
Overlay Implementation
Active views are expressed as an overlay on top of existing holdings, so they can be applied without liquidating or repositioning the underlying portfolio.
The Model

The QuAD Framework

The Quantitative Active Duration framework has been crafted through an extensive process encompassing 80 years of market data and two decades of live market application. Fundamentally-based but executed systematically, it monitors five essential variables influencing interest rates and integrates them into a cohesive short-term directional outlook.

Economic
Are measures of the economy expanding or contracting?
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Inflation
Are price levels accelerating or decelerating?
Fed Policy
Is current policy restrictive or accommodative?
Valuation
Are valuations higher or lower than thresholds?
Technicals
Are bond market technicals negative or positive?