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.

View Research The QuAD Model
20+ years
of Trading 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 liquid sovereign bond futures, 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 executed through liquid sovereign bond futures.
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
Tax Advantaged Execution
Futures positions executed through liquid sovereign bond futures qualify for tax advantaged capital gain treatment, improving net-of-tax outcomes.
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 trading. 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?
$
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?
Research

QuAD Subscription

The research behind our strategies is available as a subscription. Open enrollment at a posted price, on identical terms for every subscriber.

Tier One
QuAD
The QuAD Model's directional outlook for US interest rates, built from the model's five variable composites.
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 Tier Two
QuAD Premium
Everything in QuAD, plus optimized stop-loss and profit-taking levels and a trade implementation matrix by active risk parameter.
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