Duration Capital

Alpha generation through proactive duration management

Duration Capital provides a comprehensive suite of customised investment solutions, delivering independently audited alpha across active fixed income, portable alpha, absolute return, and multi-asset strategies for institutional investors, RIAs, and ETF partners.

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20+ years
of Trading Experience
70+ years
of Research Data
4 countries
Interest Rate Models
12 year
Track Record
Our Approach

Uncorrelated alpha at the core

Our futures overlay strategies are designed to generate uncorrelated alpha while preserving a portfolio's systematic exposures. Active management is concentrated entirely within a liquid futures portfolio, calibrated to each client's specific objectives.

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
Active risk is calibrated to each client's objectives — the same strategy scales from a conservative overlay to a hedge fund-like vehicle depending on mandate.
03
Tax Advantaged Execution
Futures positions executed through liquid sovereign bond futures qualify for tax advantaged capital gain treatment, improving net-of-tax outcomes.
Strategies

A full suite of solutions

From conservative notional overlays to absolute return vehicles, each strategy is built on the same QuAD Model foundation — adapted to your mandate and risk parameters.

Overlay
Notional Overlay Strategies
Conservative, Moderate, and Aggressive variants. Applied on top of existing portfolios to add an independent, uncorrelated return stream with minimal operational disruption.
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 Active Fixed Income
Bond Plus Strategies
Treasury, Mortgage, Municipal, Corporate, and High Yield variants. Core-plus fixed income delivered by overlaying active duration management on a passive bond portfolio.
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 Multi-Asset
QUAD Macro
A cross-asset tail risk strategy applying the QuAD Model framework across asset classes. Designed to provide portfolio-level protection and opportunistic alpha.
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 Absolute Return
US Rates SMA
A pure-alpha vehicle managed against a cash benchmark at higher volatility. Behaves as a hedge fund-like instrument with full transparency and daily liquidity.
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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?