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.
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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