Construction

The Base portfolio holds the selected tickers at the stated weights, rebalanced monthly. Each month's return is the weighted average of the tickers' total returns.

The With Overlay portfolio holds the same base and adds a notional duration overlay in sovereign bond futures. The overlay return series is expressed per ±1 year of duration and scaled linearly to the selected band:

R_overlay = R_base + Band × R_±1yr − Fee / 12

Futures require margin rather than capital, so the base allocation is undisturbed and no financing spread is modeled. The management fee defaults to zero and may be set in the Duration Overlay panel.

Data Sources

Verified QuAD Signals (2014–): Timertrac-verified QuAD trade signals from January 2014 to April 2022, followed by Duration Capital’s proprietary futures implementation of the signals from May 2022 to present.

Proprietary Implementation (2022–): Duration Capital’s own futures trades implementing the QuAD signal, May 2022 to present, proprietary capital only.

Ticker returns are monthly total returns. Bundled series run through ; live series use dividend-adjusted month-end prices from a public market-data provider (Tiingo). The risk-free rate is the SPDR 1–3 Month T-Bill ETF (BIL).

Statistics are computed over the common period shared by every selected ticker and the chosen signal series.

Important Information

This tool is published by Duration Capital LLC as research. Duration Capital LLC is not currently registered as a commodity trading advisor and does not currently offer managed accounts. The overlay series reflect published research signals and the firm’s proprietary trading; they are not the performance of any client account and are not an offer of advisory services.

This material is being provided by Duration Capital LLC for informational and illustrative purposes only. Combined results are hypothetical, are shown gross of fees unless a fee is entered, and do not represent an actual account. Hypothetical results are prepared with the benefit of hindsight and do not reflect the impact of financial risk on actual trading.

Nothing herein constitutes an offer or solicitation, or a recommendation of any security or strategy. Past performance is not indicative of future results.

Important Disclosures on Hypothetical Performance

The portfolio returns set forth herein represent a series of user-weighted portfolios comprised of historical fund returns combined with a notional duration overlay; any such portfolio returns should be considered hypothetical and are for illustrative purposes. You are cautioned that hypothetical performance results have many inherent limitations, some of which are described herein.

No representation is being made that any account will or is likely to achieve profits similar to those shown or will not be able to avoid substantial losses. In fact, frequently there are sharp differences between hypothetical performance results and actual performance an investor's portfolio achieves.

The hypothetical portfolio in this presentation assumes full investment, whereas an actual investor's portfolio would most likely have a positive cash position. Had the hypothetical portfolio included a cash position, the information would have been different and generally may have been lower.

Overlay returns prior to May 2022 are derived from Timertrac-verified trade signals rather than actual trades. Overlay returns from May 2022 reflect Duration Capital’s proprietary futures trades implementing the QuAD signal, not any client account; their combination with the selected fund returns remains hypothetical.

Furthermore, the construction of a hypothetical portfolio of investments does not involve financial risk, and no hypothetical portfolio of investments can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or the implementation of a portfolio of investments which cannot be fully accounted for in the preparation of hypothetical performance results, all of which can adversely affect actual trading results.

Methodology

The Base portfolio allocates to the selected ETF and mutual fund tickers according to the user-specified weights. The portfolio is rebalanced monthly: each month's return is computed as the weighted average of the individual fund returns, and the portfolio value is compounded forward.

The With Overlay portfolio begins with the same base and layers on a notional duration overlay implemented in sovereign bond futures. The overlay return series is expressed per ±1 year of duration and is scaled by the user-specified active duration band. Because futures positions are collateralised by margin rather than funded capital, the base allocation is not disturbed and no financing spread is modelled. The overlay contribution may be reduced by a management fee where one is entered. In formula terms, the monthly With Overlay return is:

R_{With Overlay} = R_Base + Band × R_{±1yr Overlay} − Fee / 12

At a band of ±5 years, the portfolio holds $1 of the base allocation plus a notional futures position equivalent to ±5 years of duration on that $1 of capital. At a band of zero the With Overlay portfolio is identical to the Base portfolio. All portfolios assume monthly rebalancing back to target weights with no transaction costs.

Data Definitions

Verified QuAD Signals (2014–) comprises Timertrac-verified QuAD trade signals from January 2014 to April 2022, followed by Duration Capital’s proprietary futures trades implementing those signals from May 2022 to present, expressed as notional returns per ±1 year of duration.

Proprietary Implementation (2022–) comprises Duration Capital’s own futures trades implementing the QuAD signal, May 2022 to present, in proprietary capital only, expressed as notional returns per ±1 year of duration. No client account is represented.

Fund Returns are monthly total returns inclusive of distributions. Bundled series are sourced from the firm's total-return database; live series use dividend-adjusted month-end prices from a public market-data provider and are not verified by Duration Capital.

Term Definitions

Annualized Return is the geometric average return per year over a specified period, reflecting the compounding of returns.

Basis Point (bps) is a unit of measure equal to one one-hundredth of one percent (0.01%). It is commonly used to express changes in interest rates, fees, and investment returns.

Duration is a measure of a bond portfolio's sensitivity to changes in interest rates, expressed in years. A duration overlay adds or subtracts years of duration to a portfolio through futures without changing the underlying holdings.

Drawdown is the peak-to-trough decline in the value of a portfolio or investment, expressed as a percentage from the peak. It measures the largest loss an investor would have experienced if they bought at the highest point and sold at the lowest point before a new peak was reached.

Hypothetical/Backtested Performance refers to performance results generated by retroactively applying an investment strategy to historical data. Backtested results are not actual trading results and have inherent limitations, including the benefit of hindsight.

Information Ratio is the annualized return of a portfolio in excess of its benchmark divided by the tracking error. Here the benchmark is the Base portfolio.

Log Scale uses a logarithmic axis so that equal vertical distances represent equal percentage changes. This makes it easier to compare growth rates across different time periods, especially over long horizons where compounding can make early returns appear flat on a linear scale.

Notional Overlay is futures exposure held on top of a fully invested portfolio. Because futures are margined rather than purchased, the overlay adds interest-rate exposure without requiring additional capital or the sale of existing holdings.

Rebalancing is the process of periodically adjusting portfolio weights back to target allocations, which may involve buying or selling assets.

Sharpe Ratio is a measure of risk-adjusted return, calculated as the annualized excess return over T-Bills divided by annualized volatility. Sortino Ratio substitutes downside deviation for volatility.

T-Bills (Treasury Bills) are short-term U.S. government debt securities with maturities of one year or less, generally considered among the lowest-risk investments.

Tracking Error is the annualized standard deviation of the difference in periodic returns between a portfolio and its benchmark. It measures how closely a portfolio's returns follow those of the benchmark; higher values indicate greater divergence from benchmark performance.

Volatility is a statistical measure of the dispersion of returns for a given security or market index, commonly calculated as the standard deviation of returns. Higher volatility indicates greater price fluctuation and, therefore, greater risk.

Important Information

The information set forth in this document has been obtained or derived from sources believed by Duration Capital LLC to be reliable. However, Duration Capital LLC does not make any representation or warranty, express or implied, as to the information's accuracy or completeness, nor does Duration Capital LLC recommend that the information serve as the basis of any investment decision.

Certain information contained in this document constitutes "forward-looking statements," which can be identified by the use of forward-looking terminology such as "may," "will," "should," "expect," "anticipate," "project," "estimate," "intend," "continue," or "believe," or the negatives thereof or other variations or comparable terminology. Due to various risks and uncertainties, actual events or results or the actual performance of an investment managed using any of the investment strategies or styles described in this document may differ materially from those reflected in such forward-looking statements. The information in this document is made available on an "as is," without representation or warranty basis.

There can be no assurance that any investment strategy or style will achieve any level of performance, and investment results may vary substantially from year to year or even from month to month. An investor could lose all or substantially all of his or her investment. Both the use of a single adviser and the focus on a single investment strategy could result in the lack of diversification and consequently, higher risk. Futures trading involves leverage and the risk of loss in excess of the margin posted. The information herein is not intended to provide, and should not be relied upon for, accounting, legal or tax advice or investment recommendations. Any investment strategy and themes discussed herein may be unsuitable for investors depending on their specific investment objectives and financial situation. You should consult your investment adviser, tax, legal, accounting or other advisors about the matters discussed herein. These materials represent an assessment of the market environment at specific points in time and are intended neither to be a guarantee of future events nor as a primary basis for investment decisions. Past performance is not indicative of future performance and investments in securities do present risk of loss.

Investors should understand that while performance results may show a general rising trend at times, there is no assurance that any such trends will continue. If such trends are broken, then investors may experience real losses. The information included in this presentation reflects the different assumptions, views and analytical methods of Duration Capital LLC as of the date of this document. The views expressed reflect the current views as of the date hereof and Duration Capital LLC does not undertake to advise you of any changes in the views expressed herein.

This presentation has been provided solely for informational purposes and does not constitute a current or past recommendation or an offer or solicitation of an offer, or any advice or recommendation, to purchase any securities or other financial instruments, and may not be construed as such. This presentation should not be considered as investment advice or a recommendation of any particular security, strategy or investment product. Reference to any ETF or mutual fund ticker is for illustration of the overlay methodology only and does not constitute a recommendation of that fund.

No part of this document may be reproduced in any form, or referred to in any other publication, without express written permission from Duration Capital LLC.