QUAD Macro is a globally diversified, liquid, and tax-efficient investment strategy built to deliver consistent returns across all market environments. The strategy is constructed around three complementary pillars — growth assets (equity, credit), inflation assets (government bonds, commodities, gold), and adaptive strategies (trend following, active macro) — each selected for its independent return drivers and low cross correlation. Rather than assuming stable asset class correlations, QUAD balances asset class risk exposures across four fundamental economic regimes that drive markets — growth, inflation, deflation, and stagflation — so that no single environment is required to perform. The adaptive strategy allocation is particularly important in a world of greater macro uncertainty: trend-following and active macro strategies have historically performed best precisely when traditional asset classes are under stress, adding a dynamic component that static long-only portfolios cannot replicate. The result is a tax-advantaged portfolio that maintains the structural flexibility to navigate whatever macro environment materialises — whether that is sustained inflation, a deflationary growth scare, or tail risk outcomes. The strategy offers genuine market regime diversification designed to compound wealth by limiting drawdowns and reducing volatility.
| Statistic | SMA | 6040 |
|---|---|---|
| Ann. Return | 16.53% | 10.42% |
| Std Deviation | 8.08% | 11.44% |
| Max Drawdown | -6.37% | -11.11% |
| Best Month | 5.11% | 7.30% |
| Worst Month | -6.37% | -7.42% |
| % Pos Months | 79% | 69% |
| Sharpe Ratio | 1.58 | 0.55 |
Duration Capital's Quantitative Active Duration (QuAD) framework has been crafted through an extensive process that includes 80 years of market data and 20 years of trading experience. The approach is fundamentally-based but executed systematically to mitigate behavioral trading biases. The QuAD Model monitors essential variables influencing interest rates—such as fundamentals (economic activity, inflation, monetary policy), valuation indicators, and market technicals—and integrates them into a cohesive, short-term directional outlook on interest rates. The framework assesses a broad set of predictive variables:
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD | 6040 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2022 | -- | -- | -- | -- | +2.33% | -4.63% | +5.05% | -6.37% | +2.30% | +4.02% | -0.33% | -0.46% | +1.34% | -5.48% |
| 2023 | +0.02% | +3.04% | +4.12% | +1.71% | +0.42% | +4.01% | +3.42% | +1.06% | -1.31% | +0.97% | -0.51% | +0.96% | +19.24% | +16.82% |
| 2024 | +0.99% | +2.10% | +5.11% | +3.98% | -0.80% | +2.44% | +0.37% | -1.61% | +3.38% | +1.50% | +1.49% | -2.82% | +17.03% | +14.18% |
| 2025 | +1.92% | -0.20% | +0.53% | +0.27% | +1.63% | +0.58% | +1.63% | +0.63% | +2.74% | +2.18% | +2.06% | +0.13% | +14.99% | +14.03% |
| 2026 | +4.32% | +4.03% | +0.12% | +4.37% | -- | -- | -- | -- | -- | -- | -- | -- | +13.41% | +3.41% |
If active returns (alpha) are correlated with the market, portfolio risk assessments can be inaccurate with standard risk metrics may be misleading. Correlated active returns highlight the lack of a new "independent" return source and an amplifyication of existing market risks. True alpha represents idiosyncratic returns—the value a manager adds through skill that is independent of broad market movements. Low correlation of active returns indicate true independent alpha.
Due to our specialized focus in global interest rate markets our strategy will look different in comparison to our managed futures and hedge fund peers. We offer differentiated performance cycles and low levels of overlap while maintaining an important diversification attribute to risk assets. We manage active risk dynamically and within a wide latitude, implementing both long and short duration positions giving our strategies the flexibility to adapt to different market cycles and environments. This dynamic approach has been successfully applied by our portfolio management team over the past 20 years during many diverse periods of market trends and regimes.