Duration Capital's futures overlay strategies are designed to generate uncorrelated alpha while preserving a portfolio's systematic exposures. Our alpha overlays offer two additional advantages. First, because beta can be satisfied through passive instruments, active management is concentrated entirely within our futures portfolio — executed through liquid sovereign bond futures that qualify for tax advantaged capital gain treatment. Second, active risk is calibrated to each client's specific objectives, making the same underlying strategy highly adaptable across mandates. This Conservative variant applies the strategy at ±5 years active risk with a 1.24% stop loss and 1.515% profit target, both scaled linearly to active risk.
| Statistic | Value |
|---|---|
| Annualised Return | +2.26% |
| Annualised Std Dev | 2.57% |
| Max Drawdown | -2.91% |
| Best Month | +2.32% |
| Worst Month | -1.66% |
| % Positive Months | 59% |
| Information Ratio | 0.88 |
| ITD Return (12.3y) | +28.18% |
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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2014 | +0.46% | +0.10% | -0.31% | +0.19% | +0.98% | -0.84% | +0.23% | -0.45% | +0.35% | +0.46% | +0.89% | -0.22% | +1.85% |
| 2015 | +1.33% | -0.90% | +1.15% | +0.53% | +1.76% | -0.87% | +0.72% | +1.55% | +0.70% | +0.12% | -0.41% | -0.06% | +5.71% |
| 2016 | +2.32% | +1.64% | +0.30% | +0.19% | -0.28% | +0.21% | +0.38% | +0.33% | +0.01% | +0.04% | -1.34% | -0.11% | +3.72% |
| 2017 | -0.02% | -0.42% | +1.11% | -0.50% | +0.68% | +0.20% | -0.60% | -0.16% | -0.04% | +0.28% | +0.32% | -0.12% | +0.72% |
| 2018 | +0.72% | +0.38% | +0.40% | -0.19% | +0.10% | +0.03% | +0.18% | +0.30% | -0.37% | -0.42% | +1.07% | +1.48% | +3.73% |
| 2019 | +0.78% | -0.40% | -0.58% | +0.30% | +1.73% | -0.03% | +0.05% | -0.88% | -0.06% | +1.61% | -0.20% | +0.17% | +2.46% |
| 2020 | -1.66% | -1.24% | +1.52% | -0.06% | -0.28% | +0.07% | -0.69% | +0.44% | -0.16% | +0.81% | -0.21% | +0.01% | -1.48% |
| 2021 | +0.67% | +1.21% | +0.79% | -0.69% | -0.61% | -0.28% | -0.84% | +0.20% | +0.69% | +0.46% | -0.58% | -0.16% | +0.85% |
| 2022 | +0.58% | +0.88% | -0.57% | +1.52% | +1.51% | -1.24% | +1.52% | -1.24% | +1.51% | +0.38% | -0.35% | +0.42% | +4.97% |
| 2023 | -0.67% | +1.56% | +1.51% | +0.21% | +0.50% | +0.86% | +0.52% | +0.47% | -0.56% | +0.03% | -0.63% | +0.30% | +4.16% |
| 2024 | -0.19% | -0.03% | +0.61% | +1.50% | -0.91% | +0.37% | +0.16% | -0.63% | +0.87% | +0.90% | +0.13% | -1.24% | +1.51% |
| 2025 | -0.28% | +0.92% | +0.88% | -0.08% | -0.31% | -1.14% | +0.31% | -0.59% | -0.31% | +0.10% | +0.26% | -0.26% | -0.52% |
| 2026 | +0.11% | +0.43% | -0.11% | +0.21% | -0.01% | -- | -- | -- | -- | -- | -- | -- | +0.63% |
Strategy. The U.S. Duration model forecasts the direction of the U.S. bond market based on fundamental economic drivers (growth, inflation, monetary policy) combined with valuation and technical indicators. The variables are selected for economic interpretability and historical forecasting power; correlation between variables is low so each contributes new information.
Execution and sizing. Performance reflects a notionally-funded futures overlay applied to all real-time, time-stamped directional signals from January 14, 2014 onward. Trades take long or short positions in the active CBOT 10-Year US Treasury future (TY, $1,000/point, ~7-year modified duration). Position size is computed as allocation × (active risk / 7 years) × (capital / $100,000); at 5y active risk on $10,000,000 a +1.0 allocation produces 71 long TY contracts (fractional). Execution price is the contract close on the publish date, or the following session's open for after-hours signals. Quarterly contract rolls happen at the start of the old contract's delivery month, with daily mark-to-market on the contract actually held; the swap is booked at simultaneous closes with no spread P&L attributed. Futures pricing is sourced from Bloomberg.
Risk overlay. Stop loss at -1.24% and profit target at +1.515% of capital (scaled linearly with active risk for the Conservative variant). Triggers evaluate intraday against the contract's daily High/Low; on trigger the position exits at the threshold price and remains flat through the next signal entry.
Return convention. Daily ROR = daily P&L / starting capital (fixed-notional, time-weighted). Inception-to-date return is the sum of daily ROR; annualized return uses the workbook H17 geometric formula PRODUCT(1+monthly_ror)^(12/N)-1, where monthly_ror = sum of the month's daily P&L divided by capital. Returns are gross of management fees, performance fees, brokerage commissions, exchange fees, slippage, and financing. Net returns would be lower.
Independent verification. Performance from January 14, 2014 through March 31, 2025 was independently examined by Alpha Performance Verification Services (Michael W. Hultzapple, CPA, CFA, CIPM; report dated April 25, 2025). The verifier confirms the performance record of the Duration Capital Model Account was calculated in accordance with the criteria set forth in Duration Capital's Notes to Statement of Investment Performance. Performance after March 31, 2025 is estimated using the same methodology and is subject to further verification.
Model account limitations. The account is notionally funded and returns reflect simulated execution: actual fully-funded results may differ, stop and target fills are modelled at the threshold price (live fills may be less favourable in fast or gapping markets), and roll executions are modelled at simultaneous closes (live rolls carry spread risk). This report applies a single, fixed active risk level throughout; live portfolio management would include discretionary adjustments.
Risk and limitations. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. Past performance is not indicative of future results. Nothing herein implies this strategy is "safe" or "risk averse"; the strategy may employ techniques that increase the risk of loss. Although information has been obtained from sources believed to be reliable, accuracy and completeness cannot be guaranteed. This report is for informational purposes only and is not an offer to sell or solicitation to purchase an interest in any fund; it is confidential and may not be reproduced or redistributed without express written consent. All investment involves risk including loss of principal. Information herein is subject to further updating, revision, and amendment without notice.