Duration, curve, Factors and crowding — the rates book. Charts live in the chartbook.
Duration Quant Lab
Higher composite = bullish duration. Value is a cheap 10Y versus peers, momentum is minus the yield change, carry is 10s–2s, inflation is CPI versus the central-bank target (euro-area HICP for Bunds), COT on ZN is contrarian, and wide credit is a flight-to-quality bid. Missing factor cells are omitted from that country’s average — never zero-filled.
Duration scorecard
sign-oriented z · higher = long duration| Sov | Value | Mom | Carry | Infl | COT | Cred | Comp |
|---|---|---|---|---|---|---|---|
| JP | -1.44 | +0.54 | +1.94 | +1.99 | — | — | +1.90 |
| CA | -0.51 | +0.69 | +0.34 | +0.26 | — | — | +0.35 |
| AU | +0.92 | +0.70 | -0.86 | -0.52 | — | — | -0.02 |
| US | +0.90 | -0.23 | -0.73 | -0.84 | +0.23 | +0.62 | -0.21 |
| UK | +1.07 | -2.12 | +0.21 | +0.10 | — | — | -0.68 |
| DE | -0.94 | +0.44 | -0.90 | -0.99 | — | +0.30 | -1.33 |
Equal-weight blend of available sign-oriented factor z-scores, re-z-scored cross-sectionally. Higher composite = bullish duration. Inflation is headline CPI YoY minus the central-bank target (euro-area HICP for DE). Basket is score-weighted, duration-neutral long/short. Not point-in-time.
Composite rank
higher = long durationBasket weights
duration-neutral · % of grossScore-weighted basket
duration-neutral long / shortCurve steepener scorecard
higher z = steep vs peers → long steepener| Sov | 2s10s | z |
|---|---|---|
| Japan | 1.02pp | +1.94 |
| Canada | 0.63pp | +0.34 |
| United Kingdom | 0.60pp | +0.21 |
| United States | 0.37pp | -0.73 |
| Australia | 0.34pp | -0.86 |
| Germany | 0.33pp | -0.90 |
Cross-sectional z of 10Y−2Y. Higher z = the curve is steep vs peers → long steepener. Missing 2Y or 10Y omits the country.
