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 faded versus target, COT on ZN is contrarian. 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	Comp
US	+0.63	+1.40	-0.87	—	-0.08	+0.81
CA	-0.50	+0.78	+0.27	—	—	+0.58
AU	+1.06	+0.30	-0.94	—	—	+0.46
JP	-1.40	-0.16	+1.85	—	—	+0.33
UK	+1.16	-1.72	+0.48	—	—	-0.02
DE	-0.96	-0.59	-0.80	—	—	-2.16

Equal-weight blend of available sign-oriented factor z-scores, re-z-scored cross-sectionally. Higher composite = bullish duration. Basket is score-weighted, duration-neutral long/short. Not point-in-time.

Composite rank

higher = long duration

Basket weights

duration-neutral · % of gross

Score-weighted basket

duration-neutral long / short

longUS 19%

longCA 13%

longAU 10%

shortJP 8%

shortUK 1%

shortDE 50%

Curve steepener scorecard

higher z = steep vs peers → long steepener

Sov	2s10s	z
Japan	1.20pp	+1.85
United Kingdom	0.79pp	+0.48
Canada	0.73pp	+0.27
Germany	0.41pp	-0.80
United States	0.39pp	-0.87
Australia	0.37pp	-0.94

Cross-sectional z of 10Y−2Y. Higher z = the curve is steep vs peers → long steepener. Missing 2Y or 10Y omits the country.

Indicative momentum backtest

lag-1 · duration PnL ≈ −7 × Δ10Y · not point-in-time

Sharpe

-0.25

Ann. return

-0.8%

Ann. vol

3.0%

Max DD

-7.8%

Hit rate

46.6%

Indicative. Duration PnL ≈ −7 × Δ 10Y. Lag-1, not point-in-time.

58 months.