Price & Market BehaviorExtended setlive in productionNew

cash-flow duration rate shock

Updated quarterlyData needs: highlong onlyshort onlylong short

2018

Weber, M. (2018). Cash Flow Duration and the Term Structure of Equity Returns. Journal of Financial Economics, 128(3), 486-503.

Citation only, paper link pending.

In plain terms

Growth stocks whose payoff is far in the future act like long-term bonds, so they get hurt most when interest rates climb, and this strategy bets against them when rates rise.

How it works

High cash-flow-duration stocks (value concentrated in distant, growth-driven terminal cash flows) earn lower returns and behave like long-maturity bonds, most exposed to discount-rate shocks. A firm duration z-score is built as mean(-z(book-to-market), -z(payout ratio), +z(revenue growth)) over a trailing 12 quarters, then gated on the trailing change in the 10Y Treasury yield (DGS10) so the short is sharpest when long rates rise.

Live results

17 times picked on its own · 20 times inside a blend (20 beat the stock) · updated 2026-06-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 20 such blended picks (20 of which beat simply holding the stock). Picking it on its own is only one of the ways it shows up.

How its picks scored vs. buy & hold

Each pick is graded on a recent year it was never tuned on, against simply owning the same stock

Where its edge concentrates

Share of picks in each company-size group that beat buy & hold

How often it trades

Active vs. patient. Bars on the left mean it waits for rare setups; bars on the right mean it trades often

Return vs. buy & hold

How much each pick beat or trailed simply owning the stock over the test year (extreme microcap moves trimmed)

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Data dependencies

Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
Key metrics
A data feed this strategy reads, refreshed on its normal schedule.
Fred macro
A data feed this strategy reads, refreshed on its normal schedule.

Expected edge

High-duration stocks earn ~1.1%/month less than low-duration stocks, and the spread widens after rising-rate / high-sentiment periods.

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