Building A Regime-Robust Rates Portfolio

Start with distributions

Each rates trade embeds a different distribution of outcomes. Portfolio construction should focus on combining those distributions, not just stacking convictions.

Core design principles

1. Diversify by driver, not instrument label.
2. Blend carry and convexity intentionally.
3. Control interaction risk and correlation shifts.
4. Set explicit de-risking triggers before entry.

Practical objective

Design portfolios that preserve positive expected returns across a wider range of regimes, including the ones you are most likely to be wrong about.