Twenty Years of Duration Times Spread (DTS)

Abstract

We review 20 years of our research on Duration Times Spread (DTS), a measure that has reshaped how many credit investors think about portfolio risk. Introduced as an alternative to the traditional spread–duration approach, DTS connects credit exposure directly to current market pricing and provides a practical way to compare risk across securities, sectors, and portfolios. We summarize the empirical evidence supporting DTS and trace its development from early studies of US corporate bonds to broader validation across global credit markets, including emerging market debt, sovereign bonds, and credit default swaps. We highlight how DTS has informed risk measurement, benchmark comparison, portfolio construction, issuer diversification, liquidity analysis, return attribution, and systematic investing. We also examine its performance through several crisis periods and discuss targeted refinements for term structure effects, very low-spread bonds, over- and undervalued securities, and market beta differences. Overall, DTS emerges as a durable first-order framework: simple enough for practical use, robust across market environments, and flexible enough to evolve with credit markets.