Duration Regime Stress Index
When rates move fast, everything else follows.
DRSI measures the intensity of duration shocks in US fixed income — capturing the pace and scale of yield curve movements that coincide with broad repricing across asset classes.
The Duration Regime Stress Index (DRSI) measures rate volatility and duration risk in US fixed income. It tracks the pace of yield-curve movement (not just the level of rates), term-premium changes, the MOVE Index (the bond-market analogue of the VIX), and real-yield dynamics. A high DRSI reading indicates a regime of elevated rate volatility in which rate-sensitive assets are repricing quickly.
Interest rates are the discount rate applied to future earnings, so when rate volatility is high the valuations of long-duration equities (growth, tech, speculative) — whose earnings are weighted toward the future — move more than those of short-duration equities (value, energy, financials). DRSI measures the current rate-volatility regime that this sensitivity operates in. It is objective context on rates, not allocation advice.
The 10-year yield gives you a level; DRSI describes a regime. Two periods at the same 10-year yield can have very different DRSI readings depending on the pace of change and cross-market volatility. A gradual rise from 2% to 4% over two years produces a moderate DRSI; the same move in three months produces an extreme DRSI. The distinction matters because asset behavior in slow versus fast rate cycles differs.
Elevated DRSI often coincides with wider credit spreads, particularly in long-duration investment grade bonds: as rate volatility rises, the option-adjusted component of corporate risk premiums tends to widen. High-DRSI periods also tend to coincide with wider MBS spreads and reduced issuance. DRSI measures the rate-volatility regime; these are observed co-movements, not forecasts.