---
title: Hidden Duration: Interest Rate Derivatives in Fixed Income Funds
url: https://www.ml-quant.com/papers/ssrn/4662054/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4662054
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4662054
featured: 2023-12-13
citations: 1
topic: Derivatives & Volatility
---


# Hidden Duration: Interest Rate Derivatives in Fixed Income Funds

Hidden Duration: The research uncovers significant hidden duration risk in fixed income funds due to their use of interest rate derivatives for speculation rather than hedging, leading to poor performance during interest rate increases.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4662054
- Identifier: SSRN 4662054
- Released: 2023-12-12
- First featured: Quant Letter No. 29 (2023-12-13): https://www.ml-quant.com/issues/2023-12-13/
- Citations (Semantic Scholar): 1
- Published in: not yet
- Topic: Derivatives & Volatility

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