§ 01
Price Change = -Duration x Rate Change
§ 02
| Bond Type | Typical Duration | 1% Rate Rise Impact |
|---|---|---|
| 2-year Treasury | ~2 years | -2% price drop |
| 10-year Treasury | ~8 years | -8% price drop |
| 30-year Treasury | ~20 years | -20% price drop |
| High-yield corporate | ~4 years | -4% price drop |
§ 03
Longer maturity = higher duration = more interest rate risk. This is why 30-year Treasuries are far more volatile than 2-year notes, even though both are backed by the US government.
§ 04
Check the **yield curve** in the Macro view. A steep curve means long-term rates are much higher than short-term, compensating for duration risk.
§ 05
§ 06
A bond fund has a modified duration of 8.0. Interest rates rise by 1 percentage point. What is the approximate impact on the fund's NAV?
Five questions · AI feedback
Sit with the ideas.
A bond has modified duration of 5. If interest rates rise by 2%, approximately how much does the bond's price change?
Why: