利率敏感度解码：债券基金久期测算

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints - Measuring the duration of bond funds helps investors assess risks and estimate risk - return characteristics, including annualized returns and net - value changes during interest - rate fluctuations. In a volatile interest - rate market, long - duration bond funds face greater price - fluctuation risks, while short - duration ones are more stable [2][16]. - Over the past three years, the overall duration of funds has been on an upward trend. In a low - interest - rate environment, fund managers have increased allocations to long - duration interest - rate bonds to lock in higher returns. There is a significant negative correlation between duration changes and the 10 - year Treasury yield [4]. 3. Summary by Relevant Catalogs 3.1. Duration Essence Re - cognition - Duration is an approximate indicator of a bond's sensitivity to interest - rate changes, representing the approximate percentage change in value for a 100 - basis - point interest - rate change, which determines interest - rate risk exposure. It can also be seen as a measure of time, quantifying the sensitivity of bond prices to interest - rate changes by calculating the weighted cash - flow recovery time [1][13]. - Modified duration is the approximate percentage change in bond price for a 100 - basis - point yield change under the assumption of constant expected cash flows [1][13]. 3.2. Bond Fund Duration Calculation Methods - The three mainstream methods for calculating bond fund duration are the top - holding weighted method, the interest - rate sensitivity method, and the asset - portfolio method. In high - frequency calculation scenarios, the asset - portfolio method is the most mainstream and has the best comprehensive performance [16][17]. 3.3. Bond Fund Duration Estimation Steps 3.3.1. Sample Selection - Select mid - long - term and short - term pure - bond funds according to the Wind fund classification standard, excluding funds with less than 1 - year data, amortized - cost - valuation funds, and non - original funds. The observation period is from early 2017 to the present [18][19][20]. 3.3.2. Duration Calculation - Based on top - holdings: Calculate the weighted - average duration using the top five heavy - holding bonds in the fund report, but this method may have large deviations [22][23]. - Based on interest - rate sensitivity: Derive the fund's duration from the interest - rate risk analysis in the fund report, but the data frequency is low [24]. - Asset - portfolio method: Use factor - return regression to estimate the duration of pure - bond funds. Set non - negative constraints and a coefficient - sum constraint to ensure the rationality of the results [28][29][30]. 3.3.3. Model Selection - The least absolute deviation regression (LAD) is chosen as the core regression method for daily duration estimation of bond funds to ensure the robustness and interpretability of the model output [39]. 3.3.4. Factor Processing - Select a factor system covering interest - rate and credit - bond index factors. Use the variance inflation factor (VIF) analysis to screen factors and remove variables with significant multicollinearity [40][42]. 3.4. Bond Fund Duration Calculation and Tracking 3.4.1. Pure - Bond Fund Duration Calculation - The calculated duration is generally consistent with the reported duration. From 2017 to 2025, the average and median durations of pure - bond funds were relatively stable, while the maximum duration increased significantly. The median duration of pure - bond funds and the 10 - year Treasury yield were mostly negatively correlated [45][48][50]. 3.4.2. Mid - Long - Term vs. Short - Term Bond Fund Duration Calculation - The durations of mid - long - term and short - term pure - bond funds generally moved in the same direction, with the former having a larger fluctuation range. The duration of mid - long - term pure - bond funds showed obvious stratification, while that of short - term ones was more concentrated [57][59]. 3.4.3. Interest - Rate Bond vs. Credit - Bond Fund Duration Calculation - The durations of both credit - bond and interest - rate bond funds showed an upward trend, with the latter having a larger increase. Both types of funds' durations were negatively correlated with the 10 - year Treasury yield, and the interest - rate bond funds' duration adjustment was more sensitive [79][81][93]. 3.4.4. Single - Fund Duration Calculation - Taking "Huatai Baoxing Anyue A" as an example, the regression result was basically consistent with the reported data. The fund's duration increased significantly after June 2023 [100].