1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - Observing the duration of bond funds helps investors assess their risks. By calculating the duration, one can estimate the risk - return characteristics of the fund, including the annualized return and net - value changes during interest - rate fluctuations. In a volatile interest - rate market, bond funds with longer durations face greater price - fluctuation risks, while those with shorter durations are relatively more stable [2]. - Over the past three years, the overall duration of funds has been on an upward trend, which is an active choice of institutions to optimize risk - return in a low - interest - rate environment. There is an obvious negative correlation between duration changes and the yield of the ten - year Treasury bond. In an interest - rate downward cycle, extending the duration becomes the core strategy to increase returns [4]. 3. Summaries According to Relevant Catalogs 3.1 Duration Essence Re - understanding - Duration is an approximate indicator to measure the sensitivity of bond value to interest - rate changes. It is the approximate percentage of value change when the interest rate changes by 100 basis points, determining the interest - rate risk exposure. It can also be regarded as a time measure, reflecting the elasticity of bond prices relative to interest - rate changes. Longer duration means higher sensitivity to interest - rate changes [1][13]. - Modified duration is a form of duration used by industry insiders. It is the approximate percentage of bond - price change when the yield changes by 100 basis points under the assumption that the expected cash flow of the bond remains unchanged [1][13]. 3.2 Bond Fund Duration Calculation Methods - The mainstream bond - fund duration calculation methods in the market include 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, combining data frequency (daily/weekly) and dynamic adjustment ability [2][16][17]. 3.3 Bond Fund Duration Estimation Steps 3.3.1 Sample Selection - Focus on pure - bond funds. Select medium - long - term and short - term pure - bond funds respectively, excluding funds with less than one - year data, funds using the amortized - cost valuation method, and non - original funds. The observation time is set from the beginning of 2017 to the present [18][19][20]. 3.3.2 Duration Calculation - Based on top - holding bonds: Calculate the weighted - average portfolio duration using the top five heavy - holding bonds disclosed in the fund's regular reports. However, this method may lead to large deviations [22][23]. - Based on interest - rate sensitivity: Derive the fund's duration from the interest - rate risk sensitivity analysis in the fund's regular reports. But the data update frequency is low [24]. - Using the asset - portfolio method: Introduce a method based on factor - return regression estimation. Take the average daily return of pure - bond public funds as the explained variable and the daily returns of different bond indices as explanatory variables. After regression analysis, the fund's portfolio duration can be reasonably estimated [28]. 3.4 Model Selection - After comparing the advantages and disadvantages of OLS, Lasso regression, Ridge regression, Stepwise Regression, and LAD, LAD is selected as the core regression method for estimating the daily duration of bond funds to ensure the robustness and interpretability of the model output in complex market environments [33][39]. 3.5 Factor Processing - Select a factor system covering interest - rate bond index factors and credit - bond index factors. Use the Variance Inflation Factor (VIF) analysis method to screen variables, removing variables with high VIF values to ensure the stability of model parameters [40][42]. 3.6 Bond Fund Duration Calculation and Tracking 3.6.1 Pure - Bond Fund Duration Calculation - The calculated duration and the reported duration of pure - bond funds generally have the same trend and small differences. From 2017 to 2025, the average and median durations of pure - bond funds were relatively stable, while the maximum duration continued to rise, and the minimum duration was basically below 1 year. There is a negative correlation between the median duration of pure - bond funds and the yield of the ten - year Treasury bond [45][48][50]. 3.6.2 Medium - Long - Term Bond Fund vs. Short - Term Bond Fund Duration Calculation - The duration of medium - long - term and short - term pure - bond funds is on an upward trend. The duration of medium - long - term pure - bond funds fluctuates more widely, and the distribution is more stratified. The duration of short - term pure - bond funds is more concentrated, and the risk - preference differentiation is limited. There is a negative correlation between the duration of both types of funds and the yield of the ten - year Treasury bond [57][59][66]. 3.6.3 Interest - Rate Bond Fund vs. Credit - Bond Fund Duration Calculation - The durations of both credit - bond funds and interest - rate bond funds show an upward trend, with the latter having a larger increase. The duration adjustment of credit - bond funds is relatively stable, while that of interest - rate bond funds is more volatile. There is a negative correlation between the duration of both types of funds and the yield of the ten - year Treasury bond, and the interest - rate bond funds respond more directly to interest - rate changes [79][81][93]. 3.6.4 Single - Fund Duration Calculation - Taking "Huatai Baoxing Anyue A" as an example, the regression result is basically consistent with the reported data. The fund's duration remained stable below 2.5 years from 2020 to June 2023 and then increased sharply [100].