A measure of the sensitivity of the price of a financial asset to changes in interest rates, computed for a simple bond as a weighted average of the maturities of the interest and principal payments associated with it
continuance in time; "the ceremony was of short duration"; "he complained about the length of time required" the property of enduring or continuing in time the period of time during which something continues
(Also known as adjusted duration ) A measure of a bond fund's pricesensitivity to interest rates The longer the duration, the more sensitive abond's price will be to changes in interest rates A bond fund's portfoliomanager uses a weighted average adjusted duration to reflect the durationsof the fund's holdings, and adjusts the fund's duration according to how heor she expects interest rates might move
A measure of a security’s price sensitivity to changes in interest rates Securities with longer durations are more sensitive to changes in interest rates than securities of shorter durations
A measure of the interest rate sensitivity of a bond (or fixed-income portfolio) incorporating time to maturity and coupon size The bigger the duration number, the greater the interest rate risk
A measure of the relative volatility of a bond; i e the price change of a bond for a given change in the interest rate Duration is measured in units of time It includes the effects of time until maturity, cash flows and the yield to maturity
Duration measures bond price volatility by calculating the weighted average term-to-maturity of a bond's cash flows, where the weights are the present value of each cash flow as a percentage of the bond's full price Duration rises with maturity, falls with the frequency of coupon payments, and falls as current yields rise (higher yields reduce the present value of the cash flows) σ [(t) (PVcf)]
Duration A mathematical measure (Macaulay method) of how quickly an investor recovers his or her investment Bonds of similar duration will have the similar price movements for a given move in interest rates The resulting figure is a measure of the volatility risk associated with owning the bond If a bond's duration is 4 5 years, the price of the bond will fall 4 5% for a 1% rise in interest rates Effective Duration takes into account any calls, puts, or other options of the security Modified Duration does not take these into account
~ The weighted maturity of a fixed-income investment's cash flows, used in the estimation of the price sensitivity of fixed-income securities for a given change in interest rates
A way to measure part of the risk in a bond or bond fund Duration tells you how long it will take to recoup your principal It's a complicated calculation, so you'll have to get the number from your fund company or bond dealer, but it makes for a handy way to judge interest rate risk If a bond or a bond fund has a duration of seven years, a 1% drop in interest rates will raise its value by 7%, while a 1% rise in interest rates will lower its price by 7% The greater the duration of a bond, the greater its percentage volatility In general, duration rises with maturity and falls with the frequency of coupon payments See "Bond Funds " BACK TO TOP
A measure of the sensitivity of a bond’s price to changes in interest rates, expressed in years Each year of duration represents an expected one percent change in the price of a bond for every one percent change in interest rates The longer a bond’s duration, the greater the effect of interest-rate movements on its price Typically, funds with shorter durations perform better in rising-rate environments, while funds with longer durations perform better when rates decline
A numerical measure of the price change of a bond due to a change in its yield to maturity Duration summarizes the various characteristics that cause bond prices to fluctuate in response to interest rate changes The lower the duration number, the less change that can be expected in a bond's price
A measure of the price sensitivity of a financial instrument to changes in interest rates; The greater the duration of a bond, the greater its price volatility with respect to interest rate changes; Average time to receipt of Present Value of cashflows
A time-weighted-average, term-to-maturity of a bond or portfolio's cash flow It is generally used to measure the sensitivity of a bond price to interest rate changes The higher the duration the greater the expected price change for a given change in market interest rates For example, if a bond had a duration of 5 0, then a yield increase from 5 0% to 6 0% would result in a 5 0% decline in price The same yield increase of a security with a duration of 10 0 would result in a 10 0% decline in price If a security had a duration of 5 0, then a yield decrease from 5 0% to 4 0% would result in a 5 0% increase in price The same yield decrease of a security with a duration of 10 0 would result in a 10 0% increase in price
continuance in time; "the ceremony was of short duration"; "he complained about the length of time required"
A measurement of the change in the value of an instrument in response to a change in interest rates It is the primary basis for comparing the effect of interest rate changes on prices of fixed-income instruments
The average life of your fixed income investment A ten year bond is not exactly a ten year bond All the interest payments shorten the average term The bigger the interest payments, the shorter the duration For a zero coupon bond, maturity and duration are the same since there are no cash flows to worry about This term is used in measuring risk
the property of enduring or continuing in time the period of time during which something continues
A measure of the average life of a bond It is the weighted average of the times until each payment is made, with the weights proportional to the present value of the payment
A measure of a bond price's sensitivity to a 100-basis point change in interest rates A duration of 8 would mean that, given a 100-basis point change up/down in rates, a bond's price would move up/down by 8%
If you say that something will happen for the duration, you mean that it will happen for as long as a particular situation continues. His wounds knocked him out of combat for the duration. the length of time that something continues (durare )
The length of time during which water stands at or above the soil surface (inundation), or during which the soil is saturated As used herein, duration refers to a period during the growing season
The weighted average of the remaining maturity of the cash flows (discounted to present value) scheduled to be received under the instrument Duration is a calculation that seeks to measure the price sensitivity of a bond or a bond fund to changes in interest rates It measures bond price sensitivity to interest rate changes more accurately than maturity because it takes into account the time value of cash flows generated over the bond's life
The expected life of a fixed-income security considering its coupon yield, interest payments, maturity, and call features As market interest rates rise, the duration of a financial instrument decreases See Macaulay duration
A measure of the price sensitivity of fixed-income securities for a given change in interest rates
The duration of an event or state is the time during which it happens or exists. He was given the task of protecting her for the duration of the trial Courses are of two years' duration
Used in Summary to denote the length of a period of time in seconds For example, the duration of a Gap in Service is listed in hours: minutes: seconds
The state or quality of lasting; continuance in time; the portion of time during which anything exists
Duration is a measure of interest rate risk The greater the duration of a bond, or a portfolio of bonds, the greater its price volatility will be in response to a change in interest rates A bond's duration is inversely related to interest rates and directly related to time to maturity
[ du-rA-sh&n also dyu ] (noun.) 14th century. From :
1350–1400; ME < ML dūrātiōn- (s. of dūrātiō), equiv. to L dūrāt(us) (ptp. of dūrāre to last; see dure 2 ) + -iōn- -ion