Generally, the period of time that an investor must wait, on average, to receive the returns from the investment, sometimes also called average period of capital commitment, economic run time, average maturity, average self-liquidation period, and average remaining commitment period. – Commitment period of the capital invested in a fixed-income security or security asset. The duration is shorter than the remaining running time, due to interim interest payments on the invested capital. – When interest rates fall, there is an incentive to include securities with the longest possible remaining term in the portfolio. This is because they post disproportionately high price gains (above-average market profit) when yields fall. – Weighted average maturity of all payments (interest, redemption) of a fixed-income security. – The calculated remaining running time of a bond. If the yield changes by plus one percent, the price of the bond falls by the amount of the duration. – See credit risk arbitrage, maturity risk, interest rate risk. – Cf. Deutsche Bundesbank Monthly Report, October 2006, p. 41 (with reference to inflation-indexed government bonds).
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University Professor Dr. Gerhard Merk, Dipl.rer.pol., Dipl.rer.oec.
Professor Dr. Eckehard Krah, Dipl.rer.pol.
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Passende Formel
Macaulay-Duration
Die durchschnittliche kapitalgewichtete Bindungsdauer einer Anleihe bestimmen.
Variablen: CFt Cashflow in t; y Rendite; P Kurs; t Zahlungszeitpunkt.
Anwendung: Für Zinsrisikoanalyse und Laufzeitvergleich festverzinslicher Wertpapiere.