Macaulay duration

Macaulay duration

The weighted-average term to maturity of the cash flows from a bond, where the weights are the present value of the cash flow divided by the price.
Mentioned in ?
References in periodicals archive ?
Mumbai: LIC Mutual Fund announced on Friday the launch of LIC MF Short Term Debt Fund- an open-ended short-term debt fund scheme investing in instruments Macaulay duration between 1 year and 3 years opportunities.
The fund is beneficial for the investors who are looking for reasonable returns over short to medium term and investment in debt securities and money market instruments with a Macaulay duration between 1 year and 3 years.
Macaulay duration is a measure of the average life of a cash flow.
Macaulay duration is the average time of a cash flow weighted by the value (cash flow) of each period.
Macaulay Duration (Years') = [[summation].sup.n.sub.i=1][time.sub.i] x [PV of Cash [Flow.sub.i]]/[pV of All Cashflows].
Treasury bonds from the data sources described in the previous section, we compute the Macaulay duration of each bond each month to form a monthly time series of the aggregate duration risk of U.S.
This version of duration is more formally known as Macaulay duration, named for Frederick Macaulay, who derived it in a paper published in 1938.
When it comes to immunization or related techniques, practitioners use the duration tool (especially Macaulay duration) more frequently than the interest rate elasticity itself.
This model may be a formal equilibrium- or arbitrage-based model, or it may be an ad hoc statistical model.(4) The most widely used method for hedging bond portfolios is duration immunization, which matches the Macaulay duration of assets and liabilities.
In its most basic form, "Macaulay duration," it is a measure of the effective maturity of an instrument.
When analyzing the interest rate sensitivity of a portfolio of assets, the most widely used measure, in part due to its simplicity, is the Macaulay duration of the portfolio.
The first clarification we need to make is that we did not employ Macaulay duration measures.