Fund Data Converter
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OFRE000335 – Average Effective Duration
A measure of the interest rate sensitivity (net / option-adjusted) of the fund. Applicable to bond funds investing in bonds (including convertibles) with a fix maturity/call date. Option-adjusted (net) figures. Calculation methodology should be in line with the standards of the asset manager and the resulting fixture should be aligned to other publications (e.g. Factsheets). If the underlying bonds do not include embedded options, the modified duration can be used. In case of callable bonds, the first call date should be used for the calculation.
The Morningstar definition (as per 30.04.2018) can be used as a reference: “A holding weighted average of effective duration, a measure of duration that accounts for embedded options, which measures the percentage change in value of the portfolio for a change in interest rates or yield, expressed as a ratio.” If the bonds do not include embedded options, the modified duration can be used. The CFI (Corporate Finance Institute®) provides further details on its webpage (https://corporatefinanceinstitute.com/resources/fixed-income/duration/).
| Property | Value |
|---|---|
| OF-ID | OFRE000335 |
| Name | Average Effective Duration |
| Area | Fund ratios and exposures |
| Level | Fund |
| Format | Decimal number |
| Tags | Ratios and Exposures |
| Introduced in | openfunds 1.26 |
Values
Decimal figure, rounded to maximal 7 digits after the decimal point.
Example
4.5
FundsXML 4 mapping
FundsXML 4.2.11 has no element for this field. The converter keeps the value as CustomAttributes/Attribute named OF_OFRE000335 on the share class (or position), so FundsXML → openfunds restores it unchanged.
The field mapping table lists every field; openfunds to FundsXML explains the rules behind it.
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