Macaulay and Modified duration in bond and debt mutual funds

Mon, 18 May 2026 00:00:00 +0000

Macaulay duration is the weighted-average time to receipt of cash flows from a bond portfolio. Modified duration measures the bond-price sensitivity to interest-rate changes. Both are critical metrics for evaluating debt mutual funds and their rate-cycle positioning.

Macaulay duration

Definition

Macaulay duration = Sum of (Time × Present Value of Cash Flow) / Total Bond Price

It represents the weighted-average time (in years) for which the investor must wait to receive the bond’s cash flows.

Macaulay duration in debt mutual funds

Tue, 12 May 2026 00:00:00 +0000

Macaulay duration is the weighted average time until a bond’s cash flows (coupon payments and principal repayment) are received, where each cash flow is weighted by its present value as a proportion of the bond’s total present value. The concept was introduced by Frederick Macaulay in 1938. Measured in years, it is the foundational duration measure in fixed-income analysis and the metric used by SEBI to define the investment mandate of Indian debt mutual fund categories.

Macaulay Duration on WebNotes

Macaulay and Modified duration in bond and debt mutual funds

Macaulay duration

Definition

Macaulay duration in debt mutual funds