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Aside from everything else going on in this thread, I would like to see any Lipper data on duration. And I would like to be able to screen on their duration numbers the way I can screen on many other factors.
I suspect Lipper doesn't provide duration (neither modified nor effective). Looking at its category definitions, one sees that they're based on average maturity, not average duration. For example:
Short Investment Grade Debt Funds: Funds invest primarily in investment grade debt issues (rated in top four grades) with dollar-weighted average maturities of less than three years.
Contrast that with the way M* uses duration in its definitions of categories, e.g.
Short-Term Bond Short-term bond portfolios invest primarily in corporate and other investment-grade U.S. fixed-income issues and typically have durations of 1.0 to 3.5 years. ... Morningstar calculates monthly breakpoints using the effective duration of the Morningstar Core Bond Index in determining duration assignment. Short-term is defined as 25% to 75% of the three-year average effective duration of the MCBI.
Worth noting, since you're interested in screening based on duration, is that effective duration for bonds with embedded options is not well defined. One can come up with different values for the same bond, let alone portfolio of bonds, depending on the pricing model used. This is a point I've made in other posts (not in this thread). As Nuveen writes:
Effective duration (sometimes called option-adjusted duration, or “OAD”) is the duration for a bond with an embedded option when the value is calculated to include the expected change in cash flow caused by changes in market interest rates. ... The particular model used to calculate OAD for the funds makes several assumptions, and is subjective, and may not be comparable to OADs calculated by others.
I realize you’re seeking screening sources. However, for plain ol’ duration it’s hard to beat Yahoo Finance. Terrific stats on funds - including average bond duration, average maturity, credit quality by tier, plus year-by-year fund returns all the way back to inception.
Sorry if redundant, but I couldn’t help mentioning it. Just Google the fund code followed by Yahoo Finance. After accessing a particular fund, click on the “holdings” tab at top of page to pull up duration, credit quality, etc.
Aside from everything else going on in this thread, I would like to see any Lipper data on duration. And I would like to be able to screen on their duration numbers the way I can screen on many other factors.
The Fidelity website allows filtering bond funds based on average duration ranges. Fidelity uses Morningstar data.
Go to https://fundresearch.fidelity.com/fund-screener. Select a Bond Asset Class and a Bond Category. Click the Filter icon in the upper-left part of screen. Click 'Income Characteristics'. Click 'Average Duration'. The Average Duration values and the number of corresponding funds is displayed on the left. To select additional criteria, click on 'View All' directly below.
@hank Yes. And I've learned--- SOMETIMES--- to just filter that junk out of the picture I choose to focus upon. As a result of reading this thread, I'm reminded of a smart but truly obnoxious classmate. I put up with him because for a period of time, we had no choice but to share the same pond. These days, I love the freedom I now possess to just call an asshole an asshole--- whether or not I let him or her know it. And I move on. Sometimes, I don't have to look very far to get constructively engaged again. Sorry, I have no data to share about bond durations. As long as my Fund Managers are dealing with that topic successfully, then I don't have to deal with it.
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Contrast that with the way M* uses duration in its definitions of categories, e.g. https://morningstardirect.morningstar.com/clientcomm/Morningstar_Category_Classification.pdf
Worth noting, since you're interested in screening based on duration, is that effective duration for bonds with embedded options is not well defined. One can come up with different values for the same bond, let alone portfolio of bonds, depending on the pricing model used. This is a point I've made in other posts (not in this thread). As Nuveen writes: https://www.cefconnect.com/closed-end-funds-glossary-of-terms#E
At least I can screen by rating. And I always look at the portfolios and theses anyway. I'll just have to look at a few more.
I realize you’re seeking screening sources. However, for plain ol’ duration it’s hard to beat Yahoo Finance. Terrific stats on funds - including average bond duration, average maturity, credit quality by tier, plus year-by-year fund returns all the way back to inception.
Sorry if redundant, but I couldn’t help mentioning it. Just Google the fund code followed by Yahoo Finance. After accessing a particular fund, click on the “holdings” tab at top of page to pull up duration, credit quality, etc.
Fidelity uses Morningstar data.
Go to https://fundresearch.fidelity.com/fund-screener.
Select a Bond Asset Class and a Bond Category.
Click the Filter icon in the upper-left part of screen.
Click 'Income Characteristics'.
Click 'Average Duration'.
The Average Duration values and the number of corresponding funds is displayed on the left.
To select additional criteria, click on 'View All' directly below.
Fidelity has a lot of funds. But is missing some that are available to me through my Vanguard IRA.
Yahoo finance is much easier to read than M*.