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The M* analyst writeups won't give you all this detail either. But they often highlight significant factors in bond fund portfolios so that you know more of what to expect of the fund's reaction to market changes. The Vanguard piece also helps explain why I'm interested in knowing things like use of interest only bonds and why I repeatedly assert that investing in mortgage bonds in particular is not as simple as looking at duration and yield."[W]e offer this brief paper as a fundamental, rather than a comprehensive, overview of the topic ... Duration ... captures only one aspect of the relationship between bond prices and interest... some bonds, such as callable bonds and mortgage-backed securities, have negative convexity at lower interest rate levels. ...
"During the period from October31, 2007, through March 31, 2010, the duration of the GNMA portfolio— ... was significantly more volatile than that of the Treasury portfolio even though the initial durations were approximately the same. This difference in duration is due in part to the negative convexity of GNMA bonds rate changes."
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