Interest Rate Sensitivity
Instructions
The Interest Rate Sensitivity widget allows investors to estimate how sensitive a portfolios fixed income positions are to changes in the interest rate environment.
Interest rate sensitivity is estimated by calculating the Macaulay Duration for each fixed income holding in a portfolio. Using Macaulay Duration, we calculate the Modified Duration which is used to determine the Duration Effect from a given interest rate change. We then estimate each bond position’s Convexity by calculating the bond value given a small positive and negative interest rate change. Using a bonds calculated Convexity allows us to determine the Convexity Effect for a given interest rate change. The total estimated bond value change for a given interest rate change is then calculated by combining the Duration Effect and the Convexity Effect demonstrating a position or portfolio’s interest rate sensitivity.
To navigate to the Interest Rate Sensitivity widget, please take the steps outlined below.
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Select Performance & Reports > PortfolioAnalyst > Navigate to the Interest Rate Sensitivity widget.
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Alternatively, click Menu in the top left corner > PortfolioAnalyst > Navigate to the Interest Rate Sensitivity widget.
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Select the blue arrow icon in the top right corner to view additional details.
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A new page will populate with additional information regarding your interest rate sensitivity.
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Select the arrow icon to the left of the positions to populate additional details.
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Highlight your cursor over the graph to view market value of the currency.
Additional Resources
Learn About PortfolioAnalyst at IBKR Campus
Learn About PortfolioAnalyst for Advisors at IBKR Campus