Loki - I need to walk through this just a bit slower. When you got the 11.9% change in NAV, you lost me.Inputs/data - Duration 7.33 years, Price = $10.48 & Yield 4.83%Increase yield by 1% or 100 basis points.Question - what is change in price?(-7.33) * [(0.0483 - 0.01) divided by (1.0483)]is -0.267 or 26.7% price decrease.I must have the wrong formula, taxes must enter in or else my calculator is out to get me.Can you try a bit slower?Mia culpa. I must have misread the duration. 7.33 is sort of a longish intermediate fund duration.For interest rate risk formula on a fund, you don't need to know the current yield, just the duration. You multiply the duration times the change in basis points. So the correct interest rate risk for this fund would be 7.33% loss to NAV if relevant interest rates went up by 100 basis points. Glossing change in relevant interest rates as change to the fund's yield may or may not be a good approximation. I think the approximation works well for a Treasury fund or probably for a fund that is mostly Treasury and high grade corporate. When you start factoring default risk, approximations get dicey.The change in NAV is really the change in value of the fund's bond holdings. The value of the bonds changes with both interest rates and default risk (and call and refinancing risk).
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