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Here's a point I was trying to make. The NAV is the same regardless of whether your are calculating the 30-Day yield or the 30-Day SEC yield. Its the numerator that affects the difference between the two.

Assume that the bond starts at par and in the future either trades at a discount (rising rates) or a premium (falling rates). Note that this is just the annual yields not the 30 day yields for simplicity sake.
                   Par          Discount     Premium
Bond Descprition
Coupon 7.00% 7.00% 7.00%
Maturity (years) 8 8 8
Payment Semi-Annual Semi-Annual Semi-Annual
Current Price 100 94.17 102.5
Rising IR Falling IR

Current Yield 7% 7.43% 6.83%

Yield to Maturity
n 16 16 16
pmt $3.50 $3.50 $3.50
fv $100 $100 $100
pv $100 $94.17 $102.50

YTM 7% 8% 6.59%

As you can see the YTM is more sensitive to changes in the interest rates than the current yield measure. I don't think one has to complicate this with replacing bonds in the portfolio. The 30-Day SEC yield incorporates the change in the price of the bonds and the 30-Day Current Yield does not.

Now I am not sure this is helping determine NAV sensitivity which by your post you are more interested in predicting but I was trying to discern between the SEC yield and the distribution yield. I feel better just understanding the terminology used before digging to deep which really envolves key rate durations and twists in the yield curve which the weighted average duration is not nearly as helpful for.

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