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I checked the bond index prospectus and the language was similar but they removed the 20% cutoff presumably to a much lower and non-material number.

Second looking at some of the funds there is the call risk which gives the funds some negative convexity. This is especially more of an issue when corporate debt and CMO's show up in the index funds.

Also the funds might have be given a single weighted duration but the actual durations of the bonds along the term structure will be affected by twists in the yield curve differently (key rate duration are needed). Also with the call option effect of certain bonds and mortgage backed securities there should be differences between funds. My point is that duration is a linear approximation good for only 50bp of yield change on a parallel shift of the curve.

Anyway these are the sorts of things I want to look at (as well as the aforementioned use of derivatives) at least more my own education on bond portfolio management but I am having a hard time following the discussion as posted. Is there a way to post your data points in a table format? That would help me gain a better understanding of where to poke and prod :)) Not that in the end I will have added value but I will give it a try.

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