定義
A measure of how a bond's duration itself changes as interest rates move, capturing the curvature in the price-yield relationship that duration alone cannot describe.
Duration gives a useful first approximation of how a bond's price responds to rate changes, but it assumes a straight-line relationship between rates and prices. In reality, that relationship curves, and convexity measures that curve. A bond with higher convexity gains more in price when rates fall than it loses when rates rise by the same amount, which is generally a favorable characteristic for investors.
Think of it this way: two bonds might share the same duration, but the one with greater convexity behaves better across a wider range of rate environments. Families evaluating bond portfolios as part of a broader asset allocation strategy may find convexity particularly relevant when rates are expected to move significantly in either direction.
A hypothetical example: consider a family foundation holding two bond portfolios with identical durations. Portfolio A has low convexity; Portfolio B has high convexity. If rates fall sharply, Portfolio B rises more in price. If rates rise sharply, Portfolio B falls less. That asymmetry has real value. A common confusion is treating convexity as purely a technical refinement. In volatile rate environments, it can meaningfully affect realized returns and is worth understanding before comparing bond strategies.
最終レビュー日 August 25, 2026 · 編集方針