Disclosed Duration and Realized NAV Risk in Indian Target Maturity Debt Funds: A Public-Data Pilot Study of Target Maturity Funds, Stress Loss, and Proxy Yield Sensitivity

<p>This paper develops a public-data framework for evaluating disclosed duration and realized NAV risk in Indian target maturity debt funds. The study combines factsheet-reported modified duration, AMFI daily NAV histories, manually downloaded Indian government yield proxies, and reproducible Python outputs to examine three questions. First, do higher disclosed durations correspond to higher realized NAV volatility and drawdown? Second, how large are first-order stress losses under parallel yield shocks of 25–200 basis points? Third, do daily NAV returns display measurable sensitivity to daily changes in matched Indian government yield proxies?</p> <p>The pilot sample contains eight target maturity funds and ETFs spanning 2026, 2027, 2030, and 2031 maturity buckets. The results show that disclosed modified duration is strongly associated with NAV risk in rank terms: Spearman rho is approximately 0.80 for annualized NAV volatility and absolute maximum drawdown, with p-values of approximately 0.017. First-order duration stress indicates estimated losses of -4.58% for the longest-duration fund under a +100 bps yield shock and -9.16% under a +200 bps shock. Proxy realized-duration regressions produce positive duration estimates for seven funds, with the strongest explanatory power for the ICICI Prudential Nifty G-Sec Dec 2030 Index Fund.</p> <p>A separate fund-structure puzzle emerges: the BHARAT Bond ETF April 2030 and BHARAT Bond FOF April 2030 report the same modified duration, but the FOF exhibits materially higher annualized NAV volatility and maximum drawdown, while the 5-year yield proxy explains very little of its daily NAV movement. The paper contributes a transparent, reproducible pilot framework for distinguishing disclosed duration, observed NAV risk, and proxy rate sensitivity in Indian passive debt products. It is not investment advice and should be read as a methodological working paper.</p>