What is duration?Duration
How sensitive a bond's price is to interest rates: a 1% rate move changes the price by roughly “duration” percent.
Learn “duration” in an animated lesson
- Bonds & Fixed IncomeDuration and Interest Rate Risk
For the same 1% rise in rates, a 10-year bond falls far more than a 1-year bond. Duration measures exactly this sensitivity.
- Hedging StrategiesHedging Interest Rate Risk: Duration and DV01
Bond funds fear rate hikes most. Selling Treasury futures by DV01 brings the portfolio's rate sensitivity down, but don't size it by market value.
Related terms
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Go to “Duration and Interest Rate Risk”