Transparent method
The formula
Worked example
Example inputs
How to interpret the result
A portfolio's weighted duration isn't a simple average of its individual bonds' durations, it's weighted by each position's actual dollar value, so a small position with a very long duration contributes far less to the portfolio's overall rate sensitivity than a large position with a moderate duration, and treating them as equally influential misreads the real risk.
Before you rely on it
What to check
Confirm the duration weighting reflects each bond's actual dollar position size, not an equal-weighted or count-based average across the holdings.
The common error
Where people go wrong with bond portfolio duration calculator
Averaging individual bond durations without weighting by position size. A small position with an unusually long duration can distort a simple average, when its actual dollar contribution to overall portfolio rate risk is much smaller than that duration alone suggests.
Sensitivity evidence
How bond a market value changes the weighted modified duration
| Bond A market value | Weighted modified duration | Portfolio DV01 | Total bond value |
|---|---|---|---|
| $40,000 | 7.0 years | $99 | $140,000 |
| $45,000 | 6.9 years | $101 | $145,000 |
| $50,000worked example | 6.8 years | $103 | $150,000 |
| $55,000 | 6.7 years | $105 | $155,000 |
| $60,000 | 6.7 years | $107 | $160,000 |
Every input, tested
Which input moves the weighted modified duration most
| Input | Tested from | To | Weighted modified duration at each end | Swing |
|---|---|---|---|---|
| Bond B modified duration | 5.0 years | 9.0 years | 5.8 years to 7.8 years | 2.0 years (29%) |
| Bond C modified duration | 9.0 years | 15.0 years | 6.3 years to 7.3 years | 1.0 years (15%) |
| Bond A modified duration | 3.0 years | 5.0 years | 6.5 years to 7.2 years | 0.7 years (9.8%) |
| Bond A market value | $45,000 | $55,000 | 6.9 years to 6.7 years | 0.2 years (2.8%) |
| Bond C market value | $22,500 | $27,500 | 6.7 years to 6.9 years | 0.2 years (2.5%) |
| Bond B market value | $67,500 | $82,500 | 6.8 years to 6.8 years | 0.0 years (0.2%) |
Two variables at once
Weighted modified duration by bond a market value and bond a modified duration
| Bond A market value \ Bond A modified duration | 2.0 years | 4.0 years | 6.0 years |
|---|---|---|---|
| $40,000 | 6.5 years | 7.0 years | 7.6 years |
| $45,000 | 6.3 years | 6.9 years | 7.6 years |
| $50,000 | 6.2 years | 6.8 years | 7.5 years |
| $55,000 | 6.0 years | 6.7 years | 7.5 years |
| $60,000 | 5.9 years | 6.7 years | 7.4 years |
Step by step
The worked example, input by input
| Input | Value used |
|---|---|
| Bond A market value | $50,000 |
| Bond A modified duration | 4.0 years |
| Bond B market value | $75,000 |
| Bond B modified duration | 7.0 years |
| Bond C market value | $25,000 |
| Bond C modified duration | 12.0 years |
| Weighted modified duration | 6.8 years |
| Portfolio DV01 | $103 |
| Total bond value | $150,000 |
Where the inputs come from
Enter the market value and modified duration of each bond or bond fund in the portfolio. Use current market values, not face values, since duration weighting depends on the size of each holding, and take durations from the fund's fact sheet or your own calculation. The tool handles three holdings, so group similar ones. Durations must be modified durations, in years, on the same yield basis.
Using the weighted modified duration in a real decision
Compare it with your time horizon: matching duration to the date you need the money reduces the effect of rate moves.
When the result stops applying
The portfolio measure assumes all yields move by the same amount, but short and long rates often move differently. Bonds with embedded options change duration when rates move. Credit spreads, inflation and currency add other risks not captured. A single number hides the concentration of risk in the longest holding.
What to compare it with
Get each bond's duration on the bond duration calculator, and refine the effect of large moves on the convexity page. The DV01 calculator scales the risk into dollars, and the bond ladder page builds a portfolio of maturities. Rebalance when duration drifts from your target.
People also ask
Frequently asked questions
What is portfolio duration?
A weighted average of the durations of the bonds in the portfolio, showing how much the portfolio's value should change for a change in interest rates.
What duration should my portfolio have?
One that matches your time horizon. Shorter durations reduce rate risk, and longer durations pay more yield but fluctuate more.
How do I lower my duration?
Shift toward shorter maturities or higher coupon bonds, or use a short-term bond fund. Selling the longest holdings has the biggest effect.