FixedFlow Securities
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Duration

A measure of how sensitive a bond's price is to a change in interest rates.

Macaulay vs. modified duration

Macaulay duration measures the weighted-average time, in years, until you receive a bond's cash flows. Modified duration adjusts that figure into a more directly useful number: the approximate percentage change in a bond's price for a 1% move in interest rates.

A rule of thumb

A bond with a modified duration of 5 will move roughly 5% in price for every 1% change in interest rates, in the opposite direction: rates up, price down. Longer-tenor and lower-coupon bonds generally have higher duration, and therefore more interest-rate risk, than shorter or higher-coupon ones.