A portfolio's modified duration is the market-value-weighted average of its holdings' durations, and multiplying it by the portfolio's value gives the pound move a one per cent shift in yields would produce — a measure of interest-rate sensitivity, not a statement that the money is safe.
One duration for the whole portfolio
Each gilt has its own modified duration, and the portfolio view lists it for every holding in the risk and carry view. The portfolio as a whole has one too, built by weighting each holding's modified duration by the share of market value it makes up. A portfolio half in a gilt of duration four and half in a gilt of duration twelve has a weighted duration of eight, whatever the two gilts' coupons or maturities. The weighted figure is the single number that describes the portfolio's interest-rate sensitivity.
The same view carries the DV01 for each holding and a total across the positions: the money value of a single basis point of yield. The weighted duration and the total DV01 are two views of the same sensitivity — one in years, one in pounds — and the pound figure is the more concrete of the two when the question is what a move costs.
The weighting is by market value, not by nominal, because the sensitivity that matters is to the money at risk. A small nominal of a long gilt can carry more duration-weighted value than a large nominal of a short one when the long gilt's market value is the larger. Weighting by market value is what makes the portfolio's single figure the sum of the exposure each holding actually contributes.
The pound move for a one per cent move
Multiplying the weighted duration by the portfolio's market value gives the money move a one per cent move in yields would produce. The rule is the same as for a single gilt: the percentage change in value is roughly the modified duration times the yield change. The table below runs it through with round numbers that are illustrative and not from any portfolio or report: a market value of £250,000 and a weighted modified duration of 9.5 years.
| Input or result | Value | Working |
| Portfolio market value | £250,000 | illustrative |
| Weighted modified duration | 9.5 years | illustrative |
| DV01 (per basis point) | £237.50 | 9.5 × £250,000 ÷ 10,000 |
| Parallel move in yields | +1.00 percentage point | a 100 basis-point rise |
| Approximate value change | −£23,750 | −9.5% × £250,000 |
| Approximate new value | £226,250 | £250,000 − £23,750 |
The same arithmetic runs the other way for a fall in yields: a one per cent fall would add roughly £23,750 rather than subtract it. The DV01 gets there in smaller steps — a hundred times £237.50 is £23,750 — which is why the two figures agree, one for a basis point and one for a percentage point.
Yield up, price down
The direction is fixed and worth stating plainly: because a gilt's coupon does not change when the market's required yield does, a rising yield means a falling price and a falling yield means a rising price. A portfolio's duration does not tell you which way yields will go; it tells you how much the value moves if they go either way. That is what makes it a measure of risk rather than a forecast — it sizes the exposure without guessing its direction.
What duration does not measure
The pound move above is a first-order estimate, faithful for a parallel shift in which every point on the curve moves by the same amount, and less so for anything else. Three things sit outside it. A move that changes the shape of the curve moves a portfolio by less than its duration suggests on some holdings and more on others, because each gilt's yield changes by a different amount; the daily yield change per holding is the figure that records that. The estimate ignores convexity, so a large move produces a price change a little smaller than the linear figure. And duration says nothing about when the cash arrives — a portfolio of the same duration can have its redemptions bunched into one year or spread across many, and that timing is a separate question.
The practical upshot is that portfolios can be compared on the figure even when their holdings differ. A portfolio weighted to long gilts carries a higher duration and a larger pound move per point than one weighted to short gilts, and the number says so in advance. What to do with that is not a question the figure answers — it describes the exposure, and how much exposure to hold is a decision that belongs to the reader and, where it matters, to advice taken elsewhere.
A short duration is not a safe holding and a long duration is not a reckless one. Duration describes how much the value responds to a given yield change, in either direction; it is a measure of sensitivity, not a rating.
Background, not advice
This explains how a portfolio's weighted modified duration turns into a pound move for a one per cent change in yields, and what that measure leaves out; it is general background, not investment, tax or legal advice for any reader's circumstances. The figures above are illustrative, and the authoritative weighted duration and DV01 for a real portfolio are the ones the site computes from its trades at the day's report, with each gilt's yield taken from the gilt yield curve and its points. A duration-scaled pound move is an estimate of sensitivity, not a promise about what the portfolio will be worth.