Macaulay Duration
Macaulay duration is the present-value-weighted average time to receive a bond’s cash flows — duration in years, before the modified-duration hedge ratio.
Definition
Macaulay Duration refers to value-weighted average time to receive a bond’s cash flows — duration in years, before the modified-duration hedge ratio. Keep that definition fixed when comparing series, managers, or regimes — renaming the same tape does not create a new signal.
Why it matters
Duration, curve, and carry decide whether a macro view survives into P&L. When value-weighted average time to receive a bond’s cash flows — duration in years, before the modified-duration hedge ratio shifts, related hedges, limits, and narratives usually need an explicit update rather than a quiet assumption.
Case
Suppose a desk is positioned for the opposite of what macaulay duration is saying. If value-weighted average time to receive a bond’s cash flows — duration in years, before the modified-duration hedge ratio moves against that book, the first question is not “is the story clever?” but whether size, hedges, and stop logic still match the observation.
How to read it
Always state the tenor and roll-down assumption; parallel-shift shortcuts hide curve risk. Prefer a short written null hypothesis for Macaulay Duration: what would falsify the current reading in the next window?