Measuring the duration of an internationally diversified bond portfolio - The conventional measure is meaningless.

The authors explain how the duration of an international bond portfolio is commonly calculated, and then critique the common practice. They discuss various ways of defining duration of an international portfolio, depending on what the measure is to be used for, and describe an adjusted measure of duration useful for foreign bonds held in a substantially U.S. portfolio. The authors then explain how to calculate this adjusted duration and present estimates of the adjustment factor for various bond markets. Limitations of the practical implementation of their proposed measure are discussed.