Portfolio duration
The weighted average duration of the issues held, where the weight is each position's share of market value.
Formula
D_{p} = \sum_{i} w_{i}\,D_{i}Weights are taken by market value of the positions, not by the number of bonds: a large position in a short bond pulls the result harder than a small one in a long bond.
How to read the number
A single number answering how far the portfolio falls when the whole curve shifts.
When the metric lies
It holds only for a parallel shift. If the short end has moved and the long end has not, portfolios with identical duration behave differently.
Also known as: average portfolio duration