A bond ETF with a duration of 17 years loses roughly 17% when rates rise 1%p. Korea's 30-year government bond yield rose 1.459%p this year — and the ETFs tracking it fell 25.39% on average. Here is the arithmetic behind that.
A bond with a modified duration of 6.5 years gains roughly 6.5% when yields fall one percentage point. Here is why duration, not maturity, sets the swing — with coupon-by-coupon calculations.
A bond with a modified duration of 5 loses about 5% when market rates rise 1 percentage point. Here is how Macaulay and modified duration differ, with a calculated table of price moves.