I have a spreadsheet where for each position, principal cost*days to remaining to maturity = dollars days

then it sums up all the dollar days …then total dollars days / total principal cost = duration of portfolio

i was thinking this is more of a weighted average maturity (WAM) calculation

so, what I did was calculate the effective duration for each position (V+ - V-)/(2*V0*change in yield) …then effective duration*weight of portfolio …summed it all up and I got a value that was practically identical to the WAM calculation

Why is this so? Is it because the change in yields weren’t large enough? Or is it because the most of the positions aren’t long in maturity (portfolio concentrated in 2 and 5 yr buckets)

ya theyre not identical…the WAM is 257.74 days, the WA Duration is 258.72 days…so is it typical to be close when the portfolio doesnt have long maturities?