Duality transformations with respect to rotational isometries relate supersymmetric with non-supersymmetric backgrounds in string theory. We find that non-local world-sheet effects have to be taken into account in order to restore supersymmetry at the string level. The underlying superconformal algebra remains the same, but in this case T-duality relates local with non-local realizations of the algebra in terms of parafermions. This is another example where stringy effects resolve paradoxes of the effective field theory. (Contribution to the proceedings of the Trieste conference on S-Duality and Mirror Symmetry; to appear in Nucl Phys B Proc Suppl)

19 pages, latex, no figures