* The concept of duration has attained a significant place in the finance literature since its introduction by Macaulay more than forty years ago.' During the same time, duration has attained unparalleled acceptance as a practical technique for the management of bond portfolio risk.2 Because of the important role of duration in bond portfolio management, it is crucial that duration oriented strategies be implemented as effectively and efficiently as possible. To that end this paper explains the important role that interest rate futures can play in bond portfolio management. Basically, the strategy advanced here