The November 26, 1990, issue of BondWeek includes an article, “Van Kampen Merritt Shortens.” The article begins as follows:
“Peter Hegel, first V.P. at Van Kampen Merritt Investment Advisory, is shortening his $3 billion portfolio from 110% of his normal duration of 6½ years to 103–105% because he thinks that in the short run the bond rally is near an end.”
Explain Hegel’s strategy and the use of the duration measure in this context.