This chapter describes the challenges of managing interest rate exposure within high-yield bond portfolios. It identifies the complexities of traditional hedging techniques and the unique dynamics of high-yield bonds, particularly the interaction between interest rate changes and credit spreads. The case explores the theoretical underpinnings of hedging strategies, practical applications, and the often counterintuitive outcomes of conventional duration-based approaches. The case begins with explaining hedging objectives, such as minimizing portfolio variance through an optimal hedge ratio. For high-yield bonds, duration—a measure of sensitivity to interest rates—is traditionally used to calculate this ratio. However, the case demonstrates that high-yield bonds often behave differently due to the inverse relationship between interest rate changes and credit spreads. This phenomenon, driven by market responses to economic conditions, results in an empirical duration for high-yield bonds that is much lower—and sometimes even negative—than the analytical duration. Using the Bloomberg U.S. Corporate High-Yield Bond Index as a case study, the analysis illustrates how hedging with Treasury futures based on duration often leads to increased portfolio volatility, contrary to the intended purpose.