"If the investment horizon is equal to the Macaulay duration of the bond, the investors is hedged against interest rate risk". However, the above statement is only true if interest rates only change before first coupon payment is received.

Using the following bond to show that if interest rate increase 2% between first and second coupon payment dates, the investor is not hedged against interest rate risk:

A four-year 33.7% annual coupon paying bond is priced at 170.4255. The bond's Macaulay duration is 3.