Equity Duration: Updated Duration of the S&P 500

12 Pages Posted: 14 Oct 2010

See all articles by Aye M. Soe

Aye M. Soe

Standard & Poor's

David M. Blitzer

Standard & Poor's - Index Committee

Srikant Dash

Standard & Poor's

Date Written: September 12, 2010

Abstract

Akin to the well-known concept of bond duration, equity duration measures the sensitivity of equities to interest rates. Although this field of research is relatively new and the concept is rarely used in practice, we believe equity duration is of significant importance in immunization, risk management, and asset allocation. Annually, S&P Indices publishes an updated report and a 37-year history of duration for the S&P 500. We acknowledge that equity duration estimation is an evolving science. We also believe that a regularly available and updated source of equity duration data will make this important metric more accessible for further research and practitioner use.

Keywords: equity duration,S&P 500, S&P 500 equity duration

Suggested Citation

Soe, Aye M. and Blitzer, David M. and Dash, Srikant, Equity Duration: Updated Duration of the S&P 500 (September 12, 2010). Available at SSRN: https://ssrn.com/abstract=1691209 or http://dx.doi.org/10.2139/ssrn.1691209

Aye M. Soe (Contact Author)

Standard & Poor's ( email )

London EC2M 7NJ
United Kingdom

David M. Blitzer

Standard & Poor's - Index Committee ( email )

55 Water Street
New York, NY 10041
United States

Srikant Dash

Standard & Poor's ( email )

London EC2M 7NJ
United Kingdom

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