Equity Duration: Updated Duration of the S&P 500
12 Pages Posted: 14 Oct 2010
Date Written: September 12, 2010
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
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