Equity Duration of the S&P 500: Latest Updates

9 Pages Posted: 18 Jun 2012

See all articles by David M. Blitzer

David M. Blitzer

Standard & Poor's - Index Committee

Frank Luo

Standard & Poor's

Aye M. Soe

Standard & Poor's

Date Written: June 17, 2012

Abstract

Annually, S&P Indices publishes an updated report and 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. Based on our model, we estimate the duration of the S&P 500 to be 25 years as of year-end 2011. This estimated duration has retreated substantially from the previous peak of 45 years in 2008, but has risen from the low of 21 years in 2010.

Keywords: S&P 500, Equity Duration, Pension Fund, Asset Allocations

JEL Classification: G11, G23

Suggested Citation

Blitzer, David M. and Luo, Frank and Soe, Aye M., Equity Duration of the S&P 500: Latest Updates (June 17, 2012). Available at SSRN: https://ssrn.com/abstract=2085954 or http://dx.doi.org/10.2139/ssrn.2085954

David M. Blitzer

Standard & Poor's - Index Committee ( email )

55 Water Street
New York, NY 10041
United States

Frank Luo (Contact Author)

Standard & Poor's ( email )

55 Water Street
New York, NY 10041
United States
212-438-5057 (Phone)

Aye M. Soe

Standard & Poor's ( email )

London EC2M 7NJ
United Kingdom

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