Equity Duration of the S&P 500: Latest Updates
9 Pages Posted: 18 Jun 2012
Date Written: June 17, 2012
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: Suggested Citation