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Duration as an Equity Factor

Selecting stocks based on their interest rate-sensitivity

Nicolas Rabener
10 min read
1 Apr 2024

SUMMARY

  • Stocks can have a high, low, or negative sensitivity to interest rates
  • The duration profile of stocks changes frequently
  • Having rates exposure in an equities portfolio is not necessarily a concern

INTRODUCTION

The goal of conducting research is to provide clarity by answering questions or confirming theories, but that is not always achieved. For example, we published two research articles on duration and equities (read Duration of U.S. Equities and Duration of U.S. Equities – II) in 2024, but these led to more questions and left us somewhat perplexed.

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