Duration of U.S. Equities

How sensitive are stocks to changes in interest rates?

Nicolas Rabener
10 min read
8 Jan 2024

SUMMARY

  • Sectors and factors were not very sensitive to changes in interest rates on average
  • However, the averages are misleading as the sensitivity varies significantly over time
  • The duration of factors was more dispersed than that of sectors

INTRODUCTION

If equity investors are from Mars, then fixed-income investors are from Venus. Despite nearly all investors holding various combinations of stocks and bonds, the terminology of the asset class specialists seems as if they are from different planets. Equity investors talk about valuation multiples, sectors, and factors, while fixed-income investors discuss yield, credit spreads, and time to maturity.

Keep reading with Institutional

Includes the full research library of 400+ articles, plus Returns Analyzer and Risk Analytics for return and risk contribution analysis.