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Duration of U.S. Equities – II

How sensitive are stocks to changes in interest rates?

Nicolas Rabener
10 min read
12 Feb 2024

SUMMARY

  • There are multiple ways to measure interest rate sensitivities
  • “High-duration” stocks like tech and biotech were not more sensitive to rising rates
  • The relationship between interest rates and stocks is weak

INTRODUCTION

In our first article on the duration of U.S. equities (read Duration of U.S. Equities) we concluded that the interest rate sensitivity of the stock market ranged significantly between 1973 and 2023, which was difficult to explain and also questioned the usefulness of such information. Furthermore, we observed that factors like value or momentum did exhibit different sensitivities, but almost all sectors showed the same trends in sensitivity as the S&P 500.

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