Value Investing Is there a way/place to easily calculate/see the implied equity duration or interest rate sensitivity of a stock? |
| Posted: 17 Sep 2021 05:17 PM PDT Is there a way/place to easily calculate/see the "duration" (or similar proxy) or interest rate sensitivity of a stock (eg. in a similar way to how morningstar's website displays the effective and modified duration for most fixed income ETFs ( https://www.morningstar.com/etfs/arcx/gbil/portfolio ))? Basically want to get a sense of "If 10yr UST rates rose by 1%, by how much % would the S&P 500 or and individual stock's price decline?" Some things I'm reading/skimming through ATM...
"Taken together, these findings suggest that the Fama-French factor B/M ratio might be a simple proxy for a more fundamental cash-flow risk factor captured by the equity duration.", https://risk.edhec.edu/sites/risk/files/EDHEC_Working_Paper_A_New_Measure_of_Equity_Duration_F.pdf (2011) Though I'm assuming they mean B/P as an inverse proxy in this paper: "The pronounced negative correlation of -0.40 between equity duration and B/M matches with the approximation of (6) and the interpretation that the B/M ratio is a simple proxy for equity duration." (ie. you would take the P/B and multiply by the pps change) ...but even then, IDK that JPM's equity duration is going to play out to be 1.86yrs (or even just 2x that) if 10yr interest rates where to spike 1%. [link] [comments]  |
| Investing with Caution w/ Howard Marks (TIP378) Posted: 17 Sep 2021 08:06 PM PDT |
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