How to assess modified duration of equities’ investment styles?

Posted on 21. Dec, 2017 by Jean Jacques Ohana in Weekly Focus

By Jean-Jacques Ohana, CFA and Dr. Christian Witt, 18th December 2017.

The dependency of an equity portfolio to sovereign bonds is an important issue for investors in several ways. One is to use the bond sensitivity of equities to explain excess return coming from bond duration. Another one is to play the direction of interest rates [...]