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The duration of an equity is a noisy analogue of the Macaulay duration of a bond, due to the variability and unpredictability of dividend payments. The duration of a stock or the stock market is implied rather than deterministic. Duration of the U.S. stock market as a whole, and most individual stocks within it, is many years to a few decades.
The modified Dietz method [1] [2] [3] is a measure of the ex post (i.e. historical) performance of an investment portfolio in the presence of external flows. (External flows are movements of value such as transfers of cash, securities or other instruments in or out of the portfolio, with no equal simultaneous movement of value in the opposite direction, and which are not income from the ...
This will give modified duration a numerical value close to the Macaulay duration (and equal when rates are continuously compounded). Formally, modified duration is a semi- elasticity , the percent change in price for a unit change in yield, rather than an elasticity , which is a percentage change in output for a percentage change in input.
A refinement of the simple Dietz method is the modified Dietz method, [3] which takes available information on the actual timing of external flows into consideration. Like the modified Dietz method, the simple Dietz method is based on the assumption of a simple rate of return principle, unlike the internal rate of return method, which applies a ...
An example of semi-elasticity is modified duration in bond trading. The opposite definition is sometimes used in the literature. That is, the term "semi-elasticity" is also sometimes used for the change (not percentage-wise) in f(x) in terms of a percentage change in x [ 9 ] which would be
From the IS4S Salute to Veterans Bowl on Dec. 14 to the College Football Playoff National Championship Game on Jan. 20, 82 teams will play in at least one postseason game.
See today's average mortgage rates for a 30-year fixed mortgage, 15-year fixed, jumbo loans, refinance rates and more — including up-to-date rate news.
The two teams were tied 21–21 at halftime before Louisville scored the next two touchdowns. The Cardinals took a 35–21 lead with two minutes remaining in the third quarter on a 54-yard run ...
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