Co-founder, Bernstein-Macaulay Inc., New York
In 1938, economist and writer Frederick Macaulay introduced a method for determining price volatility of bonds, now frequently referred to as Macaulay's duration.
The concept, introduced in Mr. Macaulay's influential book, "The Movements of Interest Rates, Bond Yields, and Stock Prices in the United States Since 1865," was designed to help with bond portfolio management by measuring the timing of principal and interest payments. At the time, bond interest rate volatility wasn't much of a concern because of regulation, but interest picked up in the 1970s, when rates began to rise substantially.
The concept of duration is still used today.
Mr. Macaulay was a co-founder and vice president of Bernstein-Macaulay Inc., a New York investment firm that became a subsidiary of Carter, Berlind, Weill & Levitt Inc. in 1967; that firm subsequently was acquired by another company and became part of Hayden, Stone Inc. He retired from Bernstein-Macaulay in 1961.
Neil Record, chairman of Record Currency Management Ltd., Windsor, England, noted that while Mr. Macaulay isn't so well known as William Sharpe and Harry Markowitz, Mr. Macaulay developed his measure of bond duration when the investment industry and financial theory were very much in their infancy, and at a time it wasn't so easy to calculate.
Mr. Macaulay died in 1970; he was 88.