In FI mandates, I understand that Contingent Immunization(CI) assume that the ptf is actively managed as long as there is a surplus.
I read a set of notes including an example that said that when if manager expects interest rates to drop, they will reduce duration of ptf(w/o regard to duration of liability).
Now, under active management, Duration(ptf) does not have to match Duration(Liability); but why does the the manager look to increase duration of ptf on the back of expectation of interest rate drop?
If this question is unimportant, save us both a minute and say "ignore" :-)
Study together. Pass together.
Join the world's largest online community of CFA, CAIA and FRM candidates.