Contingent Immunization


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?

Seriously, what is your question ?

Where did you read this?

It makes no sense; if you expect rates to drop, you want to increase the duration of your portfolio, not decrease it.

Stop reading that person’s notes lol