immunisation against IR exposure different, reading, manager, against

LBriscoe

Volume 6, reading 46 talks about analysing the breakdown of the sources of fixed income portfolio returns and questions whether the manager's performance was in line with stated objectives.

if data is given for different portfolios how do we assess whether the portfolio is immunised against IR exposure??

ll11

I haven't reviewed this yet, but I would assume that you would need to see that the portfolio is being managed against a liability, and that the portfolio's duration and maturity are very close to that liability. That's my best guess.

justin88

this is in relation to portfolio attribution ... for fixed income portfolios... volume 6 material... there are examples in the CFAI text which ask whether the stated objective of 'immunising the portfolio against IR exposure' has been met.

the text does not answer this question directly!

Windjam

as simple as that?

thanks