An evaluation of contingent immunization

Antonio Díaz, María de la O González, Eliseo Navarro and Frank S. Skinner

Journal of Banking & Finance, 2009, vol. 33, issue 10, pages 1874-1883

Abstract: This paper tests the effectiveness of contingent immunization, a stop loss strategy that allows portfolio managers to take advantage of their ability to forecast interest rate movements as long as their forecasts are successful, but switches to a pure immunization strategy should the stop loss limit be encountered. This study uses actual daily transactions in the Spanish Treasury market covering the period 1993-2003 and uses performance measures that accounts for skewness and kurtosis as well as mean variance. The main result of this paper is that contingent immunization provides excellent performance despite its simplicity.

Keywords: Immunization; Contingent; immunization; Active; portfolio; management (search for similar items in EconPapers)
Date: 2009

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Persistent link: http://EconPapers.repec.org/RePEc:eee:jbfina:v:33:y:2009:i:10:p:1874-1883

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