Liability-Driven and Index-Based Strategies

Free CFA Level III: Portfolio Management lesson in Liability-Driven & Index-Based Strategies. 20 min read, ~2,986 words.

Single-liability immunization requires PV assets ≥ PV liability, asset duration (or BPV) matched to the liability, asset convexity ≥ liability convexity, and convexity minimized to cap structural risk. Single-liability approaches span zero-coupon match (cleanest), duration matching, and contingent immunization (active management until a trigger forces lock-in). Multiple-liability strategies use cash...

What this lesson covers

• Content
• Example 1
• Example 2
• Common Mistakes
• Check Your Understanding
• Exam Shortcuts

Learning objectives

• ldi strategies
• yield curve strategies
• credit strategies

Browse all free CFA L3 Portfolio Mgmt lessons or jump into free CFA L3 Portfolio Mgmt practice questions.