Immunisation Strategy of Bantleon

The immunisation strategy has been invented by Bantleon in 2003 as a concept for return stabilisation of bond portfolios. To date it is still one of the most successful management methods in this segment: Depending on the relative investment objective, up to six single components are defined for each bond portfolio. The management of each component is strictly separated and tailored individually.

The objective is,

  1. to maximise the portfolio return by using several alpha sources,
  2. to stabilise the return by correlation effects,
  3. to minimise the tracking error by isolated management of each component, respectively to maximise the return with a given tracking error,
  4. to increase the transparency for the investor by a systematic management.

Thus, the immunisation strategy avoids cluster risks and dominant single positions. Even the spread widening during the financial crisis was largely compensated by successful duration management.