Immunisation in South Africa

ABSTRACTMost empirical research on immunisation has not considered such issues as, for instance, transaction costs, nor has the convexity of portfolios been quantified. Furthermore, this research has been based on data from overseas capital markets. An important study using South African data tended to be ‘theoretical’. This article attempts to overcome the shortcomings referred to in the above research. It assesses the feasibility of immunisation in South Africa and attempts to keep it as practical as possible. The results are encouraging, although imperfect. The evidence tends to indicate that, with the increasing sophistication of the South African financial market, bond practitioners who possess knowledge of bond immunisation techniques should have a distinct advantage over their competitors.