Immunization Strategies for Pension Fund Liabilities

As a portfolio manager for a small pension fund, you have been tasked with implementing a liability-driven investment (LDI) strategy. The fund has a significant liability coming due in 5 years, amounting to $1 million. To manage this risk, you are considering the use of an immunization strategy. Your task is to explain the concept of immunization in the context of fixed income investing, discuss its relevance for the pension fund's liabilities, and outline the steps you would take to implement an immunization strategy effectively.

In your response, be sure to address the key elements of immunization, including duration matching and potential risks associated with this strategy.