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The Journal of Fixed Income

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Primary Article

Risk and Return in the Mortgage Market

Review and Outlook

Amitabh Arora, David K. Heike and Ravi K. Mattu
The Journal of Fixed Income Summer 2000, 10 (1) 5-18; DOI: https://doi.org/10.3905/jfi.2000.319235
Amitabh Arora
A vice president at Lehman Brothers in New York.
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David K. Heike
A vice president at Lehman Brothers in New York.
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Ravi K. Mattu
A managing director at Lehman Brothers in New York.
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Abstract

The authors ask how mortgages interact with the other fixed-income markets and what these linkages imply about the key drivers of mortgage excess returns. What is the role of mortgages in an actively managed fixed-income portfolio? When should mortgages be overweighted, and how should they be hedged? An analysis of the performance of mortgages since 1989 helps to address these questions. A five-factor model that includes credit spread changes and spread directionality helps explain up to almost 60% of the historical variation in mortgage excess returns and provides some guidance on appropriate hedging techniques.

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The Journal of Fixed Income
Vol. 10, Issue 1
Summer 2000
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Risk and Return in the Mortgage Market
Amitabh Arora, David K. Heike, Ravi K. Mattu
The Journal of Fixed Income Jun 2000, 10 (1) 5-18; DOI: 10.3905/jfi.2000.319235

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Risk and Return in the Mortgage Market
Amitabh Arora, David K. Heike, Ravi K. Mattu
The Journal of Fixed Income Jun 2000, 10 (1) 5-18; DOI: 10.3905/jfi.2000.319235
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