%0 Journal Article %A Amitabh Arora %A David K. Heike %A Ravi K. Mattu %T Risk and Return in the Mortgage Market %B Review and Outlook %D 2000 %R 10.3905/jfi.2000.319235 %J The Journal of Fixed Income %P 5-18 %V 10 %N 1 %X 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. %U https://jfi.pm-research.com/content/iijfixinc/10/1/5.full.pdf