Performance based mortgage-backed securities indexing

✍ Scribed by Ronald W. Chapman

• Book ID: 104644692
• Publisher: Springer US
• Year: 1988
• Tongue: English
• Weight: 450 KB
• Volume: 1
• Category: Article
• ISSN: 0895-5638
• DOI: 10.1007/bf00152572

✦ Synopsis

The traditional approaches to indexing first developed for equities and then adapted to bonds are not effective for mortgage-backed securities. This paper details a new technique for indexing portfolios of mortgage-backed securities which rectifies the deficiencies of the older cellular method. By focusing on the performance characteristics of the bonds adjusted for their embedded options, we at once simplify the process of portfolio selection and increase the accuracy of performance tracking.