@article {Arora5, author = {Amitabh Arora and David K. Heike and Ravi K. Mattu}, title = {Risk and Return in the Mortgage Market}, volume = {10}, number = {1}, pages = {5--18}, year = {2000}, doi = {10.3905/jfi.2000.319235}, publisher = {Institutional Investor Journals Umbrella}, 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.}, issn = {1059-8596}, URL = {https://jfi.pm-research.com/content/10/1/5}, eprint = {https://jfi.pm-research.com/content/10/1/5.full.pdf}, journal = {The Journal of Fixed Income} }