This article shows how to evaluate the performance of managed portfolios using stochastic
discount factors (SDFs) from continuous-time term structure models. These models imply …

PAUL KUPIEC AND ADAMA KAH he option-adjusted spread is a common measure in the
market for mortgage-backed securities. The OAS is a by-product of the mortgage pricing …

This empirical performance attribution methodology provides an objective alternative to the
existing practice of employing proprietary model-dependent systems with portfolio …

Over the past 31 years, The Journal of Fixed Income has published articles that were
primers about the structure and risk characteristics for the growing number of complex …

Traditionally, the MBS and Treasury markets have been intertwined so closely that hedging
of mortgage portfolios could have been done solely by Treasury derivatives. With the credit …

The mortgage pass-through securities sector of the investment-grade bond market is
attractive to institutional investors seeking to outperform a bond index without taking a view …