Determinants of Performance for Mortgage‐Backed Securities Funds
研究了1987年1月至1995年6月期间抵押贷款支持证券共同基金的业绩，发现其整体跑输市场基准，原因在于证券选择和市场时机判断不佳，且费用显著影响业绩。
This article examines the performance of mortgage‐backed securities (MBS) mutual funds from January 1987 to June 1995. As a group, the MBS mutual funds underperform both the Salomon and Lehman Brothers MBS market benchmarks. The relative underperformance of the MBS mutual funds is due to poor securities selection and timing decisions. Fund expenses also contribute significantly to the underperformance, while fund load, turnover, management fees and other fund characteristics do not materially affect performance. The underperformance is found to be concentrated in several exceptionally bad months during the sample period. Testing indicates that the MBS mutual funds underperform the MBS benchmark during months of rising interest rates, but match the MBS benchmark during months of falling interest rates.