13 Jun 2022

A compelling entry point for MBS

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by Derek R. White Ph.D., Head of Risk Management

Mortgage-backed securities (MBS) opened 2022 with drawdowns not seen in 40 years and high volatility that tracked the MOVE Index, a measure of uncertainty in the bond market. However, an analysis of historical MOVE data and MBS performance highlights an intriguing pattern: as the MOVE Index rises, mortgage-backed securities are more likely to experience positive returns. In addition, six-month periods of negative MBS returns typically precede six months of growth. This trend suggests that today's market may be a compelling time for investors to enter the asset class, as MBS may provide a degree of stability during an overall economic downturn. Download to read more.