MORTGAGE INDEX AND DURATION ASSIGNMENT

Mortgage Index and Duration Assignment

Mortgage Index and Duration Assignment

The value-weighted \market" portfolio plays a central role in asset pricing, for instance in the Capital Asset Pricing Model of Sharpe (1964), and it is also the standard benchmark against which performance is measured and portfolio managers are evaluated in both academic studies and in the practitioner literature. On the other hand, the use of equal-weighted mean returns is ubiquitous in empirical nance. Our objective in this paper is to compare the performance of the equal-weighted portfolio to that of the value- and price-weighted portfolios, and to understand the ...