Amherst Securities Group (ASG) examined the historical performance of the non-agency market throughout the housing crisis in a report published late Friday.
To perform the study, ASG analysts pulled together an indicative set of securities and projected their market total return over time. They expect to publish this data in the Amherst Non-Agency Mortgage Market Monitor.
According to analysts, the topic of cross-sector performance usually becomes part of their continued conversations with clients and trading partners.
Specifically, total return portfolio managers are interested in the topic of benchmarking their non-agency portfolio performance to the performance of the whole non-agency market. They said that macro hedge funds would like to find out what the overall relative value of non-agency MBS compared to other sectors.
As a reponse to this need, ASG created a data series that was made from the market's major indicative sub-sectors.
The report also looks at the components and construction of this total return data series. Additionally, analysts also analyze non-agency MBS performance versus other products.
Analysts' projection of non-agency MBS total return seems to track the market. The non-agency RMBS sector has outperformed alternatives in 1Q12, and analysts think that the sector should continue outperforming in 2012.
