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European asset -and mortgage- backed securities ten years on

 

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Abstract

How do the European asset- and mortgage-backed securities fare today a decade after the financial crisis they have been incriminated in? We make an assessment of the asset class, comparing today’s market conditions with those of ten years ago.

We explore the return-to-risk profile of the asset class in a standard mean-variance framework, taking the view of a long-term Euro Area bond investor. We make evident that the securities significantly reduce investment risk and in the same time improve the outlook for return, when added to a European bond portfolio.

de JONG Marielle , Head of Fixed Income Quantitative Research at Amundi
VANNIER Hubert , Senior Portfolio Manager – Amundi

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European asset -and mortgage- backed securities ten years on
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