Bridge over ocean
1 May 1994 Financial Analysts Journal Volume 50, Issue 3

Option-Adjusted Spread Analysis: Going Down the Wrong Path?

  1. Robert W. Kopprasch
Option-adjusted spread analysis can be a useful tool for portfolio management, but taking it too far may be a dangerous thing. OAS analysis of individual securities is often less useful than scenario analysis. In addition, most portfolio OASs are incorrectly calculated. OAS analysis would be much more useful if it provided more information on the distribution of resulting prices. Sensitivities to prepayment levels and volatilities could also enhance OAS analysis as an investment tool.
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Publisher Information
Association for Investment Management and Research 6 pages doi.org/10.2469/faj.v50.n3.42 ISSN/ISBN: 0015-198X

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