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I am trying to find some resources online on how to perform mbs benchmarking, but I was unable to find anything. Could someone explain how to perform mbs benchmarking and provide some resources?

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Despite being written more than twenty years ago, you can get a solid introduction to many of the issues that come up in MBS Benchmarking in "Gaining Exposure to Mortgage Benchmarks - A Guide for Global Investors" by Kulason et al (available online).

For more recent work, see Chapters 19-21 in Dynkin et al. Quantitative Management of Bond Portfolios and Chapter 30 in Fabozzi's The Handbook of Mortgage-backed Securities.

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The question is lacking context, but I will try to give an overview:

  • You would first need an index to benchmark to, common MBS benchmark indices include the Bloomberg Barclays U.S. MBS Index, the ICE BofA U.S. Mortgage-Backed Securities Index, and the FTSE MBS Index.
  • Then you take the data that you have on your MBS portfolio and use it for the subsequent comparison. Make sure that you understand the quality of your data, that it is up-to-date and that you have enough of it.
  • Calculate performance metrics for both your portfolio and the benchmark. Common metrics include the annualized return, the standard deviation, the Sharpe Ratio, the duration, the prepayment speed, the weighted average loan age the OAS, the effective duration and price convexity.

Relevant resources include:

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