Agree, but do you use the spread between your mortgage and the FI portion of your portfolio to determine if you are making money? You should because a mortgage is like a "negative bond" Otherwise you are really decreasing the FI portion of your AA and increasing the equity portion. Thereby increasing your risk.
Example: Joe wants an AA of 60/40 based on his risk appetite and retirement goals. He has a $1million portfolio (FI is therefore $400,000) and no mortgage. If he had a mortgage of say $200,000 his AA would in fact be 80/20 (600,000/(400000-200000). If he took out a mortgage of $200,000 and invested the proceeds in his notional AA the actual AA would be 72/28 (600,000+120000)/400,000+80,000-200,000). The only way to keep your AA at 60/40 is to put the whole mortgage proceed into FI. Hardly a profitable trade.