Not a lot of change in the sectoral composition of the fund’s holdings since the June 29, 2007 analysis. Were it not for the other tables, readers might be forgiven for wondering whether there have been any changes at all!
| MAPF Sectoral Analysis 2007-7-31 | |||
| HIMI Indices Sector | Weighting | YTW | ModDur |
| Ratchet | 0% | N/A | N/A |
| FixFloat | 0% | N/A | N/A |
| Floater | 0% | N/A | N/A |
| OpRet | 0% | N/A | N/A |
| SplitShare | 38% | 4.64% | 5.51 |
| Interest Rearing | 0% | N/A | N/A |
| PerpetualPremium | 26% | 5.28% | 4.30 |
| PerpetualDiscount | 36% | 5.31% | 15.01 |
| Scraps | 1% | 4.39% | 5.65 |
| Cash | -1% | 0.00% | 0.00 |
| Total | 100% | 5.10% | 8.69 |
The “total” reflects the un-leveraged total portfolio (i.e., cash is included in the portfolio calculations and is deemed to have a duration and yield of 0.00.), and readers may make their own adjustments to reflect interest. MAPF will often have relatively large cash balances, both credit and debit, to facilitate trading. Figures presented in the table have been rounded to the indicated precision.
Credit distribution is:
| MAPF Credit Analysis 2007-7-31 | |
| DBRS Rating | Weighting |
| Pfd-1 | 19.3% |
| Pfd-1(low) | 25.9% |
| Pfd-2(high) | 0% |
| Pfd-2 | 38.4% |
| Pfd-2(low) | 17.5% |
| Cash | -1.1% |
There has been a slight decline in credit quality, but quality is still well within normal bounds. The variances in credit be constant as opportunistic trades are executed.
Liquidity Distribution is:
| MAPF Liquidity Analysis 2007-7-31 | |
| Average Daily Trading | Weighting |
| <$50,000 | 0.7% |
| $50,000 – $100,000 | 30.1% |
| $100,000 – $200,000 | 43.2% |
| $200,000 – $300,000 | 19.4% |
| >$300,000 | 7.7% |
| Cash | -1.1% |
Liquidity has declined somewhat from June’s elevated levels and are now comparable to that found in the analysis of the Claymore ETF April Portfolio.
MAPF is, of course, Malachite Aggressive Preferred Fund, a “unit trust” managed by Hymas Investment Management Inc. Further information and links to performance, audited financials and subscription information are available on the fund’s web page. A “unit trust” is like a regular mutual fund, but is sold by offering memorandum rather than prospectus. This is cheaper, but means subscription is restricted to “accredited investors” (as defined by the Ontario Securities Commission) and those who subscribe for $150,000+. Fund past performances are not a guarantee of future performance. You can lose money investing in MAPF or any other fund.
A discussion of July’s performance is available here.
[…] PrefBlog Canadian Preferred Shares – Data and Discussion « GWO Reports: No purchases in 2Q07 of GWO.PR.E / GWO.PR.X MAPF Portfolio Composition: July 31, 2007 » […]
[…] A lot of lower grade credits in the preferred share market got hit today: WN.PR.D, -3.49%; DW.PR.A, -2.46%; WN.PR.C, -1.72%; DC.PR.A, -1.55%; YPG.PR.B, -1.53%; STR.E, -1.35%; IQW.PR.D, -1.19%. This illustrates my theme of minimizing exposure to the Pfd-3-type credits! […]
[…] Not a lot of change in the sectoral composition of the fund’s holdings since the July 31, 2007 analysis. There is an increased allocation (up 6%) to PerpetualDiscount issues, a decreased amount (down 13%) to PerpetualPremium and an increase (+12%) in cash. As always, these changes do not imply a change in view of overall future market performance, but are the result of tactical trades which aim to take advantage of pricing inefficiencies between issues. […]