Performance of the HIMIPref™ Indices for May, 2010, was:
| Total Return | ||
| Index | Performance Mayl 2010 |
Three Months to May 31, 2010 |
| Ratchet | -3.08% | +4.62% |
| FixFloat | -4.77% | +3.41% |
| Floater | -6.61% | -4.88% |
| OpRet | 0.00% | -0.22% |
| SplitShare | +0.78% | +0.69% |
| Interest | 0.00%**** | -0.22%**** |
| PerpetualPremium | -0.17% | -4.04% |
| PerpetualDiscount | +1.31% | -4.41% |
| FixedReset | +1.27% | -1.34% |
| **** The last member of the InterestBearing index was transferred to Scraps at the June, 2009, rebalancing; subsequent performance figures are set equal to the OperatingRetractible index | ||
| Passive Funds (see below for calculations) | ||
| CPD | +0.93% | -2.17% |
| DPS.UN | +0.22% | -0.82% |
| Index | ||
| BMO-CM 50 | +0.30% | -2.30% |
| TXPR Total Return | +0.97% | -2.07% |
The pre-tax interest equivalent spread of PerpetualDiscounts over Long Corporates (which I also refer to as the Seniority Spread) ended the month at +315bp, a slight (an possibly spurious) decline from the +320bp recorded on April 30.
The trailing year returns are starting to look a bit more normal, as the Floater index has now lost the value of the incredible +33.18% return recorded in May 2009 and replaced it with this month’s total return of -6.61%.
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Floaters have had a wild ride, with May 2010 being their worst month since June 2009:
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FixedReset volume declined during the month after their burst of activity in April when they performed poorly. Volume may be under-reported due to the influence of Alternative Trading Systems (as discussed in the November PrefLetter), but I am biding my time before incorporating ATS volumes into the calculations, to see if the effect is transient or not.
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Compositions of the passive funds were discussed in the September, 2009, edition of PrefLetter.
Claymore has published NAV and distribution data (problems with the page in IE8 can be kludged by using compatibility view) for its exchange traded fund (CPD) and I have derived the following table:
| CPD Return, 1- & 3-month, to May 31, 2010 | ||||
| Date | NAV | Distribution | Return for Sub-Period | Monthly Return |
| February 26, 2010 | 16.83 | |||
| March 26 | 16.64 | 0.21 | +0.12% | -0.96% |
| March 31, 2010 | 16.46 | 0.00 | -1.08% | |
| April 30 | 16.11 | -2.13% | ||
| May 31, 2010 | 16.26 | +0.93% | ||
| Quarterly Return | -2.17% | |||
Claymore currently holds $431,929,434 (advisor & common combined) in CPD assets, up about $3-million from the $428,556,482 reported last month and up about $58-million from the $373,729,364 reported at year-end. The monthly increase in AUM of about 0.77% is smaller than the total return of +0.93%, implying that the ETF experienced a small net redemption in May.
The DPS.UN NAV for May 26 has been published so we may calculate the approximate May returns.
| DPS.UN NAV Return, May-ish 2010 | ||||
| Date | NAV | Distribution | Return for sub-period | Return for period |
| April 28, 2010 | 19.45 | |||
| May 26, 2010 | 19.34 | -0.57% | ||
| Estimated April Ending Stub | +0.06% * | |||
| Estimated May Ending Stub | +0.74% ** | |||
| Estimated May Return | +0.22% *** | |||
| *CPD had a NAVPU of 16.12 on April 28 and 16.11 on April 30, hence the total return for the period for CPD was -0.06%. The return for DPS.UN in this period is presumed to be equal. | ||||
| **CPD had a NAVPU of 16.14 on May 26 and 16.26 on May 31, hence the total return for the period for CPD was +0.74%. The return for DPS.UN in this period is presumed to be equal. | ||||
| *** The estimated April return for DPS.UN’s NAV is therefore the product of three period returns, -0.57%, +0.06% and +0.74% to arrive at an estimate for the calendar month of +0.22% | ||||
Now, to see the DPS.UN quarterly NAV approximate return, we refer to the calculations for March and April:
| DPS.UN NAV Returns, three-month-ish to end-May-ish, 2010 | |
| March-ish | +1.47% |
| April-ish | -2.47% |
| May-ish | +0.22% |
| Three-months-ish | -0.82% |
[…] three consecutive losses, and outperformed all the relevant indices and passive funds as the Floating Rate sector took a large loss. The Seniority Spread declined marginally (and perhaps spuriously) from 320bp on April 30 to 315bp […]
[…] Now, to see the DPS.UN quarterly NAV approximate return, we refer to the calculations for April and May: […]
[…] to see the DPS.UN quarterly NAV approximate return, we refer to the calculations for May and […]