Performance of the HIMIPref™ Indices for June, 2010, was:
| Total Return | ||
| Index | Performance June 2010 |
Three Months to June 30, 2010 |
| Ratchet | -1.41% | -5.25% |
| FixFloat | +1.88% | -2.05% |
| Floater | -0.44% | -8.10% |
| OpRet | +1.41% | +1.09% |
| SplitShare | +1.33% | +1.90% |
| Interest | +1.41%**** | +1.09%**** |
| PerpetualPremium | +5.32%* | +3.08%* |
| PerpetualDiscount | +5.32% | +4.14% |
| FixedReset | +1.59% | -0.34% |
| * The last member of the PerpetualPremium index was transferred to PerpetualDiscount at the May, 2010, rebalancing; subsequent performance figures are set equal to the PerpetualPremium index | ||
| **** 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 | +2.58% | +1.33% |
| DPS.UN | +3.42% | +1.09% |
| Index | ||
| BMO-CM 50 | +2.87% | +1.17% |
| TXPR Total Return | +2.64% | +1.40% |
The pre-tax interest equivalent spread of PerpetualDiscounts over Long Corporates (which I also refer to as the Seniority Spread) ended the month at 290bp a significant decline from the +315bp recorded on May 31. The big story was the decline in long corporate yields, from 5.65% to 5.45%, as increased chatter about deflation has the market timers all excited.
I would be happier with long corporates in the 6.00-6.25% range, but what do I know? The market has never shown any particular interest in my happiness.
Charts related to the Seniority Spread and the Bozo Spread (PerpetualDiscount Current Yield less FixedReset Current Yield) are published in PrefLetter.
The trailing year returns are starting to look a bit more normal.
Click for big
Floaters have had a wild ride
Click for big
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.
Click for big
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 June, 2010 | ||||
| Date | NAV | Distribution | Return for Sub-Period | Monthly Return |
| March 31, 2010 | 16.46 | 0.00 | ||
| April 30 | 16.11 | -2.13% | ||
| May 31 | 16.26 | +0.93% | ||
| June 25 | 16.47 | 0.21 | +2.58% | +2.58% |
| June 30, 2010 | 16.47 | 0.00 | 0.00% | |
| Quarterly Return | +1.33% | |||
Claymore currently holds $444,847,391 (advisor & common combined) in CPD assets, up about $13-million from the $431,929,434 reported last month and up about $71-million from the $373,729,364 reported at year-end. The monthly increase in AUM of about 2.99% is larger than the total return of +2.58%, implying that the ETF experienced small net subscriptions in May.
The DPS.UN NAV for June 30 has been published so we may calculate the approximate May returns.
| DPS.UN NAV Return, June-ish 2010 | ||||
| Date | NAV | Distribution | Return for sub-period | Return for period |
| Estimated May Ending Stub | -0.74% ** | |||
| May 26, 2010 | 19.34 | |||
| June 28 | 19.85 * | 0.30 | +4.19% | |
| June 30, 2010 | 19.85 | 0.00% | ||
| Estimated June Return | +3.42% *** | |||
| *CPD had a NAVPU of 16.47 on June 28 and 16.47 on June 30, hence the total return for the period for CPD was +0.00%. The return for DPS.UN in this period is presumed to be equal, hence the estimated NAV for DPS.UN on June 28 is presumed to be equal to the June 30 value. | ||||
| **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 June return for DPS.UN’s NAV is therefore the product of three period returns, -0.74%, +4.19% and 0.00% to arrive at an estimate for the calendar month of +3.42% | ||||
Now, to see the DPS.UN quarterly NAV approximate return, we refer to the calculations for April and May:
| DPS.UN NAV Returns, three-month-ish to end-June-ish, 2010 | |
| April-ish | -2.47% |
| May-ish | +0.22% |
| June-ish | +3.42% |
| Three-months-ish | +1.09% |
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