MAPF Portfolio Composition : August 31, 2007

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.

MAPF Sectoral Analysis 2007-8-31
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 36% 4.78% 5.07
Interest Rearing 0% N/A N/A
PerpetualPremium 13% 5.19% 4.11
PerpetualDiscount 42% 5.02% 15.49
Scraps 0% N/A N/A
Cash 11% 0.00% 0.00
Total 100% 4.55% 8.40
Totals will not add precisely due to rounding

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.

The cash is not held in the portfolio for any kind of market-timing reason – I have bids in the marketplace to get it invested … as soon as someone gets desperate to unload their holdings! 

Credit distribution is:

MAPF Credit Analysis 2007-8-31
DBRS Rating Weighting
Pfd-1 27%
Pfd-1(low) 13%
Pfd-2(high) 0%
Pfd-2 35%
Pfd-2(low) 15%
Cash 11%
Totals will not add precisely due to rounding

Credit quality of the portfolio has improved a little since last month and remains 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 1%
$50,000 – $100,000 24%
$100,000 – $200,000 32%
$200,000 – $300,000 13%
>$300,000 21%
Cash 11%
Totals will not add precisely due to rounding

Liquidity has increased over the month.

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 August’s performance is available here.

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