The 2010 Collection includes the following appendices of varying length:
- January: the calculation and utility of Implied Volatility for PerpetualDiscount issues (spreadsheet available)
- February: the analytical treatment of “Strong Pairs” – issues that may be interconverted at the shareholder’s option on a periodic basis (spreadsheet available)
- March: FixedResets, particularly the odd tax effects that unwary investors may find surprising (speadsheet available)
- April: the investment relationship between Preferred Shares and Annuities
- May: the recent slump in FixedReset issues and analyzes relative performance of these issues to draw a conclusion regarding the market’s valuation of these instruments
- June: the mathematical basis for ‘easy’ approximations to yield and delves further into the method that the market is apparently using for relative valuation of FixedResets
- July: the potential for calls of PerpetualDiscounts, given the market’s recent run-up and the potential for refinancing via FixedResets.
- August: a review of FixedReset analysis and presents two pricing models for your consideration.
- September: a review of some preferred share portfolios. Passive funds are very popular, but it is important to know all of their investment attributes, not just the “low fee”!
- October: a review of Implied Volatility and how the remarkable “Summer Rally’ in PerpetualDiscount shares has dramatically increased the visibility of this important valuation metric.
- November: a review of Market Impact, its relationship to portfolio management and its role in the Flash Crash of May 6. An additional appendix provides a summary of the trading of preferred shares on the Pure Trading exchange and corrects an error from the November, 2009, edition.
- December: a review of the determinants of SplitShare credit quality and discusses a spreadsheet I have made available to readers for performing Monte-Carlo estimates of credit quality. (spreadsheet available)
The total length of the 2010 Annual Collection is 286 pages (file size about 11.2 MB) – much of this is, of course, the by now out of date recommendations of individual issues, but about half of the total is comprised of the appendices.