Index Performance, December 2007

Performance of the HIMIPref™ Indices for December was:

Total Return
Index Performance
December 2007
Performance
4Q07
Ratchet +0.91%  -0.55%
FixFloat -0.88%  -0.68%
Floater -14.53%  -21.59%
OpRet +0.76%  +1.20%
SplitShare +1.08%  -1.53%
Interest -0.68%  +1.62%
PerpetualPremium +1.04%  -0.11%
PerpetualDiscount +2.63%  -2.33%
Funds (see below for calculations)
CPD +1.14%  -2.27%
DPS.UN +1.93%  -1.11%

The FloatingRate index was adversely affected by both of its constituents (BAM.PR.B & BAM.PR.K) performing very poorly during the month – in fact, these two issues were the two worst performers, by far, of all index-included issues in the HIMIPref™ universe. The issue removed from the “Floater” index at the November rebalancing, TOC.PR.B, returned -4.94% on the month.

Claymore has published dividend and NAV data for the CPD Exchange Traded Fund and I have derived the following table:

CPD Return, 1- & 3-month, to December 31
Date NAV Distribution Return for Sub-Period Monthly Return
September 28, 2007 18.59      
October 31, 2007 18.19   -2.15% -2.15%
November 30 17.97   -1.21% -1.21%
December 24 17.75 0.2219 +0.01% +1.14%
December 31, 2007 17.95   +1.13%
Quarterly Return -2.27%

The DPS.UN NAV for December 27 has been published, together with the distribution history, so we may calculated the December-ish returns for it:

DPS.UN NAV Return, November-ish 2007
Date NAV Distribution Return for period
November 28 $21.07 $0.00  
December 27, 2007 21.07 0.30 +1.42%
Adjustment for November stub-period -0.17%
Adjustment for December stub-period +0.67%
Estimated December Return +1.93%
CPD had a NAV of $17.94 on November 28 and $17.97 on November 30. The estimated November end-of-month stub period return for CPD was therefore +0.17%, which is subtracted from the DPS.UN total return when estimating the return for December.
CPD had a NAV of $17.83 on December 27 and $17.95 on December 31. The estimated December end-of-month stub period return for CPD was therefore +0.67%, which is added to the DPS.UN total return when estimating the return for December.

 

Now, to see the DPS.UN quarterly NAV approximate return, we refer to the calculations for October and November:

DPS.UN NAV Returns, three-month-ish to end-December-ish, 2007
October-ish -1.86%
November-ish -1.14%
December-ish +1.93%
Three-months-ish -1.11%

 

7 Responses to “Index Performance, December 2007”

  1. […] PrefBlog Canadian Preferred Shares – Data and Discussion « Index Performance, December 2007 […]

  2. […] Index performance for December has been discussed previously. […]

  3. […] The fund’s performance and the performance of the indices has already been discussed. […]

  4. […] Those who have read my most recently publicized article When Will Preferreds Recover will remember that March-November 2007 marked the greatest peak-to-trough decline in the BMOCM-50 Preferred Share Index going back to at least 1993-12-31. Such readers will doubtless be interested to note that, as of today, the calculated NAV for CPD now shows a decline of 1.06% for January to date, vs. a gain of 1.14% in December. In other words, we are now within a whisker of deepening the trough. Have a nice day! […]

  5. […] The FloatingRate index bounced back (just a little bit!) from its disastrous performance in December. The tepid returns for the two perpetual sub-indices mask a great deal of excitement – at its peak on January 16 the PerpetualDiscount index was up 1.85% on the month, while at its trough on January 21 it was down 1.23%. The downdraft was caused by a new issue: BNS.PR.O, announced January 17. There was extreme fear that this could presage another hit to the market as happened in September, but by the time TD.PR.Q was announced January 22 the worst was over. […]

  6. […] Now, to see the DPS.UN quarterly NAV approximate return, we refer to the calculations for December and January: […]

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