Trading continued to be slow in May, with only about 30% of portfolio value being traded – and at that, much of the activity was intra-issuer. On a net basis, there was a slight shift from BMO to RY. Trades were, as ever, triggered by a desire to exploit transient mispricing in the preferred share market (which may the thought of as “selling liquidity”), rather than any particular view being taken on market direction, sectoral performance or credit anticipation.
| MAPF Sectoral Analysis 2008-5-30 | |||
| 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 | 0.9% (0) | 4.76% | 4.91 |
| Interest Rearing | 0% | N/A | N/A |
| PerpetualPremium | 0.3% (0) | -2.55% | 0.08 |
| PerpetualDiscount | 98.6% (-3.5) | 5.85% | 14.13 |
| Scraps | 0% | N/A | N/A |
| Cash | 0.4% (+3.8) | 0.00% | 0.00 |
| Total | 100% | 5.80% | 13.95 |
| Totals and changes will not add precisely due to rounding. Bracketted figures represent change from April month-end. | |||
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.). 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.
Credit distribution is:
| MAPF Credit Analysis 2008-5-30 | |
| DBRS Rating | Weighting |
| Pfd-1 | 76.8% (0) |
| Pfd-1(low) | 11.2% (-0.1) |
| Pfd-2(high) | 0.9% (-3.4) |
| Pfd-2 | 0.4% (0) |
| Pfd-2(low) | 10.5% (0) |
| Cash | 0.4% (+3.8) |
| Totals will not add precisely due to rounding. Bracketted figures represent change from April month-end. | |
The fund does not set any targets for overall credit quality; trades are executed one by one. Variances in overall credit will be constant as opportunistic trades are executed.
Liquidity Distribution is:
| MAPF Liquidity Analysis 2008-5-30 | |
| Average Daily Trading | Weighting |
| <$50,000 | 0.8% (0) |
| $50,000 – $100,000 | 11.5% (+2.2) |
| $100,000 – $200,000 | 28.1% (+9.2) |
| $200,000 – $300,000 | 23.1% (-4.2) |
| >$300,000 | 36.3% (-10.7) |
| Cash | 0.4% (+3.8) |
| Totals will not add precisely due to rounding. Bracketted figures represent change from April month-end. | |
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 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.
Update: A similar analysis has been performed on CPD as of month end. It is interesting to note:
- MAPF credit quality is superior
- MAPF liquidity is superior
- MAPF Yield is higher
- But … MAPF is more exposed to PerpetualDiscounts
Update, 2008-6-3: May Performance for MAPF has been posted.
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[…] we look at the MAPF Portfolio Composition for May, 2008, we see that the fund was invested almost entirely in PerpetualDiscounts; this overall analysis is […]