The preferred share market did very poorly in June 2008 – not just in terms of return, but, what’s worse, in terms of theory! Look for the Research Link!
Bonus! Several paragraphs needed to be hastily revised (and the charts renumbered!) to meet space restrictions:
Update: The article states:
A certain amount of algebra starting from Equation (3) of the article “Modified Duration” in CMS, May 2007 leads to the conclusion that the Macaulay Duration of a perpetual annuity with a yield per period of “r” is (1+r)/r. Therefore, from Equation (2) of that article, the Modified Duration (which measures the sensitivity of price to yield changes) is simply 1/r.
The algebra is linked in the post PerpetualDiscount Duration Calculation.