Malachite Aggressive Preferred Fund’s Net Asset Value per Unit as of the close June 30, 2016, was $7.6704 after a distribution of $0.111736
|Returns to June 30, 2016|
|Period||MAPF||BMO-CM “50” Index||TXPR
|CPD – according to Blackrock|
|Two Years (annualized)||-10.21%||-8.35%||-8.54%||N/A|
|Three Years (annualized)||-4.53%||-4.59%||-4.71%||-5.10%|
|Four Years (annualized)||-1.97%||-2.74%||-2.96%||N/A|
|Five Years (annualized)||-1.61%||-1.32%||-1.61%||-2.05%|
|Six Years (annualized)||+1.66%||+1.12%||+0.46%|
|Seven Years (annualized)||+4.19%||+2.69%||+1.73%|
|Eight Years (annualized)||+8.32%||+2.33%||+1.53%|
|Nine Years (annualized)||+6.83%||+1.57%||+0.63%|
|Ten Years (annualized)||+6.67%||+1.38%|
|Eleven Years (annualized)||+6.47%||+1.38%|
|Twelve Years (annualized)||+6.75%||+1.91%|
|Thirteen Years (annualized)||+7.74%||+2.09%|
|Fourteen Years (annualized)||+7.69%||+2.50%|
|Fifteen Years (annualized)||+7.16%||+2.33%|
|MAPF returns assume reinvestment of distributions, and are shown after expenses but before fees.|
|CPD Returns are for the NAV and are after all fees and expenses.|
|Figures for National Bank Preferred Equity Income Fund (formerly Omega Preferred Equity) (which are after all fees and expenses) for 1-, 3- and 12-months are -0.61%, +3.37% and -7.78%, respectively, according to Morningstar after all fees & expenses. Three year performance is -2.62%; five year is -0.36%|
|Figures for Manulife Preferred Income Class Adv [into which was merged Manulife Preferred Income Fund (formerly AIC Preferred Income Fund)] (which are after all fees and expenses) for 1-, 3- and 12-months are -1.22%, +2.41% & -11.06%, respectively. It will be noted that AIC Preferred Income Fund was in existence prior to August, 2009, but long term performance figures have been suppressed.|
|Figures for Horizons Active Preferred Share ETF (which are after all fees and expenses) for 1-, 3- and 12-months are -0.85%, +2.71% & -7.52%, respectively. Three year performance is -3.12%, five-year is -0.31%|
|Figures for National Bank Preferred Equity Fund (formerly Altamira Preferred Equity Fund) are -0.92%, +2.58% and -8.70% for one-, three- and twelve months, respectively. Three year performance is -4.83%|
|The figure for BMO S&P/TSX Laddered Preferred Share Index ETF is -14.99% for twelve months. Two year performance is -13.81%, three year is -8,97%.|
|Figures for NexGen Canadian Preferred Share Tax Managed Fund (Dividend Tax Credit Class, the best performing) are -%, +% and -% for one-, three- and twelve-months, respectively.|
|Figures for BMO Preferred Share Fund are +% and -% for the past three- and twelve-months, respectively.|
|Figures for PowerShares Canadian Preferred Share Index Class, Series F are -8.39% for the past twelve months. The three-year figure is -5.27%; five years is -2.87%|
|Figures for the First Asset Preferred Share Investment Trust (PSF.UN) are +%, +% and -% for the past one, three and twelve months, respectively. The two-, three-, four- and five-year figures are -%, -%, -% and -%, respectively.|
MAPF returns assume reinvestment of dividends, and are shown after expenses but before fees. Past performance is not a guarantee of future performance. You can lose money investing in Malachite Aggressive Preferred Fund or any other fund. For more information, see the fund’s main page. The fund is available either directly from Hymas Investment Management or through a brokerage account at Odlum Brown Limited.
|Calculation of MAPF Sustainable Income Per Unit|
|NAVPU is shown after quarterly distributions of dividend income and annual distribution of capital gains.
Portfolio YTW includes cash (or margin borrowing), with an assumed interest rate of 0.00%
The Leverage Divisor indicates the level of cash in the account: if the portfolio is 1% in cash, the Leverage Divisor will be 0.99
Securities YTW divides “Portfolio YTW” by the “Leverage Divisor” to show the average YTW on the securities held; this assumes that the cash is invested in (or raised from) all securities held, in proportion to their holdings.
The Capital Gains Multiplier adjusts for the effects of Capital Gains Dividends. On 2009-12-31, there was a capital gains distribution of $1.989262 which is assumed for this purpose to have been reinvested at the final price of $10.5662. Thus, a holder of one unit pre-distribution would have held 1.1883 units post-distribution; the CG Multiplier reflects this to make the time-series comparable. Note that Dividend Distributions are not assumed to be reinvested.
Sustainable Income is the resultant estimate of the fund’s dividend income per current unit, before fees and expenses. Note that a “current unit” includes reinvestment of prior capital gains; a unitholder would have had the calculated sustainable income with only, say, 0.9 units in the past which, with reinvestment of capital gains, would become 1.0 current units.
|DeemedRetractibles are comprised of all Straight Perpetuals (both PerpetualDiscount and PerpetualPremium) issued by BMO, BNS, CM, ELF, GWO, HSB, IAG, MFC, NA, RY, SLF and TD, which are not exchangable into common at the option of the company (definition refined in May, 2011). These issues are analyzed as if their prospectuses included a requirement to redeem at par on or prior to 2022-1-31 (banks) or 2025-1-31 (insurers and insurance holding companies), in addition to the call schedule explicitly defined. See OSFI Does Not Grandfather Extant Tier 1 Capital, CM.PR.D, CM.PR.E, CM.PR.G: Seeking NVCC Status and the January, February, March and June, 2011, editions of PrefLetter for the rationale behind this analysis.
The same reasoning is also applied to FixedResets from these issuers, other than explicitly defined NVCC from banks.
|Yields for September, 2011, to January, 2012, were calculated by imposing a cap of 10% on the yields of YLO issues held, in order to avoid their extremely high calculated yields distorting the calculation and to reflect the uncertainty in the marketplace that these yields will be realized. From February to September 2012, yields on these issues have been set to zero. All YLO issues held were sold in October 2012.|
|Calculations of resettable instruments are performed assuming constant contemporary GOC-5 and 3-Month Bill rates. For September 30, 2015, yields of 0.78% and 0.40%, respectively, were assumed; base rates in December, 2015, were 0.71% and 0.46%, respectively. March, 2016: 0.70% and 0.44%; June, 2016: 0.57% and 0.47%.|
Significant positions were held in NVCC non-compliant regulated FixedReset issues on June 30, 2016; all of these currently have their yields calculated with the presumption that they will be called by the issuers at par prior to 2022-1-31 (banks) or 2025-1-31 (insurers and insurance holding companies) or on a different date (SplitShares) This presents another complication in the calculation of sustainable yield, which also assumes that redemption proceeds will be reinvested at the same rate.
I will also note that the sustainable yield calculated above is not directly comparable with any yield calculation currently reported by any other preferred share fund as far as I am aware. The Sustainable Yield depends on:
i) Calculating Yield-to-Worst for each instrument and using this yield for reporting purposes;
ii) Using the contemporary value of Five-Year Canadas to estimate dividends after reset for FixedResets. The assumption regarding the five-year Canada rate has become more important as the proportion of low-spread FixedResets in the portfolio has increased.
iii) Making the assumption that deeply discounted NVCC non-compliant issues from both banks and insurers, both Straight and FixedResets will be redeemed at par on their DeemedMaturity date as discussed above.