For reasons that will become clear with the release of the June edition of Canadian Moneysaver, I thought I would disclose the broad characteristics of the MAPF Portfolio as of last month end:
| MAPF Sectoral Analysis 2007-4-30 | |||
| 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 | 78% | 4.38% | 6.08 |
| Interest Rearing | 0% | N/A | N/A |
| PerpetualPremium | 28% | 4.94% | 4.43 |
| PerpetualDiscount | 3% | 4.59% | 16.21 |
| Scraps | 1% | 3.86% | 5.86 |
| Cash | -11% | N/A | N/A |
| Total | 100% | 4.52% | 5.93 |
Sharp-eyed readers will observe that the “total” reflects the un-leveraged total portfolio, and may make their own adjustments to reflect interest costs incurred on the cash debit. MAPF will often have relatively large cash balances to facilitate trading.
They will also note, with a certain amount of glee, that the percentages do not add up to exactly 100% in this or the following tables. This is due to rounding. You know something? Sharp-eyed readers really bug me.
Credit distribution is:
| MAPF Credit Analysis 2007-4-30 | |
| DBRS Rating | Weighting |
| Pfd-1 | 16% |
| Pfd-1(low) | 2% |
| Pfd-2 | 78% |
| Pfd-2(low) | 14% |
| Cash | -11% |
Liquidity Distribution is:
| MAPF Liquidity Analysis 2007-4-30 | |
| Average Daily Trading | Weighting |
| <$50,000 | 1% |
| $50,000 – $100,000 | 0% |
| $100,000 – $200,000 | 50% |
| $200,000 – $300,000 | 19% |
| >$300,000 | 40% |
| Cash | -11% |
Just in case anybody’s interested! Incidentally … cash, calculated on a trade-date basis on 2007-5-11, is basically as close to zero as it ever will be. But who knows? I might get half a trade done on Monday!
[…] There have been a fair number of changes in portfolio composition since the April 30 analysis. With the huge volatility in the market, trading opportunities have been numerous! […]
[…] Well, if you thought the changes in portfolio composition changed dramatically from April 30 to May 31, just take a gander at the June 29 composition! […]