MAPF Portfolio Composition : September 28, 2007

There was heavy trading in September, with the main shift being sales of Split-Share corporations and purchase of Perpetual Premium issues. As always, these changes do not imply a change in view of overall future market performance, but are the result of tactical trades which aim to take advantage of pricing inefficiencies between issues; given that the HIMIPref™ PerpetualPremium index dropped by 93bp while the split-share index rose by 10bp, it is not really very surprising that such trades started looking a lot more attractive in September than they did in August!

MAPF Sectoral Analysis 2007-9-28
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 13% 4.64% 3.71
Interest Rearing 0% N/A N/A
PerpetualPremium 42% 5.64% 3.95
PerpetualDiscount 45% 5.49% 14.69
Scraps 0% N/A N/A
Cash 2% 0.00% 0.00
Total 100% 5.35% 8.56
Totals will not add precisely due to rounding

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.), and readers may make their own adjustments to reflect interest. 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.

The shift from SplitShares into PerpetualPremiums had the effect of improving credit quality; perpetuals of all prices were being hit fairly indiscriminately, with the effect of making the higher quality issues relatively more attractive. Credit distribution is:

MAPF Credit Analysis 2007-9-28
DBRS Rating Weighting
Pfd-1 19%
Pfd-1(low) 36%
Pfd-2(high) 18%
Pfd-2 12%
Pfd-2(low) 15%
Cash 2%
Totals will not add precisely due to rounding

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 2007-9-28
Average Daily Trading Weighting
<$50,000 1%
$50,000 – $100,000 28%
$100,000 – $200,000 38%
$200,000 – $300,000 6%
>$300,000 27%
Cash 2%
Totals will not add precisely due to rounding

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 on 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.

A discussion of September’s performance is available here.

2 Responses to “MAPF Portfolio Composition : September 28, 2007”

  1. […] MAPF Portfolio Composition : September 28, 2007 […]

  2. […] Update, 2007-10-14: A discussion of portfolio composition as of September 28, 2007, is available here. […]

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