Performance of the HIMI Indices for October was:
| Total Return, October 2007 | |
| Index | Performance |
| Ratchet | -1.48% |
| FixFloat | +0.75% |
| Floater | -0.52% |
| OpRet | -0.07% |
| SplitShare | -0.22% |
| Interest | +1.96% |
| PerpetualPremium | -1.27% |
| PerpetualDiscount | -4.77% |
Not the best month to be holding perpetuals – particularly of the Discount variety! The overall pattern was much like September’s, but the decline in perpetuals was greatly accentuated.
This post will be updated in due course with returns of other indices and funds.
Update, 2007-11-02 I have uploaded a graph of yield curves, comparing the core rates for 2007-5-9, 9-28 and 10/31. Note that these curves are spot-yields for taxable accounts. The steepening of the yield curve in October is very noticable – this hurt perpetuals even more than they would have been hurt by a parallel upwards shift.
There is no really good reason for having chosen 2007-5-9 as a comparitive date: it’s simply that this particular date has been discussed recently.
Update #2, 2007-11-2 Claymore has published their final monthly numbers and I have derived the following table:
| CPD Return, 1- & 3-month, to October 31 | ||||
| Date | NAV | Distribution | Return for Sub-Period | Monthly Return |
| July 31 | 18.95 | |||
| August 31 | 19.04 | +0.47% | +0.47% | |
| September 25 | 18.76 | 0.2185 | -0.32% | -1.23% |
| September 28, 2007 | 18.59 | -0.91% | ||
| October 31 | 18.19 | -2.15% | -2.15% | |
| Quarterly Return | -2.90% | |||
Update, 2007-11-04:The DPS.UN NAV for October 31 has been published, so we can calculate the October-ish returns for it:
| DPS.UN NAV Return, October-ish 2007 | |||
| Date | NAV | Distribution | Return for period |
| September 26, 2007 | $21.93 | $0.30 | |
| October 31 | $21.35 | $0.00 | -2.64% |
| Adjustment for September stub-period | +0.80% | ||
| Estimated October Return | -1.86% | ||
| CPD had a NAV of $18.74 on September 26 and $18.59 on September 28. The beginning-of-month stub period return for CPD was therefore -0.80%, which is added back to the DPS.UN total return in order to isolate the return due to October. | |||
Now, to see the DPS.UN quarterly NAV approximate return, we refer to the calculations for September and August to derive:
| DPS.UN NAV Returns, three-month-ish to end-October-ish, 2007 | |
| August-ish | +0.22% |
| September-ish | -0.92% |
| October-ish | -1.86% |
| Three-months-ish | -2.55% |
Update, 2007-11-5: Performance for the BMO Capital Markets 50 is:
| BMOCM-50 Returns to October, 2007 | |
| One Month | -2.35% |
| Three Months | -3.12% |
| One Year | -0.05% |
| Two Years (annualized) | +1.52% |
| Three Years (annualized) | +1.28% |
| Four Years (annualized) | +2.34% |
| Five Years (annualized) | +3.33% |
| Six Years (annualized) | +3.36% |
[…] PrefBlog Canadian Preferred Shares – Data and Discussion « HIMIPref™ Index Performance : October 2007 […]
[…] Now, to see the DPS.UN quarterly NAV approximate return, we refer to the calculations for September and October to derive: […]
[…] Now, to see the DPS.UN quarterly NAV approximate return, we refer to the calculations for October and November: […]
[…] Readers will remember that I laid at least part of the blame for preferred shares’ appalling performance in October 2007 on forced-sales to meet retractions by DPS.UN: Diversified Preferred Share Trust (fully described […]