Index Performance: September 2008

Performance of the HIMIPref™ Indices for September, 2008, was:

Total Return
Index Performance
September 2008
Three Months
to
September 30, 2008
Ratchet N/A N/A
FixFloat -2.88% +5.09%
Floater -14.79% -14.05%
OpRet -2.01% -1.87%
SplitShare -6.97% -6.39%
Interest -4.42% -3.82%
PerpetualPremium -1.42% -1.82%
PerpetualDiscount -2.31% -1.89%
FixedReset N/A N/A
Funds (see below for calculations)
CPD -2.89% -2.72%
DPS.UN -3.70% -4.29%
Index
BMO-CM 50 -2.59% -1.88%

Claymore has published NAV and distribution data for its exchange traded fund (CPD) and I have derived the following table:

CPD Return, 1- & 3-month, to September, 2008
Date NAV Distribution Return for Sub-Period Monthly Return
June 30 16.88 0.00    
July 31, 2008 16.50 0.00   -2.25%
August 29 16.91 0.00   +2.48%
Sept 25 16.41 0.2135 -1.69% -2.89%
Sept 30, 2008 16.21   -1.22%
Quarterly Return -2.72%

The DPS.UN NAV for October has been published so we may calculate the September returns (approximately!) for this closed end fund:

DPS.UN NAV Return, September-ish 2008
Date NAV Distribution Return for period
August 27 $20.03   +2.82%
Estimated August Stub +0.12%
Sept 24 19.64   -2.07%
Sept 26 19.3321
Estimate
0.30 -0.04%
Estimate
October 1, 2008 18.97   -1.87%
Estimated October Stub -0.25%
Estimated September Return -3.70%
CPD had a NAV of $16.89 on August 27 and $16.91 on August 29. The estimated August end-of-month stub period return for CPD was therefore +0.12%, which is added to the DPS.UN period return.
The return for the period August 27-Sept 24 was -1.95%; since the August stub period return was +0.12%, the August 29-September 24 return is estimated as -2.07%
CPD had NAVs of $16.63, 16.41 & 16.41 on September 24, 25 & 26, respectively; a distribution of $0.2135 was paid with a Sept. 25 ex-date. Total return for September 24-26 was therefore -0.04%.
CPD had a NAV of $16.17 on October 1 and $16.21 on September. The estimated October beginning of month stub period return for CPD was therefore -0.25%, which is added to the DPS.UN period return to estimate a return for the period of -1.62%.
The September return for DPS.UN’s NAV is therefore the product of three period returns, -2.07%, -0.04% and -1.62%, to arrive at an estimate for the calendar month of -3.70%

Now, to see the DPS.UN quarterly NAV approximate return, we refer to the calculations for July and August:

DPS.UN NAV Returns, three-month-ish to end-September-ish, 2008
July-ish -3.16%
August-ish +2.63%
September-ish -3.70%
Three-months-ish -4.29%

2 Responses to “Index Performance: September 2008”

  1. […] Now, to see the DPS.UN quarterly NAV approximate return, we refer to the calculations for August and September: […]

  2. […] to see the DPS.UN quarterly NAV approximate return, we refer to the calculations for September and […]

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