Assiduous Readers will remember my rants about risk; risk is not something dumb, like “monthly volatility of portfolio value” (which, by the way, implicitly assumes that the critical consideration is Preservation of Capital); risk is the chance that a portfolio will not meet its objectives and hence cause the portfolio holder to revise his lifestyle downward from the expected level. I was pleased to find an essay today on this topic by Jean L.P. Brunel, titled Goals-Based Wealth Management in Practice:
Wealth management processes have not always been responsive to individual clients’ priorities and modes of thinking. A model is presented and evaluated that uses goals-based wealth management concepts to generate module-built portfolios, each of which is driven by a client’s expressed goals. This model allows for a high degree of flexibility and responsiveness to client needs with a practical level of standardization.
I can’t say I’m a fan of the module-based approach to implementation, however:
GenSpring uses four sets of goals-focused modules in creating portfolios:
1. Tax aware with nontraditional strategies,
2. Tax agnostic with nontraditional strategies,
3. Tax aware with only traditional strategies, and
4. Tax agnostic with only traditional strategies.Goals-Focused Modules. Each of the four sets consists of nine modules that address all the categories of a client family’s needs. The modules are contiguous, but each module must be sufficiently different to distinguish it from the others. Each module must also be optimal within the constraints created by inevitable trade-offs while leaving room for flexibility.
HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
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Index | Mean Current Yield (at bid) |
Median YTW |
Median Average Trading Value |
Median Mod Dur (YTW) |
Issues | Day’s Perf. | Index Value |
Ratchet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.6146 % | 1,702.6 |
FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.6146 % | 3,110.3 |
Floater | 4.82 % | 4.51 % | 78,079 | 16.20 | 4 | -0.6146 % | 1,792.5 |
OpRet | 4.84 % | -10.34 % | 62,390 | 0.08 | 1 | 0.0000 % | 2,881.5 |
SplitShare | 5.06 % | 4.30 % | 113,950 | 2.25 | 5 | 0.2470 % | 3,436.8 |
Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2470 % | 2,681.5 |
Perpetual-Premium | 5.45 % | 2.17 % | 76,429 | 0.19 | 12 | -0.1063 % | 2,701.0 |
Perpetual-Discount | 5.11 % | 4.96 % | 107,615 | 14.93 | 26 | -0.1541 % | 2,913.2 |
FixedReset | 4.93 % | 4.16 % | 150,219 | 7.10 | 89 | -0.9843 % | 2,068.8 |
Deemed-Retractible | 4.97 % | 1.61 % | 118,365 | 0.26 | 32 | -0.1722 % | 2,806.9 |
FloatingReset | 2.87 % | 3.97 % | 31,856 | 5.08 | 11 | -0.4748 % | 2,207.3 |
Performance Highlights | |||
Issue | Index | Change | Notes |
TRP.PR.B | FixedReset | -2.80 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-23 Maturity Price : 11.81 Evaluated at bid price : 11.81 Bid-YTW : 4.17 % |
BAM.PR.S | FloatingReset | -2.64 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-23 Maturity Price : 14.36 Evaluated at bid price : 14.36 Bid-YTW : 4.96 % |
SLF.PR.G | FixedReset | -2.63 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.43 Bid-YTW : 9.69 % |
TRP.PR.E | FixedReset | -2.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-23 Maturity Price : 18.51 Evaluated at bid price : 18.51 Bid-YTW : 4.33 % |
HSE.PR.A | FixedReset | -2.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-23 Maturity Price : 12.30 Evaluated at bid price : 12.30 Bid-YTW : 4.86 % |
TRP.PR.D | FixedReset | -2.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-23 Maturity Price : 17.66 Evaluated at bid price : 17.66 Bid-YTW : 4.48 % |
BAM.PF.F | FixedReset | -2.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-23 Maturity Price : 20.75 Evaluated at bid price : 20.75 Bid-YTW : 4.46 % |
MFC.PR.K | FixedReset | -2.42 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.75 Bid-YTW : 7.86 % |
TRP.PR.A | FixedReset | -2.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-23 Maturity Price : 14.94 Evaluated at bid price : 14.94 Bid-YTW : 4.54 % |
BAM.PF.G | FixedReset | -2.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-23 Maturity Price : 21.07 Evaluated at bid price : 21.07 Bid-YTW : 4.42 % |
HSE.PR.E | FixedReset | -2.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-23 Maturity Price : 20.67 Evaluated at bid price : 20.67 Bid-YTW : 5.23 % |
FTS.PR.H | FixedReset | -2.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-23 Maturity Price : 13.75 Evaluated at bid price : 13.75 Bid-YTW : 3.91 % |
BAM.PF.B | FixedReset | -2.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-23 Maturity Price : 18.42 Evaluated at bid price : 18.42 Bid-YTW : 4.68 % |
MFC.PR.F | FixedReset | -2.20 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.25 Bid-YTW : 9.70 % |
TRP.PR.F | FloatingReset | -2.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-23 Maturity Price : 13.78 Evaluated at bid price : 13.78 Bid-YTW : 4.46 % |
BAM.PR.Z | FixedReset | -2.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-23 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 4.79 % |
NA.PR.Q | FixedReset | -2.03 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.15 Bid-YTW : 3.95 % |
FTS.PR.G | FixedReset | -1.98 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-23 Maturity Price : 18.32 Evaluated at bid price : 18.32 Bid-YTW : 3.91 % |
BAM.PR.T | FixedReset | -1.83 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-23 Maturity Price : 16.05 Evaluated at bid price : 16.05 Bid-YTW : 4.74 % |
CM.PR.Q | FixedReset | -1.83 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-23 Maturity Price : 20.89 Evaluated at bid price : 20.89 Bid-YTW : 4.16 % |
IFC.PR.C | FixedReset | -1.78 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.17 Bid-YTW : 7.88 % |
MFC.PR.I | FixedReset | -1.76 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.65 Bid-YTW : 6.26 % |
BAM.PF.A | FixedReset | -1.70 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-23 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 4.55 % |
TRP.PR.H | FloatingReset | -1.67 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-23 Maturity Price : 10.59 Evaluated at bid price : 10.59 Bid-YTW : 4.27 % |
RY.PR.J | FixedReset | -1.67 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-23 Maturity Price : 20.64 Evaluated at bid price : 20.64 Bid-YTW : 4.14 % |
MFC.PR.N | FixedReset | -1.66 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.91 Bid-YTW : 7.23 % |
BAM.PF.E | FixedReset | -1.64 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-23 Maturity Price : 19.75 Evaluated at bid price : 19.75 Bid-YTW : 4.39 % |
FTS.PR.K | FixedReset | -1.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-23 Maturity Price : 18.57 Evaluated at bid price : 18.57 Bid-YTW : 3.82 % |
RY.PR.H | FixedReset | -1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-23 Maturity Price : 19.01 Evaluated at bid price : 19.01 Bid-YTW : 4.00 % |
TD.PF.A | FixedReset | -1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-23 Maturity Price : 19.05 Evaluated at bid price : 19.05 Bid-YTW : 4.00 % |
MFC.PR.L | FixedReset | -1.42 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.75 Bid-YTW : 7.18 % |
BAM.PF.H | FixedReset | -1.42 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-31 Maturity Price : 25.00 Evaluated at bid price : 26.40 Bid-YTW : 3.80 % |
BAM.PR.X | FixedReset | -1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-23 Maturity Price : 14.22 Evaluated at bid price : 14.22 Bid-YTW : 4.48 % |
PWF.PR.O | Perpetual-Premium | -1.30 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2016-10-31 Maturity Price : 25.50 Evaluated at bid price : 25.76 Bid-YTW : 2.17 % |
BAM.PR.R | FixedReset | -1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-23 Maturity Price : 16.05 Evaluated at bid price : 16.05 Bid-YTW : 4.64 % |
NA.PR.X | FixedReset | -1.24 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-15 Maturity Price : 25.00 Evaluated at bid price : 26.27 Bid-YTW : 4.45 % |
TRP.PR.C | FixedReset | -1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-23 Maturity Price : 13.01 Evaluated at bid price : 13.01 Bid-YTW : 4.22 % |
TD.PF.B | FixedReset | -1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-23 Maturity Price : 18.90 Evaluated at bid price : 18.90 Bid-YTW : 4.03 % |
TD.PF.E | FixedReset | -1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-23 Maturity Price : 21.35 Evaluated at bid price : 21.65 Bid-YTW : 4.08 % |
BAM.PR.C | Floater | -1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-23 Maturity Price : 10.44 Evaluated at bid price : 10.44 Bid-YTW : 4.58 % |
RY.PR.M | FixedReset | -1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-23 Maturity Price : 20.36 Evaluated at bid price : 20.36 Bid-YTW : 4.08 % |
TD.PF.C | FixedReset | -1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-23 Maturity Price : 18.78 Evaluated at bid price : 18.78 Bid-YTW : 4.05 % |
BAM.PR.K | Floater | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-23 Maturity Price : 10.46 Evaluated at bid price : 10.46 Bid-YTW : 4.57 % |
BNS.PR.Q | FixedReset | -1.03 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.08 Bid-YTW : 3.67 % |
BAM.PR.B | Floater | -1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-23 Maturity Price : 10.60 Evaluated at bid price : 10.60 Bid-YTW : 4.51 % |
GWO.PR.N | FixedReset | -1.02 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.55 Bid-YTW : 9.45 % |
SLF.PR.H | FixedReset | -1.01 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.60 Bid-YTW : 8.56 % |
CCS.PR.C | Deemed-Retractible | -1.01 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.50 Bid-YTW : 5.44 % |
PWF.PR.P | FixedReset | -1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-23 Maturity Price : 13.79 Evaluated at bid price : 13.79 Bid-YTW : 4.08 % |
Volume Highlights | |||
Issue | Index | Shares Traded |
Notes |
BAM.PR.K | Floater | 199,415 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-23 Maturity Price : 10.46 Evaluated at bid price : 10.46 Bid-YTW : 4.57 % |
SLF.PR.I | FixedReset | 146,945 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.72 Bid-YTW : 6.86 % |
BIP.PR.C | FixedReset | 78,455 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-09-30 Maturity Price : 25.00 Evaluated at bid price : 25.35 Bid-YTW : 5.14 % |
TRP.PR.J | FixedReset | 61,368 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-31 Maturity Price : 25.00 Evaluated at bid price : 26.45 Bid-YTW : 4.15 % |
BMO.PR.T | FixedReset | 59,480 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-23 Maturity Price : 19.01 Evaluated at bid price : 19.01 Bid-YTW : 3.98 % |
BAM.PR.R | FixedReset | 54,819 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-23 Maturity Price : 16.05 Evaluated at bid price : 16.05 Bid-YTW : 4.64 % |
There were 55 other index-included issues trading in excess of 10,000 shares. |
Wide Spread Highlights | ||
Issue | Index | Quote Data and Yield Notes |
GWO.PR.M | Deemed-Retractible | Quote: 26.66 – 27.25 Spot Rate : 0.5900 Average : 0.4140 YTW SCENARIO |
HSE.PR.E | FixedReset | Quote: 20.67 – 21.15 Spot Rate : 0.4800 Average : 0.3112 YTW SCENARIO |
RY.PR.F | Deemed-Retractible | Quote: 25.15 – 25.55 Spot Rate : 0.4000 Average : 0.2406 YTW SCENARIO |
NA.PR.Q | FixedReset | Quote: 24.15 – 24.64 Spot Rate : 0.4900 Average : 0.3370 YTW SCENARIO |
MFC.PR.M | FixedReset | Quote: 19.03 – 19.47 Spot Rate : 0.4400 Average : 0.2993 YTW SCENARIO |
CU.PR.F | Perpetual-Discount | Quote: 22.75 – 23.17 Spot Rate : 0.4200 Average : 0.2969 YTW SCENARIO |
“Each module must also be optimal within the constraints created by inevitable trade-offs while leaving room for flexibility”
Okay, I admit it. This is completely over my head. It sounds like “sales speak”.
Keeping it simple, my accounts have either a growth or income targets. Or both in some way.
I agree that it’s not the most transparent explanation in the world!
I think the procedure that is being described is that the portfolio objectives are first set out. For instance, you might have $1-million, of which you want to keep $250,000 fairly liquid because you might want to buy a vacation property, but $750,000 is earmarked for long-term income.
Then each of these portions is assigned to a module. The $250,000 might go into a portfolio of short-term bonds, which the firm thinks is the best portfolio of short-term bonds possible, and $750,000 into the best long-term bond portfolio the firm can devise.
The problem I have with this is that the overall portfolio then has a duration of … call it 13, being a weighted average of 4 and 16, and there may be better ways of constructing a bond portfolio with a duration of 13 than the barbell structure that the firm has come up with.
Funny that I did not read this with the “bond universe” in mind. Maybe b/c I have no bonds in any accounts. None. My bad?
I like the long/short approach; but for now it is in GICs and prefs and some REITS (for current income).
As of recent, prefs have been a preference. I put a good deal of interest in fixed resets as a long position (slf.pr.j / tri.pr.b ema.pr.a et al) since May 2015 in tax sheltered accounts which have a growth motive and to shelter income and cap gains. This seems to be panning out for the moment.
I dont have modules or schedules.