PrefBlog

Performance of the HIMI Indices for September was:

As has been discussed elsewhere the Claymore ETF returned -1.23% on the month; this number is after all fees and expenses.

Malachite Aggressive Preferred Fund, managed by Hymas Investment Management, returned -0.70% on the month. Returns assume reinvestment of dividends and are reported after expenses but before fees. Past performance is not  a guarantee of future performance. You can lose money investing in Malachite Aggressive Preferred Fund or any other fund.

The return of the “BMO Capital Markets 50” in August was -1.35%, but this will not be analyzed in detail due to the proprietary nature of this index.

The decline in perpetuals, which I attribute to the influence of new issues, caused a lot of changes this month.

I have already posted about MAPF Performance; I will post about index performance later.

Performance of the HIMI Indices for August was:

Things look relatively normal this month, as opposed to the huge variances in the July returns! 

As has been discussed elsewhere, the Claymore ETF returned +0.47% on the month; this number is after all fees and expenses.
The linked post also shows the approximate return for the other major passive preferred share fund listed on the TSX, DPS.UN. This fund returned (approximately; they do not report month-end NAVs) +0.22% on the month

Malachite Aggressive Preferred Fund (MAPF), managed by my firm returned -0.34% on the month. Returns assume reinvestment of dividends and are reported after expenses but before fees. Past performance is not  a guarantee of future performance. You can lose money investing in Malachite Aggressive Preferred Fund or any other fund.

As discussed, I’m not particularly pleased about the month’s underperformance – but I’m still earning my fees over a three month period, so I’ll just have to take the bad with the good.

The return of the “BMO Capital Markets 50” in August was +0.57%, but this will not be analyzed in detail due to the proprietary nature of this index.

Not much change this time ’round, similarly to July month-end. Four issues were relegated to “Scraps” on volume concerns and the flow of PerpetualPremiums to PerpetualDiscount reversed itself – albeit weakly.

AL.PR.E has been redeemed – it’s last appearance in the Floating Rate index is August 31; it is no longer priced commencing September 4.

BCE.PR.B has been added to the RatchetRate index as of August 28.

I will post about index performance and extreme issue performance at another time. I have already posted regarding MAPF Portfolio Composition and Performance.

I briefly mentioned yesterday that split-shares were getting hit this month relative to Operating Retractible issues, so I’ll just post a few things to substantiate that claim.

… which seems clear enough.

Additionally, I have uploaded:

• A graph of the yield curve’s Retractibility Premium vs. the SplitShare Premium for 2007 to date.
• An evaluation of the OpRet Index as of 2007-08-27
• An evaluation of the SplitShare index as of 2007-08-27.

Enjoy!

Performance of the HIMI Indices for July was:

Well – how about them fixed-floaters, eh? Or perhaps I should say “BCE Prefs”, since the FixedFloater index was comprised of eight issues in July, seven of which were BCE. It’s amazing what a generous takeover offer can do, eh? Especially since credit concerns had just about reached their peak on June 29 – the FixedFloater index was at 894.4 on June 29; above its low of 878.4 reached on June 11, but not by much!

The “Ratchet” index has been comprised solely of BCE issues throughout the period, but these fell less during the doldrums and hence had less ground to make up when Teachers’ gave the pref market its big boost.

As has been discussed elsewhere, the Claymore ETF returned -0.11% on the month; this number is after all fees and expenses and is after their rebalancing. I do not know what market action, if any, they took in order to reflect the index changes in their portolio … the current portfolio composition reflects at least some changes, but I do not know how completely the portfolio now reflects the index. It is also possible that they took no market action at all and the changes are due entirely to creation and destruction of units, with differing baskets. One can be reasonably sure, however, that changing their portfolio did not give their returns a trading-derived boost.

The same post has been updated with results for the other major passive preferred share fund listed on the TSX, DPS.UN. This fund returned (approximately; they do not report month-end NAVs) +1.38% on the month and -2.64% on the trailing three months. This fund has a higher weighting in the extremely volatile BCE prefs than does CPD.

Malachite Aggressive Preferred Fund, actively managed by my firm, returned +0.55% on the month, +0.22% on the trailing three months. Returns assume reinvestment of dividends and are reported after expenses but before fees. Past performance is not  a guarantee of future performance. You can lose money investing in Malachite Aggressive Preferred Fund or any other fund.

The return of the “BMO Capital Markets 50” in July was +1.33%, but this will not be analyzed in detail due to the proprietary nature of this index. It should suffice to note that this index has a higher weighting in BCE issues than does the S&P/TSX index.

Not much change this time ’round, unlike June Month-End! Three issues were relegated to “Scraps” on volume concerns and the flow of PerpetualPremiums to PerpetualDiscount slowed to a bare trickle.

As has previously been noted, CM.PR.C has been redeemed and removed from the PerpetualPremium index. Its last day of inclusion was July 31.

I will post about index performance and extreme issue performance at another time. I have already posted regarding MAPF Composition and MAPF Performance.

Another month of higher than usual activity; there was a continued migration of issues from the PerpetualPremium to the PerpetualDiscount index; and a continued trend of issues moving out of “Scraps” due to increased volume.

Index performance and extreme issue performance have been the subject of prior posts, as has the the performance and composition of Malachite Aggressive Preferred Fund.

Update: Correction made to table, 2007-7-4

Performance of the HIMI Indices for June was:

… which is at least a little bit more cheerful than the results in May. 

The Claymore Preferred ETF (CPD) may be viewed, with caution, as a proxy for the S&P/TSX Preferred Share Index. Caution is required due to tracking error – the ETF will deliver performance according to what it actually holds and how well it is able to do things like reinvest its dividends, which is not the same thing as an index return. The fund’s NAV will be reported after MER of 0.45% p.a. Be that as it may, the NAV return for CPD has been calculated elsewhere to be -1.40%, after accounting for all its fees & expenses.

It’s a little difficult to get a handle on the size of this ETF … according to the Toronto Exchange, there are 500,000 “plain” units outstanding and 100,000 “advisor class” (CPD.A). However, the Claymore site claims more: 1.3-million “plain” and 0.1-million “advisor”.

Diversified Preferred Share Trust (DPS.UN) is the main competitor of CPD. It doesn’t publish month-end NAVs, but calculations indicate that it probably marginally outperformed CPD – by about 7 basis points.

Look for huge gains in the Fixed-Floater and Ratchet indices (note that the indices are presented prior to the June month-end rebalancing) over the next month – these are dominated by BCE issues, which are currently the subject of an extremely rich takeover bid. Sadly, there is probably no way to take advantage of this, since the issues may be confidently expected to be bid well above their June 29 closing quotations at the opening on Tuesday morning. While there might be a discount to the price Teachers’ is bidding, attempting to take advantage of this spread will constitute “risk-arbitrage” and – in the absence of insider information, I will suggest that the “risk” will highly outweigh the “arbitrage” if a position is taken.

I will admit to being puzzled by the poor performance of the Interest-Bearing Index, also shown prior to its rebalancing. Note that BAM.PR.T is about to be called, but look at the pre-tax bid-YTWs available for BSD.PR.A and FIG.PR.A! As of June 22 the former had an asset coverage ratio of 1.97:1 (the June month-end distribution will have reduced this a bit, but not much) and a DBRS rating of Pfd-2. As of June 28, the latter had asset coverage of 2.58:1 (and has already accounted for the second quarter distribution), while also being rated Pfd-2. It (FIG.PR.A) remains under review with developing indications (“pending the resolution of their respective reorganization and amalgamation plans, which are expected to occur shortly”) but that reorganization settled months ago … DBRS seems to be dragging its feet a little!

Anyway, look at the credit and the yields available on these things! Remember that the yields will be realized largely as interest income, but really! I won’t suggest that anybody mortgage their house to pile into these investments, but how many people have worse credits yielding less in their RRSPs? Come on – stick your hands up!