Category: Indices and ETFs

Index Construction / Reporting

Index Performance: November 2008

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

Total Return
Index Performance
November 2008		 Three Months
to
November 28, 2008
Ratchet N/A N/A
FixFloat -17.02% -28.88%
Floater -31.57% -61.61%
OpRet -1.46% -7.06%
SplitShare -12.42% -21.67%
Interest -11.59% -29.33%
PerpetualPremium N/A N/A
PerpetualDiscount -13.34% -21.66%
FixedReset -8.88% N/A
Funds (see below for calculations)
CPD -11.10% -19.90%
DPS.UN -12.95% -24.18%
Index
BMO-CM 50 -10.70% -20.11%

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 November, 2008
Date NAV Distribution Return for Sub-Period Monthly Return
August 29, 2008 16.91      
Sept 25 16.41 0.2135 -1.69% -2.89%
Sept 30 16.21   -1.22%
October 31 15.04 0.00   -7.22%
November 28, 2008 13.37 0.00   -11.10%
Quarterly Return -19.90%

The DPS.UN NAV for November 26 has been published so we may calculate the November returns (approximately!) for this closed end fund:

DPS.UN NAV Return, November-ish 2008
Date NAV Distribution Return for period
Estimated October Ending Stub +1.42%
October 29, 2008 16.96    
November 26, 2008 14.53   -14.33%
Estimated November Ending Stub +3.80%
Estimated November Return -12.95%
CPD had a NAV of $14.83 on October 29 and $15.04 on October 31. The estimated October end of month stub period return for CPD was therefore +1.42%, which is subtracted from the DPS.UN period return to estimate a return for the period.
CPD had a NAV of $12.88 on November 26 and $13.37 on November 28. The estimated November month-end stub period return for CPD was therefore +3.80%, which is added to the DPS.UN period return to estimate a return for the period.
The October return for DPS.UN’s NAV is therefore the product of three period returns, -1.42%, -14.33% & +3.08%, to arrive at an estimate for the calendar month of -12.95%

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

DPS.UN NAV Returns, three-month-ish to end-October-ish, 2008
September-ish -3.70%
October-ish -9.56%
November-ish -12.95%
Three-months-ish -24.18%
Index Construction / Reporting

Index Performance: October 2008

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

Total Return
Index Performance
October 2008		 Three Months
to
October 30, 2008
Ratchet N/A N/A
FixFloat -11.76% -12.47%
Floater -34.16% -42.25%
OpRet -3.75% -4.33%
SplitShare -3.86% -9.79%
Interest -16.37% -19.42%
PerpetualPremium -13.96% -14.08%
PerpetualDiscount -7.47% -6.07%
FixedReset -3.68% N/A
Funds (see below for calculations)
CPD -7.22% -7.67%
DPS.UN -9.56% -10.62%
Index
BMO-CM 50 -8.16% -8.96%

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 October, 2008
Date NAV Distribution Return for Sub-Period Monthly Return
July 31, 2008 16.50 0.00    
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%
October 31 15.04 0.00   -7.22%
Quarterly Return -7.67%

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, October-ish 2008
Date NAV Distribution Return for period
Estimated October Beginning Stub -0.25%
October 1, 2008 18.97    
October 29, 2008 16.96   -10.60%
Estimated October Ending Stub +1.42%
Estimated October Return -9.56%
CPD had a NAV of $16.17 on October 1 and $16.21 on September 30. 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.
CPD had a NAV of $14.83 on October 29 and $15.04 on October 31. The estimated October end of month stub period return for CPD was therefore +1.42%, which is added to the DPS.UN period return to estimate a return for the period.
The October return for DPS.UN’s NAV is therefore the product of three period returns, -0.25%, -10.60% & +1.42%, to arrive at an estimate for the calendar month of -9.56%

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

DPS.UN NAV Returns, three-month-ish to end-October-ish, 2008
August-ish +2.63%
September-ish -3.70%
October-ish -9.56%
Three-months-ish -10.62%
Indices and ETFs

Research: The Claymore Preferred ETF & Its Index

Shortly after the fund commenced trading, I published an analysis of the portfolio. However, the composition of this fund changes with each rebalancing; there have been significant index changes in July 2007, January 2008 and July 2008.

What are the effects of these rebalancings? Look for the research link!

Update, 2008-11-3: Bonus Spreadsheet!

Index Construction / Reporting

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%
Index Construction / Reporting

Index Performance: August 2008

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

Total Return
Index Performance
August 2008		 Three Months
to
August 29, 2008
Ratchet N/A N/A
FixFloat +2.14% +7.76%
Floater +2.94% -2.24%
OpRet +1.44% -0.17%
SplitShare +0.86% -1.41%
Interest +0.81% +1.55%
PerpetualPremium +1.30% -1.78%
PerpetualDiscount +3.91% -4.90%
Funds (see below for calculations)
CPD +2.48% -4.09%
DPS.UN +2.63% -4.12%
Index
BMO-CM 50 +2.88% -2.72%

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

CPD Return, 1- & 3-month, to August, 2008
Date NAV Distribution Return for Sub-Period Monthly Return
May 30 17.85 0.00    
June 25 17.01 0.2097 -3.53% -4.26%
June 30, 2008 16.88   -0.76%
July 31, 2008 16.50 0.00   -2.25%
August 29 16.91 0.00   +2.48%
Quarterly Return -4.09%

The DPS.UN NAV for August 27 has been published so we may calculate the July returns (approximately!) for this closed end fund:

DPS.UN NAV Return, August-ish 2008
Date NAV Distribution Return for period
Estimated July Stub -0.30%
July 30 $19.48    
August 27 $20.03   +2.82%
Estimated August Stub +0.12%
Estimated August Return +2.63%
CPD had a NAV of $16.45 on July 30 and $16.50 on July 31. The estimated July end-of-month stub period return for CPD was therefore +0.30%, which is subtracted from the DPS.UN period return.
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.

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

DPS.UN NAV Returns, three-month-ish to end-August-ish, 2008
June-ish -3.53%
July-ish -3.16%
August-ish +2.63%
Three-months-ish -4.12%
Index Construction / Reporting

Index Performance: July 2008

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

Total Return
Index Performance
July 2008		 Three Months
to
July 31, 2008
Ratchet N/A N/A
FixFloat +5.94% +3.00%
Floater -2.01% +5.17%
OpRet -1.28% -1.05%
SplitShare -0.23% -0.76%
Interest -0.18% +1.92%
PerpetualPremium -1.68% -2.60%
PerpetualDiscount -3.34% -7.22%
Funds (see below for calculations)
CPD -2.25% -5.09%
DPS.UN -3.16% -5.66%
Index
BMO-CM 50    

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

CPD Return, 1- & 3-month, to July, 2008
Date NAV Distribution Return for Sub-Period Monthly Return
May 30 17.85 0.00   +1.42%
June 25 17.01 0.2097 -3.53% -4.26%
June 30, 2008 16.88   -0.76%
July 31, 2008 16.50 0.00   -2.25%
Quarterly Return -5.09%

The DPS.UN NAV for July 30 has been published so we may calculate the July returns (approximately!) for this closed end fund:

DPS.UN NAV Return, July-ish 2008
Date NAV Distribution Return for period
June 25 $20.33    
June 30 N/A   -0.76%
July 30 $19.48   -4.18%
(from June 25)
July 31 N/A   +0.30%
Estimated July Return -3.16%
CPD had a NAV of $17.01 on June 25 and $16.88 on June 30. The estimated June end-of-month stub period return for CPD was therefore -0.76%, which is applied to DPS.UN as described above.
CPD had a NAV of $16.45 on July 30 and $16.50 on July 31. The estimated July end-of-month stub period return for CPD was therefore +0.30%, which is applied to DPS.UN as described above.

Now, to see the DPS.UN quarterly NAV approximate return, we refer to the calculations for May and June

DPS.UN NAV Returns, three-month-ish to end-July-ish, 2008
May-ish +0.98%
June-ish -3.53%
July-ish -3.16%
Three-months-ish -5.66%
Indices and ETFs

TXPR Quietly Drops FAL.PR.H

S&P, which announced the results of its semi-annual rebalancing of TXPR last week, has updated its list of constituents (Excel Spreadsheet), “Effective after the close July 18, 2008”

This list does not include FAL.PR.H, which appears to have been included in press release in error (it was redeemed).

I’m not sure when the list – including or excluding FAL.PR.H – was made available. I confess that I was awaiting a formal press release “clarifying” the situation.

Index Construction / Reporting

TXPR Index Rebalancing

S&P has announced:

the following index changes as a result of the semi-annual S&P/TSX Preferred Share Index Review. These changes will be effective at the open on Monday, July 21, 2008

TXPR Index Adds
July 2008
Ticker HIMI Preferred Sub-Index DBRS Rating
ACO.PR.A OpRet Pfd-2(low)
BMO.PR.M None
Fixed-Reset		 Pfd-1
BNS.PR.N PerpetualDiscount Pfd-1
BNS.PR.P None
Fixed-Reset		 Pfd-1
BNS.PR.Q None
Fixed-Reset		 Pfd-1
BCE.PR.I FixFloat Pfd-2(low)
Review Negative
BAM.PR.N PerpetualDiscount Pfd-2(low)
BPO.PR.I Scraps
(OpRet)		 Pfd-3(high)
CL.PR.B PerpetualPremium Pfd-1(low)
ENB.PR.A PerpetualDiscount Pfd-2(low)
FTS.PR.E Scraps
(OpRet)		 Pfd-3(high)
FTS.PR.G None
(Fixed-Reset)		 Pfd-3(high)
GWO.PR.I PerpetualDiscount Pfd-1(low)
NA.PR.M PerpetualDiscount Pfd-1(low)
NA.PR.N None
(Fixed-Reset)		 Pfd-1(low)
TD.PR.S None
(Fixed-Reset)		 Pfd-1
FAL.PR.H ???? N/A

I don’t understand why they are adding FAL.PR.H. Its redemption was announced May 22 and the date was set on May 29: Redemption Date June 30. They were redeemed on schedule. They are no longer listed on the TSX.

But that’s what happens, I guess, when (instead of hiring HIMI) you entrust index preparation to a small, inexperienced outfit like S&P!

But Holy Smokes! That’s a lot of Fixed-Resets! There are now seven of these thingies outstanding and six of them are now incorporated in TXPR – or will be once the change takes effect, anyway. Call up your friendly neighborhood CPD holder – preferably, one who is a really hard-line anti-active-management indexing zealot – and ask him why he’s so enamoured of the sub-class.

Is this jiggery-pokery, or do I have a disgusting suspicious mind? The latest Claymore literature references the “Desjardins Preferred Share Universe Index”; Desjardins is heavily promoting its involvement in fixed resets and (this wins all arguments in the bond world) Innovative Tier 1 Capital was put in the Scotia bond index (now DEX) for no reason that anybody can figure out except that it made it easier to sell.

All conspiracy theories are welcome.

In the meantime, this rebalancing compromises the integrity of the index as representative of actual preferred shares. Sorry folks, but that’s the way it is. And I’d love to know what the reference to FAL.PR.H is all about!

TXPR Index Deletions
July 2008
Ticker HIMI Preferred Sub-Index DBRS Rating
BMO.PR.H PerpetualDiscount Pfd-1
BNS.PR.J PerpetualDiscount Pfd-1
BNS.PR.K PerpetualDiscount Pfd-1
BNS.PR.L PerpetualDiscount Pfd-1
BCE.PR.F None
(FixFloat)		 Pfd-2(low)
Review Negative
BAM.PR.B Floater Pfd-2(low)
BPO.PR.J Scraps
(OpRet)		 Pfd-3(high)
FTS.PR.C Scraps
(OpRet)		 Pfd-3(high)
FTS.PR.F Scraps
(PerpetualDiscount)		 Pfd-3(high)
GWO.PR.X OpRet Pfd-1(low)
HSB.PR.C PerpetualDiscount Pfd-1
IAG.PR.A PerpetualDiscount Pfd-2(high)
NA.PR.L PerpetualDiscount Pfd-1(low)
TD.PR.P PerpetualDiscount Pfd-1
TCA.PR.X PerpetualDiscount Pfd-2(low)
YPG.PR.B Scraps
(OpRet)		 Pfd-3(high)

In summary and, perforce, ignoring any weightings that S&P might be assigning:

TXPR Changes by Sector
Ignoring FAL.PR.H Add
Assigning “Scraps” & “None” to “Would be”
Sector Adds Deletions Net
OpRet 3 4 -1
FixedReset 6 0 +6
PerpetualDiscount 5 10 -5
FixFloat 1 1 0
PerpetualPremium 1 0 +1
Floater 0 1 -1

… and …

TXPR Changes by Credit (DBRS)
Ignoring FAL.PR.H Add
Credit Adds Deletions Net
Pfd-1 5 6 -1
Pfd-1(low) 4 2 +2
Pfd-2(high) 0 1 -1
Pfd-2(low) 4 3 +1
Pfd-3(high) 3 4 -1

The previous rebalancing of TXPR removed SplitShares; this was claimed to be due to liquidity concerns … which, on examination, looked to be more like institutional holding / block trading concerns, strictly speaking.

Index Construction / Reporting

Index Performance: June 2008

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

Total Return
Index Performance
June 2008		 Three Months
to
June 30, 2008
Ratchet +0.38% +2.68%
FixFloat -0.41% -1.02%
Floater -3.09% +6.39%
OpRet -0.32% +0.53%
SplitShare -2.02% +1.31%
Interest +0.91% +2.72%
PerpetualPremium -1.38% -0.57%
PerpetualDiscount -5.31% -3.90%
Funds (see below for calculations)
CPD -4.26% -2.90%
DPS.UN -3.53% -2.20%
Index
BMO-CM 50 -3.43% -2.09%

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

CPD Return, 1- & 3-month, to June, 2008
Date NAV Distribution Return for Sub-Period Monthly Return
March 31, 2008 17.60      
April 30 17.60     0.00%
May 30 17.85 0.00   +1.42%
June 25 17.01 0.2097 -3.53% -4.26%
June 30, 2008 16.88   -0.76%
Quarterly Return -2.90%

The DPS.UN NAV for June 25 has been published so we may calculate the June returns (approximately!) for this closed end fund:

DPS.UN NAV Return, June-ish 2008
Date NAV Distribution Return for period
May 28 $20.89   +0.87%
May 30 N/A   +0.11%
June 25 $20.33   -2.79%
June 30 N/A   -0.76%
Estimated June Return -3.53%
CPD had a NAV of $17.83 on May 28 and $17.85 on May 30. The estimated May end-of-month stub period return for CPD was therefore +0.11%, which is applied to DPS.UN as described above.
CPD had a NAV of $17.01 on June 25 and $16.88 on June 30. The estimated June end-of-month stub period return for CPD was therefore -0.76%, which is applied to DPS.UN as described above.

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

DPS.UN NAV Returns, three-month-ish to end-June-ish, 2008
April-ish +0.39%
May-ish +0.98%
June-ish -3.53%
Three-months-ish -2.20%
Index Construction / Reporting

Index Performance, December 2007

Performance of the HIMIPref™ Indices for December was:

Total Return
Index Performance
December 2007		 Performance
4Q07
Ratchet +0.91%  -0.55%
FixFloat -0.88%  -0.68%
Floater -14.53%  -21.59%
OpRet +0.76%  +1.20%
SplitShare +1.08%  -1.53%
Interest -0.68%  +1.62%
PerpetualPremium +1.04%  -0.11%
PerpetualDiscount +2.63%  -2.33%
Funds (see below for calculations)
CPD +1.14%  -2.27%
DPS.UN +1.93%  -1.11%

The FloatingRate index was adversely affected by both of its constituents (BAM.PR.B & BAM.PR.K) performing very poorly during the month – in fact, these two issues were the two worst performers, by far, of all index-included issues in the HIMIPref™ universe. The issue removed from the “Floater” index at the November rebalancing, TOC.PR.B, returned -4.94% on the month.

Claymore has published dividend and NAV data for the CPD Exchange Traded Fund and I have derived the following table:

CPD Return, 1- & 3-month, to December 31
Date NAV Distribution Return for Sub-Period Monthly Return
September 28, 2007 18.59      
October 31, 2007 18.19   -2.15% -2.15%
November 30 17.97   -1.21% -1.21%
December 24 17.75 0.2219 +0.01% +1.14%
December 31, 2007 17.95   +1.13%
Quarterly Return -2.27%

The DPS.UN NAV for December 27 has been published, together with the distribution history, so we may calculated the December-ish returns for it:

DPS.UN NAV Return, November-ish 2007
Date NAV Distribution Return for period
November 28 $21.07 $0.00  
December 27, 2007 21.07 0.30 +1.42%
Adjustment for November stub-period -0.17%
Adjustment for December stub-period +0.67%
Estimated December Return +1.93%
CPD had a NAV of $17.94 on November 28 and $17.97 on November 30. The estimated November end-of-month stub period return for CPD was therefore +0.17%, which is subtracted from the DPS.UN total return when estimating the return for December.
CPD had a NAV of $17.83 on December 27 and $17.95 on December 31. The estimated December end-of-month stub period return for CPD was therefore +0.67%, which is added to the DPS.UN total return when estimating the return for December.

 

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

DPS.UN NAV Returns, three-month-ish to end-December-ish, 2007
October-ish -1.86%
November-ish -1.14%
December-ish +1.93%
Three-months-ish -1.11%