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Index Performance: October 2008

Tuesday, November 4th, 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%

Posted in Index Construction / Reporting, Indices and ETFs | 4 Comments »

Research: The Claymore Preferred ETF & Its Index

Sunday, October 19th, 2008

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!

Posted in Indices and ETFs, Publications | 8 Comments »

Index Performance: September 2008

Thursday, October 2nd, 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%

Posted in Index Construction / Reporting, Indices and ETFs | 2 Comments »

Index Performance: August 2008

Wednesday, September 3rd, 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%

Posted in Index Construction / Reporting, Indices and ETFs | 4 Comments »

Index Performance: July 2008

Friday, August 1st, 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%

Posted in Index Construction / Reporting, Indices and ETFs | 2 Comments »

TXPR Quietly Drops FAL.PR.H

Friday, July 18th, 2008

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.

Posted in Indices and ETFs | 2 Comments »

TXPR Index Rebalancing

Friday, July 11th, 2008

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.

Posted in Index Construction / Reporting, Indices and ETFs | 10 Comments »

Index Performance: June 2008

Monday, July 7th, 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%

Posted in Index Construction / Reporting, Indices and ETFs | 3 Comments »

Index Performance, December 2007

Wednesday, January 2nd, 2008

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%

 

Posted in Index Construction / Reporting, Indices and ETFs | 7 Comments »

S&P/TSX Preferred Share Index to Remove SplitShares

Tuesday, November 27th, 2007

Well – they added them in July … and now it looks like they’re coming out.

I am advised by an Assiduous Reader that:

Standard & Poor’s Canadian Index Services announces that, effective with the December, 2007, semi-annual review of the S&P/TSX Preferred Share Index, there will be a change to the universe of eligible securities for this index. Split preferred shares, which are packaged securities linked to baskets of stocks (or single stocks), will no longer be eligible for inclusion in the index. Split preferred shares that are current constituents of the index will be removed in the upcoming index review, which will become effective after the close of Friday, January 18, 2008.Spit Shares affected: ALB.PR.A, BNA.PR.C, DFN.PR.A, FBS.PR.B, FIG.PR.A, LBS.PR.A, PIC.PR.A, RPA.PR.A, RPB.PR.A, WFS.PR.A

I am advised that this is due to liquidity concerns. I will post a link to a proper press release as soon as I find one … but S&P/TSX just hates giving anything useful away for free!

Update: The press release is on S&P’s site – I missed it earlier because I thought it was entirely about the equity indices. The title is Standard & Poor’s Announces Changes in S&P/TSX Canadian Indices, dated 2007-11-26. The list of split shares affected appears to have been appended by my correspondent; I have checked it against the constituent list and agree.

Update, 2007-11-28: I have spoken to a very pleasant and patient woman at S&P, who confirms my correspondent’s indication that split shares are being removed due to liquidity issues. From the published methodology:

Volume. The preferred stocks must have a minimum trailing three-month average daily value traded of C$100,000 at the time of the rebalancing.

As of November 27, HIMIPref™ calculates the average daily value as:

Split Share
Average Trading Value
Issue A T V
ALB.PR.A 121,670
BNA.PR.C 159,859
DFN.PR.A 105,638
FBS.PR.B 134,628
FIG.PR.A 117,981
LBS.PR.A 107,586
PIC.PR.A 155,473
RPA.PR.A Not Tracked
RPB.PR.A Not Tracked
WFS.PR.A 127,613

Click the link for the HIMIPref™ definition of Average Trading Value; it’s not a “trailing three month average”, but will almost always be less than this figure, due to the imposition of caps on the daily change in the average, put in place to prevent a one-day spike in volume (somebody unloading a million shares, for example) distorting a simulation’s estimate of how much one can reasonably expect to do.

So, it looks like the liquidity constraint as published is not the issue; S&P told me they had also talked to some institutional traders and listened to their liquidity concerns. This makes more sense; the split shares have a decent enough daily volume, but they rarely trade in blocks because very few holders actually have a block to trade. Such traders could accumulate enough shares to make up their trades, but it would be spread out, perhaps over several days, and increase the execution risk on the trade.

We may conclude that the change has been made due to the paucity of block-trading in the split-share market. Fair enough! The elimination of split shares will simply make the index easier to beat and I’m fine with that.

Posted in Indices and ETFs, Miscellaneous News | 4 Comments »

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