Category: Publications

This was published some time ago, but for some reason I forgot to put it on the Web!

Anyway, the credit quality of SplitShare corporation preferreds is subject to numerous factors – the NAV of the underlying portfolio is only the most obvious. These influences can be quantified; an introduction to this quantification is presented in this article.

Click on the research link!

I have previously decried the practice of automatic investment in five-year bond ladders and touched briefly in that essay on the importance of differentiating security of income from security of principal. In this effort, I delve more deeply into this question – which is the fundamental consideration in fixed-income portfolio design – and attempt to explain why security of income is much more important than is usually thought.

Look for the research link!

Why does IIROC have so much money to spend? Where does it go? What changes are necessary?

Look for the opinion link!

See also the draft version with footnotes.

Update, 2011-8-29: Janet McFarland of the Globe published a piece today titled Regulators mum on plans for ABCP settlement payments. It focussed on the delays in spending the new money rather than past improprieties, but there was one nugget of new information:

In an e-mailed statement, IIROC said it is working with the OSC “on a co-ordinated and consistent approach” for the money, and “public disclosure will be made at an appropriate time.”

Hmm … they’ve never ‘worked with the OSC’ before to determine how to spend their cash … one wonders what is going on in the background.

OSFI wants to include contingent capital in the bond indices … even though Contingent Capital issues are not bonds!

Look for the opinion link!

Also available is the draft version with footnotes

The article has also been published on-line by Advisors’ Edge Report with the title OSFI Targets Bond Investors.

Update, 2011-6-21: Investors with an interest in the subject are urged to read Rowland Fleming’s explanation of how Bre-X became an index constituent.

Update, 2015-4-26: In the article, I attempt to differentiate between “good indices” and “bad indices”; the proliferation of ETFs has caused a corresponding proliferation of indices, which concerns a few US-based heavyweight lobbies:

ETFs – Since the Commission first permitted the creation of exchange-traded funds through an exemption from the Investment Advisers Act, well over a trillion dollars have been invested in these funds. ETFs, which were originally conceived as plain vanilla, index-tracking investments, can offer significant benefits to retail investors. In recent years, however, the Commission staff has approved through ad-hoc exemptive orders new and exotic versions of ETFs, many of which pose significant risks that are likely to be poorly understood by unsophisticated retail investors. For example, Commission staff has permitted ETF providers to: create their own indices just so they can create an ETF to track those indices, create inverse and leveraged ETFs, and even create actively managed ETFs.

Annuities are very popular for retirees – and, indeed, were until recently compulsory when an insolvent pension plan was being wound down – but are largely misunderstood. I examined some of their investment characteristics in my recent article “The Annuity Decision”, published in the March/April, 2011, edition of Canadian Moneysaver.

Look for the research link!

Update, 2011-6-15: Regretably, the link to the publicly available annuity rate information given in the article is no longer operational.

Update, 2011-9-27: Canadian annuity rate data, collected by CANNEX, is now being published by the Globe & Mail.

Pegged Orders have the potential to allow retail investors to compete more effectively with institutions … if their brokerages let them!

Look for the research link!

I discussed the concept during my seminar on Floating Rate Issues; prepared a spreadsheet that was linked in the February 2010 Edition of PrefLetter; and have finally linked it in a “PrefPick” in Canadian Moneysaver … so it’s time to link to it publicly.

The Pairs Equivalency Calculator allows for easy valuation comparison between elements of a Strong Pair. ‘Nuff said?

Bond ETFs have gained in popularity in the decade since their inauguration in Canada, but there are subtleties in their investment characteristics that are often misunderstood.

Look for the research link!

Also, see the draft version with footnotes, tables and a chart.