MAPF Portfolio Composition: May 2010

Turnover picked up a little in May to about 17%.

Trades were, as ever, triggered by a desire to exploit transient mispricing in the preferred share market (which may the thought of as “selling liquidity”), rather than any particular view being taken on market direction, sectoral performance or credit anticipation.

MAPF Sectoral Analysis 2010-5-31
HIMI Indices Sector Weighting YTW ModDur
Ratchet 0% N/A N/A
FixFloat 0% N/A N/A
Floater 0% N/A N/A
OpRet 0% N/A N/A
SplitShare 4.0% (-0.2) 8.37% 6.84
Interest Rearing 0% N/A N/A
PerpetualPremium 0.0% (0) N/A N/A
PerpetualDiscount 81.3% (+3.1) 6.44% 13.29
Fixed-Reset 9.2% (-3.0) 4.53% 3.61
Scraps (FixedReset) 4.9% (-0.1) 7.24% 12.18
Cash 0.5% (0) 0.00% 0.00
Total 100% 6.35% 12.01
Totals and changes will not add precisely due to rounding. Bracketted figures represent change from April month-end. Cash is included in totals with duration and yield both equal to zero.

The “total” reflects the un-leveraged total portfolio (i.e., cash is included in the portfolio calculations and is deemed to have a duration and yield of 0.00.). MAPF will often have relatively large cash balances, both credit and debit, to facilitate trading. Figures presented in the table have been rounded to the indicated precision.

Credit distribution is:

MAPF Credit Analysis 2010-5-31
DBRS Rating Weighting
Pfd-1 0 (0)
Pfd-1(low) 61.0% (-5.9)
Pfd-2(high) 17.3% (+0.1)
Pfd-2 0 (0)
Pfd-2(low) 16.3% (+6.0)
Pfd-3(high) 4.9% (-0.1)
Cash 0.5% (0)
Totals will not add precisely due to rounding. Bracketted figures represent change from April month-end.

The decline in credit quality was due to the purchase of W.PR.J from a grab-bag of issues, mainly MFC.PR.C and MFC.PR.D:

Major MAPF Trades Affecting Credit Quality
21.50 17.85 26.83
5/7 Bot
21.62 18.07 26.87
Dividends   5/22
Missed 0.28125
Missed 0.4125
Only major trades are shown. Details are incomplete and approximate. All trades wil be published at the time the Semi-annual report is released.

Liquidity Distribution is:

MAPF Liquidity Analysis 2010-5-31
Average Daily Trading Weighting
<$50,000 0.0% (0)
$50,000 – $100,000 0.0% (0)
$100,000 – $200,000 27.4% (+3.3)
$200,000 – $300,000 48.5% (+3.4)
>$300,000 23.6% (-6.7)
Cash 0.5% (0)
Totals will not add precisely due to rounding. Bracketted figures represent change from April month-end.

MAPF is, of course, Malachite Aggressive Preferred Fund, a “unit trust” managed by Hymas Investment Management Inc. Further information and links to performance, audited financials and subscription information are available the fund’s web page. A “unit trust” is like a regular mutual fund, but is sold by offering memorandum rather than prospectus. This is cheaper, but means subscription is restricted to “accredited investors” (as defined by the Ontario Securities Commission) and those who subscribe for $150,000+. Fund past performances are not a guarantee of future performance. You can lose money investing in MAPF or any other fund.

A similar portfolio composition analysis has been performed on the Claymore Preferred Share ETF (symbol CPD) as of August 17, 2010, and published in the September PrefLetter. When comparing CPD and MAPF:

  • MAPF credit quality is better
  • MAPF liquidity is a little better
  • MAPF Yield is higher
  • Weightings in
    • MAPF is much more exposed to PerpetualDiscounts
    • MAPF is much less exposed to Operating Retractibles
    • MAPF is more exposed to SplitShares
    • MAPF is less exposed to FixFloat / Floater / Ratchet
    • MAPF weighting in FixedResets is much lower

One Response to “MAPF Portfolio Composition: May 2010”

  1. […] be sold and reinvested in these issues, the yield of the portfolio would be the 6.44% shown in the MAPF Portfolio Composition: May 2010 analysis (which is in excess of the 6.29% index yield on May 31). Given such reinvestment, the […]

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