MAPF Performance : August, 2007

Malachite Aggressive Preferred Fund has been valued for August, 2007, month-end. The unit value is $9.3309. Returns over various periods are:

MAPF Returns to August 31, 2007
One Month -0.34%
Three Months +0.77%
One Year +3.37%
Two Years (annualized) +4.63%
Three Years (annualized) +5.26%
Four Years (annualized) +8.32%
Five Years (annualized) +10.26%
Six Years (annualized) +9.74%

Returns assume reinvestment of dividends, and are shown 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. For more information, see the fund’s main page.

The fund underperformed this month; there were two major reasons for this:

  • A position in BAM.PR.M / BAM.PR.N underperformed. What can I say? The fund bought them when they were cheap (according to me!) and they promptly declined to a level where they’re stupid-cheap (according to me!). It happens. Volume in these issues has picked up substantially since the mid-month price collapse and the price has recovered somewhat.
  • The fund has a large weighting in split-shares, which underperformed this month. The market is currently deeply discounting split shares as a class, as I noted in a post on August 28 

A disappointing month, but beating the index every single month is a difficult thing to do!  I’ll just keep grinding away and swapping issues when the odds (according to me!) are in my favour.

Claymore has published their final monthly numbers and I have derived the following table:

CPD Return, 1- & 3-month, to August 31
Date NAV Distribution Return for Sub-Period Monthly Return
May 31, 2007 19.44      
June 26 18.97 0.198800 -1.40% -1.40
June 29 18.97   0.00%
July 31, 2007 18.95   0.00% -0.11% 
August 31, 2007 19.04   +0.47% +0.47%
Quarterly Return -1.05%

It should be explicitly noted that the CPD returns are shown AFTER ALL FEES AND EXPENSES, while the MAPF numbers are shown after expenses, but before fees … so to make the numbers more comparable, take the annual fee from the fund’s web page and divide by the appropriate number to obtain the period’s fee.

So, while August’s returns were sub-par, the quarterly number still looks very good. 

Trading in August was actually very quiet (with the exception of a BAM.PR.M / BAM.PR.N swap). Volumes were low, spreads were high; I put in quite a few limit orders to try to take advantage of the high spreads, but there were only a few traders out there sufficiently desperate to trade that they were willing to accept my lousy prices. A return of volume in September will, I hope, lead to increased trading possibilities. 

The DPS.UN NAV for August 29 has been published, so we can calculate the August-ish returns for it:

DPS.UN NAV Return, August-ish 2007
Date NAV Distribution Return for period
August 1, 2007 $22.23    
August 29, 2007 $22.14 $0.00 -0.41%
Time-Weighted, August-ish +0.22%
CPD had an NAV of $18.95 on July 31 and $18.97 on August. The beginning-of-month stub period return for CPD was therefore +0.11%.CPD had a NAV of $18.94 on August 29 and $19.04 on August 31. The end-of-month stub period return for CPD was therefore +0.52%.Inclusion of these two stub periods will therefore have the net effect of increasing DPS.UN’s returns by about 0.63%; adding this to the measured returns for the  measured period results in a August-ish return for DPS.UN of +0.22%.

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

DPS.UN NAV Returns, three-month-ish to end-August-ish, 2007
June-ish -1.33%
July-ish +1.38%
August-ish +0.22%
Three-months-ish +0.25%

So we have the same pattern: underperformance over a one-month period, but out-performance over three months.  

Note that the DPS.UN returns are net of all fees and expense, while the MAPF returns shown above are after expenses, but BEFORE FEES.

To see MAPF performance for a wide variety of periods, with comparisons to the BMO Capital Markets 50 Index (formerly the BMO-NB 50 Index), please see the fund’s main page, where there are numerous links under the heading “Performance”.

Update: Portfolio composition as of August 31 is discussed here.

4 Responses to “MAPF Performance : August, 2007”

  1. like_to_retire says:


    I have been following CGI.PR.B lately, along with other split shares and I have to agree when you say that, “The market is currently deeply discounting split shares as a class”.

    I haven’t completely resolved the reasoning behind the lower prices, but finally availed myself of some CGI.PR.B at about PAR.

    As you know, this is a split share with a long history, that enjoys a full pfd-1 rating, that provides ~ 4.64% yield to retraction (and YTW) in 2014 with a mod_duration of 5.54 when purchased at PAR.

    My personal bond equivalent factor of 1.5 provides 6.96% bond equivalent. Sheesh.

    It seems a bit too good to be true. I calculate about a 4.38:1 asset coverage ratio as of the 2007 semi-annual report. Ridiculously good.

    Do you have any comments, and / or insight into the split share discounting? I see you have plumped up the amount of splits yourself……


  2. jiHymas says:

    All I can say is … congratulations!

    The fashionability of split shares comes and goes. I do know that there are many institutional (or advisory) buyers who won’t even look at them – perhaps because they are too derivative a structure, perhaps because the names are not instantly recognizable to their clients, perhaps because the credits are too dependent upon the market value of the underlying, perhaps because the liquidity just isn’t there to buy a million bucks worth with one call … whatever! One way or another, the pool of investors for split shares is even smaller and even more retail biased that the pool for other preferreds.

    So, relative prices will tend to be more volatile than they would be if there were more investors watching the prices like hawks, waiting for an entry or exit point.

    I suspect that now we are experiencing a sub-prime effect and that Granny doesn’t want to own anything that isn’t a bank.

    The CGI.PR.B are even more subject to this effect: the quotation on 8/31 was 24.51-25.74 (who’s the market maker on this stuff, anyway?) and the average daily trading value was a mere $9,709.

    Not the most liquid of investments, but if you’re reasonably sure that you just want to sit on it until maturity … then I agree, 6.96% bond-equivalent for high quality seven year money is awfully attractive!

  3. […] Now, to see the DPS.UN quarterly NAV approximate return, we refer to the calculations for August and July to derive: […]

  4. […] Now, to see the DPS.UN quarterly NAV approximate return, we refer to the calculations for August and July to derive: […]

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