This is grossly abbreviated. My apologies, but since the OSFI announcement on extant Tier 1 Capital, time has been at a premium.
Turnover picked up in January, to about 54%
Trades were, as ever, triggered by a desire to exploit transient mispricing in the preferred share market (which may be thought of as “selling liquidity”), rather than any particular view being taken on market direction, sectoral performance or credit anticipation.
| MAPF Sectoral Analysis 2011-1-31 | |||
| 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 | 2.0% (-0.1) | 6.07% | 6.53 |
| Interest Rearing | 0% | N/A | N/A |
| PerpetualPremium | 25.5% (+16.8) | 5.52% | 5.61 |
| PerpetualDiscount | 48.3% (-24.0) | 5.46% | 14.70 |
| Fixed-Reset | 19.8% (+7.2) | 3.67% | 3.34 |
| Scraps (FixedReset) | 4.8% (+1.2) | 6.63% | 13.00 |
| Cash | -0.4% (-1.1) | 0.00% | 0.00 |
| Total | 100% | 5.21% | 9.94 |
| Totals and changes will not add precisely due to rounding. Bracketted figures represent change from December 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 2011-1-31 | |
| DBRS Rating | Weighting |
| Pfd-1 | 0 (0) |
| Pfd-1(low) | 58.4% (+3.2) |
| Pfd-2(high) | 18.0% (-3.0) |
| Pfd-2 | 0 (0) |
| Pfd-2(low) | 19.3% (-0.3) |
| Pfd-3(high) | 3.3% (-0.3) |
| Pfd-3 | 1.5% (+1.5) |
| Cash | -0.4% (-1.1) |
| Totals will not add precisely due to rounding. Bracketted figures represent change from December month-end. | A position held in ELF preferreds has been assigned to Pfd-2(low) |
Liquidity Distribution is:
| MAPF Liquidity Analysis 2011-1-31 | |
| Average Daily Trading | Weighting |
| <$50,000 | 0.0% (0) |
| $50,000 – $100,000 | 11.1% (-0.4) |
| $100,000 – $200,000 | 13.1% (-5.7) |
| $200,000 – $300,000 | 46.4% (+14.8) |
| >$300,000 | 29.8% (-7.6) |
| Cash | -0.4% (-1.1) |
| Totals will not add precisely due to rounding. Bracketted figures represent change from December 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. The fund may be purchased either directly from Hymas Investment Management or through a brokerage account at Odlum Brown Limited. 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) or 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 31, 2010, and published in the September, 2010, PrefLetter. When comparing CPD and MAPF:
- MAPF credit quality is better
- MAPF liquidity is a higher
- MAPF Yield is higher
- Weightings in
- MAPF is much more exposed to Straight Perpetuals
- MAPF is much less exposed to Operating Retractibles
- MAPF is slightly more exposed to SplitShares
- MAPF is less exposed to FixFloat / Floater / Ratchet
- MAPF weighting in FixedResets is much lower