MAPF Portfolio Composition: February 29, 2008

There was a good level of trading in February, most of it intra-sector – but capped with a long-awaited inter-sectoral trade.

MAPF Sectoral Analysis 2008-2-29
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 10.5% (-15.3) 4.95% 2.76
Interest Rearing 0% N/A N/A
PerpetualPremium 0.3% (-12.5) 1.97% 0.08
PerpetualDiscount 96.4% (+35.0) 5.61% 14.50
Scraps 0% N/A N/A
Cash -7.2% (-7.2) 0.00% 0.00
Total 100% 5.93% 14.26
Totals and changes will not add precisely due to rounding.
Bracketted figures represent change from January month-end.

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 2008-2-29
DBRS Rating Weighting
Pfd-1 53.5% (-7.7)
Pfd-1(low) 7.2% (+6.9)
Pfd-2(high) 11.7% (-1.7)
Pfd-2 9.8% (-2.8)
Pfd-2(low) 25.0% (+11.4)
Cash -7.2% (-7.1)
Totals will not add precisely due to rounding.
Bracketted figures represent change from January month-end.

The fund does not set any targets for overall credit quality; trades are executed one by one. Variances in overall credit will be constant as opportunistic trades are executed.

Liquidity Distribution is:

MAPF Liquidity Analysis 2008-2-29
Average Daily Trading Weighting
<$50,000 1.0% (+0.4)
$50,000 – $100,000 22.9% (+9.2)
$100,000 – $200,000 0.0% (-27.8)
$200,000 – $300,000 21.5% (+4.5)
>$300,000 61.8% (+20.8)
Cash -7.2% (-7.1)
Totals will not add precisely due to rounding.
Bracketted figures represent change from January 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.

The major reason for the decrease in split-share weight and corresponding increase in PerpetualDiscount weight is a February switch from BNA.PR.C to BAM.PR.N. Readers will remember that the former issue is backed by BAM.A shares, making the underlying credit essentially equivalent for risk control purposes. This switch is of particular interest since it reverses switches performed in October and November of 2007 … let’s do a post-mortem!

BNA.PR.C / BAM.PR.N Post-Mortem
Month BNA.PR.C
October 2007 Bought 1900 at 21.72 Sold 1300 at 19.75
November 2007 Bought 4500 at 18.38
Booked Dividend of $0.27
Sold 4500 at 17.95
December 2007   Missed dividend of $0.30
February 2008 Sold 5300 at 20.64
Booked Dividend of $0.27
Bought 2800 at 19.07
Net Result Capital Gain of $1.27 per share
plus dividends of $0.54
Missed capital gain of $0.72 per share
Missed dividend of $0.30 
Net Net Result Improvement of $0.79 per share, about 4%
Not all activity is recorded here, but the figures shown are representative and include commissions. Details of 2007 trades will be published via the MAPF webpage in the near future; 2008 trades will be published … eventually

Well … if I can keep doing that … then results will be pretty good over time! 

Performance of the fund and of the indices will be discussed in other posts. 

Update, 2008-3-4: Index Performance, February 2008

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