The audited financial statements for my pooled fund, Malachite Aggressive Preferred Fund, for 2007, have been posted, together with a full statement of transactions in 2007.
The monthly, quarterly, annual and annualized performances to the end of the first quarter, 2008, have also been published. A commentary on the performance for March 2008 is in preparation.
While the year to March 31 was disappointing in terms of absolute return, I was very pleased to see that the fund handily outperformed its benchmark during a vicious downturn – the causes of this downturn have been previously discussed. Large market moves are, in general, good for the fund’s relative performance because individual issues will become out of alignment with their peers, which allows trading opportunities. Unitholders can be assured that I work constantly to ensure that the fund’s outperformance will be maintained in the future, in both up and down markets.
Full information regarding the fund is available at the fund’s main page, where subscription information is also available.
You know what? In terms of the meltdown that happened in the last quarter of 2007, that was not a bad performance at all. It was also interesting to review your trades and try to figure out what you were thinking on some of them.
Again, all in all, some pretty prudent activity. I did notice, especially since you ended up with a net trading loss that you seemed willing to make a number of “sacrifices”. I didn’t actually start looking up ex dividend dates, but am I to assume that some of those trades were done on a buy cum, sell ex basis in order to capture the dividend for a net gain?
Also, did I not see any BAM.PR.M/N arbitraging there?!
All in all, a pretty good result, Mr. H.
madequota
Thanks for the compliments, madequota!
I did notice, especially since you ended up with a net trading loss that you seemed willing to make a number of “sacrifices”
HIMIPref™ looks at the current portfolio and the current preferred share universe to determine whether there are any trades that might be profitably executed – there is no “memory” that tries to wait until a prior trade is profitable before trading out of the position; however, there is a capital gains taxation adjustment to the valuation of individual issues that will sometimes discourage the sale of an instrument if that will trigger a capital gain, and conversely encourage the harvesting of capital losses.
In HIMIPref™ – and in all other quantitative systems I have developed – the basic assumption is that the market cannot be timed, investors are best off if fully invested at all times and that the long term return will be the market return plus or minus an increment. I seek to maximize that increment and let the market return look after itself.
am I to assume that some of those trades were done on a buy cum, sell ex basis in order to capture the dividend for a net gain?
On occasion. There is a dividend capture adjustment to the valuation, but it’s only an adjustment, not a decisive factor. If you look at 2007’s dividend distributions, you will see a wide variation in payouts, depending on market conditions. Sometimes the market really wants to capture a dividend … so I sell. Sometimes the market doesn’t seem to notice the dividend … so I buy.
Also, did I not see any BAM.PR.M/N arbitraging there?!
The initial position in BAM perps was into M, when these were cheaper than the N. A swap happened later but, sadly, the Ns remained cheaper than the Ms for as long as I held them (which was until BNA.PR.C got really cheap and that became my BAM exposure).