MAPF Portfolio Composition : April, 2008

Trading slowed down somewhat in April to about 35% of portfolio value. “Slow” is a relative term! 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 2008-4-30
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 0.9% (-2.2) 4.79% 4.97
Interest Rearing 0% N/A N/A
PerpetualPremium 0.3% (-0.1) 5.35% 2.51
PerpetualDiscount 102.1% (+0.9) 5.89% 14.11
Scraps 0% N/A N/A
Cash -3.4% (+1.3) 0.00% 0.00
Total 100% 6.09% 14.48
Totals and changes will not add precisely due to rounding. Bracketted figures represent change from March 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 2008-4-30
DBRS Rating Weighting
Pfd-1 76.8% (+23.6)
Pfd-1(low) 11.3% (-9.2)
Pfd-2(high) 4.3% (-7.4)
Pfd-2 0.4% (-2.0)
Pfd-2(low) 10.5% (-6.5)
Cash -3.4% (+1.3)
Totals will not add precisely due to rounding. Bracketted figures represent change from March 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 2008-4-30
Average Daily Trading Weighting
<$50,000 0.8% (-11.6)
$50,000 – $100,000 9.3% (+5.9)
$100,000 – $200,000 18.9% (+18.9)
$200,000 – $300,000 27.3% (+1.2)
>$300,000 47.0% (-15.9)
Cash -3.4% (+1.3)
Totals will not add precisely due to rounding. Bracketted figures represent change from March 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.

And, here’s an example of a trade sequence that worked marvellously. As always, note that the data in the table has been aggregated and approximated; the prices shown are a fair approximation of the detailed figures, but do not necessarily represent actual execution prices. Trade detail is made public periodically via the fund web page, but details for 2008 trades have not yet been released.

Simplified Trading Sequence
January Sold
About half of
total held
$19.89 $21.01 $21.99
Jan. & Apr, 2×0.28125 Feb $0.2875 None
January to
April M/E
-5.53% +3.35%  
April Trade
Month End
  -2.60% +0.59%

April performance will be published on the weekend.

One Response to “MAPF Portfolio Composition : April, 2008”

  1. […] The yields available on high quality preferred shares remain elevated, which is reflected in the current estimate of sustainable income. The figures for YTW and Leverage Divisor were disclosed in the discussion of the April month-end portfolio composition. […]

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