Shortly after the fund commenced trading, I published an analysis of the portfolio. However, the composition of this fund changes with each rebalancing; there have been significant index changes in July 2007, January 2008 and July 2008.
What are the effects of these rebalancings? Look for the research link!
Update, 2008-11-3: Bonus Spreadsheet!
[…] trades are executed. The overall credit quality of the portfolio is now roughly equal to the credit quality of CPD at August month-end. The fund has a position in FBS.PR.B, currently under review-negative by DBRS and the position in […]
[…] I recently wrote an essay on CPD/TXPR. […]
[…] trades are executed. The overall credit quality of the portfolio is now superior to the credit quality of CPD at August month-end (when adjusted for the downgrade of […]
[…] trades are executed. The overall credit quality of the portfolio is now superior to the credit quality of CPD at August month-end (when adjusted for the downgrade of […]
[…] trades are executed. The overall credit quality of the portfolio is now superior to the credit quality of CPD at August month-end (when adjusted for the downgrades of BCE and the […]
[…] was hurt by its July rebalancing, a phenomenon that I have remarked on previously. Assiduous Readers will recall that the July Rebalancing added (net) ten Fixed Resets vs a deletion […]
[…] trades are executed. The overall credit quality of the portfolio is now superior to the credit quality of CPD at August month-end (when adjusted for the downgrades of BCE and the […]
[…] is a very interesting result: it is a reversal of the previously established pattern in which adds would outperform pre-rebalancing and underperform post-rebalancing (although I used a […]