The big argument against market timing is chaos theory. But can chaos be mitigated?
Half a century ago, the pioneers of chaos theory discovered that the “butterfly effect” makes long-term prediction impossible. Even the smallest perturbation to a complex system (like the weather, the economy or just about anything else) can touch off a concatenation of events that leads to a dramatically divergent future. Unable to pin down the state of these systems precisely enough to predict how they’ll play out, we live under a veil of uncertainty.
But now the robots are here to help.
In a series of results reported in the journals Physical Review Letters and Chaos, scientists have used machine learning — the same computational technique behind recent successes in artificial intelligence — to predict the future evolution of chaotic systems out to stunningly distant horizons. The approach is being lauded by outside experts as groundbreaking and likely to find wide application.
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| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
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| Index | Mean Current Yield (at bid) |
Median YTW |
Median Average Trading Value |
Median Mod Dur (YTW) |
Issues | Day’s Perf. | Index Value |
| Ratchet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.6481 % | 2,124.2 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.6481 % | 3,897.8 |
| Floater | 5.74 % | 5.87 % | 48,573 | 14.10 | 4 | 0.6481 % | 2,246.3 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0655 % | 3,433.1 |
| SplitShare | 4.79 % | 4.51 % | 32,598 | 3.75 | 6 | 0.0655 % | 4,099.9 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0655 % | 3,198.9 |
| Perpetual-Premium | 5.59 % | -2.64 % | 59,414 | 0.09 | 11 | 0.0539 % | 3,054.3 |
| Perpetual-Discount | 5.27 % | 5.34 % | 69,933 | 14.91 | 24 | -0.0162 % | 3,293.8 |
| FixedReset Disc | 5.41 % | 5.59 % | 196,954 | 14.57 | 64 | 0.4018 % | 2,206.5 |
| Deemed-Retractible | 5.15 % | 5.26 % | 72,236 | 14.91 | 27 | 0.2481 % | 3,239.3 |
| FloatingReset | 5.93 % | 5.92 % | 77,528 | 14.05 | 3 | 0.6768 % | 2,581.0 |
| FixedReset Prem | 5.09 % | 3.50 % | 145,258 | 1.53 | 22 | -0.0107 % | 2,645.9 |
| FixedReset Bank Non | 1.94 % | 3.76 % | 63,141 | 1.99 | 3 | 0.0273 % | 2,733.3 |
| FixedReset Ins Non | 5.25 % | 5.57 % | 139,494 | 14.57 | 22 | 0.5260 % | 2,234.4 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| EMA.PR.C | FixedReset Disc | -1.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-13 Maturity Price : 18.62 Evaluated at bid price : 18.62 Bid-YTW : 5.97 % |
| MFC.PR.Q | FixedReset Ins Non | 1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-13 Maturity Price : 19.95 Evaluated at bid price : 19.95 Bid-YTW : 5.41 % |
| MFC.PR.N | FixedReset Ins Non | 1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-13 Maturity Price : 17.75 Evaluated at bid price : 17.75 Bid-YTW : 5.57 % |
| TRP.PR.F | FloatingReset | 1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-13 Maturity Price : 14.50 Evaluated at bid price : 14.50 Bid-YTW : 6.22 % |
| BIP.PR.E | FixedReset Disc | 1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-13 Maturity Price : 22.16 Evaluated at bid price : 22.60 Bid-YTW : 5.56 % |
| MFC.PR.C | Deemed-Retractible | 1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-13 Maturity Price : 21.33 Evaluated at bid price : 21.60 Bid-YTW : 5.25 % |
| TRP.PR.D | FixedReset Disc | 1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-13 Maturity Price : 16.90 Evaluated at bid price : 16.90 Bid-YTW : 5.89 % |
| RY.PR.J | FixedReset Disc | 1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-13 Maturity Price : 20.17 Evaluated at bid price : 20.17 Bid-YTW : 5.46 % |
| GWO.PR.Q | Deemed-Retractible | 1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-13 Maturity Price : 23.85 Evaluated at bid price : 24.40 Bid-YTW : 5.29 % |
| TRP.PR.A | FixedReset Disc | 1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-13 Maturity Price : 14.80 Evaluated at bid price : 14.80 Bid-YTW : 6.00 % |
| MFC.PR.F | FixedReset Ins Non | 1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-13 Maturity Price : 13.14 Evaluated at bid price : 13.14 Bid-YTW : 5.68 % |
| GWO.PR.N | FixedReset Ins Non | 1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-13 Maturity Price : 13.92 Evaluated at bid price : 13.92 Bid-YTW : 5.21 % |
| TD.PF.D | FixedReset Disc | 1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-13 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 5.50 % |
| TRP.PR.C | FixedReset Disc | 1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-13 Maturity Price : 12.68 Evaluated at bid price : 12.68 Bid-YTW : 6.14 % |
| IFC.PR.A | FixedReset Ins Non | 1.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-13 Maturity Price : 14.65 Evaluated at bid price : 14.65 Bid-YTW : 5.76 % |
| BAM.PR.X | FixedReset Disc | 1.47 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-13 Maturity Price : 13.80 Evaluated at bid price : 13.80 Bid-YTW : 6.05 % |
| MFC.PR.M | FixedReset Ins Non | 1.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-13 Maturity Price : 18.35 Evaluated at bid price : 18.35 Bid-YTW : 5.40 % |
| MFC.PR.L | FixedReset Ins Non | 1.69 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-13 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 5.45 % |
| HSE.PR.E | FixedReset Disc | 1.86 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-13 Maturity Price : 19.21 Evaluated at bid price : 19.21 Bid-YTW : 6.82 % |
| HSE.PR.G | FixedReset Disc | 1.92 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-13 Maturity Price : 19.14 Evaluated at bid price : 19.14 Bid-YTW : 6.76 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| CM.PR.O | FixedReset Disc | 82,465 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-13 Maturity Price : 17.26 Evaluated at bid price : 17.26 Bid-YTW : 5.63 % |
| BMO.PR.E | FixedReset Disc | 64,742 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-13 Maturity Price : 20.53 Evaluated at bid price : 20.53 Bid-YTW : 5.47 % |
| BNS.PR.I | FixedReset Disc | 62,189 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-13 Maturity Price : 20.31 Evaluated at bid price : 20.31 Bid-YTW : 5.22 % |
| MFC.PR.M | FixedReset Ins Non | 61,905 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-13 Maturity Price : 18.35 Evaluated at bid price : 18.35 Bid-YTW : 5.40 % |
| TD.PF.B | FixedReset Disc | 61,276 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-13 Maturity Price : 17.68 Evaluated at bid price : 17.68 Bid-YTW : 5.43 % |
| GWO.PR.N | FixedReset Ins Non | 52,800 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-13 Maturity Price : 13.92 Evaluated at bid price : 13.92 Bid-YTW : 5.21 % |
| There were 23 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BNS.PR.I | FixedReset Disc | Quote: 20.31 – 20.84 Spot Rate : 0.5300 Average : 0.3255 YTW SCENARIO |
| CCS.PR.C | Deemed-Retractible | Quote: 23.24 – 23.93 Spot Rate : 0.6900 Average : 0.5192 YTW SCENARIO |
| EMA.PR.C | FixedReset Disc | Quote: 18.62 – 19.00 Spot Rate : 0.3800 Average : 0.2699 YTW SCENARIO |
| NA.PR.E | FixedReset Disc | Quote: 18.75 – 19.08 Spot Rate : 0.3300 Average : 0.2224 YTW SCENARIO |
| BMO.PR.Y | FixedReset Disc | Quote: 19.66 – 20.11 Spot Rate : 0.4500 Average : 0.3557 YTW SCENARIO |
| TD.PF.M | FixedReset Disc | Quote: 24.40 – 24.67 Spot Rate : 0.2700 Average : 0.1813 YTW SCENARIO |