7 Responses to “November 13, 2009”

1. prefhound says:

   November 13, 2009 at 9:16 pm

   Interesting that you saw discount prefs and fixed resets up today, while the TXPR index was off 0.2%. I would have thought with all the new fixed reset issues in the past two years, TXPR would have to reflect both these classes (which are the largest?)

   What gives?

2. jiHymas says:

   November 13, 2009 at 9:50 pm

   To answer that question properly, I would need access to the raw calculations for TXPR – which I don’t have. So I’ll guess.

   The most likely source of differences is index composition. The composition of various indices was examined in the September PrefLetter and two likely sources are:

   • TXPR is approximately 25% OperatingRetractible
   • TXPR is about 19% Pfd-3(high) or lower

   Note that in TXPR, FixedReseta and PerpetualDiscounts are about equally weighted, about 31% each.

   The HIMIPref™ indices remove any issues rated below Pfd-2(low) DBRS at each monthly rebalancing.

   Another possibility is the definition of “price”. The HIMIPref™ indices use the closing bid; neither the TXPR Description nor the S&P Index Mathematics Publication make it clear, but I suspect that S&P uses the closing price.

   Finally, there’s the question of dividends. MFC went ex-dividend today, so it’s possible that through a methodological difference – or outright error – TXPR does not include the dividend. The HIMIPref™ indices include the dividend and corresponding withdrawal from the index portfolio on the ex-Dividend date.

3. prefhound says:

   November 13, 2009 at 9:56 pm

   Thank you for the explanation — a 38% contribution to TXPR from prefs other than discount or fixed reset is pretty substantial, and I suppose Pfd-3 issues can fluctuate more in price.

   As best I can figure, TXPR is not a total return index, it EXcludes dividends.

4. jiHymas says:

   November 13, 2009 at 10:35 pm

   As best I can figure, TXPR is not a total return index, it EXcludes dividends.

   Oops! Got it! The TXPR Description states “The index has a total return counterpart, which assumes dividends are reinvested in the
   index after the close on the ex-date.”

   The TMX web page reports that the index value is 811.32 and that the TRIV [Total Return Index Value] is 1,206.89.

   This compares with the 975.14 and 975.01 base and TRIV values, respectively, on July 19, 2002. Thus, TXPR had a total return of 23.78% from the base date, or just under 3% annualized over the 7.3-odd years, which looks about right.

   I really should have known this off the top of my head – but I pay little attention to TXPR and have a mental block about thinking seriously about price indices anyway. I mean … why would anybody want them in the first place?

5. prefhound says:

   November 13, 2009 at 11:11 pm

   Why does anybody care about the DJIA? Like TXPR, it is just an indicator — handier than going through lots of calculations, and potentially of some use (within broad imperfections) as a simple benchmark.

6. jiHymas says:

   November 14, 2009 at 9:18 pm

   Sure, and I have nothing against indicators.

   I simply don’t understand why S&P – and its clients – would even bother writing down the Price Index version of the index given that they have the Total Return Index anyway – let alone why the Price Index gets top billing.

7. prefhound says:

   November 15, 2009 at 5:47 pm

   Oh, the answer to that is very simple. They charge more for total return indices and they are not always available to people like me (while the price indices sometimes are).