MAPF : Portfolio Characteristics as of 2007-5-31

There have been a fair number of changes in portfolio composition since the April 30 analysis. With the huge volatility in the market, trading opportunities have been numerous!

MAPF Sectoral Analysis 2007-5-31
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 29.9% 4.60% 6.43
Interest Rearing 0% N/A N/A
PerpetualPremium 60.8% 4.98% 4.59
PerpetualDiscount 3.0% 4.92% 15.63
Scraps 1.0% 4.09% 5.83
Cash 5.4% 0.00% 0.00
Total 100% 4.59% 5.23

Sharp-eyed readers will observe that 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.), and may make their own adjustments to reflect interest. The average YTW on the securities-only portion of the portfolio, for instance, is 4.85%. MAPF will often have relatively large cash balances to facilitate trading.

These sharp-eyed readers will also note, with a certain amount of glee, that the percentages do not add up to exactly 100% in the above or the following tables. This is due to rounding. You know something? Sharp-eyed readers really bug me.

Credit distribution is:

MAPF Credit Analysis 2007-5.31
DBRS Rating Weighting
Pfd-1 18.5%
Pfd-1(low) 46.3%
Pfd-2 27.7%
Pfd-2(low) 2.2%
Cash 5.4%

Liquidity Distribution is:

MAPF Liquidity Analysis 2007-5-31
Average Daily Trading Weighting
<$50,000 1%
$50,000 – $100,000 28.7%
$100,000 – $200,000 26.7%
$200,000 – $300,000 14.7%
>$300,000 23.6%
Cash 5.4%

Update: I forgot the ad! 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 on 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.

2 Responses to “MAPF : Portfolio Characteristics as of 2007-5-31”

  1. […] The fund did a fair amount of trading during the month and a fair amount of investment was shifted from the SplitShare sector into the PerpetualPremium sector, as retail scrambled to sell anything with the word “Perpetual” in its description. I have already posted the sectoral characteristics at month-end. […]

  2. […] Well, if you thought portfolio composition changed dramatically from April 30 to May 31, just take a gander at the June 29 composition! […]

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