Performance of the HIMIPref™ Indices for November, 2009, was:
| Total Return | ||
| Index | Performance November 2009 |
Three Months to November 30, 2009 |
| Ratchet | -2.28% * | +3.46% * |
| FixFloat | +8.06% | -4.15% |
| Floater | +2.28% | +3.46% |
| OpRet | +0.85% | +1.26% |
| SplitShare | +2.33% | +2.15% |
| Interest | +0.85%**** | +1.26%**** |
| PerpetualPremium | +1.49% | -0.39% |
| PerpetualDiscount | +3.07% | -1.53% |
| FixedReset | +1.93% | +2.09% |
| * The last member of the RatchetRate index was transferred to Scraps at the February, 2009, rebalancing; subsequent performance figures are set equal to the Floater index | ||
| **** The last member of the InterestBearing index was transferred to Scraps at the June, 2009, rebalancing; subsequent performance figures are set equal to the OperatingRetractible index | ||
| Passive Funds (see below for calculations) | ||
| CPD | +2.19% | +0.31% |
| DPS.UN | +3.09% | -0.05% |
| Index | ||
| BMO-CM 50 | +2.40% | -0.52% |
The charts have a calmer look to them this month, now that the apocalyptic months of October and November 2008 have been removed from the trailing 12-months.
The pre-tax interest equivalent spread of PerpetualDiscounts over Long Corporates (which I also refer to as the Seniority Spread) closed the month at 225bp, a significant tightening from the 250bp reported on October 30.
Meanwhile, Floaters continued their wild ride.
Click for big
Click for big
Click for big
Volume may be under-reported due to the influence of Alternative Trading Systems (as discussed in the November PrefLetter), but I am biding my time before incorporating ATS volumes into the calculations, to see if the effect is transient or not. The average volume of FixedResets continues to decline, which may be due to a number of factors:
- The calculation is an exponential moving average with dampening applied to spikes. While this procedure has worked very well in the past (it is used to estimate the maximum size of potential trades when performing simulations) there are no guarantees that it works well this particular time
- There hasn’t been much issuance of investment-grade FixedResets recently, which will decrease the liquidity of the whole group, both for technical and real reasons
- The issues are becoming seasoned, as the shares gradually find their way into the accounts of buy-and-hold investors
As usual, I will make no predictions of how long the calculated current trend will continue or what liquidity might be like next year!
Compositions of the passive funds were discussed in the September edition of PrefLetter.
Claymore has published NAV and distribution data (problems with the page in IE8 can be kludged by using compatibility view) for its exchange traded fund (CPD) and I have derived the following table:
| CPD Return, 1- & 3-month, to October 30, 2009 | ||||
| Date | NAV | Distribution | Return for Sub-Period | Monthly Return |
| August 31, 2009 | 16.93 | 0.00 | ||
| September 25 | 16.63 | 0.21 | -0.53% | -0.59% |
| September 30 | 16.62 | 0.00 | -0.06% | |
| October 30 | 16.41 | -1.26% | ||
| November 30, 2009 | 16.77 | +2.19% | ||
| Quarterly Return | +0.31% | |||
Claymore currently holds $350,336,161 (advisor & common combined) in CPD assets, up $35-million on the month and a stunning increase from the $84,005,161 reported in the Dec 31/08 Annual Report
The DPS.UN NAV for December 2 has been published so we may calculate the approximate November returns.
| DPS.UN NAV Return, November-ish 2009 | ||||
| Date | NAV | Distribution | Return for sub-period | Return for period |
| October 28, 2009 | 19.32 | |||
| December 2, 2009 | 19.94 | +3.21% | ||
| Estimated October Ending Stub | -0.06% * | |||
| Estimated December Beginning Stub | -0.06% ** | |||
| Estimated November Return | +3.09% *** | |||
| *CPD had a NAVPU of 16.40 on October 28 and 16.41 on October 30, hence the total return for the period for CPD was +0.06%. The return for DPS.UN in this period is presumed to be equal. | ||||
| **CPD had a NAVPU of 16.77 on November 30 and 16.78 on December 2, hence the total return for the period for CPD was +0.06%. The return for DPS.UN in this period is presumed to be equal. | ||||
| *** The November return for DPS.UN’s NAV is therefore the product of three period returns, +3.21%, -0.06% and -0.06% to arrive at an estimate for the calendar month of +3.09% | ||||
Now, to see the DPS.UN quarterly NAV approximate return, we refer to the calculations for September and October:
| DPS.UN NAV Returns, three-month-ish to end-November-ish, 2009 | |
| September-ish | -0.60% |
| October-ish | -2.46% |
| November-ish | +3.09% |
| Three-months-ish | -0.05% |
[…] to see the DPS.UN quarterly NAV approximate return, we refer to the calculations for November and […]
[…] to see the DPS.UN quarterly NAV approximate return, we refer to the calculations for November and […]