{"id":10341,"date":"2010-04-04T14:40:50","date_gmt":"2010-04-04T18:40:50","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=10341"},"modified":"2010-04-04T14:40:50","modified_gmt":"2010-04-04T18:40:50","slug":"index-performance-march-2010","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=10341","title":{"rendered":"Index Performance: March 2010"},"content":{"rendered":"

Performance of the HIMIPref\u2122 Indices for March, 2010, was:<\/p>\n

\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n
Total Return<\/td>\n<\/tr>\n
Index<\/td>\nPerformance
\nMarch 2010<\/td>\n		Three Months
\nto
\nMarch 31, 2010<\/td>\n<\/tr>\n
Ratchet<\/td>\n+8.85%*<\/b><\/td>\n+32.94%*<\/b><\/td>\n<\/tr>\n
FixFloat<\/td>\n+7.56%<\/td>\n+17.20%<\/td>\n<\/tr>\n
Floater<\/td>\n+3.04%<\/td>\n+19.91%<\/td>\n<\/tr>\n
OpRet<\/td>\n+0.09%<\/td>\n-0.99%<\/td>\n<\/tr>\n
SplitShare<\/td>\n+0.13%<\/td>\n+1.88%<\/td>\n<\/tr>\n
Interest<\/td>\n+0.09%****<\/b><\/td>\n-0.99%****<\/b><\/td>\n<\/tr>\n
PerpetualPremium<\/td>\n-1.96%<\/td>\n-1.70%<\/td>\n<\/tr>\n
PerpetualDiscount<\/td>\n-3.33%<\/td>\n-3.51%<\/td>\n<\/tr>\n
FixedReset<\/td>\n+0.57%<\/td>\n+0.89%<\/td>\n<\/tr>\n
*<\/b> 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<\/i><\/p>\n

Independent measurement was resumed when an issue qualified for inclusion (transferred from Scraps) at the February<\/s> January, 2010, rebalancing.<\/i><\/td>\n<\/tr>\n

****<\/b> 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<\/i><\/td>\n<\/tr>\n
Passive Funds (see below for calculations)<\/td>\n<\/tr>\n
CPD<\/td>\n-0.96%<\/td>\n-1.31%<\/td>\n<\/tr>\n
DPS.UN<\/td>\n+1.74%<\/td>\n+1.22%<\/td>\n<\/tr>\n
Index<\/td>\n<\/tr>\n
BMO-CM 50<\/td>\n-0.66%<\/td>\n+0.33%<\/td>\n<\/tr>\n
TXPR Total Return<\/td>\n-0.86%<\/td>\n-0.95%<\/td>\n<\/table>\n<\/div>\n

The pre-tax interest equivalent spread of PerpetualDiscounts over Long Corporates (which I also refer to as the Seniority Spread) ended the month<\/a> at +285bp, a sharp increase from the +235bp recorded at February month-end<\/a>. The decline in the PerpetualDiscount index was entirely due to an increase in the spread over corporates, since yields on long corporates actually declined from 5.9% to 5.8%.<\/p>\n

\n<\/a>
Click for big<\/i><\/div>\n

The Seniority Spread is now the largest component of PerpetualDiscount Interest-Equivalent yields:<\/p>\n

\n<\/a>
Click for big<\/i><\/div>\n

The seniority spread is at a one-year high:<\/p>\n

\n<\/a>
Click for big<\/i><\/div>\n

And the Seniority Spread is well above long-term levels:<\/p>\n

\n<\/a>
Click for big<\/i><\/div>\n

The relative returns on Floaters over the past year continues to impress:<\/p>\n

<\/a>
Click for big<\/i><\/div>\n

But one must remember how they got there:<\/p>\n

<\/a>
Click for big<\/i><\/div>\n

FixedReset volume picked up during the month. Volume may be under-reported due to the influence of Alternative Trading Systems (as discussed in the November PrefLetter<\/a>), but I am biding my time before incorporating ATS volumes into the calculations, to see if the effect is transient or not.<\/p>\n

<\/a>
Click for big<\/i><\/div>\n

As discussed in February<\/a>, the impressive returns of the past year cannot continue indefinately. The long term return on a fixed income instrument is its yield – 6.2% for a PerpetualDiscount, and about 3.6% to the call date for a FixedReset, as of April 1<\/a>. The FixedReset index set a new low yield in March<\/a>, highlighted by RY.PR.R’s brief flirtation with sub-3% levels<\/a>.<\/p>\n

Compositions of the passive funds were discussed in the September edition of PrefLetter<\/a>.<\/p>\n

Claymore has published NAV and distribution data<\/a> (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:<\/p>\n

\n\n\n\n\n\n\n\n\n\n
CPD Return, 1- & 3-month, to March 31, 2010<\/td>\n<\/tr>\n
Date<\/td>\nNAV<\/td>\nDistribution<\/td>\nReturn for Sub-Period<\/td>\nMonthly Return<\/td>\n<\/tr>\n
December 31, 2009<\/td>\n16.89<\/td>\n <\/td>\n <\/td>\n <\/td>\n<\/tr>\n
January 29<\/td>\n16.80<\/td>\n <\/td>\n <\/td>\n-0.53%<\/td>\n<\/tr>\n
February 26, 2010<\/td>\n16.83<\/td>\n <\/td>\n <\/td>\n+0.18%<\/td>\n<\/tr>\n
March 26<\/td>\n16.64<\/td>\n0.21<\/td>\n+0.12%<\/td>\n-0.96%<\/td>\n<\/tr>\n
March 31, 2009<\/td>\n16.46<\/td>\n0.00<\/td>\n-1.08%<\/td>\n<\/tr>\n
Quarterly Return<\/strong><\/td>\n-1.31%<\/strong><\/td>\n<\/tr>\n<\/table>\n<\/div>\n

Claymore currently holds $435,437,774<\/a> (advisor & common combined) in CPD assets, up about $15-million from the $420,750,223 reported last month and up about $62-million from the $373,729,364 reported at year-end.<\/p>\n

The DPS.UN NAV for March 31 has been published<\/a> so we may calculate the approximate March returns. On March 29, it went ex-Dividend for $0.30 according to the TMX<\/a>.<\/p>\n

\n\n\n\n\n\n\n\n\n\n\n\n
DPS.UN NAV Return, March-ish 2010<\/td>\n<\/tr>\n
Date<\/td>\nNAV<\/td>\nDistribution<\/td>\nReturn for sub-period<\/td>\nReturn for period<\/td>\n<\/tr>\n
February 24, 2010<\/td>\n19.91<\/td>\n <\/td>\n <\/td>\n <\/td>\n<\/tr>\n
March 29, 2010<\/td>\n20.09 **<\/b><\/td>\n0.30<\/td>\n+2.41%<\/td>\n+1.59%<\/td>\n<\/tr>\n
March 31, 2010<\/td>\n19.93<\/td>\n <\/td>\n-0.80%<\/td>\n<\/tr>\n
Estimated February Ending Stub<\/td>\n-0.12% *<\/b><\/td>\n<\/tr>\n
Estimated March Return<\/strong><\/td>\n+1.47% ***<\/strong><\/td>\n<\/tr>\n
*<\/b>CPD had a NAVPU of 16.81 on February 24 and 16.83 on February 26, hence the total return for the period for CPD was +0.12%. The return for DPS.UN in this period is presumed to be equal.<\/em><\/td>\n<\/tr>\n
**<\/b> The March 31 NAVPU was $19.93. CPD had a NAV of 16.46 on March 31 and 16.59 on March 29. Thus, a NAVPU of 20.09 for DPS on March 29 has been estimated<\/td>\n<\/tr>\n
***<\/b> The estimated February return for DPS.UN’s NAV is therefore the product of three period returns, +2.41%, -0.80% and -0.12% to arrive at an estimate for the calendar month of +1.47%<\/em><\/td>\n<\/tr>\n<\/table>\n<\/div>\n

Now, to see the DPS.UN quarterly NAV approximate return, we refer to the calculations for January<\/a> and February<\/a>:<\/p>\n

\n\n\n\n\n\n\n
DPS.UN NAV Returns, three-month-ish to end-March-ish, 2010<\/td>\n<\/tr>\n
January-ish<\/td>\n+1.39%<\/td>\n<\/tr>\n
February-ish<\/td>\n-1.61%<\/td>\n<\/tr>\n
March-ish<\/td>\n+1.47%<\/td>\n<\/tr>\n
Three-months-ish<\/strong><\/td>\n+1.22%<\/strong><\/td>\n<\/tr>\n<\/table>\n<\/div>\n","protected":false},"excerpt":{"rendered":"

Performance of the HIMIPref\u2122 Indices for March, 2010, was: Total Return Index Performance March 2010 Three Months to March 31, 2010 Ratchet +8.85%* +32.94%* FixFloat +7.56% +17.20% Floater +3.04% +19.91% OpRet +0.09% -0.99% SplitShare +0.13% …<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[10],"tags":[],"class_list":["post-10341","post","type-post","status-publish","format-standard","hentry","category-index-construction-and-reporting"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/10341","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=10341"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/10341\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=10341"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=10341"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=10341"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}