{"id":10717,"date":"2010-05-02T15:13:53","date_gmt":"2010-05-02T19:13:53","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=10717"},"modified":"2010-05-02T15:13:53","modified_gmt":"2010-05-02T19:13:53","slug":"index-performance-april-2010","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=10717","title":{"rendered":"Index Performance: April 2010"},"content":{"rendered":"

Performance of the HIMIPref\u2122 Indices for April, 2010, was:<\/p>\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
\nApril 2010<\/td>\n		Three Months
\nto
\nApril 30, 2010<\/td>\n<\/tr>\n
Ratchet<\/td>\n-0.83%<\/td>\n+23.67%<\/td>\n<\/tr>\n
FixFloat<\/td>\n+0.96%<\/td>\n+15.28%<\/td>\n<\/tr>\n
Floater<\/td>\n-1.16%<\/td>\n+11.19%<\/td>\n<\/tr>\n
OpRet<\/td>\n-0.32%<\/td>\n-0.68%<\/td>\n<\/tr>\n
SplitShare<\/td>\n-0.22%<\/td>\n+0.63%<\/td>\n<\/tr>\n
Interest<\/td>\n-0.32%****<\/b><\/td>\n-0.68%****<\/b><\/td>\n<\/tr>\n
PerpetualPremium<\/td>\n-1.95%<\/td>\n-3.45%<\/td>\n<\/tr>\n
PerpetualDiscount<\/td>\n-2.39%<\/td>\n-6.92%<\/td>\n<\/tr>\n
FixedReset<\/td>\n-3.13%<\/td>\n-2.27%<\/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-2.13%<\/td>\n-2.90%<\/td>\n<\/tr>\n
DPS.UN<\/td>\n-2.47%<\/td>\n-2.63%<\/td>\n<\/tr>\n
Index<\/td>\n<\/tr>\n
BMO-CM 50<\/td>\n%<\/td>\n%<\/td>\n<\/tr>\n
TXPR Total Return<\/td>\n-2.17%<\/td>\n-2.82%<\/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 +320bp, a sharp increase from +285bp at March month-end<\/a> and +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 5.8% to 5.7% in April.<\/p>\n

The relative returns on Floaters over the past year continues to impress, although returns moderated in April. Given the prices and yields, I suspect that we have now entered an era of normalcy for Floaters:<\/p>\n

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

The relatively low duration of FixedResets means that the relatively restrained total return loss during the month masked a violent increase in yield:<\/p>\n

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

Floaters have had a wild ride:<\/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

Who knows? Maybed we’ll get even more FixedReset volume in May, once investors receive their brokerage statements and learn that prices can also go down!<\/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 April 30, 2010<\/td>\n<\/tr>\n
Date<\/td>\nNAV<\/td>\nDistribution<\/td>\nReturn for Sub-Period<\/td>\nMonthly Return<\/td>\n<\/tr>\n
January 29<\/td>\n16.80<\/td>\n <\/td>\n <\/td>\n <\/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, 2010<\/td>\n16.46<\/td>\n0.00<\/td>\n-1.08%<\/td>\n<\/tr>\n
April 30, 2010<\/td>\n16.11<\/td>\n <\/td>\n <\/td>\n-2.13%<\/td>\n<\/tr>\n
Quarterly Return<\/strong><\/td>\n-2.90%<\/strong><\/td>\n<\/tr>\n<\/table>\n<\/div>\n

Claymore currently holds $428,556,482<\/a> (advisor & common combined) in CPD assets, down about $7-million from the $435,437,774 reported last month and up about $62-million from the $373,729,364 reported at year-end. The monthly decline in AUM of about 1.58% is smaller than the total return loss of 2.13%, implying that the ETF continues to attract assets.<\/p>\n

The DPS.UN NAV for April 28 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
DPS.UN NAV Return, April-ish 2010<\/td>\n<\/tr>\n
Date<\/td>\nNAV<\/td>\nDistribution<\/td>\nReturn for sub-period<\/td>\nReturn for period<\/td>\n<\/tr>\n
March 31, 2010<\/td>\n19.93<\/td>\n <\/td>\n <\/td>\n <\/td>\n<\/tr>\n
April 28, 2010<\/td>\n19.45<\/td>\n <\/td>\n <\/td>\n-2.41%<\/td>\n<\/tr>\n
Estimated April Ending Stub<\/td>\n-0.06% *<\/b><\/td>\n<\/tr>\n
Estimated April Return<\/strong><\/td>\n-2.47% ***<\/strong><\/td>\n<\/tr>\n
*<\/b>CPD had a NAVPU of 16.12 on April 28 and 16.11 on April 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.<\/em><\/td>\n<\/tr>\n
***<\/b> The estimated April return for DPS.UN’s NAV is therefore the product of two period returns, -2.41% and -0.06% to arrive at an estimate for the calendar month of -2.47%<\/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 February<\/a> and March<\/a>:<\/p>\n

\n\n\n\n\n\n\n
DPS.UN NAV Returns, three-month-ish to end-April-ish, 2010<\/td>\n<\/tr>\n
February-ish<\/td>\n-1.61%<\/td>\n<\/tr>\n
March-ish<\/td>\n+1.47%<\/td>\n<\/tr>\n
April-ish<\/td>\n-2.47%<\/td>\n<\/tr>\n
Three-months-ish<\/strong><\/td>\n-2.63%<\/strong><\/td>\n<\/tr>\n<\/table>\n<\/div>\n","protected":false},"excerpt":{"rendered":"

Performance of the HIMIPref\u2122 Indices for April, 2010, was: Total Return Index Performance April 2010 Three Months to April 30, 2010 Ratchet -0.83% +23.67% FixFloat +0.96% +15.28% Floater -1.16% +11.19% OpRet -0.32% -0.68% SplitShare -0.22% …<\/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-10717","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\/10717","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=10717"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/10717\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=10717"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=10717"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=10717"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}