{"id":11038,"date":"2010-06-02T15:13:18","date_gmt":"2010-06-02T19:13:18","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=11038"},"modified":"2010-06-02T15:13:18","modified_gmt":"2010-06-02T19:13:18","slug":"index-performance-may-2010","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=11038","title":{"rendered":"Index Performance: May 2010"},"content":{"rendered":"

Performance of the HIMIPref\u2122 Indices for May, 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
\nMayl 2010<\/td>\n		Three Months
\nto
\nMay 31, 2010<\/td>\n<\/tr>\n
Ratchet<\/td>\n-3.08%<\/td>\n+4.62%<\/td>\n<\/tr>\n
FixFloat<\/td>\n-4.77%<\/td>\n+3.41%<\/td>\n<\/tr>\n
Floater<\/td>\n-6.61%<\/td>\n-4.88%<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00%<\/td>\n-0.22%<\/td>\n<\/tr>\n
SplitShare<\/td>\n+0.78%<\/td>\n+0.69%<\/td>\n<\/tr>\n
Interest<\/td>\n0.00%****<\/b><\/td>\n-0.22%****<\/b><\/td>\n<\/tr>\n
PerpetualPremium<\/td>\n-0.17%<\/td>\n-4.04%<\/td>\n<\/tr>\n
PerpetualDiscount<\/td>\n+1.31%<\/td>\n-4.41%<\/td>\n<\/tr>\n
FixedReset<\/td>\n+1.27%<\/td>\n-1.34%<\/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+0.93%<\/td>\n-2.17%<\/td>\n<\/tr>\n
DPS.UN<\/td>\n+0.22%<\/td>\n-0.82%<\/td>\n<\/tr>\n
Index<\/td>\n<\/tr>\n
BMO-CM 50<\/td>\n+0.30%<\/td>\n-2.30%<\/td>\n<\/tr>\n
TXPR Total Return<\/td>\n+0.97%<\/td>\n-2.07%<\/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 +315bp, a slight (an possibly spurious) decline from the +320bp recorded on April 30<\/a>.<\/p>\n

The trailing year returns are starting to look a bit more normal, as the Floater index has now lost the value of the incredible +33.18% return recorded in May 2009 and replaced it with this month’s total return of -6.61%.<\/p>\n

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

Floaters have had a wild ride, with May 2010 being their worst month since June 2009:<\/p>\n

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

FixedReset volume declined during the month after their burst of activity in April when they performed poorly. 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

Compositions of the passive funds were discussed in the September, 2009, 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 May 31, 2010<\/td>\n<\/tr>\n
Date<\/td>\nNAV<\/td>\nDistribution<\/td>\nReturn for Sub-Period<\/td>\nMonthly Return<\/td>\n<\/tr>\n
February 26, 2010<\/td>\n16.83<\/td>\n <\/td>\n <\/td>\n <\/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<\/td>\n16.11<\/td>\n <\/td>\n <\/td>\n-2.13%<\/td>\n<\/tr>\n
May 31, 2010<\/td>\n16.26<\/td>\n <\/td>\n <\/td>\n+0.93%<\/td>\n<\/tr>\n
Quarterly Return<\/strong><\/td>\n-2.17%<\/strong><\/td>\n<\/tr>\n<\/table>\n<\/div>\n

Claymore currently holds $431,929,434<\/a> (advisor & common combined) in CPD assets, up about $3-million from the $428,556,482 reported last month and up about $58-million from the $373,729,364 reported at year-end. The monthly increase in AUM of about 0.77% is smaller than the total return of +0.93%, implying that the ETF experienced a small net redemption in May.<\/p>\n

The DPS.UN NAV for May 26 has been published<\/a> so we may calculate the approximate May returns.<\/p>\n

\n\n\n\n\n\n\n\n\n\n\n\n
DPS.UN NAV Return, May-ish 2010<\/td>\n<\/tr>\n
Date<\/td>\nNAV<\/td>\nDistribution<\/td>\nReturn for sub-period<\/td>\nReturn for period<\/td>\n<\/tr>\n
April 28, 2010<\/td>\n19.45<\/td>\n <\/td>\n <\/td>\n <\/td>\n<\/tr>\n
May 26, 2010<\/td>\n19.34<\/td>\n <\/td>\n <\/td>\n-0.57%<\/td>\n<\/tr>\n
Estimated April Ending Stub<\/td>\n+0.06% *<\/b><\/td>\n<\/tr>\n
Estimated May Ending Stub<\/td>\n+0.74% **<\/b><\/td>\n<\/tr>\n
Estimated May Return<\/strong><\/td>\n+0.22% ***<\/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>CPD had a NAVPU of 16.14 on May 26 and 16.26 on May 31, hence the total return for the period for CPD was +0.74%. 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 three period returns, -0.57%, +0.06% and +0.74% to arrive at an estimate for the calendar month of +0.22%<\/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 March<\/a> and April<\/a>:<\/p>\n

\n\n\n\n\n\n\n
DPS.UN NAV Returns, three-month-ish to end-May-ish, 2010<\/td>\n<\/tr>\n
March-ish<\/td>\n+1.47%<\/td>\n<\/tr>\n
April-ish<\/td>\n-2.47%<\/td>\n<\/tr>\n
May-ish<\/td>\n+0.22%<\/td>\n<\/tr>\n
Three-months-ish<\/strong><\/td>\n-0.82%<\/strong><\/td>\n<\/tr>\n<\/table>\n<\/div>\n","protected":false},"excerpt":{"rendered":"

Performance of the HIMIPref\u2122 Indices for May, 2010, was: Total Return Index Performance Mayl 2010 Three Months to May 31, 2010 Ratchet -3.08% +4.62% FixFloat -4.77% +3.41% Floater -6.61% -4.88% OpRet 0.00% -0.22% SplitShare +0.78% …<\/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-11038","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\/11038","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=11038"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/11038\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=11038"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=11038"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=11038"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}