{"id":11701,"date":"2010-08-02T22:11:42","date_gmt":"2010-08-03T02:11:42","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=11701"},"modified":"2010-08-02T22:11:42","modified_gmt":"2010-08-03T02:11:42","slug":"index-performance-july-2010","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=11701","title":{"rendered":"Index Performance: July 2010"},"content":{"rendered":"

Performance of the HIMIPref\u2122 Indices for July, 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\n
Total Return<\/td>\n<\/tr>\n
Index<\/td>\nPerformance
\nJuly 2010<\/td>\n		Three Months
\nto
\nJuly 30, 2010<\/td>\n<\/tr>\n
Ratchet<\/td>\n+1.48%<\/td>\n-3.04%<\/td>\n<\/tr>\n
FixFloat<\/td>\n+0.25% **<\/b><\/td>\n-2.74% **<\/b><\/td>\n<\/tr>\n
Floater<\/td>\n+0.25%<\/td>\n-6.79%<\/td>\n<\/tr>\n
OpRet<\/td>\n+0.28%<\/td>\n+1.69%<\/td>\n<\/tr>\n
SplitShare<\/td>\n+2.33%<\/td>\n+4.50%<\/td>\n<\/tr>\n
Interest<\/td>\n+0.28%****<\/b><\/td>\n+1.69%****<\/b><\/td>\n<\/tr>\n
PerpetualPremium<\/td>\n+1.09%*<\/b><\/td>\n+6.29%*<\/b><\/td>\n<\/tr>\n
PerpetualDiscount<\/td>\n+2.67%<\/td>\n+9.55%<\/td>\n<\/tr>\n
FixedReset<\/td>\n+1.78%<\/td>\n+4.71%<\/td>\n<\/tr>\n
*<\/b> The last member of the PerpetualPremium index was transferred to PerpetualDiscount at the May, 2010, rebalancing; the June performance is set equal to the PerpetualDiscount index; the index was repopulate (from the PerpetualPremium index) at the June rebalancing.<\/i><\/td>\n<\/tr>\n
**<\/b> The last member of the FixedFloater index was transferred to Scraps at the June, 2010, rebalancing; subsequent performance figures are set equal to the Floater index<\/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+1.57%<\/td>\n+5.16%<\/td>\n<\/tr>\n
DPS.UN<\/td>\n+2.05%<\/td>\n+5.77%<\/td>\n<\/tr>\n
Index<\/td>\n<\/tr>\n
BMO-CM 50<\/td>\n+1.87%<\/td>\n+5.11%<\/td>\n<\/tr>\n
TXPR Total Return<\/td>\n+1.70%<\/td>\n+5.40%<\/td>\n<\/table>\n<\/div>\n

Unofficial data for TXPR indicates a total return of +1.70% for July, indicating a rather large tracking error of 55bp for CPD on the month, probably due to the semi-annual July rebalancing<\/a>.<\/s> No accounting had been made in the original post for the change to monthly distributions. This error has now been corrected. The tracking error for July is therefore 13bp – still rather large, but much smaller than the estimate that did not account for the distribution.<\/i><\/p>\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 275bp, a significant decline from the 290bp recorded at June month-end<\/a>. Long corporate yields increased slightly, to 5.5% from 5.45%. I would be happier with long corporates in the 6.00-6.25% range, but what do I know? The market has never shown any particular interest in my happiness.<\/p>\n

Charts related to the Seniority Spread and the Bozo Spread (PerpetualDiscount Current Yield less FixedReset Current Yield) are published in PrefLetter<\/a>.<\/p>\n

The trailing year returns are starting to look a bit more normal.<\/p>\n

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

But I suggest that eventually yields will make a difference:<\/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 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\n
CPD Return, 1- & 3-month, to July, 2010<\/td>\n<\/tr>\n
Date<\/td>\nNAV<\/td>\nDistribution<\/td>\nReturn for Sub-Period<\/td>\nMonthly Return<\/td>\n<\/tr>\n
April 30<\/td>\n16.11<\/td>\n <\/td>\n <\/td>\n <\/td>\n<\/tr>\n
May 31<\/td>\n16.26<\/td>\n <\/td>\n <\/td>\n+0.93%<\/td>\n<\/tr>\n
June 25<\/td>\n16.47<\/td>\n0.21<\/td>\n+2.58%<\/td>\n+2.58%<\/td>\n<\/tr>\n
June 30, 2010<\/td>\n16.47<\/td>\n0.00<\/td>\n0.00%<\/td>\n<\/tr>\n
July 27<\/td>\n16.62<\/td>\n0.069<\/td>\n+1.33%<\/td>\n+1.57%<\/td>\n<\/tr>\n
July 30, 2010<\/td>\n16.66<\/td>\n0.00<\/td>\n0.24%<\/td>\n<\/tr>\n
Quarterly Return<\/strong><\/td>\n+5.16%<\/strong><\/td>\n<\/tr>\n<\/table>\n<\/div>\n

Claymore currently holds $462,433,680<\/a> (advisor & common combined) in CPD assets, up about $18-million from the $444,847,391 reported last month and up about $88-million from the $373,729,364 reported at year-end. The monthly increase in AUM of about 3.95% is larger than the total return of +1.15%, implying that the ETF experienced net subscriptions in July.<\/p>\n

The DPS.UN NAV for July 28 has been published<\/a> so we may calculate the approximate July returns.<\/p>\n

\n\n\n\n\n\n\n\n\n\n
DPS.UN NAV Return, July-ish 2010<\/td>\n<\/tr>\n
Date<\/td>\nNAV<\/td>\nDistribution<\/td>\nReturn for sub-period<\/td>\nReturn for period<\/td>\n<\/tr>\n
June 30, 2010<\/td>\n19.85<\/td>\n <\/td>\n <\/td>\n <\/td>\n<\/tr>\n
July 28, 2010<\/td>\n20.21<\/td>\n <\/td>\n <\/td>\n+1.81%<\/td>\n<\/tr>\n
Estimated July Ending Stub<\/td>\n+0.24% **<\/b><\/td>\n<\/tr>\n
Estimated July Return<\/strong><\/td>\n+2.05% ***<\/strong><\/td>\n<\/tr>\n
**<\/b>CPD had a NAVPU of 16.62 on July 28 and 16.66 on July 30, hence the total return for the period for CPD was +0.24%. The return for DPS.UN in this period is presumed to be equal.<\/em><\/td>\n<\/tr>\n
***<\/b> The estimated July return for DPS.UN’s NAV is therefore the product of two period returns, +1.81% and +0.24% to arrive at an estimate for the calendar month of +2.05%<\/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 May<\/a> and June<\/a>:<\/p>\n

\n\n\n\n\n\n\n
DPS.UN NAV Returns, three-month-ish to end-July-ish, 2010<\/td>\n<\/tr>\n
May-ish<\/td>\n+0.22%<\/td>\n<\/tr>\n
June-ish<\/td>\n+3.42%<\/td>\n<\/tr>\n
July-ish<\/td>\n+2.05%<\/td>\n<\/tr>\n
Three-months-ish<\/strong><\/td>\n+5.77%<\/strong><\/td>\n<\/tr>\n<\/table>\n<\/div>\n","protected":false},"excerpt":{"rendered":"

Performance of the HIMIPref\u2122 Indices for July, 2010, was: Total Return Index Performance July 2010 Three Months to July 30, 2010 Ratchet +1.48% -3.04% FixFloat +0.25% ** -2.74% ** Floater +0.25% -6.79% OpRet +0.28% +1.69% …<\/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-11701","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\/11701","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=11701"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/11701\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=11701"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=11701"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=11701"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}