{"id":1257,"date":"2007-09-30T16:25:06","date_gmt":"2007-09-30T20:25:06","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=1257"},"modified":"2007-09-30T16:25:06","modified_gmt":"2007-09-30T20:25:06","slug":"mapf-performance-september-2007","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=1257","title":{"rendered":"MAPF Performance, September 2007"},"content":{"rendered":"

Malachite Aggressive Preferred Fund has been valued for September, 2007, month-end. The unit value is $9.1489, after a distribution of dividends of $0.116224.\u00a0Returns over various periods are:<\/p>\n

\n\n\n\n\n\n\n\n\n\n\n
MAPF Returns to September, 2007<\/td>\n<\/tr>\n
One Month<\/td>\n-0.70%<\/td>\n<\/tr>\n
Three Months<\/td>\n-0.50%<\/td>\n<\/tr>\n
One Year<\/td>\n+1.17%<\/td>\n<\/tr>\n
Two Years (annualized)<\/td>\n+3.54%<\/td>\n<\/tr>\n
Three Years (annualized)<\/td>\n+4.71%<\/td>\n<\/tr>\n
Four Years (annualized)<\/td>\n+7.31%<\/td>\n<\/tr>\n
Five Years (annualized)<\/td>\n+11.83%<\/td>\n<\/tr>\n
Six Years (annualized)<\/td>\n+8.86%<\/td>\n<\/tr>\n<\/table>\n<\/div>\n

Returns assume reinvestment of dividends, and are shown after expenses but before fees. Past performance is not\u00a0 a guarantee of future performance. You can lose money investing in Malachite Aggressive Preferred Fund or any other fund. For more information, see the fund’s main page<\/a>.<\/p>\n

Claymore has published their final monthly numbers<\/a> 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\u00a0September 28<\/td>\n<\/tr>\n
Date<\/td>\nNAV<\/td>\nDistribution<\/td>\nReturn for Sub-Period<\/td>\nMonthly Return<\/td>\n<\/tr>\n
June 29<\/td>\n18.97<\/td>\n\u00a0<\/td>\n\u00a0<\/td>\n\u00a0<\/td>\n<\/tr>\n
July 31<\/td>\n18.95<\/td>\n\u00a0<\/td>\n-0.11%<\/td>\n-0.11%<\/td>\n<\/tr>\n
August 31<\/td>\n19.04<\/td>\n\u00a0<\/td>\n+0.47%<\/td>\n+0.47%<\/td>\n<\/tr>\n
September 25<\/td>\n18.76<\/td>\n0.2185<\/td>\n-0.32%<\/td>\n-1.23%<\/td>\n<\/tr>\n
September 28, 2007<\/td>\n18.59<\/td>\n\u00a0<\/td>\n-0.91%<\/td>\n<\/tr>\n
Quarterly Return<\/strong><\/td>\n-0.87%<\/strong><\/td>\n<\/tr>\n<\/table>\n<\/div>\n

It should be explicitly noted that the CPD returns are shown AFTER ALL FEES AND EXPENSES, while the MAPF numbers are shown after expenses, but before fees … so to make the numbers more comparable, take the annual fee from the fund’s web page<\/a> and divide by the appropriate number to obtain the period’s fee.<\/p>\n

So … perhaps not the greatest of all quarters, but considering that MAPF did not get the benefit of the huge rise in BCE preferreds in the quarter, staying even – actually, just a tad better than the ‘CPD Competition – after fees isn’t the worst thing that could happen. The last few days of September didn’t help, in either relative or absolute terms, when the market did very poorly<\/a>, presumably due to digestive problems with the new issues.<\/p>\n

More later.<\/p>\n

Update, 2007-10-02<\/strong><\/p>\n

The DPS.UN<\/a>\u00a0NAV for\u00a0September 26\u00a0has been published, so we can calculate the September-ish returns for it:<\/p>\n

\n\n\n\n\n\n\n\n\n\n\n
DPS.UN NAV Return, August-ish 2007<\/td>\n<\/tr>\n
Date<\/td>\nNAV<\/td>\nDistribution<\/td>\nReturn for period<\/td>\n<\/tr>\n
August 29, 2007<\/td>\n$22.14<\/td>\n$0.00<\/td>\n\u00a0<\/td>\n<\/tr>\n
September 26<\/td>\n$21.93<\/td>\n$0.30<\/td>\n+0.41%<\/td>\n<\/tr>\n
Time-Weighted, September-ish<\/strong><\/td>\n+0.41%<\/strong><\/td>\n<\/tr>\n
Adjustment for August stub-period<\/td>\n-0.53%<\/td>\n<\/tr>\n
Adjustment for September stub-period<\/td>\n-0.80%<\/td>\n<\/tr>\n
Estimated September Return<\/strong><\/td>\n-0.92%<\/strong><\/td>\n<\/tr>\n
CPD had an NAV of $18.94 on\u00a0August 29\u00a0and $19.04 on August 31. The beginning-of-month stub period return for CPD was therefore +0.53%.<\/em>CPD had a NAV of $18.74 on\u00a0September 26\u00a0and $18.59 on\u00a0September 28. The end-of-month stub period return for CPD was therefore -0.80%. <\/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 August<\/a> and July<\/a> to derive:<\/p>\n

\n\n\n\n\n\n\n
DPS.UN NAV Returns, three-month-ish to end-September-ish, 2007<\/td>\n<\/tr>\n
July-ish<\/td>\n+1.38%<\/td>\n<\/tr>\n
August-ish<\/td>\n+0.22%<\/td>\n<\/tr>\n
September-ish<\/td>\n-0.92%<\/td>\n<\/tr>\n
Three-months-ish<\/strong><\/td>\n+0.66%<\/strong><\/td>\n<\/tr>\n<\/table>\n<\/div>\n

I will also note that the “BMO Capital Markets 50” index returned -1.35% for the month and +0.53% for the quarter, but will not analyze the situation further due to the proprietary nature of this index.<\/p>\n

This is an unusual quarter. The basic problem is the BCE\/Teachers<\/a> deal, which had the effect of changing the BCE preferreds from junk issues into speculations on a takeover bid at blue-chip prices. This had a marked effect on returns for these issues, which ranged from a low of +9.52% (BCE.PR.H) to +23.52% (BCE.PR.G). The BMOCM-50 is 8.05% BCE issues as of 2007-9-30, but let’s look at the CPD holdings, which are publicly disclosed:<\/p>\n

\n\n\n\n\n\n\n\n\n
CPD Holdings of BCE<\/td>\n<\/tr>\n
Issue<\/td>\nWeight,
\n2007-10-1<\/td>\n		Return,
\n07Q3<\/td>\n		Effect on Fund Return<\/td>\n<\/tr>\n
BCE.PR.F*<\/td>\n1.99%<\/td>\n+12%*<\/td>\n+0.2388%<\/td>\n<\/tr>\n
BCE.PR.A*<\/td>\n2.83%<\/td>\n+12%*<\/td>\n+0.3396%<\/td>\n<\/tr>\n
BCE.PR.C<\/td>\n2.83%<\/td>\n+10.5%<\/td>\n+0.2972%<\/td>\n<\/tr>\n
Total Contribution of BCE Issues<\/strong><\/td>\n+0.8756%<\/strong><\/td>\n<\/tr>\n
*BCE.PR.F is not tracked by HIMIPref\u2122, BCE.PR.A is tracked, but the change in terms as of September 1 does\u00a0not allow HIMIPref\u2122 to calculate returns\u00a0for periods which include that date. Somebody should fire that programmer!\u00a0For both issues, a generic return of +12% has been presumed for the period.<\/td>\n<\/tr>\n<\/table>\n<\/div>\n

DPS.UN\u00a0reported its portfolio in the June 30 Semi-Annual Report<\/a>:<\/p>\n

\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n
DPS.UN\u00a0Holdings of BCE<\/td>\n<\/tr>\n
Issue<\/td>\nWeight,
\n2007-6-30<\/td>\n		Return,
\n07Q3<\/td>\n		Effect on Fund Return<\/td>\n<\/tr>\n
BCE.PR.C<\/td>\n1.80%<\/td>\n+10.5<\/td>\n+0.1890%<\/td>\n<\/tr>\n
BCE.PR.A*<\/td>\n1.41%<\/td>\n+12%*<\/td>\n+0.1692%<\/td>\n<\/tr>\n
BCE.PR.I<\/td>\n1.39%<\/td>\n+22.2%<\/td>\n+0.3086%<\/td>\n<\/tr>\n
BCE.PR.Z<\/td>\n1.36%<\/td>\n+11.4%<\/td>\n+0.1550%<\/td>\n<\/tr>\n
BCE.PR.R<\/td>\n1.33%<\/td>\n+19.3%<\/td>\n+0.2567%<\/td>\n<\/tr>\n
BCE.PR.S<\/td>\n1.25%<\/td>\n+10.5%<\/td>\n+0.1312%<\/td>\n<\/tr>\n
BCE.PR.H<\/td>\n0.85%<\/td>\n+9.5%<\/td>\n+0.0808%<\/td>\n<\/tr>\n
BCE.PR.F*<\/td>\n0.43%<\/td>\n+12%*<\/td>\n+0.0516%<\/td>\n<\/tr>\n
BCE.PR.T<\/td>\n0.29%<\/td>\n+18.7%<\/td>\n+0.0542%<\/td>\n<\/tr>\n
Total Contribution of BCE Issues<\/strong><\/td>\n+1.3963%<\/strong><\/td>\n<\/tr>\n
*BCE.PR.F is not tracked by HIMIPref\u2122. BCE.PR.A is tracked by HIMIPref\u2122, but the change in terms as of September 1 does not allow HIMIPref\u2122 to calculate returns for periods which include that date. Somebody should fire that programmer!\u00a0A generic return of +12% has been presumed for the period for each of these two issues.<\/td>\n<\/tr>\n<\/table>\n<\/div>\n

Anyway, my point in performing this minor piece of attribution analysis is simply to show the enormous influence the presence or absence of BCE issues has had this quarter in preferred share fund returns. A conscious decision was made to avoid these issues for the fund; this action was taken due to a feeling that with BCE in play, the instruments had become unanalyzable by quantitative measures (in addition to my general disdain for issued tied to Canada Prime!). This helped MAPF’s relative\u00a0returns during the second quarter of this year and has hurt in the third. I have no regrets about the decision – but it certainly has made relative returns more volatile than would otherwise be the case.<\/p>\n

Update, 2007-10-14<\/b>: A discussion of portfolio composition as of September 28, 2007, is available here<\/a>.\n<\/p>\n

<\/p>\n","protected":false},"excerpt":{"rendered":"

Malachite Aggressive Preferred Fund has been valued for September, 2007, month-end. The unit value is $9.1489, after a distribution of dividends of $0.116224.\u00a0Returns over various periods are: MAPF Returns to September, 2007 One Month -0.70% …<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[14],"tags":[],"class_list":["post-1257","post","type-post","status-publish","format-standard","hentry","category-mapf"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/1257","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=1257"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/1257\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=1257"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=1257"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=1257"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}