{"id":12764,"date":"2010-11-02T20:43:39","date_gmt":"2010-11-03T00:43:39","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=12764"},"modified":"2010-11-02T20:43:39","modified_gmt":"2010-11-03T00:43:39","slug":"index-performance-october-2010","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=12764","title":{"rendered":"Index Performance: October 2010"},"content":{"rendered":"

Performance of the HIMIPref\u2122 Indices for October, 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
\nOctober 2010<\/td>\n		Three Months
\nto
\nOctober 29, 2010<\/td>\n<\/tr>\n
Ratchet<\/td>\n+1.81% ***<\/b><\/td>\n+5.11% ***<\/b><\/td>\n<\/tr>\n
FixFloat<\/td>\n+1.81% **<\/b><\/td>\n+5.11% **<\/b><\/td>\n<\/tr>\n
Floater<\/td>\n+1.81%<\/td>\n+5.11%<\/td>\n<\/tr>\n
OpRet<\/td>\n+0.13%<\/td>\n+1.38%<\/td>\n<\/tr>\n
SplitShare<\/td>\n+1.50%<\/td>\n+7.48%<\/td>\n<\/tr>\n
Interest<\/td>\n+0.13%****<\/b><\/td>\n+1.38%****<\/b><\/td>\n<\/tr>\n
PerpetualPremium<\/td>\n+1.07%<\/td>\n+4.06<\/td>\n<\/tr>\n
PerpetualDiscount<\/td>\n+2.31%<\/td>\n+8.70%<\/td>\n<\/tr>\n
FixedReset<\/td>\n+0.71%<\/td>\n+2.17%<\/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 RatchetRate index was transferred to Scraps at the July, 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+1.40%<\/td>\n+4.73%<\/td>\n<\/tr>\n
DPS.UN<\/td>\n+0.17%<\/td>\n+5.92%<\/td>\n<\/tr>\n
Index<\/td>\n<\/tr>\n
BMO-CM 50<\/td>\n+2.02%<\/td>\n+5.84%<\/td>\n<\/tr>\n
TXPR Total Return<\/td>\n+1.55%<\/td>\n+5.16%<\/td>\n<\/table>\n<\/div>\n

CPD again took a good hit on its tracking error against TXPR, down 15bp on the month and 43bp on the quarter. The advertised MER of 0.48%<\/a> implies these figures should be 4bp and 12bp in the absence of trading frictions. I’m happy! One man’s market impact cost is another man’s market-making gain, and if Claymore is incurring market impact costs in the neighborhood of 100bp p.a., that’s over $5-million on the table to be divvied up by guys like me<\/a>.<\/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 235bp, a significant decline from the 265bp reported at September month-end<\/a>. Long corporate yields declined to 5.2% from 5.3% during the period while PerpetualDiscounts had a larger decline in dividend terms, from 5.69% to 5.41%, which became from 7.97% to 7.57% in interest-equivalent terms at the standard conversion factor of 1.4x. I would be happier with long corporates in the 6.00-6.25% range with a seniority spread in the range of 100-150bp, but what do I know? The market has never shown any particular interest in my happiness.<\/p>\n

Long Corporates reached a plateau in October:<\/p>\n

\"\"<\/a>
Click for Big<\/i><\/div>\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

Floaters have had a wild ride; the latest decline is presumably due to the idea that the BoC will be slower rather than faster in hiking the overnight rate. I’m going to keep publishing updates of this graph until the one-year trailing return for the sector no longer looks so gigantic:<\/p>\n

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

Volumes are on their way back up 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>
\n
Click for big<\/i><\/div>\n

Compositions of the passive funds were discussed in the September, 2010, 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\n
CPD Return, 1- & 3-month, to October 29, 2010<\/td>\n<\/tr>\n
Date<\/td>\nNAV<\/td>\nDistribution<\/td>\nReturn for Sub-Period<\/td>\nMonthly Return<\/td>\n<\/tr>\n
July 30, 2010<\/td>\n16.66<\/td>\n <\/td>\n <\/td>\n<\/tr>\n
August 26<\/td>\n16.76<\/td>\n0.069<\/td>\n+1.01%<\/td>\n+1.12%<\/td>\n<\/tr>\n
August 31<\/td>\n16.78<\/td>\n <\/td>\n+0.11%<\/td>\n<\/tr>\n
September 27<\/td>\n17.12<\/td>\n0.069<\/td>\n+2.44%<\/td>\n+2.14%<\/td>\n<\/tr>\n
September 30<\/td>\n17.07<\/td>\n <\/td>\n-0.29%<\/td>\n<\/tr>\n
October 26<\/td>\n17.21<\/td>\n0.069<\/td>\n+1.22%<\/td>\n+1.40%<\/td>\n<\/tr>\n
October 29, 2010<\/td>\n17.24<\/td>\n <\/td>\n+0.17%<\/td>\n<\/tr>\n
Quarterly Return<\/strong><\/td>\n+4.73%<\/strong><\/td>\n<\/tr>\n<\/table>\n<\/div>\n

Claymore currently holds $559,641,405<\/a> (advisor & common combined) in CPD assets, up about $24-million from the $486,846,162 reported at August month-end and up about $186-million from the $373,729,364 reported at year-end. Their tracking error does not seem to be affecting their ability to gather assets!<\/p>\n

The DPS.UN NAV for September 1 has been published<\/a> so we may calculate the approximate August returns.<\/p>\n

\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n
DPS.UN NAV Return, September-ish and October-ish 2010<\/td>\n<\/tr>\n
Date<\/td>\nNAV<\/td>\nDistribution<\/td>\nReturn for sub-period<\/td>\nReturn for period<\/td>\n<\/tr>\n
September 1, 2010<\/td>\n20.57<\/td>\n <\/td>\n <\/td>\n <\/td>\n<\/tr>\n
September 28<\/td>\n21.17 **<\/b><\/td>\n0.30<\/td>\n+4.38%<\/td>\n <\/td>\n<\/tr>\n
September 29<\/td>\n21.12<\/td>\n <\/td>\n-0.23%<\/td>\n <\/td>\n<\/tr>\n
October 27<\/td>\n21.12<\/td>\n <\/td>\n0.00%<\/td>\n <\/td>\n<\/tr>\n
Estimated September Beginning Stub<\/td>\n+0.24% *<\/b><\/td>\n<\/tr>\n
Estimated September Ending Stub<\/td>\n0.0% ***<\/b><\/td>\n<\/tr>\n
Estimated October Ending Stub<\/td>\n+0.17% *****<\/b><\/td>\n<\/tr>\n
Estimated September Return<\/strong><\/td>\n+4.39% ****<\/strong><\/td>\n<\/tr>\n
Estimated October Return<\/strong><\/td>\n+0.17% ******<\/strong><\/td>\n<\/tr>\n
*<\/b>CPD had a NAVPU of 16.82 on September 1 and 16.78 on August 31, 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>CPD had a NAVPU of 17.11 on September 28 and 17.07 on September 29, therefore the return for the day was -0.23%. The reported NAV of DPS.UN was 21.12 on September 29, so, assuming returns were approximately equal for the day, the NAV would have been 21.17<\/em><\/td>\n<\/tr>\n
***<\/b>CPD had a NAVPU of 17.07 on September 29 and 17.07 on September 30, hence the total return for the period for CPD was +0.00%. The return for DPS.UN in this period is presumed to be equal.<\/em><\/td>\n<\/tr>\n
****<\/b> The estimated September return for DPS.UN’s NAV is therefore the product of four period returns, +0.24%, +4.38%, -0.23% and 0.00% to arrive at an estimate for the calendar month of +4.39%<\/em><\/td>\n<\/tr>\n
*****<\/b>CPD had a NAVPU of 17.21 on October 27 and 17.24 on October 29, hence the total return for the period for CPD was +0.17%. The return for DPS.UN in this period is presumed to be equal.<\/em><\/td>\n<\/tr>\n
****<\/b> The estimated October return for DPS.UN’s NAV is therefore the product of three period returns, +0.00%, +0.00%, +0.17% to arrive at an estimate for the calendar month of +0.17%<\/em><\/td>\n<\/tr>\n<\/table>\n<\/div>\n

Note that Sentry Select claims September performance of 3.7%<\/a>, but I believe this is price-based, whereas my calculations are NAV-based. DPS.UN currently trades at a discount of about 4% to its NAV.<\/p>\n

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

\n\n\n\n\n\n\n
DPS.UN NAV Returns, three-month-ish to end-October-ish, 2010<\/td>\n<\/tr>\n
August-ish<\/td>\n+1.29%<\/td>\n<\/tr>\n
September-ish<\/td>\n+4.39%<\/td>\n<\/tr>\n
October-ish<\/td>\n+0.17%<\/td>\n<\/tr>\n
Three-months-ish<\/strong><\/td>\n+5.92%<\/strong><\/td>\n<\/tr>\n<\/table>\n<\/div>\n

Sentry Select is now publishing performance data for DPS.UN<\/a>, but this appears to be price-based, rather than NAV-based. I will continue to report NAV-based figures.<\/p>\n","protected":false},"excerpt":{"rendered":"

Performance of the HIMIPref\u2122 Indices for October, 2010, was: Total Return Index Performance October 2010 Three Months to October 29, 2010 Ratchet +1.81% *** +5.11% *** FixFloat +1.81% ** +5.11% ** Floater +1.81% +5.11% OpRet …<\/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-12764","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\/12764","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=12764"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/12764\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=12764"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=12764"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=12764"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}