{"id":1400,"date":"2007-11-01T15:26:59","date_gmt":"2007-11-01T19:26:59","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=1400"},"modified":"2007-11-01T15:26:59","modified_gmt":"2007-11-01T19:26:59","slug":"himipref-index-performance-october-2007","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=1400","title":{"rendered":"HIMIPref™ Index Performance : October 2007"},"content":{"rendered":"

Performance of the HIMI Indices for\u00a0October was:<\/p>\n

\n\n\n\n\n\n\n\n\n\n\n\n
Total Return, October 2007<\/td>\n<\/tr>\n
Index<\/td>\nPerformance<\/td>\n<\/tr>\n
Ratchet<\/td>\n-1.48%<\/td>\n<\/tr>\n
FixFloat<\/td>\n+0.75%<\/td>\n<\/tr>\n
Floater<\/td>\n-0.52%<\/td>\n<\/tr>\n
OpRet<\/td>\n-0.07%<\/td>\n<\/tr>\n
SplitShare<\/td>\n-0.22%<\/td>\n<\/tr>\n
Interest<\/td>\n+1.96%<\/td>\n<\/tr>\n
PerpetualPremium<\/td>\n-1.27%<\/td>\n<\/tr>\n
PerpetualDiscount<\/td>\n-4.77%<\/td>\n<\/tr>\n<\/table>\n<\/div>\n

Not the best month to be holding perpetuals – particularly\u00a0of the Discount variety! The overall pattern was much like September’s<\/a>, but the decline in perpetuals was greatly accentuated.<\/p>\n

This post will be updated in due course with\u00a0returns of other indices and funds.\u00a0<\/p>\n

Update, 2007-11-02<\/strong> I have uploaded a graph<\/a> of yield curves, comparing the core rates for 2007-5-9, 9-28 and 10\/31. Note that these curves are spot-yields for taxable accounts. The steepening of the yield curve in October is very noticable – this hurt perpetuals even more than they would have been hurt by a parallel upwards shift.<\/p>\n

There is no really good reason for having chosen 2007-5-9 as a comparitive date: it’s simply that this particular date has been discussed recently<\/a>.<\/p>\n

Update #2, 2007-11-2<\/strong> Claymore has published<\/a> their final monthly numbers 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 October 31<\/td>\n<\/tr>\n
Date<\/td>\nNAV<\/td>\nDistribution<\/td>\nReturn for Sub-Period<\/td>\nMonthly Return<\/td>\n<\/tr>\n
July 31<\/td>\n18.95<\/td>\n\u00a0<\/td>\n\u00a0<\/td>\n\u00a0<\/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
October 31<\/td>\n18.19<\/td>\n\u00a0<\/td>\n-2.15%<\/td>\n-2.15%<\/td>\n<\/tr>\n
Quarterly Return<\/strong><\/td>\n-2.90%<\/strong><\/td>\n<\/tr>\n<\/table>\n<\/div>\n

\u00a0<\/p>\n

Update, 2007-11-04<\/strong>:The DPS.UN NAV<\/a> for\u00a0October 31\u00a0has been published, so we can calculate the October-ish returns for it:<\/p>\n

\n\n\n\n\n\n\n\n\n
DPS.UN NAV Return, October-ish 2007<\/td>\n<\/tr>\n
Date<\/td>\nNAV<\/td>\nDistribution<\/td>\nReturn for period<\/td>\n<\/tr>\n
September 26, 2007<\/td>\n$21.93<\/td>\n$0.30<\/td>\n\u00a0<\/td>\n<\/tr>\n
October 31<\/td>\n$21.35<\/td>\n$0.00<\/td>\n-2.64%<\/td>\n<\/tr>\n
Adjustment for September stub-period<\/td>\n+0.80%<\/td>\n<\/tr>\n
Estimated October Return<\/strong><\/td>\n-1.86%<\/strong><\/td>\n<\/tr>\n
CPD had a NAV of $18.74 on September 26 and $18.59 on September 28. The beginning-of-month stub period return for CPD was therefore -0.80%, which is added back to the DPS.UN total return in order to isolate the\u00a0return due to October.\u00a0<\/em><\/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 September<\/a> and August<\/a> to derive:<\/p>\n

\n\n\n\n\n\n\n
DPS.UN NAV Returns, three-month-ish to end-October-ish, 2007<\/td>\n<\/tr>\n
August-ish<\/td>\n+0.22%<\/td>\n<\/tr>\n
September-ish<\/td>\n-0.92%<\/td>\n<\/tr>\n
October-ish<\/td>\n-1.86%<\/td>\n<\/tr>\n
Three-months-ish<\/strong><\/td>\n-2.55%<\/strong><\/td>\n<\/tr>\n<\/table>\n<\/div>\n

Update, 2007-11-5<\/strong>: Performance for the BMO Capital Markets 50 is:<\/p>\n

\n\n\n\n\n\n\n\n\n\n\n
BMOCM-50\u00a0Returns to October, 2007<\/td>\n<\/tr>\n
One Month<\/td>\n-2.35%<\/td>\n<\/tr>\n
Three Months<\/td>\n-3.12%<\/td>\n<\/tr>\n
One Year<\/td>\n-0.05%<\/td>\n<\/tr>\n
Two Years (annualized)<\/td>\n+1.52%<\/td>\n<\/tr>\n
Three Years (annualized)<\/td>\n+1.28%<\/td>\n<\/tr>\n
Four Years (annualized)<\/td>\n+2.34%<\/td>\n<\/tr>\n
Five Years (annualized)<\/td>\n+3.33%<\/td>\n<\/tr>\n
Six Years (annualized)<\/td>\n+3.36%<\/td>\n<\/tr>\n<\/table>\n<\/div>\n","protected":false},"excerpt":{"rendered":"

Performance of the HIMI Indices for\u00a0October was: Total Return, October 2007 Index Performance Ratchet -1.48% FixFloat +0.75% Floater -0.52% OpRet -0.07% SplitShare -0.22% Interest +1.96% PerpetualPremium -1.27% PerpetualDiscount -4.77% Not the best month to be …<\/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-1400","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\/1400","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=1400"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/1400\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=1400"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=1400"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=1400"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}