{"id":1544,"date":"2007-12-03T14:38:22","date_gmt":"2007-12-03T18:38:22","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=1544"},"modified":"2007-12-03T14:38:22","modified_gmt":"2007-12-03T18:38:22","slug":"index-performance-november-2007","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=1544","title":{"rendered":"Index Performance, November 2007"},"content":{"rendered":"

Performance of the HIMIPref\u2122 Indices for\u00a0November was:<\/p>\n

\n\n\n\n\n\n\n\n\n\n\n\n
Total Return, November 2007<\/td>\n<\/tr>\n
Index<\/td>\nPerformance<\/td>\n<\/tr>\n
Ratchet<\/td>\n+0.03%<\/td>\n<\/tr>\n
FixFloat<\/td>\n-0.54%<\/td>\n<\/tr>\n
Floater<\/td>\n-6.60%<\/td>\n<\/tr>\n
OpRet<\/td>\n+0.51%<\/td>\n<\/tr>\n
SplitShare<\/td>\n-2.37%<\/td>\n<\/tr>\n
Interest<\/td>\n+0.35%<\/td>\n<\/tr>\n
PerpetualPremium<\/td>\n+0.12%<\/td>\n<\/tr>\n
PerpetualDiscount<\/td>\n-0.07%<\/td>\n<\/tr>\n<\/table>\n<\/div>\n

The FloatingRate index was adversely affected by having two of its three constituents (BAM.PR.B & BAM.PR.K) among the five worst performing issues<\/a> in the universe in the past month.<\/p>\n

The performance of the SplitShare index was very odd, being dragged down by three issues that performed appallingly:<\/p>\n

\n\n\n\n\n\n\n
Extreme Performances in SplitShare Index
\nNovember 2007<\/td>\n<\/tr>\n
Issue<\/td>\nNovember
\nTotal
\nReturn<\/td>\n		Yield
\nOctober 31<\/td>\n		Yield
\nNovember 30<\/td>\n<\/tr>\n
BNA.PR.C<\/td>\n-8.46%<\/td>\n6.47%<\/td>\n7.62%\u00a0<\/td>\n<\/tr>\n
BNA.PR.B<\/td>\n-9.59%<\/td>\n5.30%<\/td>\n6.90%<\/td>\n<\/tr>\n
FTU.PR.A<\/td>\n-8.53%<\/td>\n4.93%<\/td>\n7.12%<\/td>\n<\/tr>\n<\/table>\n<\/div>\n

The effect of these three miserable performances was to drag the SplitShare index total return down by approximately 1.75%. The strange behaviour of the BNA issues during the month\u00a0has been discussed in another post<\/a>.\u00a0<\/p>\n

Claymore has published NAV data for CPD<\/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\u00a0November 30<\/td>\n<\/tr>\n
Date<\/td>\nNAV<\/td>\nDistribution<\/td>\nReturn for Sub-Period<\/td>\nMonthly Return<\/td>\n<\/tr>\n
August 31<\/td>\n19.04<\/td>\n\u00a0<\/td>\n\u00a0<\/td>\n\u00a0<\/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
November 30, 2007<\/td>\n17.97<\/td>\n\u00a0<\/td>\n-1.21%<\/td>\n-1.21%<\/td>\n<\/tr>\n
Quarterly Return<\/strong><\/td>\n-4.52%<\/strong><\/td>\n<\/tr>\n<\/table>\n<\/div>\n

The DPS.UN NAV for November 28\u00a0has\u00a0been published<\/a>, so we can calculate the November-ish returns for it:<\/p>\n

\n\n\n\n\n\n\n\n\n
DPS.UN NAV Return, November-ish 2007<\/td>\n<\/tr>\n
Date<\/td>\nNAV<\/td>\nDistribution<\/td>\nReturn for period<\/td>\n<\/tr>\n
October 31<\/td>\n$21.35<\/td>\n\u00a0<\/td>\n\u00a0<\/td>\n<\/tr>\n
November 28<\/td>\n$21.07<\/td>\n$0.00<\/td>\n-1.31%<\/td>\n<\/tr>\n
Adjustment for\u00a0November stub-period<\/td>\n+0.17%<\/td>\n<\/tr>\n
Estimated\u00a0November Return<\/strong><\/td>\n-1.14%<\/strong><\/td>\n<\/tr>\n
CPD had a NAV of $17.94 on\u00a0November 28\u00a0and $17.97 on\u00a0November 30. The estimated end-of-month stub period return for CPD was therefore +0.17%, which is added\u00a0to the DPS.UN total return in order to estimate\u00a0the return\u00a0for November. <\/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 October<\/a> to derive:<\/p>\n

\n\n\n\n\n\n\n
DPS.UN NAV Returns, three-month-ish to end-November-ish, 2007<\/td>\n<\/tr>\n
September-ish<\/td>\n-0.92%<\/td>\n<\/tr>\n
October-ish<\/td>\n-1.86%<\/td>\n<\/tr>\n
November-ish<\/td>\n-1.14%<\/td>\n<\/tr>\n
Three-months-ish<\/strong><\/td>\n-3.87%<\/strong><\/td>\n<\/tr>\n<\/table>\n<\/div>\n

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

Performance of the HIMIPref\u2122 Indices for\u00a0November was: Total Return, November 2007 Index Performance Ratchet +0.03% FixFloat -0.54% Floater -6.60% OpRet +0.51% SplitShare -2.37% Interest +0.35% PerpetualPremium +0.12% PerpetualDiscount -0.07% The FloatingRate index was adversely affected …<\/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-1544","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\/1544","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=1544"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/1544\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=1544"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=1544"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=1544"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}