{"id":1550,"date":"2007-12-04T17:00:39","date_gmt":"2007-12-04T21:00:39","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=1550"},"modified":"2007-12-04T17:00:39","modified_gmt":"2007-12-04T21:00:39","slug":"mapf-performance-november-2007","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=1550","title":{"rendered":"MAPF Performance : November 2007"},"content":{"rendered":"

Malachite Aggressive Preferred Fund has been valued for November, 2007, month-end. The unit value is $8.7845. Returns over various periods are:<\/p>\n

\n\n\n\n\n\n\n\n\n\n\n
MAPF Returns to November 30, 2007<\/td>\n<\/tr>\n
One Month<\/td>\n-0.27%<\/td>\n<\/tr>\n
Three Months<\/td>\n-4.65%<\/td>\n<\/tr>\n
One Year<\/td>\n-4.98%<\/td>\n<\/tr>\n
Two Years (annualized)<\/td>\n+0.65%<\/td>\n<\/tr>\n
Three Years (annualized)<\/td>\n+2.53%<\/td>\n<\/tr>\n
Four Years (annualized)<\/td>\n+5.48%<\/td>\n<\/tr>\n
Five Years (annualized)<\/td>\n+10.09%<\/td>\n<\/tr>\n
Six Years (annualized)<\/td>\n+8.05%<\/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

The\u00a0November returns reflect outperformance against CPD (which returned -1.21%<\/a>) and DPS.UN (estimated at -1.14%).<\/p>\n

The quarterly performance still reflects October’s poor performance, which I attributed last month<\/a> to a move into perpetualDiscount issues that proved to be somewhat early. However, given the quarterly performance of CPD (-4.52%) and DPS.UN (-3.87%), I think I am justified in thinking that the past three months,\u00a0while disappointing and not reflective of the returns I aim to achieve for clients, have not been a disaster for the fund, which has a superb yield<\/a> while retaining good credit quality and liquidity.<\/p>\n

The BMO-CM-50 Index is not yet available, but I believe that I have outperformed it by about 200bp over the past twelve months. Update<\/b>: I have just received the report: this index returned -0.83% for the month, -6.55% for the trailing 12 months; hence MAPF has outperformed the index by 157bp over the past twelve months (after expenses, before fees)<\/i><\/p>\n

The yield is reflected in the current estimate of sustainable income<\/a>.<\/p>\n

\n\n\n\n\n\n\n\n\n\n\n\n\n
Calculation of MAPF Sustainable Income<\/td>\n<\/tr>\n
Month<\/td>\nNAVPU<\/td>\nPortfolio
\nAverage
\nYTW<\/td>\n		Leverage
\nDivisor<\/td>\n		Sustainable
\nIncome<\/td>\n<\/tr>\n
April, 2007<\/td>\n9.4083<\/td>\n4.52%<\/td>\n0.89<\/td>\n$0.4778<\/td>\n<\/tr>\n
May<\/td>\n9.3259<\/td>\n4.59%<\/td>\n0.95<\/td>\n0.4506<\/td>\n<\/tr>\n
June<\/td>\n9.3114<\/td>\n5.16%<\/td>\n1.03<\/td>\n0.4665<\/td>\n<\/tr>\n
July<\/td>\n9.3627<\/td>\n5.10%<\/td>\n1.01<\/td>\n0.4728<\/td>\n<\/tr>\n
August<\/td>\n9.3309<\/td>\n4.55%<\/td>\n0.89<\/td>\n0.4770<\/td>\n<\/tr>\n
September<\/td>\n9.1489<\/td>\n5.35%<\/td>\n0.98<\/td>\n0.4995<\/td>\n<\/tr>\n
October<\/td>\n8.8084<\/td>\n5.71%<\/td>\n1.00<\/td>\n0.5030<\/td>\n<\/tr>\n
November, 2007<\/td>\n8.7845<\/td>\n6.11%<\/td>\n1.00<\/td>\n0.5357<\/td>\n<\/tr>\n
NAVPU is shown after distributions of 0.066279 in June
\nand 0.116224 in September<\/em><\/td>\n<\/tr>\n<\/table>\n<\/div>\n

While I attempt at all times not\u00a0to say anything that might be interpreted as an exhortation to time the markets,\u00a0I will say that there\u00a0are some signs the market is normalizing … it may still be very low, but a few things lead me to believe that irrationality is abating somewhat.<\/p>\n

To illustrate my point, I\u00a0present the following table tracing the flow of money through a series of trades in November within the perpetualDiscount sector that worked out\u00a0quite well:<\/p>\n

\n\n\n\n\n\n\n\n\n\n
A Sequence of MAPF Trades, November 2007<\/td>\n<\/tr>\n
Date<\/td>\n10\/31<\/td>\n11\/19<\/td>\n11\/26<\/td>\n11\/30<\/td>\n<\/tr>\n
POW.PR.B<\/td>\nHeld at
\n23.13<\/td>\n		Sold at 23.31<\/td>\n\u00a0<\/td>\n<\/tr>\n
GWO.PR.G<\/td>\n\u00a0<\/td>\nBought at 22.99<\/td>\nSold at 22.59
\n(average)<\/td>\n		\u00a0<\/td>\n<\/tr>\n
HSB.PR.D<\/td>\n\u00a0<\/td>\nBought at 21.71
\n(average)<\/td>\n		Held at
\n22.30<\/td>\n<\/tr>\n
Return on Position<\/td>\n\u00a0<\/td>\n\u00a0+0.78%<\/td>\n-1.74%\u00a0<\/td>\n+2.72%\u00a0<\/td>\n<\/tr>\n
Perpetual
\nDiscount
\nIndex
\nLevel<\/td>\n		\u00a0905.0<\/td>\n903.09\u00a0<\/td>\n900.2\u00a0<\/td>\n904.3\u00a0<\/td>\n<\/tr>\n
Perpetual
\nDiscount
\nIndex
\nReturn<\/td>\n		\u00a0<\/td>\n\u00a0-0.21%<\/td>\n-0.32%\u00a0<\/td>\n+0.46%\u00a0<\/td>\n<\/tr>\n<\/table>\n<\/div>\n

I hope the table is clear! It makes perfect sense\u00a0to me – but let me know in the comments if it’s really just a jumble of numbers. At any rate, the\u00a0point is that the money flowing\u00a0through this series of trades \u00a0had a total return of +1.72% for the month, while invested at all times in PerpetualDiscount issues. The PerpetualDiscount index returned\u00a0-0.07% as has been previously reported<\/a>.<\/p>\n

It would, of course, have been much nicer to have held something other than GWO.PR.G during the period 11\/19 to 11\/26 – but I didn’t know that when I bought it, did I? And when the HSB.PR.D got cheap – the trade picked up credit, picked up yield AND increased the discount to call price – I had to sell something.<\/p>\n

My point is that the sequence of trades was both rapid-fire and profitable. It may have been just a flash in the pan, but that is the sort of trading HIMIPref\u2122 has historically indicated in “normal” markets and its success gives me hope that the market is normalizing.<\/p>\n

I just wish the month had ended with December 3 prices … I would have been able to report a gain for November!<\/p>\n","protected":false},"excerpt":{"rendered":"

Malachite Aggressive Preferred Fund has been valued for November, 2007, month-end. The unit value is $8.7845. Returns over various periods are: MAPF Returns to November 30, 2007 One Month -0.27% Three Months -4.65% One Year …<\/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-1550","post","type-post","status-publish","format-standard","hentry","category-mapf"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/1550","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=1550"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/1550\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=1550"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=1550"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=1550"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}