{"id":1647,"date":"2008-01-02T14:13:29","date_gmt":"2008-01-02T18:13:29","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=1647"},"modified":"2008-01-02T14:13:29","modified_gmt":"2008-01-02T18:13:29","slug":"index-performance-december-2007","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=1647","title":{"rendered":"Index Performance, December 2007"},"content":{"rendered":"

Performance of the HIMIPref\u2122 Indices for December was:<\/p>\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
\nDecember 2007<\/td>\n		Performance
\n4Q07<\/td>\n<\/tr>\n
Ratchet<\/td>\n+0.91%<\/td>\n\u00a0-0.55%<\/td>\n<\/tr>\n
FixFloat<\/td>\n-0.88%<\/td>\n\u00a0-0.68%<\/td>\n<\/tr>\n
Floater<\/td>\n-14.53%<\/td>\n\u00a0-21.59%<\/td>\n<\/tr>\n
OpRet<\/td>\n+0.76%<\/td>\n\u00a0+1.20%<\/td>\n<\/tr>\n
SplitShare<\/td>\n+1.08%<\/td>\n\u00a0-1.53%<\/td>\n<\/tr>\n
Interest<\/td>\n-0.68%<\/td>\n\u00a0+1.62%<\/td>\n<\/tr>\n
PerpetualPremium<\/td>\n+1.04%<\/td>\n\u00a0-0.11%<\/td>\n<\/tr>\n
PerpetualDiscount<\/td>\n+2.63%<\/td>\n\u00a0-2.33%<\/td>\n<\/tr>\n
Funds (see below for calculations)<\/td>\n<\/tr>\n
CPD<\/td>\n+1.14%<\/td>\n\u00a0-2.27%<\/td>\n<\/tr>\n
DPS.UN<\/td>\n+1.93%<\/td>\n\u00a0-1.11%<\/td>\n<\/tr>\n<\/table>\n<\/div>\n

The FloatingRate index was adversely affected by\u00a0both of its\u00a0constituents (BAM.PR.B & BAM.PR.K) performing very poorly during the month – in fact, these two issues were the two worst performers, by far, of all index-included issues in the HIMIPref\u2122 universe. The issue removed from the “Floater” index at the November rebalancing<\/a>, TOC.PR.B, returned -4.94% on the month.<\/p>\n

Claymore has published dividend<\/a> and NAV<\/a> data for the CPD Exchange Traded Fund<\/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 December 31<\/td>\n<\/tr>\n
Date<\/td>\nNAV<\/td>\nDistribution<\/td>\nReturn for Sub-Period<\/td>\nMonthly Return<\/td>\n<\/tr>\n
September 28, 2007<\/td>\n18.59<\/td>\n\u00a0<\/td>\n\u00a0<\/td>\n\u00a0<\/td>\n<\/tr>\n
October 31, 2007<\/td>\n18.19<\/td>\n\u00a0<\/td>\n-2.15%<\/td>\n-2.15%<\/td>\n<\/tr>\n
November 30<\/td>\n17.97<\/td>\n\u00a0<\/td>\n-1.21%<\/td>\n-1.21%<\/td>\n<\/tr>\n
December 24<\/td>\n17.75<\/td>\n0.2219<\/td>\n+0.01%<\/td>\n+1.14%<\/td>\n<\/tr>\n
December 31, 2007<\/td>\n17.95<\/td>\n\u00a0<\/td>\n+1.13%<\/td>\n<\/tr>\n
Quarterly Return<\/strong><\/td>\n-2.27%<\/strong><\/td>\n<\/tr>\n<\/table>\n<\/div>\n

The DPS.UN NAV for December 27 has been published<\/a>, together with the distribution history<\/a>,\u00a0so we may calculated the December-ish returns for it:<\/p>\n

\n\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
November 28<\/td>\n$21.07<\/td>\n$0.00<\/td>\n\u00a0<\/td>\n<\/tr>\n
December 27, 2007<\/td>\n21.07<\/td>\n0.30<\/td>\n+1.42%<\/td>\n<\/tr>\n
Adjustment for November stub-period<\/td>\n-0.17%<\/td>\n<\/tr>\n
Adjustment for December stub-period<\/td>\n+0.67%<\/td>\n<\/tr>\n
Estimated December Return<\/strong><\/td>\n+1.93%<\/strong><\/td>\n<\/tr>\n
CPD had a NAV of $17.94 on November 28 and $17.97 on November 30. The estimated November end-of-month stub period return for CPD was therefore +0.17%, which is subtracted from the DPS.UN total return when estimating the return for December.<\/em><\/td>\n<\/tr>\n
CPD had a NAV of $17.83 on December 27 and $17.95 on December 31. The estimated December end-of-month stub period return for CPD was therefore +0.67%, which is added to the DPS.UN total return when estimating the return for December.<\/em><\/td>\n<\/tr>\n<\/table>\n<\/div>\n

\u00a0<\/p>\n

Now, to see the DPS.UN quarterly NAV approximate return, we refer to the calculations\u00a0for October<\/a> and November<\/a>:<\/p>\n

\n\n\n\n\n\n\n
DPS.UN NAV Returns, three-month-ish to end-December-ish, 2007<\/td>\n<\/tr>\n
October-ish<\/td>\n-1.86%<\/td>\n<\/tr>\n
November-ish<\/td>\n-1.14%<\/td>\n<\/tr>\n
December-ish<\/td>\n+1.93%<\/td>\n<\/tr>\n
Three-months-ish<\/strong><\/td>\n-1.11%<\/strong><\/td>\n<\/tr>\n<\/table>\n<\/div>\n

\u00a0\n<\/p>\n

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

Performance of the HIMIPref\u2122 Indices for December was: Total Return Index Performance December 2007 Performance 4Q07 Ratchet +0.91% \u00a0-0.55% FixFloat -0.88% \u00a0-0.68% Floater -14.53% \u00a0-21.59% OpRet +0.76% \u00a0+1.20% SplitShare +1.08% \u00a0-1.53% Interest -0.68% \u00a0+1.62% PerpetualPremium …<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[10,11],"tags":[],"class_list":["post-1647","post","type-post","status-publish","format-standard","hentry","category-index-construction-and-reporting","category-indices-and-etfs"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/1647","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=1647"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/1647\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=1647"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=1647"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=1647"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}