{"id":1772,"date":"2008-02-05T14:24:39","date_gmt":"2008-02-05T18:24:39","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=1772"},"modified":"2008-02-05T14:24:39","modified_gmt":"2008-02-05T18:24:39","slug":"index-performance-january-2008","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=1772","title":{"rendered":"Index Performance, January 2008"},"content":{"rendered":"

Performance of the HIMIPref\u2122 Indices for\u00a0January, 2008,\u00a0was:<\/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
\nJanuary 2008<\/td>\n		Three Months
\nto
\nJanuary 31, 2008<\/td>\n<\/tr>\n
Ratchet<\/td>\n-0.28%<\/td>\n\u00a0+0.67%<\/td>\n<\/tr>\n
FixFloat<\/td>\n-1.57%<\/td>\n\u00a0-2.97%<\/td>\n<\/tr>\n
Floater<\/td>\n+3.17%<\/td>\n\u00a0-17.64%<\/td>\n<\/tr>\n
OpRet<\/td>\n+0.47%<\/td>\n\u00a0+1.75%<\/td>\n<\/tr>\n
SplitShare<\/td>\n+0.31%<\/td>\n\u00a0-1.01%<\/td>\n<\/tr>\n
Interest<\/td>\n+1.37%<\/td>\n\u00a0+1.04%<\/td>\n<\/tr>\n
PerpetualPremium<\/td>\n+0.19%<\/td>\n\u00a0+1.36%<\/td>\n<\/tr>\n
PerpetualDiscount<\/td>\n+0.40%<\/td>\n\u00a0+2.98%<\/td>\n<\/tr>\n
Funds (see below for calculations)<\/td>\n<\/tr>\n
CPD<\/td>\n+0.00%<\/td>\n\u00a0-0.08%<\/td>\n<\/tr>\n
DPS.UN<\/td>\n-0.97%<\/td>\n\u00a0-0.21%<\/td>\n<\/tr>\n<\/table>\n<\/div>\n

The FloatingRate index bounced back (just a little bit!) from its disastrous performance in December<\/a>. The tepid returns for the two perpetual sub-indices mask\u00a0a great deal of excitement – at its peak on January 16<\/a> the PerpetualDiscount index was up 1.85% on the month, while at its trough on January 21<\/a> it was down 1.23%. The downdraft was caused by\u00a0a new issue: BNS.PR.O, announced January 17<\/a>. There was extreme fear that this could presage another\u00a0hit to\u00a0the market<\/a> as happened\u00a0in September<\/a>, but\u00a0by the time\u00a0TD.PR.Q was\u00a0announced January 22<\/a> the worst was over.<\/p>\n

Claymore has published NAV data<\/a> 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
CPD Return, 1- & 3-month, to\u00a0January 31<\/td>\n<\/tr>\n
Date<\/td>\nNAV<\/td>\nDistribution<\/td>\nReturn for Sub-Period<\/td>\nMonthly Return<\/td>\n<\/tr>\n
October 31, 2007<\/td>\n18.19<\/td>\n\u00a0<\/td>\n\u00a0<\/td>\n\u00a0<\/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
January 31, 2008<\/td>\n17.95<\/td>\n\u00a0<\/td>\n0.00%<\/td>\n0.00%<\/td>\n<\/tr>\n
Quarterly Return<\/strong><\/td>\n-0.08%<\/strong><\/td>\n<\/tr>\n<\/table>\n<\/div>\n

The DPS.UN NAV for\u00a0January 30 has been published<\/a> so we may calculate the January returns (approximately!) for this closed end fund:<\/p>\n

\n\n\n\n\n\n\n\n\n\n\n
DPS.UN NAV Return, January-ish 2008<\/td>\n<\/tr>\n
Date<\/td>\nNAV<\/td>\nDistribution<\/td>\nReturn for period<\/td>\n<\/tr>\n
December 27, 2007<\/td>\n$21.07<\/td>\n\u00a0<\/td>\n\u00a0<\/td>\n<\/tr>\n
January 30, 2008<\/td>\n$21.02<\/td>\n$0.00<\/td>\n-0.24%<\/td>\n<\/tr>\n
Adjustment for\u00a0December stub-period<\/td>\n-0.67%<\/td>\n<\/tr>\n
Adjustment for\u00a0January stub-period<\/td>\n-0.06%<\/td>\n<\/tr>\n
Estimated\u00a0January Return<\/strong><\/td>\n-0.97%<\/strong><\/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\u00a0subtracted from\u00a0the DPS.UN total return when estimating the return for January.<\/em><\/td>\n<\/tr>\n
CPD had a NAV of $17.96 on\u00a0January 30\u00a0and $17.95 on\u00a0January 31. The estimated\u00a0January end-of-month stub period return for CPD was therefore -0.06%, which is added to the DPS.UN total return when estimating the return for January.<\/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 December<\/a>:<\/p>\n

\n\n\n\n\n\n\n
DPS.UN NAV Returns, three-month-ish to end-January-ish, 2008<\/td>\n<\/tr>\n
November-ish<\/td>\n-1.14%<\/td>\n<\/tr>\n
December-ish<\/td>\n+1.93%<\/td>\n<\/tr>\n
January-ish<\/td>\n-0.97%<\/td>\n<\/tr>\n
Three-months-ish<\/strong><\/td>\n-0.21%<\/strong><\/td>\n<\/tr>\n<\/table>\n<\/div>\n

\n<\/p>\n

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

Performance of the HIMIPref\u2122 Indices for\u00a0January, 2008,\u00a0was: Total Return Index Performance January 2008 Three Months to January 31, 2008 Ratchet -0.28% \u00a0+0.67% FixFloat -1.57% \u00a0-2.97% Floater +3.17% \u00a0-17.64% OpRet +0.47% \u00a0+1.75% SplitShare +0.31% \u00a0-1.01% Interest …<\/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-1772","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\/1772","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=1772"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/1772\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=1772"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=1772"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=1772"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}