{"id":2003,"date":"2008-04-01T15:06:17","date_gmt":"2008-04-01T19:06:17","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=2003"},"modified":"2008-04-01T15:06:17","modified_gmt":"2008-04-01T19:06:17","slug":"index-performance-march-2008","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=2003","title":{"rendered":"Index Performance : March 2008"},"content":{"rendered":"

Performance of the HIMIPref\u2122 Indices for March, 2008, was:<\/p>\n

\n\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
\nMarch 2008<\/td>\n		Three Months
\nto
\nMarch 31, 2008<\/td>\n<\/tr>\n
Ratchet<\/td>\n+0.79%<\/td>\n+2.84%<\/td>\n<\/tr>\n
FixFloat<\/td>\n+0.64%<\/td>\n+1.31%<\/td>\n<\/tr>\n
Floater<\/td>\n-1.09%<\/td>\n+2.37%<\/td>\n<\/tr>\n
OpRet<\/td>\n-0.10%<\/td>\n+0.74%<\/td>\n<\/tr>\n
SplitShare<\/td>\n-2.60%<\/td>\n-0.63%<\/td>\n<\/tr>\n
Interest<\/td>\n+0.25%<\/td>\n+3.26%<\/td>\n<\/tr>\n
PerpetualPremium<\/td>\n-1.57%<\/td>\n-0.14%<\/td>\n<\/tr>\n
PerpetualDiscount<\/td>\n-4.93%<\/td>\n-1.65%<\/td>\n<\/tr>\n
Funds (see below for calculations)<\/td>\n<\/tr>\n
CPD<\/td>\n-2.90%<\/td>\n-1.23%<\/td>\n<\/tr>\n
DPS.UN<\/td>\n-2.26%<\/td>\n-0.79%<\/td>\n<\/tr>\n
Index<\/td>\n<\/tr>\n
BMO-CM 50<\/td>\nN\/A<\/s>
-2.79%<\/td>\n		N\/A<\/s>
-0.31%<\/td>\n<\/tr>\n<\/table>\n<\/div>\n

Claymore has published NAV data<\/a> and Distribution 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 March, 2008<\/td>\n<\/tr>\n
Date<\/td>\nNAV<\/td>\nDistribution<\/td>\nReturn for Sub-Period<\/td>\nMonthly Return<\/td>\n<\/tr>\n
December 31, 2007<\/td>\n17.95<\/td>\n <\/td>\n <\/td>\n <\/td>\n<\/tr>\n
January 31, 2008<\/td>\n17.95<\/td>\n <\/td>\n0.00%<\/td>\n0.00%<\/td>\n<\/tr>\n
February 29<\/td>\n18.34<\/td>\n <\/td>\n+2.17% <\/td>\n+2.17% <\/td>\n<\/tr>\n
March 26<\/td>\n17.64<\/td>\n0.2082<\/td>\n-2.68%<\/td>\n-2.90%<\/td>\n<\/tr>\n
March 31, 2008<\/td>\n17.60<\/td>\n <\/td>\n-0.23% <\/td>\n<\/tr>\n
Quarterly Return<\/strong><\/td>\n-0.79%<\/strong><\/td>\n<\/tr>\n<\/table>\n<\/div>\n

The DPS.UN NAV for March 26 has been published<\/a> so we may calculate the March returns (approximately!) for this closed end fund:<\/p>\n

\n\n\n\n\n\n\n\n\n\n\n\n
DPS.UN NAV Return, March-ish 2008<\/td>\n<\/tr>\n
Date<\/td>\nNAV<\/td>\nDistribution<\/td>\nReturn for period<\/td>\n<\/tr>\n
February 27, 2008<\/td>\n$21.47<\/td>\n <\/td>\n <\/td>\n<\/tr>\n
March 26, 2008<\/td>\n$21.00<\/td>\n$0.00<\/td>\n-2.19%<\/td>\n<\/tr>\n
Adjustment for February stub-period<\/td>\n+0.16%<\/td>\n<\/tr>\n
Adjustment for March stub-period<\/td>\n-0.23%<\/td>\n<\/tr>\n
Estimated March Return<\/strong><\/td>\n-2.26%<\/strong><\/td>\n<\/tr>\n
CPD had a NAV of $18.37 on February 27 and $18.34 on February 29. The estimated February end-of-month stub period return for CPD was therefore -0.16%, which is subtracted from to the DPS.UN total return when estimating the return for March.<\/em><\/td>\n<\/tr>\n
CPD had a NAV of $17.64 on March 26 and $17.60 on March 31. The estimated March end-of-month stub period return for CPD was therefore -0.23%, which is added to the DPS.UN total return when estimating the return for March.<\/em><\/td>\n<\/tr>\n
Note that the DPS.UN distribution for March<\/a> was done with a March 31 Record Date, therefore a March 27 Ex-Date<\/i><\/td>\n<\/tr>\n<\/table>\n<\/div>\n

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

\n\n\n\n\n\n\n
DPS.UN NAV Returns, three-month-ish to end-March-ish, 2008<\/td>\n<\/tr>\n
January-ish<\/td>\n-0.97%<\/td>\n<\/tr>\n
February-ish<\/td>\n+2.04%<\/td>\n<\/tr>\n
March-ish<\/td>\n-2.26%<\/td>\n<\/tr>\n
Three-months-ish<\/strong><\/td>\n-1.23%<\/strong><\/td>\n<\/tr>\n<\/table>\n<\/div>\n

Update, 2008-4-2<\/b>: BMOCM-50 Index updated. The March index was 0.35% above its November trough<\/a>.<\/p>\n","protected":false},"excerpt":{"rendered":"

Performance of the HIMIPref\u2122 Indices for March, 2008, was: Total Return Index Performance March 2008 Three Months to March 31, 2008 Ratchet +0.79% +2.84% FixFloat +0.64% +1.31% Floater -1.09% +2.37% OpRet -0.10% +0.74% SplitShare -2.60% …<\/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-2003","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\/2003","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=2003"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/2003\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=2003"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=2003"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=2003"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}