{"id":3249,"date":"2008-10-02T16:38:01","date_gmt":"2008-10-02T20:38:01","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=3249"},"modified":"2008-10-02T16:38:01","modified_gmt":"2008-10-02T20:38:01","slug":"index-performance-september-2008","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=3249","title":{"rendered":"Index Performance: September 2008"},"content":{"rendered":"

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

\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
\nSeptember 2008<\/td>\n		Three Months
\nto
\nSeptember 30, 2008<\/td>\n<\/tr>\n
Ratchet<\/td>\nN\/A<\/td>\nN\/A<\/td>\n<\/tr>\n
FixFloat<\/td>\n-2.88%<\/td>\n+5.09%<\/td>\n<\/tr>\n
Floater<\/td>\n-14.79%<\/td>\n-14.05%<\/td>\n<\/tr>\n
OpRet<\/td>\n-2.01%<\/td>\n-1.87%<\/td>\n<\/tr>\n
SplitShare<\/td>\n-6.97%<\/td>\n-6.39%<\/td>\n<\/tr>\n
Interest<\/td>\n-4.42%<\/td>\n-3.82%<\/td>\n<\/tr>\n
PerpetualPremium<\/td>\n-1.42%<\/td>\n-1.82%<\/td>\n<\/tr>\n
PerpetualDiscount<\/td>\n-2.31%<\/td>\n-1.89%<\/td>\n<\/tr>\n
FixedReset<\/td>\nN\/A<\/td>\nN\/A<\/td>\n<\/tr>\n
Funds (see below for calculations)<\/td>\n<\/tr>\n
CPD<\/td>\n-2.89%<\/td>\n-2.72%<\/td>\n<\/tr>\n
DPS.UN<\/td>\n-3.70%<\/td>\n-4.29%<\/td>\n<\/tr>\n
Index<\/td>\n<\/tr>\n
BMO-CM 50<\/td>\n-2.59%<\/td>\n-1.88%<\/td>\n<\/tr>\n<\/table>\n<\/div>\n

Claymore has published NAV 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 September, 2008<\/td>\n<\/tr>\n
Date<\/td>\nNAV<\/td>\nDistribution<\/td>\nReturn for Sub-Period<\/td>\nMonthly Return<\/td>\n<\/tr>\n
June 30<\/td>\n16.88<\/td>\n0.00<\/td>\n <\/td>\n <\/td>\n<\/tr>\n
July 31, 2008<\/td>\n16.50<\/td>\n0.00<\/td>\n <\/td>\n-2.25%<\/td>\n<\/tr>\n
August 29<\/td>\n16.91<\/td>\n0.00<\/td>\n <\/td>\n+2.48%<\/td>\n<\/tr>\n
Sept 25<\/td>\n16.41<\/td>\n0.2135<\/td>\n-1.69%<\/td>\n-2.89%<\/td>\n<\/tr>\n
Sept 30, 2008<\/td>\n16.21<\/td>\n <\/td>\n-1.22% <\/td>\n<\/tr>\n
Quarterly Return<\/strong><\/td>\n-2.72%<\/strong><\/td>\n<\/tr>\n<\/table>\n<\/div>\n

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

\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n
DPS.UN NAV Return, September-ish 2008<\/td>\n<\/tr>\n
Date<\/td>\nNAV<\/td>\nDistribution<\/td>\nReturn for period<\/td>\n<\/tr>\n
August 27<\/td>\n$20.03<\/td>\n <\/td>\n+2.82%<\/td>\n<\/tr>\n
Estimated August Stub<\/td>\n+0.12%<\/td>\n<\/tr>\n
Sept 24<\/td>\n19.64<\/td>\n <\/td>\n-2.07%<\/td>\n<\/tr>\n
Sept 26<\/td>\n19.3321
Estimate<\/td>\n		0.30<\/td>\n-0.04%
Estimate<\/td>\n<\/tr>\n
October 1, 2008<\/td>\n18.97<\/td>\n <\/td>\n-1.87%<\/td>\n<\/tr>\n
Estimated October Stub<\/td>\n-0.25%<\/td>\n<\/tr>\n
Estimated September Return<\/strong><\/td>\n-3.70%<\/strong><\/td>\n<\/tr>\n
CPD had a NAV of $16.89 on August 27 and $16.91 on August 29. The estimated August end-of-month stub period return for CPD was therefore +0.12%, which is added to the DPS.UN period return.<\/em><\/td>\n<\/tr>\n
The return for the period August 27-Sept 24 was -1.95%; since the August stub period return was +0.12%, the August 29-September 24 return is estimated as -2.07%<\/em><\/td>\n<\/tr>\n
CPD had NAVs of $16.63, 16.41 & 16.41 on September 24, 25 & 26, respectively; a distribution of $0.2135 was paid with a Sept. 25 ex-date. Total return for September 24-26 was therefore -0.04%.<\/em><\/td>\n<\/tr>\n
CPD had a NAV of $16.17 on October 1 and $16.21 on September. The estimated October beginning of month stub period return for CPD was therefore -0.25%, which is added to the DPS.UN period return to estimate a return for the period of -1.62%.<\/em><\/td>\n<\/tr>\n
The September return for DPS.UN’s NAV is therefore the product of three period returns, -2.07%, -0.04% and -1.62%, to arrive at an estimate for the calendar month of -3.70%<\/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 July<\/a> and August<\/a>:<\/p>\n

\n\n\n\n\n\n\n
DPS.UN NAV Returns, three-month-ish to end-September-ish, 2008<\/td>\n<\/tr>\n
July-ish<\/td>\n-3.16%<\/td>\n<\/tr>\n
August-ish<\/td>\n+2.63%<\/td>\n<\/tr>\n
September-ish<\/td>\n-3.70%<\/td>\n<\/tr>\n
Three-months-ish<\/strong><\/td>\n-4.29%<\/strong><\/td>\n<\/tr>\n<\/table>\n<\/div>\n","protected":false},"excerpt":{"rendered":"

Performance of the HIMIPref\u2122 Indices for September, 2008, was: Total Return Index Performance September 2008 Three Months to September 30, 2008 Ratchet N\/A N\/A FixFloat -2.88% +5.09% Floater -14.79% -14.05% OpRet -2.01% -1.87% SplitShare -6.97% …<\/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-3249","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\/3249","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=3249"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/3249\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=3249"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=3249"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=3249"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}