{"id":3764,"date":"2008-11-04T09:52:30","date_gmt":"2008-11-04T13:52:30","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=3764"},"modified":"2008-11-04T09:52:30","modified_gmt":"2008-11-04T13:52:30","slug":"index-performance-october-2008","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=3764","title":{"rendered":"Index Performance: October 2008"},"content":{"rendered":"

Performance of the HIMIPref\u2122 Indices for October, 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
\nOctober 2008<\/td>\n		Three Months
\nto
\nOctober 30, 2008<\/td>\n<\/tr>\n
Ratchet<\/td>\nN\/A<\/td>\nN\/A<\/td>\n<\/tr>\n
FixFloat<\/td>\n-11.76%<\/td>\n-12.47%<\/td>\n<\/tr>\n
Floater<\/td>\n-34.16%<\/td>\n-42.25%<\/td>\n<\/tr>\n
OpRet<\/td>\n-3.75%<\/td>\n-4.33%<\/td>\n<\/tr>\n
SplitShare<\/td>\n-3.86%<\/td>\n-9.79%<\/td>\n<\/tr>\n
Interest<\/td>\n-16.37%<\/td>\n-19.42%<\/td>\n<\/tr>\n
PerpetualPremium<\/td>\n-13.96%<\/td>\n-14.08%<\/td>\n<\/tr>\n
PerpetualDiscount<\/td>\n-7.47%<\/td>\n-6.07%<\/td>\n<\/tr>\n
FixedReset<\/td>\n-3.68%<\/td>\nN\/A<\/td>\n<\/tr>\n
Funds (see below for calculations)<\/td>\n<\/tr>\n
CPD<\/td>\n-7.22%<\/td>\n-7.67%<\/td>\n<\/tr>\n
DPS.UN<\/td>\n-9.56%<\/td>\n-10.62%<\/td>\n<\/tr>\n
Index<\/td>\n<\/tr>\n
BMO-CM 50<\/td>\n-8.16%<\/td>\n-8.96%<\/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 October, 2008<\/td>\n<\/tr>\n
Date<\/td>\nNAV<\/td>\nDistribution<\/td>\nReturn for Sub-Period<\/td>\nMonthly Return<\/td>\n<\/tr>\n
July 31, 2008<\/td>\n16.50<\/td>\n0.00<\/td>\n <\/td>\n <\/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
October 31<\/td>\n15.04<\/td>\n0.00<\/td>\n <\/td>\n-7.22%<\/td>\n<\/tr>\n
Quarterly Return<\/strong><\/td>\n-7.67%<\/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
DPS.UN NAV Return, October-ish 2008<\/td>\n<\/tr>\n
Date<\/td>\nNAV<\/td>\nDistribution<\/td>\nReturn for period<\/td>\n<\/tr>\n
Estimated October Beginning Stub<\/td>\n-0.25%<\/td>\n<\/tr>\n
October 1, 2008<\/td>\n18.97<\/td>\n <\/td>\n <\/td>\n<\/tr>\n
October 29, 2008<\/td>\n16.96<\/td>\n <\/td>\n-10.60%<\/td>\n<\/tr>\n
Estimated October Ending Stub<\/td>\n+1.42%<\/td>\n<\/tr>\n
Estimated October Return<\/strong><\/td>\n-9.56%<\/strong><\/td>\n<\/tr>\n
CPD had a NAV of $16.17 on October 1 and $16.21 on September 30. 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.<\/em><\/td>\n<\/tr>\n
CPD had a NAV of $14.83 on October 29 and $15.04 on October 31. The estimated October end of month stub period return for CPD was therefore +1.42%, which is added to the DPS.UN period return to estimate a return for the period.<\/em><\/td>\n<\/tr>\n
The October return for DPS.UN’s NAV is therefore the product of three period returns, -0.25%, -10.60% & +1.42%, to arrive at an estimate for the calendar month of -9.56%<\/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 August<\/a> and September<\/a>:<\/p>\n

\n\n\n\n\n\n\n
DPS.UN NAV Returns, three-month-ish to end-October-ish, 2008<\/td>\n<\/tr>\n
August-ish<\/td>\n+2.63%<\/td>\n<\/tr>\n
September-ish<\/td>\n-3.70%<\/td>\n<\/tr>\n
October-ish<\/td>\n-9.56%<\/td>\n<\/tr>\n
Three-months-ish<\/strong><\/td>\n-10.62%<\/strong><\/td>\n<\/tr>\n<\/table>\n<\/div>\n","protected":false},"excerpt":{"rendered":"

Performance of the HIMIPref\u2122 Indices for October, 2008, was: Total Return Index Performance October 2008 Three Months to October 30, 2008 Ratchet N\/A N\/A FixFloat -11.76% -12.47% Floater -34.16% -42.25% OpRet -3.75% -4.33% SplitShare -3.86% …<\/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-3764","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\/3764","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=3764"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/3764\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=3764"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=3764"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=3764"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}