{"id":4818,"date":"2009-01-06T01:13:19","date_gmt":"2009-01-06T05:13:19","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=4818"},"modified":"2009-01-06T01:13:19","modified_gmt":"2009-01-06T05:13:19","slug":"index-performance-december-2008","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=4818","title":{"rendered":"Index Performance: December 2008"},"content":{"rendered":"

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

\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
\nDecember 2008<\/td>\n		Three Months
\nto
\nDecember 31, 2008<\/td>\n<\/tr>\n
Ratchet<\/td>\n-22.78%<\/td>\n-45.03<\/td>\n<\/tr>\n
FixFloat<\/td>\n-15.60%<\/td>\n-39.36%<\/td>\n<\/tr>\n
Floater<\/td>\n+34.20%<\/td>\n-42.10%<\/td>\n<\/tr>\n
OpRet<\/td>\n+1.96%<\/td>\n-4.72%<\/td>\n<\/tr>\n
SplitShare<\/td>\n+18.39%<\/td>\n-8.76%<\/td>\n<\/tr>\n
Interest<\/td>\n+2.00%<\/td>\n-28.19%<\/td>\n<\/tr>\n
PerpetualPremium<\/td>\n+10.68%*<\/b><\/td>\n-15.00%*<\/b><\/td>\n<\/tr>\n
PerpetualDiscount<\/td>\n+10.68%<\/td>\n-12.72%%<\/td>\n<\/tr>\n
FixedReset<\/td>\n+4.11%<\/td>\n-11.59%<\/td>\n<\/tr>\n
*<\/b> The last member of the PerpetualPremium index was transferred to PerpetualDiscount at the October rebalancing; subsequent performance figures are set equal to the PerpetualDiscount index<\/i><\/td>\n<\/tr>\n
Funds (see below for calculations)<\/td>\n<\/tr>\n
CPD<\/td>\n+9.21%<\/td>\n-11.51%<\/td>\n<\/tr>\n
DPS.UN<\/td>\n+5.65%<\/td>\n-16.82%<\/td>\n<\/tr>\n
Index<\/td>\n<\/tr>\n
BMO-CM 50<\/td>\n+6.39%<\/td>\n-12.74%<\/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 December, 2008<\/td>\n<\/tr>\n
Date<\/td>\nNAV<\/td>\nDistribution<\/td>\nReturn for Sub-Period<\/td>\nMonthly Return<\/td>\n<\/tr>\n
Sept 30<\/td>\n16.21<\/td>\n <\/td>\n <\/td>\n <\/td>\n<\/tr>\n
October 31<\/td>\n15.04<\/td>\n0.00<\/td>\n <\/td>\n-7.22%<\/td>\n<\/tr>\n
November 28, 2008<\/td>\n13.37<\/td>\n0.00<\/td>\n <\/td>\n-11.10%<\/td>\n<\/tr>\n
Dec 24<\/td>\n12.92<\/td>\n0.2135<\/td>\n-1.77%<\/td>\n+7.28%<\/td>\n<\/tr>\n
Dec 31<\/td>\n14.11<\/td>\n <\/td>\n+9.21%<\/td>\n<\/tr>\n
Quarterly Return<\/strong><\/td>\n-11.51%<\/strong><\/td>\n<\/tr>\n<\/table>\n<\/div>\n

The DPS.UN NAV for December 31 has been published<\/a> so we may calculate the December returns (approximately!) for this closed end fund. Unfortunately, they did not publish their NAV on their December distribution’s ex-date, so things are a little hairy this month:<\/p>\n

\n\n\n\n\n\n\n\n\n\n\n\n\n
DPS.UN NAV Return, December-ish 2008<\/td>\n<\/tr>\n
Date<\/td>\nNAV<\/td>\nDistribution<\/td>\nReturn for period<\/td>\n<\/tr>\n
Estimated November Ending Stub<\/td>\n+3.80%<\/td>\n<\/tr>\n
November 26, 2008<\/td>\n14.53<\/td>\n <\/td>\n <\/td>\n<\/tr>\n
December 24, 2008<\/td>\n14.43<\/td>\n <\/td>\n-0.69%<\/td>\n<\/tr>\n
December 29, 2008<\/td>\n14.69 *<\/b><\/td>\n0.30<\/td>\n+3.87% *<\/b><\/td>\n<\/tr>\n
December 31, 2008<\/td>\n15.64<\/td>\n <\/td>\n+6.47%<\/td>\n<\/tr>\n
Estimated December Return<\/strong><\/td>\n+5.65%<\/strong><\/td>\n<\/tr>\n
*<\/b> CPD had a NAV of $12.92 on December 24 and $13.52 on December 29. Return for this period for CPD was therefore +3.87%. Assuming equality of returns, then DPS.UN would have had a NAV of 14.99 before payment of the $0.30 dividend.<\/em><\/td>\n<\/tr>\n
CPD had a NAV of $12.88 on November 26 and $13.37 on November 28. The estimated November month-end stub period return for CPD was therefore +3.80%, which is subtracted from the DPS.UN period return to estimate a return for the month.<\/em><\/td>\n<\/tr>\n
The October return for DPS.UN’s NAV is therefore the product of four period returns, -3.80%, -0.69%, +3.87%, +6.47%, to arrive at an estimate for the calendar month of +5.65%<\/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 October<\/a> and November<\/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
October-ish<\/td>\n-9.56%<\/td>\n<\/tr>\n
November-ish<\/td>\n-12.95%<\/td>\n<\/tr>\n
December-ish<\/td>\n+5.65%<\/td>\n<\/tr>\n
Three-months-ish<\/strong><\/td>\n-16.82%<\/strong><\/td>\n<\/tr>\n<\/table>\n<\/div>\n","protected":false},"excerpt":{"rendered":"

Performance of the HIMIPref\u2122 Indices for December, 2008, was: Total Return Index Performance December 2008 Three Months to December 31, 2008 Ratchet -22.78% -45.03 FixFloat -15.60% -39.36% Floater +34.20% -42.10% OpRet +1.96% -4.72% SplitShare +18.39% …<\/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-4818","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\/4818","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=4818"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/4818\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=4818"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=4818"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=4818"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}