{"id":5743,"date":"2009-03-04T14:08:39","date_gmt":"2009-03-04T18:08:39","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=5743"},"modified":"2009-03-04T14:08:39","modified_gmt":"2009-03-04T18:08:39","slug":"index-performance-february-2009","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=5743","title":{"rendered":"Index Performance: February 2009"},"content":{"rendered":"

Performance of the HIMIPref\u2122 Indices for February, 2009, was:<\/p>\n

\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
\nFebruary 2009<\/td>\n		Three Months
\nto
\nFebruary 27, 2009<\/td>\n<\/tr>\n
Ratchet<\/td>\n-2.67%<\/td>\n-19.56%<\/td>\n<\/tr>\n
FixFloat<\/td>\n-3.20%<\/td>\n-9.65%<\/td>\n<\/tr>\n
Floater<\/td>\n+9.73%<\/td>\n+40.84%<\/td>\n<\/tr>\n
OpRet<\/td>\n+1.17%<\/td>\n+6.08%<\/td>\n<\/tr>\n
SplitShare<\/td>\n-8.14%<\/td>\n+10.66%<\/td>\n<\/tr>\n
Interest<\/td>\n-3.74%<\/td>\n+7.19%<\/td>\n<\/tr>\n
PerpetualPremium<\/td>\n-3.94%*<\/b><\/td>\n+13.18%*<\/b><\/td>\n<\/tr>\n
PerpetualDiscount<\/td>\n-3.94%<\/td>\n+13.18%%<\/td>\n<\/tr>\n
FixedReset<\/td>\n-0.41%<\/td>\n+3.94%<\/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-1.17%<\/td>\n+9.48%<\/td>\n<\/tr>\n
DPS.UN<\/td>\n-1.79%<\/td>\n+9.68%<\/td>\n<\/tr>\n
Omega Pref.<\/td>\nN\/A<\/td>\nN\/A<\/td>\n<\/tr>\n
Index<\/td>\n<\/tr>\n
BMO-CM 50<\/td>\n-1.52%<\/td>\n+8.95%<\/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 February, 2009<\/td>\n<\/tr>\n
Date<\/td>\nNAV<\/td>\nDistribution<\/td>\nReturn for Sub-Period<\/td>\nMonthly Return<\/td>\n<\/tr>\n
November 28, 2008<\/td>\n13.37<\/td>\n <\/td>\n <\/td>\n <\/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, 2008<\/td>\n14.11<\/td>\n <\/td>\n+9.21%<\/td>\n<\/tr>\n
January 30, 2009<\/td>\n14.57<\/td>\n0.00<\/td>\n <\/td>\n+3.26%<\/td>\n<\/tr>\n
February 27, 2009<\/td>\n14.40<\/td>\n0.00<\/td>\n <\/td>\n-1.17%<\/td>\n<\/tr>\n
Quarterly Return<\/strong><\/td>\n+9.48%<\/strong><\/td>\n<\/tr>\n<\/table>\n<\/div>\n

The DPS.UN NAV for February 25 has been published<\/a> so we may calculate the February 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, February-ish 2009<\/td>\n<\/tr>\n
Date<\/td>\nNAV<\/td>\nDistribution<\/td>\nReturn for period<\/td>\n<\/tr>\n
January 28, 2009<\/td>\n16.51<\/td>\n <\/td>\n <\/td>\n<\/tr>\n
February 25, 2009<\/td>\n16.27<\/td>\n <\/td>\n-1.45%<\/td>\n<\/tr>\n
Estimated January Ending Stub *<\/b><\/td>\n+0.14%<\/td>\n<\/tr>\n
Estimated February Ending Stub **<\/b><\/td>\n-0.21%<\/td>\n<\/tr>\n
Estimated February Return<\/strong><\/td>\n-1.79%<\/strong><\/td>\n<\/tr>\n
*<\/b> CPD had a NAV of $14.55 on January 28 and $14.57 on January 30. Return for this period for CPD was therefore +0.14%, which is subtracted from the DPS period return.<\/em><\/td>\n<\/tr>\n
**<\/b> CPD had a NAV of $14.43 on February 25 and $14.40 on February 27. Return for this period for CPD was therefore -0.21%, which is added to the DPS period return.<\/em><\/td>\n<\/tr>\n
The February return for DPS.UN’s NAV is therefore the product of three period returns, -1.45%, -0.14% and -0.21%, to arrive at an estimate for the calendar month of -1.79%<\/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> and January<\/a>.<\/p>\n

\n\n\n\n\n\n\n
DPS.UN NAV Returns, three-month-ish to end-January-ish, 2009<\/td>\n<\/tr>\n
December-ish<\/td>\n+5.65%<\/td>\n<\/tr>\n
January-ish<\/td>\n+5.71%<\/td>\n<\/tr>\n
February-ish<\/td>\n-1.79%<\/td>\n<\/tr>\n
Three-months-ish<\/strong><\/td>\n+9.68%<\/strong><\/td>\n<\/tr>\n<\/table>\n<\/div>\n","protected":false},"excerpt":{"rendered":"

Performance of the HIMIPref\u2122 Indices for February, 2009, was: Total Return Index Performance February 2009 Three Months to February 27, 2009 Ratchet -2.67% -19.56% FixFloat -3.20% -9.65% Floater +9.73% +40.84% OpRet +1.17% +6.08% SplitShare -8.14% …<\/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-5743","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\/5743","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=5743"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/5743\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=5743"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=5743"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=5743"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}