{"id":6136,"date":"2009-04-06T14:26:43","date_gmt":"2009-04-06T18:26:43","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=6136"},"modified":"2009-04-06T14:26:43","modified_gmt":"2009-04-06T18:26:43","slug":"index-performance-march-2009","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=6136","title":{"rendered":"Index Performance: March 2009"},"content":{"rendered":"

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

\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
\nMarch 2009<\/td>\n		Three Months
\nto
\nMarch 31, 209<\/td>\n<\/tr>\n
Ratchet<\/td>\n-2.67% *<\/b><\/td>\n+5.00% *<\/b><\/td>\n<\/tr>\n
FixFloat<\/td>\n+5.00% **<\/b><\/td>\n+12.41% **<\/b><\/td>\n<\/tr>\n
Floater<\/td>\n+5.00%<\/td>\n+10.19%<\/td>\n<\/tr>\n
OpRet<\/td>\n+1.27%<\/td>\n+5.36%<\/td>\n<\/tr>\n
SplitShare<\/td>\n+0.00%<\/td>\n-6.53%<\/td>\n<\/tr>\n
Interest<\/td>\n-0.11%<\/td>\n+4.98%<\/td>\n<\/tr>\n
PerpetualPremium<\/td>\n+1.05%***<\/b><\/td>\n+3.33%***<\/b><\/td>\n<\/tr>\n
PerpetualDiscount<\/td>\n+1.05%<\/td>\n+3.33%%<\/td>\n<\/tr>\n
FixedReset<\/td>\n+1.93%<\/td>\n+1.77%<\/td>\n<\/tr>\n
*<\/b> The last member of the RatchetRate index was transferred to Scraps at the February, 2009, rebalancing; subsequent performance figures are set equal to the Floater index<\/i><\/td>\n<\/tr>\n
**<\/b> The last member of the FixedReset index was transferred to Scraps at the February, 2009, rebalancing; subsequent performance figures are set equal to the PerpetualDiscount index<\/i><\/td>\n<\/tr>\n
***<\/b> The last member of the PerpetualPremium index was transferred to PerpetualDiscount at the October, 2008, 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+0.63%<\/td>\n+2.69%<\/td>\n<\/tr>\n
DPS.UN<\/td>\n-0.23%<\/td>\n+3.58%<\/td>\n<\/tr>\n
Index<\/td>\n<\/tr>\n
BMO-CM 50<\/td>\n+0.31%<\/td>\n+2.72%<\/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 March 31, 2009<\/td>\n<\/tr>\n
Date<\/td>\nNAV<\/td>\nDistribution<\/td>\nReturn for Sub-Period<\/td>\nMonthly Return<\/td>\n<\/tr>\n
December 31, 2008<\/td>\n14.11<\/td>\n0.00<\/td>\n <\/td>\n <\/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
March 26<\/td>\n14.19<\/td>\n0.2100<\/td>\n0.00%<\/td>\n+0.63%<\/td>\n<\/tr>\n
March 31, 2009<\/td>\n14.28<\/td>\n <\/td>\n+0.63%<\/td>\n<\/tr>\n
Quarterly Return<\/strong><\/td>\n+2.69%<\/strong><\/td>\n<\/tr>\n<\/table>\n<\/div>\n

The DPS.UN NAV for April 1 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\n\n\n
DPS.UN NAV Return, March-ish 2009<\/td>\n<\/tr>\n
Date<\/td>\nNAV<\/td>\nDistribution<\/td>\nReturn for period<\/td>\n<\/tr>\n
Estimated February Ending Stub<\/td>\n+0.21%<\/td>\n<\/tr>\n
February 25, 2009<\/td>\n16.27<\/td>\n <\/td>\n <\/td>\n<\/tr>\n
March 25, 2009<\/td>\n16.11<\/td>\n <\/td>\n-0.98%<\/td>\n<\/tr>\n
March 27, 2009<\/td>\n15.81*<\/td>\n0.30<\/td>\n0.00%*<\/td>\n<\/tr>\n
April 1, 2009<\/td>\n16.02<\/td>\n0.00<\/td>\n+1.33%<\/td>\n<\/tr>\n
Estimated April Beginning Stub<\/td>\n-0.77%<\/td>\n<\/tr>\n
Estimated March Return<\/strong><\/td>\n-0.23%<\/strong><\/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 subtracted from the DPS period return.<\/em><\/td>\n<\/tr>\n
*<\/b> CPD had a NAV of $14.40 on March 25 and $14.19 on March 26 after a $0.21 distribution. The NAV was 14.19 on March 27. Therefore, the total return on CPD for this full period was 0.00%. This has been used to estimate a post-distribution NAV for DPS.UN on March 27..<\/em><\/td>\n<\/tr>\n
**<\/b> CPD had a NAV of $14.39 on April 1 and a NAV of $14.28 on March 31. The return for the day was therefore 0.77%. This figure is subtracted from the DPS.UN period return to arrive at an estimate for the calendar month.<\/em><\/td>\n<\/tr>\n
The April return for DPS.UN’s NAV is therefore the product of four period returns, +0.21, -0.98%, +1.33 and -0.77%, to arrive at an estimate for the calendar month of -0.23%<\/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 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, 2009<\/td>\n<\/tr>\n
January-ish<\/td>\n+5.71%<\/td>\n<\/tr>\n
February-ish<\/td>\n-1.79%<\/td>\n<\/tr>\n
March-ish<\/td>\n-0.23%<\/td>\n<\/tr>\n
Three-months-ish<\/strong><\/td>\n+3.58%<\/strong><\/td>\n<\/tr>\n<\/table>\n<\/div>\n","protected":false},"excerpt":{"rendered":"

Performance of the HIMIPref\u2122 Indices for March, 2009, was: Total Return Index Performance March 2009 Three Months to March 31, 209 Ratchet -2.67% * +5.00% * FixFloat +5.00% ** +12.41% ** Floater +5.00% +10.19% OpRet …<\/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-6136","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\/6136","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=6136"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/6136\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=6136"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=6136"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=6136"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}