{"id":6713,"date":"2009-05-30T20:01:59","date_gmt":"2009-05-31T00:01:59","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=6713"},"modified":"2009-05-30T20:01:59","modified_gmt":"2009-05-31T00:01:59","slug":"index-performance-may-2009","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=6713","title":{"rendered":"Index Performance: May 2009"},"content":{"rendered":"

Performance of the HIMIPref\u2122 Indices for May, 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
\nApril<\/s> May<\/b> 2009<\/td>\n		Three Months
\nto
\nMay 29, 2009<\/td>\n<\/tr>\n
Ratchet<\/td>\n+33.18% *<\/b><\/td>\n+55.96% *<\/b><\/td>\n<\/tr>\n
FixFloat<\/td>\n+33.18% **<\/b><\/td>\n+55.96% **<\/b><\/td>\n<\/tr>\n
Floater<\/td>\n+33.18%<\/td>\n+55.96%<\/td>\n<\/tr>\n
OpRet<\/td>\n+1.35%<\/td>\n+5.84%<\/td>\n<\/tr>\n
SplitShare<\/td>\n+3.50%<\/td>\n+11.15%<\/td>\n<\/tr>\n
Interest<\/td>\n0.0%<\/td>\n+2.57%<\/td>\n<\/tr>\n
PerpetualPremium<\/td>\n+4.24%***<\/b><\/td>\n+14.65%***<\/b><\/td>\n<\/tr>\n
PerpetualDiscount<\/td>\n+4.24%<\/td>\n+14.65%%<\/td>\n<\/tr>\n
FixedReset<\/td>\n+2.05%<\/td>\n+10.55%<\/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 FixedFloater index was transferred to Scraps at the February, 2009, rebalancing. Performance figures to 2009-5-29 are set equal to the Floater index. The FixedFloater index acquired a member on 2009-5-29.<\/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
Passive Funds (see below for calculations)<\/td>\n<\/tr>\n
CPD<\/td>\n+3.99%<\/td>\n+11.90%<\/td>\n<\/tr>\n
DPS.UN<\/td>\n+6.35%<\/td>\n+14.30%<\/td>\n<\/tr>\n
Index<\/td>\n<\/tr>\n
BMO-CM 50<\/td>\n%<\/td>\n%<\/td>\n<\/tr>\n<\/table>\n<\/div>\n

There is still a negative total return over one year – even for Floaters, despite their astonishing rise in the past three months:<\/p>\n

<\/a>
Click for big<\/i><\/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 May 29, 2009<\/td>\n<\/tr>\n
Date<\/td>\nNAV<\/td>\nDistribution<\/td>\nReturn for Sub-Period<\/td>\nMonthly Return<\/td>\n<\/tr>\n
February 27, 2009<\/td>\n14.40<\/td>\n0.00<\/td>\n <\/td>\n <\/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
April 30<\/td>\n15.27<\/td>\n0.00<\/td>\n <\/td>\n+6.93%<\/td>\n<\/tr>\n
May 29, 2009<\/td>\n15.88<\/td>\n0.00<\/td>\n <\/td>\n+3.99%<\/td>\n<\/tr>\n
Quarterly Return<\/strong><\/td>\n+11.90%<\/strong><\/td>\n<\/tr>\n<\/table>\n<\/div>\n

The DPS.UN NAV for May 27 has been published<\/a> so we may calculate the May 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, May-ish 2009<\/td>\n<\/tr>\n
Date<\/td>\nNAV<\/td>\nDistribution<\/td>\nReturn for period<\/td>\n<\/tr>\n
April 29, 2009<\/td>\n17.07<\/td>\n <\/td>\n <\/td>\n<\/tr>\n
May 27, 2009<\/td>\n18.18<\/td>\n0.00<\/td>\n+6.50%<\/td>\n<\/tr>\n
Estimated April Ending Stub**<\/td>\n+0.33%<\/td>\n<\/tr>\n
Estimated May Ending Stub<\/td>\n+0.19%<\/td>\n<\/tr>\n
Estimated May Return<\/strong><\/td>\n+6.35%<\/strong><\/td>\n<\/tr>\n
**<\/b> CPD had a NAV of $15.22 on April 29 and a NAV of $15.27 on April 30. The return for the day was therefore +0.33%. This figure is subtracted from the DPS.UN period return to arrive at an estimate for the calendar month.<\/em><\/td>\n<\/tr>\n
*<\/b> CPD had a NAV of $15.85 on May 27 and a NAV of $15.88 on May 29. The return for the period was therefore +0.19%. This figure is added to the DPS.UN period return to arrive at an estimate for the calendar month.<\/em><\/td>\n<\/tr>\n
The May return for DPS.UN’s NAV is therefore the product of three period returns, +6.50%, -0.33% and +0.19% to arrive at an estimate for the calendar month of +6.35%<\/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 March<\/a> and April<\/a>:<\/p>\n

\n\n\n\n\n\n\n
DPS.UN NAV Returns, three-month-ish to end-May-ish, 2009<\/td>\n<\/tr>\n
March-ish<\/td>\n-0.23%<\/td>\n<\/tr>\n
April-ish<\/td>\n+7.72%<\/td>\n<\/tr>\n
May-ish<\/td>\n+6.35%<\/td>\n<\/tr>\n
Three-months-ish<\/strong><\/td>\n+14.30%<\/strong><\/td>\n<\/tr>\n<\/table>\n<\/div>\n","protected":false},"excerpt":{"rendered":"

Performance of the HIMIPref\u2122 Indices for May, 2009, was: Total Return Index Performance April May 2009 Three Months to May 29, 2009 Ratchet +33.18% * +55.96% * FixFloat +33.18% ** +55.96% ** Floater +33.18% +55.96% …<\/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-6713","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\/6713","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=6713"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/6713\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=6713"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=6713"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=6713"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}