{"id":7130,"date":"2009-07-03T14:59:27","date_gmt":"2009-07-03T18:59:27","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=7130"},"modified":"2009-07-03T14:59:27","modified_gmt":"2009-07-03T18:59:27","slug":"index-performance-june-2009","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=7130","title":{"rendered":"Index Performance: June 2009"},"content":{"rendered":"

<\/a>Performance of the HIMIPref\u2122 Indices for June, 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
\nJune 2009<\/td>\n		Three Months
\nto
\nJune 30, 2009<\/td>\n<\/tr>\n
Ratchet<\/td>\n-8.20% *<\/b><\/td>\n+36.36% *<\/b><\/td>\n<\/tr>\n
FixFloat<\/td>\n+1.86%<\/td>\n+51.30% **<\/b><\/td>\n<\/tr>\n
Floater<\/td>\n-8.20%<\/td>\n+36.36%<\/td>\n<\/tr>\n
OpRet<\/td>\n+1.93%<\/td>\n+6.52%<\/td>\n<\/tr>\n
SplitShare<\/td>\n+4.02%<\/td>\n+15.63%<\/td>\n<\/tr>\n
Interest<\/td>\n+2.03%<\/td>\n+4.77%<\/td>\n<\/tr>\n
PerpetualPremium<\/td>\n+1.66%***<\/b><\/td>\n+15.34%***<\/b><\/td>\n<\/tr>\n
PerpetualDiscount<\/td>\n+1.66%<\/td>\n+15.34%<\/td>\n<\/tr>\n
FixedReset<\/td>\n+2.70%<\/td>\n+11.39%<\/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+1.38%<\/td>\n+12.73%<\/td>\n<\/tr>\n
DPS.UN<\/td>\n+2.28%<\/td>\n+17.17%<\/td>\n<\/tr>\n
Index<\/td>\n<\/tr>\n
BMO-CM 50<\/td>\n+1.60%<\/td>\n+13.49%<\/td>\n<\/tr>\n<\/table>\n<\/div>\n

The major indices have managed to stagger into the black over the trailing 12-month period. Full speed ahead!<\/p>\n

<\/a>
Click for big<\/i><\/div>\n

And yes, what you see is true: PerpetualDiscounts have outperformed FixedResets over the past twelve months. June 2008, now dropped from the trailing year’s return was a horrible, horrible month for them.<\/p>\n

Claymore has published NAV and distribution data<\/a> (problems with the page in IE8 can be kludged by using compatibility view) 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 June, 2009<\/td>\n<\/tr>\n
Date<\/td>\nNAV<\/td>\nDistribution<\/td>\nReturn for Sub-Period<\/td>\nMonthly Return<\/td>\n<\/tr>\n
March 31, 2009<\/td>\n14.28<\/td>\n <\/td>\n <\/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
June 25<\/td>\n15.88<\/td>\n0.2100<\/td>\n+1.32%<\/td>\n+1.38%<\/td>\n<\/tr>\n
June 30, 2009<\/td>\n15.89<\/td>\n <\/td>\n+0.06%<\/td>\n<\/tr>\n
Quarterly Return<\/strong><\/td>\n+12.73%<\/strong><\/td>\n<\/tr>\n<\/table>\n<\/div>\n

The DPS.UN NAV for June 24 has been published<\/a> so we may calculate the June returns (approximately!) for this closed end fund. I am rather annoyed that this calculation will not include the distribution with the June 26 ex-Date!<\/p>\n

\n\n\n\n\n\n\n\n\n\n\n\n
DPS.UN NAV Return, June-ish 2009<\/td>\n<\/tr>\n
Date<\/td>\nNAV<\/td>\nDistribution<\/td>\nReturn for period<\/td>\n<\/tr>\n
May 27, 2009<\/td>\n18.18<\/td>\n <\/td>\n <\/td>\n<\/tr>\n
Estimated May Ending Stub<\/td>\n-0.19% *<\/b><\/td>\n<\/tr>\n
June 24, 2009<\/td>\n18.56<\/td>\n <\/td>\n+2.09%<\/td>\n<\/tr>\n
Estimated June Ending Stub**<\/td>\n+0.375%<\/td>\n<\/tr>\n
Estimated June Return<\/strong><\/td>\n+2.28%<\/strong><\/td>\n<\/tr>\n
**<\/b> CPD had a NAV of $16.04 on June 24, paid $0.21 June 25 with a NAV of 15.88 and a NAV of $15.89 on June 30. The return for the period was therefore +0.375%. This figure is added to 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 subtracted from the DPS.UN period return to arrive at an estimate for the calendar month.<\/em><\/td>\n<\/tr>\n
The June return for DPS.UN’s NAV is therefore the product of three period returns, -0.19%, +2.09% and +0.375% to arrive at an estimate for the calendar month of +2.28%<\/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 April<\/a> and May<\/a>:<\/p>\n

\n\n\n\n\n\n\n
DPS.UN NAV Returns, three-month-ish to end-June-ish, 2009<\/td>\n<\/tr>\n
April-ish<\/td>\n+7.72%<\/td>\n<\/tr>\n
May-ish<\/td>\n+6.35%<\/td>\n<\/tr>\n
June-ish<\/td>\n+2.28%<\/td>\n<\/tr>\n
Three-months-ish<\/strong><\/td>\n+17.17%<\/strong><\/td>\n<\/tr>\n<\/table>\n<\/div>\n","protected":false},"excerpt":{"rendered":"

Performance of the HIMIPref\u2122 Indices for June, 2009, was: Total Return Index Performance June 2009 Three Months to June 30, 2009 Ratchet -8.20% * +36.36% * FixFloat +1.86% +51.30% ** Floater -8.20% +36.36% OpRet +1.93% …<\/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-7130","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\/7130","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=7130"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/7130\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=7130"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=7130"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=7130"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}