{"id":7747,"date":"2009-09-01T14:20:46","date_gmt":"2009-09-01T18:20:46","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=7747"},"modified":"2009-09-01T14:20:46","modified_gmt":"2009-09-01T18:20:46","slug":"index-performance-august-2009","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=7747","title":{"rendered":"Index Performance: August 2009"},"content":{"rendered":"

Performance of the HIMIPref\u2122 Indices for Performance, 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
\nAugust 2009<\/td>\n		Three Months
\nto
\nAugust 31, 2009<\/td>\n<\/tr>\n
Ratchet<\/td>\n+19.52% *<\/b><\/td>\n+12.73% *<\/b><\/td>\n<\/tr>\n
FixFloat<\/td>\n+24.66%<\/td>\n+28.42%<\/td>\n<\/tr>\n
Floater<\/td>\n+19.52%<\/td>\n+12.73%<\/td>\n<\/tr>\n
OpRet<\/td>\n+1.31%<\/td>\n+5.23%<\/td>\n<\/tr>\n
SplitShare<\/td>\n+4.32%<\/td>\n+13.37%<\/td>\n<\/tr>\n
Interest<\/td>\n+1.31%****<\/b><\/td>\n+5.34%****<\/b><\/td>\n<\/tr>\n
PerpetualPremium<\/td>\n+2.09%<\/td>\n+9.74%***<\/b><\/td>\n<\/tr>\n
PerpetualDiscount<\/td>\n+6.42%<\/td>\n+14.39%<\/td>\n<\/tr>\n
FixedReset<\/td>\n+0.47%<\/td>\n+6.31%<\/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 PerpetualPremium index was transferred to PerpetualDiscount at the October, 2008, rebalancing; subsequent performance figures are set equal to the PerpetualDiscount index<\/i>. The PerpetualPremium index acquired four new members at the July, 2009, rebalancing.<\/td>\n<\/tr>\n
****<\/b> The last member of the InterestBearing index was transferred to Scraps at the June, 2009, rebalancing; subsequent performance figures are set equal to the OperatingRetractible index<\/i><\/td>\n<\/tr>\n
Passive Funds (see below for calculations)<\/td>\n<\/tr>\n
CPD<\/td>\n+3.11%<\/td>\n+8.03%<\/td>\n<\/tr>\n
DPS.UN<\/td>\n+5.71%<\/td>\n+12.93%<\/td>\n<\/tr>\n
Index<\/td>\n<\/tr>\n
BMO-CM 50<\/td>\n+4.76%<\/td>\n+11.19%<\/td>\n<\/tr>\n<\/table>\n<\/div>\n

PerpetualDiscounts had a very good month, moving their trailing one-year performance decisively into the black, while the weaknesses of the FixedReset asset class (relatively recently issued at their call price with a near-term call for the issuer) started to make themselves apparent. At the median YTW of about 4%, expected monthly return is about 0.33% and they did better than that this month. I suspect that any significant future gains in index value will result from capture of new-issue concessions … but with forty member in the index that won’t amount to much, and the recent new issue announcements (BPO 6.75%+417<\/a>, DC, 6.75%+410<\/a>, WES Convertible<\/a>, ETC, 7.25%+453<\/a>) have been of relatively low credit quality.<\/p>\n

I won’t make any bets on where the next preferred share market unhappiness is going to come from … but I’ll make a guess!<\/p>\n

Meanwhile, Floaters continued their wild ride.<\/p>\n

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

Update<\/b> Oopsy! I forgot to change the label for the y-axis in the above graph … total returns are normalized to 2008-08-29 = 100.0.<\/i><\/p>\n

The calculation of the Median Average Trading Value for the FixedReset index is plagued by technical factors and cannot be considered the most reliable statistic in the world – but a downward trend as prior issues become seasoned and the flood of new issues turns to a trickle (which has both a technical effect and a real effect: a constant stream of new issues can keep an entire market liquid) is quite apparent. When they first appeared, I suspected that they would eventually become significantly less liquid than PerpetualDiscounts … not there yet, not even close, but we will see!<\/p>\n

<\/a>
Click for big<\/i><\/div>\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 August, 2009<\/td>\n<\/tr>\n
Date<\/td>\nNAV<\/td>\nDistribution<\/td>\nReturn for Sub-Period<\/td>\nMonthly Return<\/td>\n<\/tr>\n
May 29, 2009<\/td>\n15.88<\/td>\n0.00<\/td>\n <\/td>\n <\/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
July 31, 2009<\/td>\n16.42<\/td>\n <\/td>\n <\/td>\n+3.35%<\/td>\n<\/tr>\n
August 31, 2009<\/td>\n16.93<\/td>\n0.00<\/td>\n <\/td>\n+3.11%<\/td>\n<\/tr>\n
Quarterly Return<\/strong><\/td>\n+8.03%<\/strong><\/td>\n<\/tr>\n<\/table>\n<\/div>\n

Claymore currently holds $275,986,648<\/a> (advisor & common combined) in CPD assets, a stunning increase from the $84,005,161 reported in the Dec 31\/08 Annual Report<\/a>.<\/p>\n

The DPS.UN NAV for August 26 has been published<\/a> so we may calculate the approximate August returns.<\/p>\n

\n\n\n\n\n\n\n\n\n\n\n\n
DPS.UN NAV Return, August-ish 2009<\/td>\n<\/tr>\n
Date<\/td>\nNAV<\/td>\nDistribution<\/td>\nReturn for period<\/td>\n<\/tr>\n
Estimated July Ending Stub<\/td>\n-0.61% *<\/b><\/td>\n<\/tr>\n
July 29, 2009<\/td>\n19.03<\/td>\n <\/td>\n <\/td>\n<\/tr>\n
August 26, 2009<\/td>\n20.30<\/td>\n <\/td>\n+6.67%<\/td>\n<\/tr>\n
Estimated August Ending Stub<\/td>\n-0.29% **<\/b><\/td>\n<\/tr>\n
Estimated August Return<\/strong><\/td>\n+5.71%<\/strong><\/td>\n<\/tr>\n
*<\/b> CPD had a NAV of $16.32 on July 29 and a NAV of $16.42 on July 31. The return for the period was therefore +0.61%. 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 $16.98 on August 26 and a NAV of $16.93 on August 31. The return for the period was therefore -0.29%. 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 August return for DPS.UN’s NAV is therefore the product of three period returns, -0.61%, +6.67% and -0.29% to arrive at an estimate for the calendar month of +5.71%<\/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 June<\/a> and July<\/a>:<\/p>\n

\n\n\n\n\n\n\n
DPS.UN NAV Returns, three-month-ish to end-August-ish, 2009<\/td>\n<\/tr>\n
June-ish<\/td>\n+2.28%<\/td>\n<\/tr>\n
July-ish<\/td>\n+4.45%<\/td>\n<\/tr>\n
August-ish<\/td>\n+5.71%<\/td>\n<\/tr>\n
Three-months-ish<\/strong><\/td>\n+12.93%<\/strong><\/td>\n<\/tr>\n<\/table>\n<\/div>\n","protected":false},"excerpt":{"rendered":"

Performance of the HIMIPref\u2122 Indices for Performance, 2009, was: Total Return Index Performance August 2009 Three Months to August 31, 2009 Ratchet +19.52% * +12.73% * FixFloat +24.66% +28.42% Floater +19.52% +12.73% OpRet +1.31% +5.23% …<\/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-7747","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\/7747","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=7747"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/7747\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=7747"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=7747"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=7747"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}