{"id":8146,"date":"2009-10-03T21:58:14","date_gmt":"2009-10-04T01:58:14","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=8146"},"modified":"2009-10-03T21:58:14","modified_gmt":"2009-10-04T01:58:14","slug":"index-performance-september-2009","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=8146","title":{"rendered":"Index Performance: September 2009"},"content":{"rendered":"

Performance of the HIMIPref\u2122 Indices for September, 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
\nSeptember 2009<\/td>\n		Three Months
\nto
\nSeptember 30, 2009<\/td>\n<\/tr>\n
Ratchet<\/td>\n+4.62% *<\/b><\/td>\n+28.47% *<\/b><\/td>\n<\/tr>\n
FixFloat<\/td>\n-1.00%<\/td>\n+24.81%<\/td>\n<\/tr>\n
Floater<\/td>\n+4.62%<\/td>\n+28.47%<\/td>\n<\/tr>\n
OpRet<\/td>\n+0.22%<\/td>\n+3.46%<\/td>\n<\/tr>\n
SplitShare<\/td>\n-0.13%<\/td>\n+8.84%<\/td>\n<\/tr>\n
Interest<\/td>\n+0.22%****<\/b><\/td>\n+3.46%****<\/b><\/td>\n<\/tr>\n
PerpetualPremium<\/td>\n-0.79%<\/td>\n+7.10%***<\/b><\/td>\n<\/tr>\n
PerpetualDiscount<\/td>\n-1.20%<\/td>\n+11.17%<\/td>\n<\/tr>\n
FixedReset<\/td>\n+0.22%<\/td>\n+3.74%<\/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-0.59%<\/td>\n+5.93%<\/td>\n<\/tr>\n
DPS.UN<\/td>\n-0.60%<\/td>\n+9.75%<\/td>\n<\/tr>\n
Index<\/td>\n<\/tr>\n
BMO-CM 50<\/td>\n-1.00%<\/td>\n+8.34%<\/td>\n<\/tr>\n<\/table>\n<\/div>\n

PerpetualDiscounts took a break from their string of gains, posting their first loss since February; FixedResets continued grinding away, unfazed by the recent plethora of new issues.<\/p>\n

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

Compositions of the passive funds were discussed in the September edition of PrefLetter<\/a>.<\/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 September 30, 2009<\/td>\n<\/tr>\n
Date<\/td>\nNAV<\/td>\nDistribution<\/td>\nReturn for Sub-Period<\/td>\nMonthly Return<\/td>\n<\/tr>\n
June 30, 2009<\/td>\n15.89<\/td>\n <\/td>\n <\/td>\n <\/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
September 25<\/td>\n16.63<\/td>\n0.21<\/td>\n-0.53%<\/td>\n-0.59%<\/td>\n<\/tr>\n
September 30, 2009<\/td>\n16.62<\/td>\n0.00<\/td>\n-0.06%<\/td>\n<\/tr>\n
Quarterly Return<\/strong><\/td>\n+5.93%<\/strong><\/td>\n<\/tr>\n<\/table>\n<\/div>\n

Claymore currently holds $300,156,763<\/a> (advisor & common combined) in CPD assets, up nearly $25-million on the month and a stunning increase from the $84,005,161 reported in the Dec 31\/08 Annual Report<\/a><\/p>\n

The DPS.UN NAV for September has been published<\/a> so we may calculate the approximate September returns. The Toronto Stock Exchange reports that the ex-dividend date for the current distribution was Sept. 28.<\/p>\n

\n\n\n\n\n\n\n\n\n\n\n\n
DPS.UN NAV Return, September-ish 2009<\/td>\n<\/tr>\n
Date<\/td>\nNAV<\/td>\nDistribution<\/td>\nReturn for sub-period<\/td>\nReturn for period<\/td>\n<\/tr>\n
August 26, 2009<\/td>\n20.30<\/td>\n <\/td>\n <\/td>\n <\/td>\n<\/tr>\n
September 28, 2009<\/td>\n19.82 *<\/b><\/td>\n0.30<\/td>\n-0.89%<\/td>\n-0.89%<\/td>\n
September 30, 2009<\/td>\n19.82<\/td>\n <\/td>\n0.00%<\/td>\n<\/tr>\n
Estimated August Ending Stub<\/td>\n+0.29% **<\/b><\/td>\n<\/tr>\n
Estimated September Return<\/strong><\/td>\n-0.60%<\/strong><\/td>\n<\/tr>\n
*<\/b>CPD had a NAVPU of 16.62 on both September 28 and September 30. The NAVPU of DPS.UN on this date has been estimated as being equal to its September 30 NAVPU.<\/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 subtracted the DPS.UN period return to arrive at an estimate for the calendar month.<\/em><\/td>\n<\/tr>\n
The September return for DPS.UN’s NAV is therefore the product of two period returns, -0.89% and +0.29% to arrive at an estimate for the calendar month of -0.60%<\/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 July<\/a> and August<\/a>:<\/p>\n

\n\n\n\n\n\n\n
DPS.UN NAV Returns, three-month-ish to end-September-ish, 2009<\/td>\n<\/tr>\n
July-ish<\/td>\n+4.45%<\/td>\n<\/tr>\n
August-ish<\/td>\n+5.71%<\/td>\n<\/tr>\n
September-ish<\/td>\n-0.60%<\/td>\n<\/tr>\n
Three-months-ish<\/strong><\/td>\n+9.75%<\/strong><\/td>\n<\/tr>\n<\/table>\n<\/div>\n","protected":false},"excerpt":{"rendered":"

Performance of the HIMIPref\u2122 Indices for September, 2009, was: Total Return Index Performance September 2009 Three Months to September 30, 2009 Ratchet +4.62% * +28.47% * FixFloat -1.00% +24.81% Floater +4.62% +28.47% OpRet +0.22% +3.46% …<\/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-8146","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\/8146","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=8146"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/8146\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=8146"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=8146"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=8146"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}