{"id":8476,"date":"2009-11-01T14:43:24","date_gmt":"2009-11-01T18:43:24","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=8476"},"modified":"2009-11-01T14:43:24","modified_gmt":"2009-11-01T18:43:24","slug":"index-performance-october-2009","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=8476","title":{"rendered":"Index Performance: October, 2009"},"content":{"rendered":"

Performance of the HIMIPref\u2122 Indices for October, 2009, was:<\/p>\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
\nOctober 2009<\/td>\n		Three Months
\nto
\nOctober 30, 2009<\/td>\n<\/tr>\n
Ratchet<\/td>\n-3.31% *<\/b><\/td>\n+20.90% *<\/b><\/td>\n<\/tr>\n
FixFloat<\/td>\n-10.41%<\/td>\n+10.56%<\/td>\n<\/tr>\n
Floater<\/td>\n-3.31%<\/td>\n+20.90%<\/td>\n<\/tr>\n
OpRet<\/td>\n+0.19%<\/td>\n+1.72%<\/td>\n<\/tr>\n
SplitShare<\/td>\n-0.04%<\/td>\n+4.13%<\/td>\n<\/tr>\n
Interest<\/td>\n+0.19%****<\/b><\/td>\n+1.72%****<\/b><\/td>\n<\/tr>\n
PerpetualPremium<\/td>\n-1.08%<\/td>\n+0.20%<\/td>\n<\/tr>\n
PerpetualDiscount<\/td>\n-3.30%<\/td>\n+1.67%<\/td>\n<\/tr>\n
FixedReset<\/td>\n-0.06%<\/td>\n+0.63%<\/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 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-1.26%<\/td>\n+1.21%<\/td>\n<\/tr>\n
DPS.UN<\/td>\n-2.46%<\/td>\n+2.49%<\/td>\n<\/tr>\n
Index<\/td>\n<\/tr>\n
BMO-CM 50<\/td>\n%<\/td>\n%<\/td>\n<\/tr>\n<\/table>\n<\/div>\n

PerpetualDiscounts had a poor month (although not as bad as October 2008, when they lost 8.16%!); FixedResets were basically unaffected by the decline. The pre-tax interest equivalent spread of PerpetualDiscounts over Long Corporates (which I also refer to as the Seniority Spread) closed the month<\/a> at 250bp compared to the September 30<\/a> value of 215bp.<\/p>\n

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

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

Compositions of the passive funds were discussed in the September edition of PrefLetter<\/a>.<\/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 October 30, 2009<\/td>\n<\/tr>\n
Date<\/td>\nNAV<\/td>\nDistribution<\/td>\nReturn for Sub-Period<\/td>\nMonthly Return<\/td>\n<\/tr>\n
July 31, 2009<\/td>\n16.42<\/td>\n <\/td>\n <\/td>\n <\/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<\/td>\n16.62<\/td>\n0.00<\/td>\n-0.06%<\/td>\n<\/tr>\n
October 30, 2009<\/td>\n16.41<\/td>\n <\/td>\n <\/td>\n-1.26%<\/td>\n<\/tr>\n
Quarterly Return<\/strong><\/td>\n+1.21%<\/strong><\/td>\n<\/tr>\n<\/table>\n<\/div>\n

Claymore currently holds $315,167,224<\/a> (advisor & common combined) in CPD assets, up $15-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 October 28 has been published<\/a> so we may calculate the approximate October returns.<\/p>\n

\n\n\n\n\n\n\n\n\n\n
DPS.UN NAV Return, October-ish 2009<\/td>\n<\/tr>\n
Date<\/td>\nNAV<\/td>\nDistribution<\/td>\nReturn for sub-period<\/td>\nReturn for period<\/td>\n<\/tr>\n
September 30, 2009<\/td>\n19.82<\/td>\n <\/td>\n <\/td>\n <\/td>\n<\/tr>\n
October 28, 2009<\/td>\n19.32<\/td>\n <\/td>\n <\/td>\n-2.52%<\/td>\n<\/tr>\n
Estimated October Ending Stub<\/td>\n+0.06% *<\/b><\/td>\n<\/tr>\n
Estimated October Return<\/strong><\/td>\n-2.46%<\/strong><\/td>\n<\/tr>\n
*<\/b>CPD had a NAVPU of 16.40 on October 28 and 16.41 on October 30, hence the total return for the period for CPD was +0.06%. The return for DPS.UN in this period is presumed to be equal.<\/em><\/td>\n<\/tr>\n
The October return for DPS.UN’s NAV is therefore the product of two period returns, -2.52% and +0.06% to arrive at an estimate for the calendar month of -2.46%<\/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 August<\/a> and September<\/a>:<\/p>\n

\n\n\n\n\n\n\n
DPS.UN NAV Returns, three-month-ish to end-October-ish, 2009<\/td>\n<\/tr>\n
August-ish<\/td>\n+5.71%<\/td>\n<\/tr>\n
September-ish<\/td>\n-0.60%<\/td>\n<\/tr>\n
October-ish<\/td>\n-2.46%<\/td>\n<\/tr>\n
Three-months-ish<\/strong><\/td>\n+2.49%<\/strong><\/td>\n<\/tr>\n<\/table>\n<\/div>\n","protected":false},"excerpt":{"rendered":"

Performance of the HIMIPref\u2122 Indices for October, 2009, was: Total Return Index Performance October 2009 Three Months to October 30, 2009 Ratchet -3.31% * +20.90% * FixFloat -10.41% +10.56% Floater -3.31% +20.90% OpRet +0.19% +1.72% …<\/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-8476","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\/8476","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=8476"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/8476\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=8476"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=8476"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=8476"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}