{"id":888,"date":"2007-06-02T15:47:32","date_gmt":"2007-06-02T19:47:32","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=888"},"modified":"2007-06-02T15:47:32","modified_gmt":"2007-06-02T19:47:32","slug":"mapf-portfolio-characteristics-as-of-2007-5-31","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=888","title":{"rendered":"MAPF : Portfolio Characteristics as of 2007-5-31"},"content":{"rendered":"

There have been a fair number of changes in portfolio composition since the April 30 analysis<\/a>. With the huge volatility in the market, trading opportunities have been numerous!<\/p>\n

\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n
MAPF Sectoral Analysis 2007-5-31<\/td>\n<\/tr>\n
HIMI Indices Sector<\/td>\nWeighting<\/td>\nYTW<\/td>\nModDur<\/td>\n<\/tr>\n
Ratchet<\/td>\n0%<\/td>\nN\/A<\/td>\nN\/A<\/td>\n<\/tr>\n
FixFloat<\/td>\n0%<\/td>\nN\/A<\/td>\nN\/A<\/td>\n<\/tr>\n
Floater<\/td>\n0%<\/td>\nN\/A<\/td>\nN\/A<\/td>\n<\/tr>\n
OpRet<\/td>\n0%<\/td>\nN\/A<\/td>\nN\/A<\/td>\n<\/tr>\n
SplitShare<\/td>\n29.9%<\/td>\n4.60%<\/td>\n6.43<\/td>\n<\/tr>\n
Interest Rearing<\/td>\n0%<\/td>\nN\/A<\/td>\nN\/A<\/td>\n<\/tr>\n
PerpetualPremium<\/td>\n60.8%<\/td>\n4.98%<\/td>\n4.59<\/td>\n<\/tr>\n
PerpetualDiscount<\/td>\n3.0%<\/td>\n4.92%<\/td>\n15.63<\/td>\n<\/tr>\n
Scraps<\/td>\n1.0%<\/td>\n4.09%<\/td>\n5.83<\/td>\n<\/tr>\n
Cash<\/td>\n5.4%<\/td>\n0.00%<\/td>\n0.00<\/td>\n<\/tr>\n
Total<\/strong><\/td>\n100%<\/td>\n4.59%<\/td>\n5.23<\/td>\n<\/tr>\n<\/table>\n<\/div>\n

Sharp-eyed readers will observe that the “total” reflects the un-leveraged total portfolio (i.e., cash is included in the portfolio calculations and is deemed to have a duration and yield of 0.00.), and may make their own adjustments to reflect interest. The\u00a0average YTW on the securities-only portion of the portfolio, for instance, is 4.85%.\u00a0MAPF will often have relatively large cash balances to facilitate trading.<\/p>\n

These sharp-eyed readers\u00a0will also note, with a certain amount of glee, that the percentages do not add up to exactly 100% in the above\u00a0or the following tables. This is due to rounding. You know something? Sharp-eyed readers really bug me.<\/p>\n

Credit distribution is:<\/p>\n

\n\n\n\n\n\n\n\n\n
MAPF Credit Analysis 2007-5.31<\/td>\n<\/tr>\n
DBRS Rating<\/td>\nWeighting<\/td>\n<\/tr>\n
Pfd-1<\/td>\n18.5%<\/td>\n<\/tr>\n
Pfd-1(low)<\/td>\n46.3%<\/td>\n<\/tr>\n
Pfd-2<\/td>\n27.7%<\/td>\n<\/tr>\n
Pfd-2(low)<\/td>\n2.2%<\/td>\n<\/tr>\n
Cash<\/td>\n5.4%<\/td>\n<\/tr>\n<\/table>\n<\/div>\n

Liquidity Distribution is:<\/p>\n

\n\n\n\n\n\n\n\n\n\n
MAPF Liquidity Analysis 2007-5-31<\/td>\n<\/tr>\n
Average Daily Trading<\/td>\nWeighting<\/td>\n<\/tr>\n
<$50,000<\/td>\n1%<\/td>\n<\/tr>\n
$50,000 – $100,000<\/td>\n28.7%<\/td>\n<\/tr>\n
$100,000 – $200,000<\/td>\n26.7%<\/td>\n<\/tr>\n
$200,000 – $300,000<\/td>\n14.7%<\/td>\n<\/tr>\n
>$300,000<\/td>\n23.6%<\/td>\n<\/tr>\n
Cash<\/td>\n5.4%<\/td>\n<\/tr>\n<\/table>\n<\/div>\n

Update:<\/b> I forgot the ad! MAPF is, of course, Malachite Aggressive Preferred Fund, a “unit trust” managed by Hymas Investment Management Inc. Further information and links to performance, audited financials and subscription information are available on the fund’s web page<\/a>. A “unit trust” is like a regular mutual fund,\u00a0but is sold by offering memorandum rather than prospectus. This is cheaper, but means subscription is restricted to “accredited investors” (as defined by the Ontario Securities Commission) and those\u00a0who subscribe for $150,000+.\u00a0Fund past performances are not a guarantee of future performance. You can lose money investing in MAPF or any other fund.<\/p>\n","protected":false},"excerpt":{"rendered":"

There have been a fair number of changes in portfolio composition since the April 30 analysis. With the huge volatility in the market, trading opportunities have been numerous! MAPF Sectoral Analysis 2007-5-31 HIMI Indices Sector …<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[14],"tags":[],"class_list":["post-888","post","type-post","status-publish","format-standard","hentry","category-mapf"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/888","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=888"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/888\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=888"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=888"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=888"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}