{"id":8947,"date":"2009-12-06T15:36:14","date_gmt":"2009-12-06T19:36:14","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=8947"},"modified":"2009-12-06T15:36:14","modified_gmt":"2009-12-06T19:36:14","slug":"index-performance-november-2009","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=8947","title":{"rendered":"Index Performance: November 2009"},"content":{"rendered":"

Performance of the HIMIPref\u2122 Indices for November, 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
\nNovember 2009<\/td>\n		Three Months
\nto
\nNovember 30, 2009<\/td>\n<\/tr>\n
Ratchet<\/td>\n-2.28% *<\/b><\/td>\n+3.46% *<\/b><\/td>\n<\/tr>\n
FixFloat<\/td>\n+8.06%<\/td>\n-4.15%<\/td>\n<\/tr>\n
Floater<\/td>\n+2.28%<\/td>\n+3.46%<\/td>\n<\/tr>\n
OpRet<\/td>\n+0.85%<\/td>\n+1.26%<\/td>\n<\/tr>\n
SplitShare<\/td>\n+2.33%<\/td>\n+2.15%<\/td>\n<\/tr>\n
Interest<\/td>\n+0.85%****<\/b><\/td>\n+1.26%****<\/b><\/td>\n<\/tr>\n
PerpetualPremium<\/td>\n+1.49%<\/td>\n-0.39%<\/td>\n<\/tr>\n
PerpetualDiscount<\/td>\n+3.07%<\/td>\n-1.53%<\/td>\n<\/tr>\n
FixedReset<\/td>\n+1.93%<\/td>\n+2.09%<\/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+2.19%<\/td>\n+0.31%<\/td>\n<\/tr>\n
DPS.UN<\/td>\n+3.09%<\/td>\n-0.05%<\/td>\n<\/tr>\n
Index<\/td>\n<\/tr>\n
BMO-CM 50<\/td>\n+2.40%<\/td>\n-0.52%<\/td>\n<\/tr>\n<\/table>\n<\/div>\n

The charts have a calmer look to them this month, now that the apocalyptic months of October<\/a> and November<\/a> 2008 have been removed from the trailing 12-months.<\/p>\n

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 225bp, a significant tightening from the 250bp reported on October 30<\/a>.<\/p>\n

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

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

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

Volume may be under-reported due to the influence of Alternative Trading Systems (as discussed in the November PrefLetter<\/a>), but I am biding my time before incorporating ATS volumes into the calculations, to see if the effect is transient or not. The average volume of FixedResets continues to decline, which may be due to a number of factors:<\/p>\n