MAPF Portfolio Composition : March 2008

There was a good level of trading in March, almost all within the perpetualDiscount sector.

MAPF Sectoral Analysis 2008-3-31
HIMI Indices Sector Weighting YTW ModDur
Ratchet 0% N/A N/A
FixFloat 0% N/A N/A
Floater 0% N/A N/A
OpRet 0% N/A N/A
SplitShare 3.1% (-7.4) 5.59% 3.48
Interest Rearing 0% N/A N/A
PerpetualPremium 0.4% (+0.1) -7.63% 0.08
PerpetualDiscount 101.2% (+4.8) 5.95% 14.00
Scraps 0% N/A N/A
Cash -4.7% (+2.5) 0.00% 0.00
Total 100% 6.17% 14.29
Totals and changes will not add precisely due to rounding.
Bracketted figures represent change from February month-end.

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.). MAPF will often have relatively large cash balances, both credit and debit, to facilitate trading. Figures presented in the table have been rounded to the indicated precision.

Credit distribution is:

MAPF Credit Analysis 2008-3-31
DBRS Rating Weighting
Pfd-1 53.2% (-0.3)
Pfd-1(low) 20.5% (+13.3)
Pfd-2(high) 11.7% (0)
Pfd-2 2.4% (-7.4)
Pfd-2(low) 17.0% (-8.0)
Cash -4.7% (+2.5)
Totals will not add precisely due to rounding.
Bracketted figures represent change from February month-end.

The fund does not set any targets for overall credit quality; trades are executed one by one. Variances in overall credit will be constant as opportunistic trades are executed.

Liquidity Distribution is:

MAPF Liquidity Analysis 2008-3-31
Average Daily Trading Weighting
<$50,000 12.4% (+11.4)
$50,000 – $100,000 3.4% (-19.5)
$100,000 – $200,000 0.0% (0.0)
$200,000 – $300,000 26.1% (+4.6)
>$300,000 62.9% (+1.1)
Cash -4.7% (+2.5)
Totals will not add precisely due to rounding.
Bracketted figures represent change from February month-end.

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 the fund’s web page. A “unit trust” is like a regular mutual fund, but 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 who subscribe for $150,000+. Fund past performances are not a guarantee of future performance. You can lose money investing in MAPF or any other fund.

As noted above, there was a fair bit of intra-sectoral trading this month. I’ll highlight one sequence that was not just intra-sectoral, but intra-issuer.

Simplified Trading Sequence
Issue CM.PR.J CM.PR.E CM.PR.H
March #1 Sold
$20.25
Bought
$24.05
 
March #2 Sold
$20.10
  Bought
$21.00
Dividend
ex-date
after
all
trades
$0.28125 $0.35 $0.30
Bid
3/31
$19.26 $23.19 $20.18
Change
From
March #1
-3.50% -2.12%  
Change
From
March #2
-2.78%   -2.48%

So, yes, there were losses, but at least these were mitigated somewhat by trading.

Performance for the fund will be available on the weekend. I regret the delay – it’s due to being on-site at a client’s office. March’s performance was, frankly, not very good: about -4.75% for the month. Unfortunately, you can’t win them all; but a performance of -4.75% for the month will result in a return for the quarter of -0.04%. The market has gone down – but the actively managed fund will have handily out-performed the passive benchmarks for the quarter. Eventually the tide will turn as the high level of dividends overwhelms the overall market decline.

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