MAPF Portfolio Composition: June 29, 2007

Well, if you thought portfolio composition changed dramatically from April 30 to May 31, just take a gander at the June 29 composition!

MAPF Sectoral Analysis 2007-6-29
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 25% 4.62% 6.15
Interest Rearing 0% N/A N/A
PerpetualPremium 42% 5.25% 4.26
PerpetualDiscount 36% 5.06% 15.34
Scraps 1% 4.19% 5.75
Cash -3% 0.00% 0.00
Total 100% 5.16% 8.68

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 average YTW on the securities-only portion of the portfolio, for instance, is actually about 5.01% … it is the 3% leverage factor that brings it up to 5.16%. MAPF will often have relatively large cash balances to facilitate trading.
These sharp-eyed readers will also note, with a certain amount of glee, that the percentages do not add up to exactly 100% in the above or the following tables. This is due to rounding. You know something? Sharp-eyed readers really bug me.
Credit distribution is:

MAPF Credit Analysis 2007-6-29
DBRS Rating Weighting
Pfd-1 35.3%
Pfd-1(low) 29.2%
Pfd-2(high) 13.0%
Pfd-2 25.0%
Cash -2.6%

Liquidity Distribution is:

MAPF Liquidity Analysis 2007-6-29
Average Daily Trading Weighting
<$50,000 0.9%
$50,000 – $100,000 25.8%
$100,000 – $200,000 24.5%
$200,000 – $300,000 27.4%
>$300,000 23.9%
Cash -2.6%

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 “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.

A discussion of June’s performance is available here.

2 Responses to “MAPF Portfolio Composition: June 29, 2007”

  1. [...] Index performance and extreme issue performance have been the subject of prior posts, as has the the performance and composition of Malachite Aggressive Preferred Fund. [...]

  2. [...] Not a lot of change in the sectoral composition of the fund’s holdings since the June 29, 2007 analysis. Were it not for the other tables, readers might be forgiven for wondering whether there have been any changes at all! [...]

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