MAPF Portfolio Composition: January 2010

Turnover stayed constant in January at about 40%. This is yet another indication that things are slowly returning to normal – although I still think that spreads to bonds are elevated!

Trades were, as ever, triggered by a desire to exploit transient mispricing in the preferred share market (which may the thought of as “selling liquidity”), rather than any particular view being taken on market direction, sectoral performance or credit anticipation.

MAPF Sectoral Analysis 2010-1-29
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 4.2% (0) 8.09% 6.99
Interest Rearing 0% N/A N/A
PerpetualPremium 0.0% (-0.5) N/A N/A
PerpetualDiscount 76.7% (+4.0) 5.89% 14.07
Fixed-Reset 14.4% (-2.2) 3.83% 3.88
Scraps (OpRet) 2.4% (-2.2) 9.64% 5.85
Scraps (FixedReset) 2.5% (+2.5) 7.22% 12.03
Cash -0.1% (-2.0) 0.00% 0.00
Total 100% 5.81% 12.08
Totals and changes will not add precisely due to rounding. Bracketted figures represent change from December month-end. Cash is included in totals with duration and yield both equal to zero.

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 2010-1-29
DBRS Rating Weighting
Pfd-1 0 (0)
Pfd-1(low) 75.7% (-6.8)
Pfd-2(high) 9.8% (+9.7)
Pfd-2 0 (-1.1)
Pfd-2(low) 9.8% (+0.1)
Pfd-3(high) 4.9% (+0.3)
Cash -0.1% (-2.0)
Totals will not add precisely due to rounding. Bracketted figures represent change from December month-end.

The increase in holdings of issues rated Pfd-2(high) was due largely to the purchase of HSB.PR.E, a reversal of last month’s highlighted trading.:

MAPF & HSB.PR.E & RY.PR.X
Date HSB.PR.E RY.PR.X
12/23 Sold
28.05
Bot
27.95
12/31
Bid
28.10 28.06
1/14 Bot
28.02
Sold
28.23
1/29
Bid
27.96 27.75
Dividends   1/22
Missed
0.390625
This table attempts to present fairly the larger elements of a series of trades. Full disclosure of the 1H10 trades will be made at the time the unaudited 1H10 Financials are published.

Liquidity Distribution is:

MAPF Liquidity Analysis 2010-1-29
Average Daily Trading Weighting
<$50,000 0.0% (0)
$50,000 – $100,000 0.0% (0)
$100,000 – $200,000 26.6% (+7.7)
$200,000 – $300,000 31.0% (-14.1)
>$300,000 42.5% (+8.5)
Cash -0.1% (-2.0)
Totals will not add precisely due to rounding. Bracketted figures represent change from December 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.

A similar portfolio composition analysis has been performed on the Claymore Preferred Share ETF (symbol CPD) as of August 17 and published in the September PrefLetter. When comparing CPD and MAPF:

  • MAPF credit quality is better
  • MAPF liquidity is a little better
  • MAPF Yield is higher
  • Weightings in
    • MAPF is much more exposed to PerpetualDiscounts
    • MAPF is much less exposed to Operating Retractibles
    • MAPF is more exposed to SplitShares
    • MAPF is less exposed to FixFloat / Floater / Ratchet
    • MAPF weighting in FixedResets is much lower

9 Responses to “MAPF Portfolio Composition: January 2010”

  1. […] be sold and reinvested in these issues, the yield of the portfolio would be the 5.89% shown in the MAPF Portfolio Composition: January 2010 analysis(which is in excess of the 5.81% index yield on January 29). Given such reinvestment, the […]

  2. […] costs – if I don’t see opportunities, I don’t trade. For example, portfolio turnover in January 2010 was a mere 40%, compared to nearly 170% in November 2008 when the market […]

  3. […] has been noted, the fund has maintained a credit quality equal to or better than the index; outperformance is due […]

  4. […] has been noted, the fund has maintained a credit quality equal to or better than the index; outperformance is due […]

  5. […] has been noted, the fund has maintained a credit quality equal to or better than the index; outperformance is due […]

  6. […] has been noted, the fund has maintained a credit quality equal to or better than the index; outperformance is due […]

  7. […] has been noted, the fund has maintained a credit quality equal to or better than the index; outperformance is due […]

  8. […] has been noted, the fund has maintained a credit quality equal to or better than the index; outperformance is due […]

  9. […] has been noted, the fund has maintained a credit quality equal to or better than the index; outperformance is due […]

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