Dear All,
We added a new universe, CanadaTrust, it’s point-in-time
It was built by checking the historical ticker for “.U” which seemed pretty reliable. It’s available as a Universe dropdown and in rules with Universe(CanadaTrust)=TRUE. Below is a screen backtest with this universe that shows the historical number of trust stocks in Canada with a high of ~200 in 2007
Marco - “.U” or “.UN”? I think “.U” is used to designate traded in US dollars (this applies to some CDN ETFs). Anyways, I did a stock screen and all were “.CN” stocks.
Steve
Some “.UN” are closed-end funds. For example, DPF.UN
Here is a list of closed-end funds:
http://globefunddb.theglobeandmail.com/gishome/plsql/gis.show_closed_end_rep
Apparently so. If P123 has access to the Canadian CEFs then it may make sense to include the .UN CEFs to the CanadaTrust Universe. I’m not sure what the ramifications are if any.
Steve
Marco - I’m seeing some ".U"s in the CanadaTrust universe. You need to be careful with what you are filtering on as “.U” probably means something different than “.UN”.
Steve
We sampled several .U & .UN and they all appeared to be Funds/Trusts at that particular point in time.
Marco - the “.U” designator simply means that it is traded in US dollars. If the stock xxx.U was a fund then it was coincidentally a closed end fund traded like a stock on the exchange, but traded in US dollars.
If you want to confirm this then try using the Globe and Mail stock screener: Globe Investor - The Globe and Mail
It is important that you segregate income trusts (xxx.UN) as they provide tax-advantaged dividends. The xxx.U stocks should be eliminated as they usually have a CDN $ equivalent with no “.U”. I have attached an example screen with USD stocks.
Also, are the “.UN” stocks historically correct? I notice in my sim that many of the older trades do not have “.UN” in the stock symbol.
There was a period when there was a mad rush for companies to become income funds due to extreme tax advantages. Then the legislation changed (or at least threatened to change, I’m not sure which) and many companies converted back to normal. So you need to make sure that stocks are only designated as income trusts during that period in their history when they actually were income trusts. Otherwise the universe is somewhat meaningless as far as simulations are concerned.
Steve
Marco - Here is a list of the symbol extensions for the TSX: http://en.wikipedia.org/wiki/Ticker_symbol#Canada
Apparently .UN stands for “Units” or “Strategic Business Units”. As far as I can tell, .UN is only used for income trusts. .U and .V are used for US funds. .S is for “special US terms”. You might want to find out what that means.
If you want to do anything with the remaining codes then you will be very busy lads!
Steve
Marco - I suggest deleting the .U’s before people start implementing models. Also, I need to know whether the CanadaTrust universe is historically correct - I’m planning on releasing an R2G model but I won’t if it isn’t historically correct.
Thanks
Steve
We’ll investigate. Please note that we did sample some .U in the point-in-time ticker changes of Compustat and we were able to correlate a Trust becoming a regular company from filings with exactly the same change in the ticker history
OK - If the .UN’s are point in time then it is a matter of purging the .U’s from the Canadian Universe and CanadaTrust Universe. Perhaps where the confusion lies is that .U is for Units in the US but .UN is for units (income trusts) in the Canadian market. .U simply means US Funds.
You don’t want to mix US with CDN in a port.
http://en.wikipedia.org/wiki/Ticker_symbol#Canada
Steve
Marco asked me to look into this. I got the complete list of Canadian tickers as of 4/27/2007 (an arbitrary date), pulled out the 30 or so .U tickers and looked up original press releases as of 2007 to see what they said the tickers were. Without exception, they all said that they traded under .UN.
One press release in particular cracked the code, though:
http://www.newswire.ca/en/story/130569/ipc-us-reit-declares-may-2007-distribution
In that release, it says explicitly that they are going to pay the distribution to .U in U.S. funds and .UN in Canadian funds. They otherwise seem to be identical.
By the way, it’s important to note that all .U and .UN trade on the Canadian exchange, not the U.S. exchanges. Cross-listings have their own prices, dividends, etc. In fact, the only currently trading .U company in the database is GRP.U, a NYSE listing of a Canadian company. It is unaffected by this, because it’s an American company in the database.
So, in short, .U and .UN both should be in CanadaTrust.
Paul - thank you for doing this work. However I don’t understand your points. Please refer back to one of my previous posts where I attached a screenshot of General Motors (GM.U-T) and Mercer International (MRI.U-T). These were picked up using the Globe and Mail screener. It is clear that General Motors is not an Income Trust. Therefore the “.U” simply designates US funds.
The link you provided makes the statement:
“A unitholder who holds US-dollar-quoted units under the symbol “IUR.U” will be paid the distribution in US dollars. A unitholder who holds Canadian-dollar-quoted units under the symbol “IUR.UN” will be paid the distribution in Canadian dollars based on the exchange rate on June 15, 2007.”
This company was traded on a Canadian exchange under two different symbols: xxx.U and xxx.UN. It is the same company, same price and dividend but the .U is converted to US dollars. Yes it is an Income Trust as designated by the “.UN”. However this does not mean that all .U’s are income trusts, as the example of General Motors and Mercer Intl point out.
Above and beyond this, P123 can’t handle ports with mixed currencies i.e. $US and $CDN. However when I run a simulation I can see realized trades of symbols with .U. So it is a problem. Do you not think this should be addressed?
If I put out an R2G now it will have realized trades with $US stocks. Is it not better to do the right things for the right reasons?
Steve
FFH and FFH.U both trade on the TSX. Same Canadian company. FFH.U only trades a few hundred shares once in a while.
BTW, the Canadian finance minister changed the rules on taxation of income trusts on October 31, 2006 - the infamous “Halloween Massacre”. 
So that would be the peak of the number of income trusts.
Anyways, I’ve created a list of stocks listed on the Canadian exchanges that are in $US funds (attached). I found these stocks by running sims on the Income Trust universe. There may be other $US fund stocks in the general Canadian Universe that should also be added to this list. These stocks are not handled properly by simulations and ports due to the fact that the prices need to be adjusted for the correct currency for each buy and sell operation. With the currency conversion, there is a currency spread that must be paid, potentially up to 2%. Any ports with rebalance will quote incorrect prices for the same reason.
My recommendation is that people developing models/ports for the Canadian exchanges filter out the “.U” symbol extensions using an in-list or global restrictions (not allowed for R2Gs). There is one “.UH” symbol in the list. Not sure what this signifies but the fact that P123 lists the company as an income trust is a by-product of the P123 algorithm which searches for “.U” instead of “.UN”. If you find ".U"s that are not in my list then please let me know so I can update the list.
Thanks,
Steve
US_Stocks.txt (736 Bytes)
The attached Excel file is the list of all Canadian stocks and ETFs that Interactive Brokers allows trading in. It includes the Currency. In case it helps.
Sorry, I was out yesterday.
Here’s the thing: You guys are right. However P123 does not care about reality. We care about how well we can get our database to reflect reality.
So far as I know, we have no Toronto-traded companies with the .U extension that are not also income trusts in the database. This makes, in our database, the .U companies into a subset of .UN for the purposes of building the CanadaTrust universe on P123. Given that CanadaTrust exists so that people can explicitly include or exclude income trusts, and all of the .U’s examined in the database thus far have been income trusts, they should be there.
Also, P123 is constructed in such a way that each company is expected to have one ticker, one set of fundamentals and one pricing history. When a company has more than one ticker in real life, we show only the primary ticker. If FFH trades under FFH and FFH.U in real life, we see only FFH, the primary ticker.
And FFH.U isn’t even in the database. Marco checked it out for me, and it simply isn’t there.
I put the ability to select distribution currency into the same category as the discontinued option flag. Reuters gave us a flag that said whether a company was optionable or not. We no longer get that information, so we deprecated the Option factor. But whether a company is optionable is in the same category of information as whether a Canadian company trades with an option to get distributions in U.S. dollars. It might be nice to know – and for genuine, practical reasons – but it’s ultimately a question that we can’t answer because we just don’t have the data.
Paul - It isn’t just about what currency dividends are paid in. The stock/fund price is also in $US. P123 cannot now nor will it ever be able to handle mixed $US / $CDN portfolios. It is not a “nice to have option” similar to an options flag. By taking the road you are taking, we have to use in-lists to prevent $US stocks/funds from being purchased for backtest and regardless how many are currently in your database right now, it does not preclude one from showing up tomorrow. Then you have to deal with it.
Steve
“Never” is strong, but right now, you’re absolutely correct. We get all Canadian companies entirely in Canadian dollars, even the ones labelled .U, and we get all U.S. stocks in U.S. dollars.
Paul - I give up. I’ll use the in-list to strip out the .U’s and reserve the right to use the phrase “I told you so” when a company quoted in $US on the exchange pops into your database while quoted in $CDN dollars.
Steve
