IEF + DTYS: A low risk hedge with dividends?

Thursday, March 31st, 2011 | Vance Harwood
 

I continue to evaluate (and invest in) a hedge position created by going long both IEF, Barclays 7  to 10 year treasury ETF and DTYS, Barclays’ iPath® US Treasury 10-year Bear ETN. The net position, holding equal shares of both securities should yield around 1.7% annually, and since I’m willing to bet that interest rates won’t be going down anytime soon I’m boosting the overall yield by about another 3% by writing calls on my IEF position. For more information on this hedge see this post. This hedge seemed to perform well during the recent correction. When IEF climbs quickly DTYS lagged, but it eventually caught up.

IEF is going ex-dividend this Friday, 1-April, so I thought I would take another look at the historical data to see if there was anything noticeable related to the IEF ex-dividend date.

IEF + DTYS hedge, click to enlarge

The yellow triangles mark IEF’s ex-dividend dates. Visually there doesn’t seem to be any significant impact on the hedge.

You might wonder if the IEF + DTYS combination is all that great a hedge reviewing this first chart. The next chart provides a better perspective by showing the normalized individual performance of IEF and DTYS. The standard deviation on IEF and and DTYS is about 3% and 6.5% of their average values respectively (coefficient of variance). The equivalent number for the IEF + DTYS hedge is 0.5%.  The second graph provides a visual representation.

IEF + DTYS with normalized IEF and DTYS, click to enlarge

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Volatility and Bond moves

Friday, January 28th, 2011 | Vance Harwood
 

VIX was touching / very close to the lower 2 sigma Bollinger band this morning, so I sold my  XIV position at 150.13.  Bought some IEF (Barclays 7-10  Treasuries) at 93.80  because it was near the low end of its current trading range, will go ex-dividend next week (1-Feb) with a dividend of around $0.24/share, and tends to go up if equities go down.

Later in the day,  with IEF up at 94.18  I put a 0.1 point  trailing stop on the position, because I had gotten more than my target profit on the position, but wanted to leave some room for an additional move up.  The position sold out at 94.20.

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Monthly ETF Dividend Amounts

Monday, February 13th, 2012 | Vance Harwood
 

Tickers covered:  AGG, BIL, SCJ, HYG, IEF, INY, JNK, LAG, LQD, MUB, PFF, TIP, TLT

For dividend history data and charts from 2005 on click here.

You can use the search window within the post (upper right) to search for a specific ticker, or increase the number of entries to show in the upper right box to 25 in order to see all the symbols.

SYMBOL--DESCRIPTIONNovember Ex-dividendNovember Distribution
AGGAGG iShares Barclays Aggregate Bond Fund1-Nov-137-Nov-13
BILBIL SPDR Barclays Capital 1-3 Month T-Bill ETF1-Nov-1312-Nov-13
CSJCSJ iShares Barclays 1-3 Year Credit Bond Fund1-Nov-137-Nov-13
HYGHYG iShares High Yield Corporate Bond Fund1-Nov-137-Nov-13
IEFIEF iShares Barclays 7-10 Year Treasury Bond Fund1-Nov-137-Nov-13
INYINY SPDR Barclays Capital New York Municipal Bond1-Nov-1312-Nov-13
JNKSPDR Barclays Capital High Yield Bond1-Nov-1312-Nov-13
LAGLAG SPDR Barclays Capital Aggregate Bond1-Nov-1312-Nov-13
LQDiShares iBoxx $ Investment Grade Corporate Bond1-Nov-137-Nov-13
MUBiShares S&P National AMT-Free Municipal Bond Fund1-Nov-137-Nov-13
PFFPFF iShares S&P U.S. Preferred Stock Index1-Nov-137-Nov-13
TIPiShares Barclays TIPS Bond1-Nov-137-Nov-13
TLTiShares Barclays 20+ Year Treasury Bond1-Nov-137-Nov-13

 

For more ETF ex-dividend and pay dates see this post.

 



2014 Dividend, Ex-Dividend, and Paydate / Distribution information for ETFs

Friday, February 28th, 2014 | Vance Harwood
 

I have collected dividend, ex-dividend, paydate/distribution  information for 2014 on the following ETFs.

Alerian:  AMLP


Guggenheim:

Quarterly Group I:  EWEM, EWRI, EWRM, EWRS, RSP, RCD, RGI, RHS, RTM, RYE, RYF, RYH, RYT, RYU, RFG, RFV, RPG, RPV, RZG, RZV, XLG

 

iShares

iShares: AGG CMF CSJ HYG IEF IEI IGOV ISHG LQD PFF SHV SHY TIP TLH TLT

iShares: AGZ CFT CIU EMB GBF GVI MBB MUAA MUAB MUAC MUAD MUAE MUAG MUB NYF SUB

iShares: DVY, DSI, IAI, IAK, IAT, IDU, IEO, IEX, IHE, IHF, IHI, ITA, ITB, IYC, IYE, IYF, IYG, IYH, IYK, IYM, IYR, IYT, IYW, IYJ, IYY, IYZ, KLD … DVY dividend history

iShares:  IJJ   IJH   IJK IJR    IJS   IJT  ISI   IVE   IVV  IVW   OEF

iShares MSCI:  EEM, EFA, EPP, EWC, EWH, EWY, EWZ and Others

iShares Russell: IWB   IWC   IWD    IWM   IWO   IWR   IWS   IWP  IWV   IWW    IWZ

 

PIMCO:  AUD  BABZ  BOND  BUND  CAD  CORP  FIVZ  HYS  ILB  LTPZ  MINT  MUNI  SMMU  STPZ  TENZ  TIPZ  TRSY  TUZ  ZROZ

 

Schwab
Schwab Monthly Distributions:   SCHP, SCHO, SCHR, SCHZ

Schwab Quarterly and Annual Distributions:  SCHA, SCHB, SCHC, SCHD, SCHE, SCHF, SCHG, SCHH,SCHM, SCHV, SCHX

Schwab Quarterly Distributions:  FNDB, FNDX, FNDA

 

SPDR

SPDR:  BIL  BMX  CWB  CXA   INY IPE   ITE  ITR  (jnk)JNK   LAG  LWC MBG MWZ  SJNK SHM  TFI  TLO VRD WIP
SPDR: DIADIA Dividend HistoryDIA Dividend Capture

SPDR: XLB, XLE, XLF, XLI, XLK, XLP, XLU, XLV, XLY

SPDR: MTK, SLYG, SLYV, SPYG, DGT, SLY, SDY, XRT, DWX and others 

SPDR: SPY

 

Vanguard
Vanguard Summary of all the tickers below: Vanguard Summary

Vanguard Monthly Distributions: BND, BSV, VGLT, BIV, VCSH, BNDX, VWOB

Vanguard Monthly Distributions: VCIT, VCLT, VGSH, VMGS

Vanguard Quarterly Distributions: VFH, VNQ, VUG, VOO

Vanguard Quarterly Distributions: VIG, VTI, VTV, VV, VYM

Vanguard: Quarterly Distributions: VWO, VGK, VEU, VSS, VNQI, VEA, VGK, VPL, VXUS, VT, EDV, MGV, MGC, VPU

Vanguard Semi-annual Distributions:  VO, VOT, VB, VBR, VBK, VOE, VXF

Vanguard Annual Distributions : VAW, VDE, VGT, VCR, VDC, VHT, VIS, VOX, VTIP

 

Archival / Reference Information from SPDR and iShares

 



2014 Ex-Dividend Date AGG AGZ CFT CIU CMF CSJ EMB GBF GVI HYG IEF IEI IGOV ISHG LQD MBB MUB NYF PFF SHV SHY SUB TIP TLH TLT

Thursday, February 6th, 2014 | Vance Harwood
 

The 2014 Ex-Dividend and Pay Date  information below is based on iShares distribution schedule,

2014 Ex-Dividend Dates
3-Feb 3-Mar 1-Apr 1-May 2-June 1-July 1-Aug
2-Sept 1-Oct 3-Nov 1-Dec 24-Dec 24-Dec (possible cap gain dist)
Pay / Distribution Dates
7-Feb 7-Mar 7-Apr 7-May 6-June 8-July 7-Aug
8-Sept 7-Oct 7-Nov 5-Dec 31-Dec 31-Dec (possible cap gain dist)

 

AGG    iShares Barclays Aggregate Bond Fund (AGG
AGZ    iShares Barclays Agency Bond Fund (AGZ)
CFT     iShares Barclays Credit Bond Fund (CFT)
CIU     iShares Barclays Intermediate Credit Bond Fund (CIU)
CSJ      iShares Barclays 1-3 Year Credit Bond Fund (CSJ)
EMB    iShares JPMorgan USD Emerging Markets Bond Fund (EMB)
GBF     iShares Barclays Government/Credit Bond Fund (GBF)
GLJ      iShares 10+ Year Government/Credit Bond Fund (GLJ)
GVI     iShares Barclays Intermediate Government/Credit Bond Fund (GVI)
HYG    iShares iBoxx $ High Yield Corporate Bond Fund (HYG)
IEF      iShares Barclays 7-10 Year Treasury Bond Fund (IEF)
IEI       iShares Barclays 3-7 Year Treasury Bond Fund (IEI)
IGOV  iShares S&P/Citigroup International Treasury Bond Fund (IGOV)
ISHG  iShares S&P/Citigroup 1–3 Year International Treasury Bond Fund (ISHG)
LQD    iShares iBoxx $ Investment Grade Corporate Bond Fund (See LQD dividend history below)
MUAA iShares 2012 S&P AMT-Free Municipal Series (MUAA)
MUAB iShares 2013 S&P AMT-Free Municipal Series (MUAB)
MUAC iShares 2014 S&P AMT-Free Municipal Series (MUAC)
MUAD iShares 2015 S&P AMT-Free Municipal Series (MUAD)
MUAE iShares 2016 S&P AMT-Free Municipal Series (MUAE)
MUAG iShares 2017 S&P AMT-Free Municipal Series (MUAF)
MBB    iShares Barclays MBS Bond Fund (MBB)
MUB   iShares S&P National AMT-Free Municipal Bond Fund (MUB)
NYF    iShares S&P New York AMT-Free Municipal Bond Fund (NYF)
PFF     iShares S&P U.S. Preferred Stock Index Fund (PFF)
SHV    iShares Barclays Short Treasury Bond Fund (SHV)
SHY    iShares Barclays 1-3 Year Treasury Bond Fund (SHY)
SUB     iShares S&P Short Term National AMT-Free Municipal Bond Fund (SUB)
TIP      iShares Barclays TIPS Bond Fund (TIP dividend history)
TLH     iShares Barclays 10-20 Year Treasury Bond Fund (TLH)
TLT      iShares Barclays 20+ Year Treasury Bond Fund (TLT)



Looking for ex-dividend information for other ETFs?   Check this page.


If you would like the dividend history for another security, see this post.