Discount Statistics Of Closed-End Funds Update For The 2nd Quarter 2006

This article will update the Highland Global study, “Family Limited Partnerships:  Discount Statistics of Closed-end Funds,” (originally published in November 2005) for data relating to the third quarter of 2006.  Please see the original article for more details regarding discount statistics of closed-end funds available at www.HighlandGlobal.com.

Barron’s Closed-End Fund Data

            Each quarter, Barron’s Online (www.barrons.com) reports statistics on publicly-traded closed-end funds.  The statistics reported include the discount (or premium) of the market price from the fund’s net asset value (NAV), the 52-week average discount or premium, the fund’s objective, and various return measurements, etc.  For the third quarter ending September 30, 2006, Barron’s reported that 439 closed-end funds traded at discounts to their NAV for the quarter.  For the third quarter, the average discount to NAV was 7.1% with a median of 6.9% and a standard deviation of 4.3%.  The average discount to NAV for the second quarter was 8.3% with a median of 7.9% and a standard deviation of 4.4%.  For the first quarter, the average discount to NAV was 7.4% with a median of 6.9% and a standard deviation of 4.6%.

For the third quarter, 471 closed-end funds traded at a 52-week average discount to NAV.  The average 52-week discount to NAV was 7.7% with a median of 7.4% and a standard deviation of 4.3%.  As of June 30, 2006, 459 funds traded at a 52-week average discount to NAV.  For the second quarter, the average 52-week discount to NAV was 7.7% with a median of 7.5% and a standard deviation of 4.3%.  For the first quarter, 463 funds traded at a 52-week average discount to NAV.  The average 52-week discount to NAV for the first quarter was 7.5% with a median of 7.1% and a standard deviation of 4.4%.

For the third quarter, the discounts to NAV ranged from 0.1% to 27.3% with the 52-week average discount ranging from 0.1% to 25.3%.  For the second quarter, the discounts to NAV ranged from 0.1% to 27.3% with the 52-week average discount ranging from 0.1% to 24.8%.  For the first quarter of 2006, the discounts ranged from 0.1% to 24.3% with the 52-week average discount ranging from 0.1% to 25.8% as of March 31, 2006.

Morningstar’s Beta Data & Barron’s Closed-End Fund Data

            Morningstar (www.morningstar.com) reported betas for approximately 386 of the closed-end funds with discounts to NAV for the third quarter as compared to 362 and 373 of the closed-end funds with discounts to NAV at the end of the first and second quarter 2006, respectively.  For the fourth quarter of 2005, roughly 380 of the closed-end funds with discounts to NAV had reported betas as compared to 364 based on the third quarter 2005 data.  The betas at the end of the third quarter of 2006 ranged from -0.08 to 2.22 as compared to a second quarter range of -0.06 to 2.35.  For the first quarter, the betas ranged from -0.4 to 2.36.

Funds for which the beta statistic was available traded at 52-week average discounts ranging from 0.1% to 25.3% through the end of the third quarter as compared to a range of 0.1% to 24.3% through the end of the second quarter.  Through the end of the first quarter 2006, the 52-week average discount range for closed-end funds with reported betas was 0.1% to 25.2% through the end of the first quarter of 2006.

Barrons Discount Update 2nd Quarter 2006

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