Discount Statistics Of Closed-End Funds Update For The 1st Quarter 2007

This article will update the Highland Global study, “Discount Statistics of Closed-end Funds,” (originally published in November 2005) for data relating to the first quarter of 2007.  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 first quarter ending March 31, 2007, Barron’s reported that 408 closed-end funds traded at discounts to their NAV as compared to 413 closed-end funds that traded at discounts to their NAV as of December 31, 2006.  For the fourth quarter of 2006, the average discount to NAV was 6.1% with a median of 5.9% and a standard deviation of 3.6%.  For the first quarter of 2007, the average discount to NAV was 5.9% with a median of 5.6% and a standard deviation of 3.9%.

For the first quarter of 2007, 453 closed-end funds traded at a 52-week average discount to NAV as compared to 466 through the end of the fourth quarter 2006.  For the fifty-two weeks ending December 31, 2006, the average 52-week discount to NAV was 7.2% with a median of 6.6% and a standard deviation of 4.3%.  For the fifty-two weeks ending March 31, 2007, the average 52-week discount to NAV was 6.8% with a median of 6.4% and a standard deviation of 4.1%.

For the fourth quarter of 2006, the discounts to NAV ranged from 0.1% to 24.6% with the 52-week discount ranging from 0.1% to 25.6%.  For the first quarter of 2007, the discounts ranged from 0.1% to 22.4% with the 52-week average discount ranging from 0.1% to 25.8%.

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

            Morningstar (www.morningstar.com) reported betas for approximately 402 of the closed-end funds with discounts to NAV for the first quarter 2007 as compared to 392 at the end of the fourth quarter 2006.  The betas at the end of the fourth quarter of 2006 ranged from -0.07 to 2.76.  The betas at the end of the first quarter of 2007 ranged from -0.08 to 2.64.

Barrons Discount Update 1st Quarter 2007

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