Discount Statistics Of Closed-End Funds Update For The 3rd Quarter 2007

This article will update the Highland Global study, “Discount Statistics of Closed-end Funds,” (originally published in November 2005 and updated quarterly) for data relating to the third 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 third quarter ending September 30, 2007, Barron’s reported that 563 closed-end funds traded at a discount to their NAV.  For the second quarter ending June 30, 2007, 472 closed-end funds traded at a discount to their NAV.  For the first quarter ending March 31, 2007, 408 closed-end funds traded at a discount to their NAV.  For the third quarter of 2007, the average discount to NAV was 7.8% with a median of 7.8% and a standard deviation of 4.0%.  For the second quarter of 2007, the average discount to NAV was 6.2% with a median of 5.9% and a standard deviation of 4.1%.

For the third quarter of 2007, 476 closed-end funds traded at a 52-week discount to NAV.  For the second quarter of 2007, 427 closed-end funds traded at a 52-week discount to NAV as compared to 453 through the end of the first quarter.  For the fifty-two weeks ending September 30, 2007, the average 52-week discount was 5.8% with a median of 5.5% and a standard deviation of 3.8%.  For the fifty-two weeks ending June 30, 2007, the average 52-week discount to NAV was 6.3% with a median of 5.9% and a standard deviation of 3.9%.

For the third quarter, the discount to NAV ranged from 0.1% to 30.6% with the 52-week discount ranging from 0% to 24.5%.  For the second quarter, the discounts to NAV ranged from 0.1% to 24.2% with the 52-week discount ranging from 0.1% to 24.9%.

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

            Morningstar (www.morningstar.com) reported betas for approximately 460 of the closed-end funds with discounts to NAV for the third quarter of 2007.  The betas ranged from -0.18 to 2.44 for the third quarter.  For the first quarter, there were 402 closed-end funds with a reported beta and 406 at the end of the second quarter.  The betas at the end of the second quarter ranged from -0.08 to 2.21.  The betas at the end of the first quarter ranged from -0.08 to 2.64.

Barrons Discount Update 3rd Quarter 2007

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