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 fourth quarter of 2007. The original article with more details regarding discount statistics of closed-end funds is 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. Highland Global then calculates the discount range, average, median, and standard deviation and reports these figures based on metrics such as the total data population, beta ranges, fund objectives, etc.
For the fourth quarter ending December 31, 2007, 597 closed-end funds traded at a discount to NAV. For the third quarter ending September 30, 2007, 563 closed-end funds traded at a discount to their NAV. For the fourth quarter of 2007, the average discount to NAV was 9.6% with a median of 10.2% and a standard deviation of 3.6%. 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%.
As of December 31, 2007, 543 closed-end funds traded at a 52-week discount to NAV. For the third quarter of 2007, 476 closed-end funds traded at a 52-week discount to NAV. For the fifty-two weeks ending December 31, 2007, the average discount was 6.3% with a median of 6.1% and a standard deviation of 3.7%. 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 fourth quarter, the discount to NAV ranged from 0.1% to 39.2% with the 52-week discount ranging from 0.1% to 27.4%. 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%.
Morningstar’s Beta Data & Barron’s Closed-End Fund Data
Morningstar (www.morningstar.com) reported betas for 506 of the closed-end funds with discounts to NAV for the fourth quarter 2007 as compared to 460 closed-end funds with discounts to NAV for the third quarter 2007. For the fourth quarter, the betas ranged from -2.53 to 2.41. The betas ranged from -0.18 to 2.44 for the third quarter.
Business Valuations By Highland Global 