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 2008.  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 first quarter ending March 31, 2008, 571 closed-end funds traded at a discount to their NAV.  For the second quarter ending June 30, 2008, 548 closed-end funds traded at a discount to NAV.  For the third quarter ending September 30, 2008, 599 closed-end funds traded at a discount to their NAV.

For the first quarter of 2008, the average discount to NAV was 9.3% with a median of 9.8% and a standard deviation of 3.7%.  For the second quarter of 2008, the average discount to NAV was 8.3% with a median of 9.1% and a standard deviation of 4.1%.  For the third quarter, the average discount to NAV was 15.8% with a median of 16.9% and a standard deviation of 6.7%.

For the fifty-two weeks ending March 31, 2008, 545 closed-end funds traded at a 52-week discount to NAV.  For the fifty-two weeks ending June 30, 2008, 574 closed-end funds traded at a 52-week discount to NAV.  For the fifty-two weeks ending September 30, 2008, 578 closed-end funds traded at a 52-week discount to NAV.

For the fifty-two weeks ending June 30, 2008, the average discount was 7.7% with a median of 8.0% and a standard deviation of 3.8%.  For the fifty-two weeks ending March 31, 2008, the average 52-week discount was 6.6% with a median of 6.7% and a standard deviation of 3.7%.  For the fifty-two weeks ending September 30, 2008, the average 52-week discount was 8.5% with a median of 9.0% and a standard deviation of 4.0%.

For the first quarter 2008, the discount to NAV ranged from 0.0% to 27.3% with the 52-week discount ranging from 0.1% to 30.8%.  For the second quarter 2008, the discount to NAV ranged from 0.0% to 22.2% with the 52-week discount ranging from 0.1% to 35.2%.  For the third quarter 2008, the discount to NAV ranged from 0.1% to 48.4% with the 52-week discount ranging from 0.1% to 40.0%.

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

            Morningstar (www.morningstar.com) reported betas for 531 of the closed-end funds with discounts to NAV during the third quarter as compared to 498 for the first quarter 2008 and 511 for the second quarter.  The September 30, 2008 beta data ranged from -22.18 to 4.78.  For the second quarter, the betas ranged from -2.66 to 2.97.  The betas ranged from -2.93 to 2.83 for the first quarter 2008.

Barrons Discount Update 3rd Quarter 2008