Discount Statistics Of Closed-End Funds Update For The 4th Quarter 2009

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 2009.  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, 2009, 462 closed-end funds traded at a discount to their NAV.  For the third quarter ending September 30, 2009, 480 closed-end funds traded at a discount to their NAV.  For the second quarter ending June 30, 2009, 601 closed-end funds traded at a discount to their NAV as compared to 536 for the first quarter ending March 31, 2009.

The average discount to NAV for the fourth quarter of 2009 was 8.1% with a median of 7.2% and a standard deviation of 5.2%.  The average discount to NAV for the third quarter of 2009 was 8.2% with a median of 7.7% and a standard deviation of 5.5%.  For the second quarter of 2009, the average discount to NAV was 10.1% compared to 13.4% for the first quarter of 2009.  For the second quarter, the median was 10.9% (13.1% for the first quarter) with a standard deviation of 4.1% (7.4% first quarter).

For the fifty-two weeks ending December 31, 2009, 510 closed-end funds traded at a discount to their NAV.  For the fifty-two weeks ending September 30, 2009, 541 closed-end funds traded at a discount to their NAV.  For the fifty-two weeks ending June 30, 2009, 526 closed-end funds traded at a 52-week discount as compared to 579 trading at a discount for the fifty-two weeks ending March 31, 2009.

For the fifty-two weeks ending December 31, 2009, the average discount to NAV was 10.0% with a median of 9.4% and a standard deviation of 6.4%.  For the fifty-two weeks ending September 30, 2009, the average discount to NAV was 11.9% with a median of 11.6% and a standard deviation of 6.5%.  For the fifty-two weeks ending June 30, 2009, the average discount was 6.2% (11.1% ending March 31, 2009) with a median of 6.0% (11.6%) and a standard deviation of 3.7% (5.3%).

For the first quarter 2009, the discount to NAV ranged from 0.1% to 70.6% with the 52-week discount ranging from 0.1% to 54%.  For the second quarter 2009, the discount to NAV ranged from 0.1% to 42% with the 52-week discount ranging from 0.1% to 26.8%.  For the third quarter 2009, the discount to NAV ranged from 0.1% to 29.4% with the 52-week discount ranging from 0.1% to 63.2%.  For the fourth quarter 2009, the discount to NAV ranged from 0.1% to 38.2% with the 52-week discount ranging from 0.2% to 62.7%.

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

            Morningstar (www.morningstar.com) reported betas for 458 of the closed-end funds with discounts to NAV during the fourth quarter, 501 for the third quarter, 524 for the second quarter and 525 for the first quarter.  The December 31, 2009 beta data ranged from -7.86 to 3.28.  The September 30, 2009 beta data ranged from -6.84 to 3.62.  The June 30, 2009 beta data ranged from -7.19 to 3.90.  The March 31, 2009 beta data ranged from -7.66 to 2.94.

Barron’s Update 4th Quarter 2009

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