Discount Statistics Of Closed-End Funds Update For The 1st Quarter 2010

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 first quarter of 2010.  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, 2010, 407 closed-end funds traded at a discount to their NAV. For the fourth quarter ending December 31, 2009, 462 closed-end funds traded at a discount to their NAV.

The average discount to NAV for the first quarter of 2010 was 7.2% with a median of 6.5% and a standard deviation of 5.7%.  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%.

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 March 31, 2010, 470 closed-end funds traded at a discount to their NAV.

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 March 31, 2010, the average discount to NAV was 9.1% with a median of 8.4% and a standard deviation of 6.2%.

For the first quarter 2010, the discount to NAV ranged from 0.1% to 51.0% with the 52-week discount ranging from 0.2% to 61.4%.  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 2009 and 453 for the first quarter 2010.  The December 31, 2009 beta data ranged from -7.86 to 3.28.  The March 31, 2010 beta data ranged from -8.21 to 3.92.

Barron’s Update 1st Quarter 2010

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