Discount statistics Of Closed-End Funds Update for the 4th 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 third 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 fourth quarter ending December, 31, 2010, 472 closed-end funds traded as a discount to their NAV.  For the third quarter ending September 30, 2010, 359 closed-end funds traded at a discount to their NAV.  For the second quarter ending June 30, 2010, 388 closed-end funds traded at a discount to their NAV as compared to 407 for the first quarter ending March 31, 2010. For the fourth quarter ending December 31, 2009, 462 closed-end funds traded at a discount to their NAV.

For the fourth quarter, the average discount to NAV was 6.4% with a median of 5.5% and a standard deviation of 4.9%.  For the third quarter, the average discount to NAV was 6.3% with a median of 4.6% and a standard deviation of 5.9%.  For the second quarter, the average discount to NAV was 7.4% with a median of 6.1% and a standard deviation of 5.7%.  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, 2010, 416 closed-end funds traded at a discount to their NAV.  For the fifty-two weeks ending September 30, 2010, 428 closed-end funds traded at a discount to their NAV.  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 and June 30, 2010, 470 and 450 closed-end funds traded at a discount to their NAV, respectively.

The average discount for the fifty-two weeks ending December 31, 2010 was 6.9% with a median of 5.6% and a standard deviation of 5.8%.  For the fifty-two weeks ending September 30, 2010, the average discount to NAV was 7.5% with a median of 6.5% and a standard deviation of 5.9%.  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 fifty-two weeks ending June 30, 2010, the average discount to NAV was 8.2% with a median of 7.2% and a standard deviation of 5.8%.

For the fourth quarter 2010, the discount to NAV ranged from 0.0% to 36.0%; the 52-week discount ranged from 0.1% to 48.5%.  For the third quarter 2010, the discount to NAV ranged from 0.1% to 44.4%; the 52-week discount ranged from 0.1% to 53.7%.  For the second quarter 2010, the discount to NAV ranged from 0.1% to 36.0%; the 52-week discount ranged from 0.1% to 56.9%.  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.  For the second quarter, Morningstar reported betas for 437 of the closed-end funds.  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.  The second quarter beta data ranged from -6.38 to 4.01.  For the third quarter 2010, Morningstar reported betas for 415 of the closed-end funds with betas ranging from -9.14 to 3.38.  For the fourth quarter 2010, Morningstar reported betas for 402 of the closed-end funds, ranging from -0.37 to 2.94.

The following table provides the average and median discounts for the entire population and for those closed-end funds with reported betas for given quarters.

Barron’s Update 4th Quarter 2010

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