CEF Advisors

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08. Premium CEF/BDC Index

Data as of May 26, 2017

About the Index

(1) Traditional CEFs with $250K+ 90-day average trading dollar $, a Discount narrower than -6.5% (above), 1-year Discount Range over 50%, 6 month Relative Z-Stat over 0 and Comp Discount over 0. The remaining funds ranked by 25 largest (highest) CEF premiums. Business Development Companies (BDC): Equity or Debt-Focused BDCs with -6.5% or higher Discounts, Comp Discount over 0 and above average 6-month Relative Z-Stats. The remaining funds are ranked by the highest 8 1-year Relative Discounts. Traditional CEFs are an 87.5% allocation and BDCs are an 12.5% allocation for this index with the underlying funds equal weighted into their overall allocation. The index constituents will be rebalanced each quarter.

Index Performance

Current($) Previous Day(%) 1 Week(%) 1 Month(%) 3 Month(%) 6 Month(%) 1 Year(%) 3 Year(%) 5 Year(%) MTD(%) QTD(%) YTD(%)
Price 1,066.45 -0.17 0.70 1.87 4.13 11.50 16.61 10.48 10.96 0.52 2.89 5.66
NAV 957.37 0.17 0.53 1.46 -0.69 3.29 7.53 6.62 9.05 0.72 1.80 5.10
Difference 0.34 -0.17 -0.41 -4.82 -8.22 -9.08 -3.86 -1.91 0.19 -1.09 -0.56
* Periods greater than 1 Year are annualized.      ** On Inception Date (12/30/16), Index Price was $1,000 and NAV was $941.06
2017 - Monthly Performance (%)
Jan Feb Mar Q1 Apr May Jun Q2 Jul Aug Sep Q3 Oct Nov Dec Q4 2017
Price 1.92 0.59 -0.30 2.77 1.75 - - - - - - - - - - - 5.66
NAV 1.28 1.26 0.20 3.29 0.81 - - - - - - - - - - - 5.10

Performance Chart

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Discount

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Characteristics

PORTFOLIO
Weighted Average Data
Discount
12.31%
1Yr Disc
7.35%
3Yr Disc
3.20%
5Yr Disc
5.73%
Rel Disc Range (3yr)
81.72%
Mkt Yield
8.88%
Lev Adj NAV Yield
7.94%
After Tax Yield*
7.41%
Est Tax Friction*
1.47%
3Yr NAV Volatiliy
8.85
1 Yr RoC
15.66%
3 Yr Dest RoC
12.15%
Leverage
31.76%
Non Lev Exp Ratio
1.94%
Beta (2yr)
0.40
Equity Exposure
24.35%
Bond Exposure
73.95%
# Holdings
33
Cash Weighted Duration
4.57
Comp NAV TR
3.36%
Comp Discount
14.21%
Net Assets (M)
402
Liquidity - 90d (K)
1,819
* Based on marginal tax rates of 25% and long-term capital gains rates of 15%.

Asset Allocation

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Asset Allocation as reported by each fund's sponsor as of the last reporting period.

Constituents


33 Funds

Ticker Name Sponsor Allocation Discount Market Yield RoC(1yr) Leverage Net Assets Liquidity (90d)
GUT Gabelli Util Tr Gabelli 3.46 22.30 8.82 37.63 30.00 241 470
CRF Cornerstone Tot Rtn Fd Cornerstone 3.56 29.44 16.40 59.48 0.00 169 2,529
ECC Eagle Point Cr Co Eagle Point 3.27 12.87 12.01 5.77 33.96 316 1,919
CLM Cornerstone Stgc Val Fd Cornerstone 3.56 26.11 16.60 66.82 0.00 383 5,333
PZC PIMCO CA Muni Incm Fd III PIMCO 3.63 26.54 5.74 0.00 42.70 220 490
PCQ PIMCO CA Muni Incm Fd PIMCO 3.53 18.26 5.49 0.00 41.84 266 520
PCK PIMCO CA Muni Incm Fd II PIMCO 3.51 16.15 5.64 26.97 43.71 277 461
DMO WA Mortg Dfin Opp Fd Legg Mason 3.61 15.95 11.34 0.00 31.70 224 1,584
PTY PIMCO Corp & Incm Opp Fd PIMCO 3.56 11.44 9.59 0.00 45.52 1,066 4,165
PFD F&C Pref Incm Fd Flaherty & Crumrine 3.44 7.09 6.92 0.00 33.20 158 320
TYG Tortoise Nrg Infra Corp Tortoise 3.15 11.36 8.05 64.30 27.10 1,433 4,490
PCN PIMCO Corp & Incm Stgy Fd PIMCO 3.61 11.61 8.03 1.46 21.16 589 1,942
EDF SH Emrg Mkt Incm Fd Stone Harbor 3.63 11.45 12.97 67.24 26.02 237 1,534
KTF Deutsche Muni Incm Tr Deutsche 3.49 7.16 6.17 0.00 39.89 501 1,135
STK ClmbSlgmn Prm Tech Gwth Fd Columbia Mngmt 3.87 10.55 7.99 0.00 0.00 322 1,675
PML PIMCO Muni Incm Fd II PIMCO 3.54 6.98 5.99 0.00 37.84 752 1,722
NDP Tortoise Nrg Ind Fd Tortoise 3.06 5.06 11.71 56.25 22.40 207 882
GOF Gghm Stgc Opp Fd Guggenheim 3.51 5.92 10.44 0.33 28.41 392 1,856
PKO PIMCO Incm Opp Fd PIMCO 3.61 5.49 8.72 0.00 40.20 372 1,825
PFO F&C Pref Incm Opp Fd Flaherty & Crumrine 3.57 5.40 7.01 0.00 33.20 147 220
EDI SH Emrg Mkt Tot Incm Fd Stone Harbor 3.66 7.42 11.08 67.54 25.74 147 797
MYF BR MuniYld Inv Fd BlackRock 3.49 4.27 5.99 0.00 40.86 205 365
PCM PCM Fund PIMCO 3.64 6.54 8.93 0.00 45.93 117 555
FLC F&C Tot Rtn Fd Flaherty & Crumrine 3.52 1.86 7.29 0.00 33.60 214 650
BBF BR Muni Incm Inv Tr BlackRock 3.38 0.34 5.96 0.00 41.06 148 312
ACSF American Capital Sr Flt American Capital 1.49 -2.27 8.72 0.00 39.58 137 919
GBDC Golub Capital BDC Golub Capital 1.54 28.02 6.30 0.00 48.43 907 5,200
MAIN Main Street Cap Corp Main Street Capital 1.53 71.66 5.76 0.00 38.19 1,255 10,776
NMFC New Mountain Fin Corp New Mountain Capital 1.48 7.67 9.32 0.00 46.08 1,025 6,856
SLRC Solar Capital Solar Capital 1.49 0.78 7.30 0.00 20.86 919 2,446
TSLX TPG Specialty Lending TSL Advisers 1.56 29.24 7.53 0.00 37.59 962 4,206
WHF WhiteHorse Finance H.I.G. Capital 1.59 2.97 9.99 0.00 41.91 253 629
SCM Stellus Cap Inv Corp Stellus Capital 1.48 1.59 9.67 0.00 51.58 216 1,731

DISCLOSURES:

These indexes were created and developed by Closed-End Fund Advisors, Inc. CEF Advisors launched these indexes in January 2017 based on December 31, 2016 data and began pricing on January 1, 2017. CEF Advisors does not guarantee the accuracy or the completeness of the index or any data included therein and CEF Advisors shall have no liability for any errors, omissions or interruptions therein. CEF Advisors makes no warranty, express or implied, as to results to be obtained by any person or entity from the use of the index or any data included therein. CEF Advisors makes no express or implied warranties, and expressly disclaims all warranties of merchantability or fitness for a particular purpose or use with respect to the index or any data included therein. Without limiting any of the foregoing, in no event shall CEF Advisors have any liability for any special, punitive, direct, indirect or consequential damages (including lost profits) arising out of matters relating to the use of the index, even if notified of the possibility of such damages.

The historical values above have not been verified by an independent third party. The historical performance data is for illustrative purposes only and does not represent the actual performance of any investment product. No representation is being made that any investment will achieve performance similar to that shown. The index does not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the historical performance shown. The index is unmanaged and an investor cannot invest directly in the index.

Performance information for the index is for illustrative purposes only and does not represent the performance of any actual investment. The historical performance of the price and NAV of the index should not be taken as an indication of future performance, and no assurance can be given as to the index's value on any date. The data for the historical performance of the index was calculated on materially the same basis on which the performance of the index is now calculated. Discounts are the result of a closed-end fund’s market price deviating from its Net Asset Value (NAV).

In case any constituents of the index experience a liquidation, merger, open-ending or are no longer a closed-end fund, we will remove them as of their last day of existence. For mergers, if the merged fund is in the same sub-grouping inside CEFdata.com, then we will replace the merged fund with it's replacement in equal dollar terms. If a fund is liquidated, open-ended, etc, we will remove the fund and its allocation from the index. In this case, for example. If a fund was 2% of the index then future pricing would assume a full allocation was 98%. The 2% is adsorbed on a pro-rata basis by all surviving funds.

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