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08. Discount CEF/BDC Index

Data as of

About the Index

(1) Traditional closed-end funds (CEFs) according to CEFdata.com with $250K+ 90-day average trading dollar $ liquidity. The funds also meet the following criteria: Discount wider than -6.5%, 1-year Discount Range under 65%, 6-month Relative Z-stat under -0.25 and Comp Discount under 0. Rank the remaining funds by the 50 largest (smallest/lowest) discounts. (2) Business Development Companies (BDCs): Equity or Debt-Focused BDCs with -6.5% or lower Discounts, Comp Discount under 0 and below average 6-month Relative Z-Stats. Rank the remaining lowest 10 3-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 909.22 4.18 1.51 -26.30 -32.18 -27.67 -27.11 -5.33 0.39 1.20 1.20 -31.33
NAV 933.31 2.56 1.01 -16.77 -23.43 -19.34 -19.46 -3.70 -1.12 0.66 0.66 -22.84
Difference -1.62 -0.50 9.53 8.74 8.32 7.64 1.64 -1.51 -0.55 -0.55 8.49
* Periods greater than 1 Year are annualized.      ** On Inception Date (12/30/16), Index Price was $1,000 and NAV was $1,000.00
2020 - Monthly Performance (%)
Jan Feb Mar Q1 Apr May Jun Q2 1H Jul Aug Sep Q3 Oct Nov Dec Q4 2H 2020
Price 0.53 -8.09 -26.99 -32.54 - - - - - - - - - - - - - - -32.54
NAV -1.05 -4.85 -18.75 -23.50 - - - - - - - - - - - - - - -23.50
Difference -1.58 3.24 8.24 9.04 - - - - - - - - - - - - - - 9.04
2019 - Monthly Performance (%)
Jan Feb Mar Q1 Apr May Jun Q2 1H Jul Aug Sep Q3 Oct Nov Dec Q4 2H 2019
Price 11.18 2.19 1.40 15.20 2.11 -2.58 3.67 3.13 18.33 1.03 -2.01 1.71 0.69 -0.90 0.39 4.95 4.41 5.10 23.43
NAV 4.80 1.14 1.71 7.81 0.92 -1.70 2.97 2.15 9.96 -0.21 -1.11 0.83 -0.50 -0.03 -0.01 3.81 3.76 3.26 13.22
Difference -6.38 -1.05 0.31 -7.40 -1.19 0.88 -0.70 -0.98 -8.37 -1.24 0.90 -0.88 -1.19 0.88 -0.41 -1.14 -0.64 -1.84 -10.21
2018 - Monthly Performance (%)
Jan Feb Mar Q1 Apr May Jun Q2 1H Jul Aug Sep Q3 Oct Nov Dec Q4 2H 2018
Price 1.63 -3.14 0.02 -1.54 0.68 0.27 -0.30 0.66 -0.88 1.33 0.78 -1.19 0.90 -3.67 1.69 -2.86 -4.84 -3.93 -4.82
NAV 1.58 -2.73 0.23 -0.97 0.29 0.09 -0.09 0.29 -0.68 1.14 -0.26 -0.01 0.87 -2.24 0.66 -0.75 -2.33 -1.47 -2.15
Difference -0.05 0.41 0.20 0.57 -0.40 -0.18 0.21 -0.37 0.20 -0.19 -1.04 1.18 -0.04 1.42 -1.03 2.11 2.50 2.47 2.67
2017 - Monthly Performance (%)
Jan Feb Mar Q1 Apr May Jun Q2 1H Jul Aug Sep Q3 Oct Nov Dec Q4 2H 2017
Price 4.12 1.93 0.42 6.58 1.74 0.14 0.46 2.36 8.94 2.50 -0.26 1.31 3.57 -1.80 -0.25 1.23 -0.85 2.73 11.67
NAV 2.01 1.68 0.45 4.19 0.48 0.10 0.26 0.84 5.03 1.63 0.29 0.57 2.50 -0.21 0.13 1.26 1.18 3.68 8.71
Difference -2.12 -0.25 0.02 -2.40 -1.26 -0.04 -0.21 -1.52 -3.91 -0.87 0.55 -0.74 -1.07 1.59 0.39 0.03 2.03 0.95 -2.96
2016 - Monthly Performance (%)
Jan Feb Mar Q1 Apr May Jun Q2 1H Jul Aug Sep Q3 Oct Nov Dec Q4 2H 2016
Price -4.86 0.96 8.62 4.33 4.78 0.74 2.87 8.59 12.92 4.60 1.81 1.40 7.99 -2.75 0.52 2.74 0.43 8.42 21.34
NAV -2.80 0.17 4.60 1.85 3.43 0.82 2.04 6.41 8.26 2.39 0.43 1.25 4.12 -1.64 -0.11 2.14 0.35 4.47 12.74
Difference 2.06 -0.78 -4.02 -2.48 -1.35 0.08 -0.83 -2.18 -4.66 -2.21 -1.38 -0.15 -3.87 1.11 -0.63 -0.60 -0.08 -3.94 -8.60
2015 - Monthly Performance (%)
Jan Feb Mar Q1 Apr May Jun Q2 1H Jul Aug Sep Q3 Oct Nov Dec Q4 2H 2015
Price 2.77 2.92 -0.12 5.65 2.09 -1.11 -3.29 -2.36 3.29 -2.06 -3.57 -3.71 -9.07 6.91 -1.58 -1.18 3.97 -5.10 -1.81
NAV 1.16 1.65 0.29 3.13 1.64 -0.26 -1.79 -0.45 2.69 -1.21 -3.32 -3.72 -8.03 3.35 -1.31 -3.14 -1.20 -9.24 -6.55
Difference -1.61 -1.27 0.41 -2.51 -0.46 0.84 1.50 1.91 -0.60 0.86 0.26 -0.01 1.03 -3.56 0.27 -1.95 -5.18 -4.14 -4.74

Performance Chart

Discount

Characteristics

PORTFOLIO
Weighted Average Data
Discount
-24.85%
1Yr Disc
-12.53%
3Yr Disc
-10.98%
5Yr Disc
-11.18%
Rel Disc Range (3yr)
34.50%
Mkt Yield
20.30%
Lev Adj NAV Yield
11.37%
After Tax Yield*
18.72%
Est Tax Friction*
1.58%
3Yr NAV Volatiliy
21.86
1 Yr RoC
33.08%
3 Yr Dest RoC
26.35%
Leverage
26.57%
Non Lev Exp Ratio
2.14%
Beta (2yr)
0.98
Equity Exposure
52.78%
Bond Exposure
45.28%
# Holdings
60
Cash Weighted Duration
1.50
Comp NAV TR
0.50%
Comp Discount
-6.56%
Net Assets (M)
342
Liquidity - 90d (K)
1,498
* Based on marginal tax rates of 25% and long-term capital gains rates of 15%.

Asset Allocation

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

Constituents


60 Funds

Ticker Name Sponsor Allocation Discount Market Yield RoC(1yr) Leverage Net Assets Liquidity (90d)
OCCI OFS Credit Company OFS Capital 1.98 -52.14 27.31 57.71 29.54 52 311
NHF NexPoint Stgc Opp Fd Highland Capital 1.67 -51.46 15.02 49.51 26.00 755 3,043
HGLB Highland Glbl Alloc Fd Highland Capital 1.71 -48.32 23.44 21.52 39.16 188 588
VCIF Vertical Capital Incm Fd Oakline Advisors 1.77 -27.37 3.50 0.00 1.73 122 621
HFRO Highland Incm Fd Highland Capital 1.70 -32.20 11.05 40.23 29.03 887 2,994
CTR CB MLP & Midstream Tot Rtn Fd Legg Mason 2.17 -15.61 50.87 100.00 36.64 79 776
CEM CB MLP & Midstream Fd Legg Mason 2.03 -17.94 54.88 96.00 37.04 184 1,748
BANX StoneCastle Fin Corp StoneCastle 1.52 -34.72 10.67 0.00 10.70 143 442
EMO CB Nrg Midstream Opp Fd Legg Mason 2.02 -16.02 60.53 78.75 38.46 130 1,177
MCI Barings Corp Invstr Barings 1.82 -19.88 9.83 0.00 8.86 308 428
NTG Tortoise Midstream Nrg Fd Tortoise 1.99 -15.52 95.92 100.00 73.20 73 1,111
SZC Cushing NextGen Infra Incm Fd Cushing 1.69 -22.95 27.76 51.92 0.62 80 595
TTP Tortoise Pip & Nrg Fd Tortoise 1.90 -17.33 39.18 99.59 55.80 35 327
TEAF Tortoise Ess Ast Incm Trm Fd Tortoise 1.72 -20.41 12.94 0.00 8.20 171 1,005
FEI FT MLP & Nrg Incm Fd First Trust 1.73 -19.96 27.21 47.93 18.02 259 1,732
TYG Tortoise Nrg Infra Corp Tortoise 1.93 -13.86 55.24 100.00 65.00 178 2,546
GGZ Gabelli Glbl Sml & Mid Cap Val Gabelli 1.70 -19.10 8.94 100.00 26.00 84 266
FEN FT Nrg Incm & Gwth Fd First Trust 1.83 -15.17 25.14 100.00 17.97 218 1,440
PEO Adams Ntr Res Fd Adams Funds 1.85 -17.70 10.81 0.00 0.00 322 2,013
FAX Abd Asia-Pacific Incm Fd Aberdeen 1.71 -18.34 9.88 60.17 28.24 1,013 3,881
PHD Pioneer Flt Rt Tr Pioneer 1.76 -16.43 9.64 0.00 31.90 230 863
FCT FT Sr Flt Rt Incm Fd II First Trust 1.80 -14.01 10.02 9.43 28.16 307 1,229
JOF Japan Sml Caplz Fd Nomura 1.64 -16.48 11.10 0.00 0.00 227 384
GAM General American Invstr General American Inv 1.73 -17.88 8.91 0.00 14.68 829 1,709
JRI Nuv Rel-Ast Incm & Gwth Fd Nuveen 1.73 -16.62 11.90 9.73 36.23 321 1,711
WIW WA Inf-Lnk Opp & Incm Fd Legg Mason 1.77 -16.35 4.42 0.00 31.20 715 2,472
FMO F/C Nrg Infra Fd Guggenheim Funds 1.91 -9.74 92.98 100.00 42.56 55 687
FEO FT/Abd Emrg Opp Fd First Trust 1.73 -16.78 14.11 24.65 8.67 60 283
IGR CBRE Clr Glbl Rel-Est Incm Fd CBRE Clarion 1.66 -18.34 11.93 69.33 10.37 718 2,885
RMT Royce Micro-Cap Tr Legg Mason 1.70 -16.74 12.07 18.94 5.15 276 1,311
GRX Gabelli Health & Well Tr Gabelli 1.80 -14.45 6.22 2.50 26.00 192 552
AGD Abd Glbl Dyn Div Fd Aberdeen 1.77 -14.97 10.40 3.67 0.00 111 639
EVF EV Sr Incm Tr Eaton Vance 1.77 -13.74 7.64 1.30 35.40 207 1,155
BGY BR Enh Intl DivTr BlackRock 1.77 -14.31 8.80 66.70 0.00 569 1,905
JGH Nuv Glbl Hi Incm Fd Nuveen 1.72 -15.32 11.13 0.24 30.78 301 1,210
RA Brkf Real Ast Incm Fd Brookfield 1.66 -17.56 16.90 43.79 21.80 769 5,187
LGI Lzrd Glbl Tot Rtn & Incm Fd Lazard 1.75 -15.39 10.51 35.51 28.30 187 871
IGD Voya Glbl Eq Div & Prm Opp Voya 1.71 -16.79 10.64 62.77 0.00 526 3,268
IGA Voya Glbl Adv & Prm Opp Fd Voya 1.70 -16.24 10.46 30.82 0.00 165 595
BOE BR Enh Glbl DivTr BlackRock 1.79 -13.49 8.80 65.33 0.00 651 2,584
AEF Abd Emrg Mkt Eq Incm Fd Aberdeen 1.72 -17.10 4.20 0.00 11.81 315 428
EMF Tmp Emrg Mkt Fd Templeton 1.73 -15.66 10.58 0.00 3.57 219 819
HIX WA Hi Incm Fd II Legg Mason 1.71 -15.22 12.00 8.98 29.07 492 3,402
EHI WA Glbl Hi Incm Fd Legg Mason 1.78 -11.66 10.51 2.79 29.70 382 1,619
NAZ Nuv AZ Qlty Muni Incm Fd Nuveen 1.68 -14.84 4.38 0.00 36.78 163 374
EFF EV Flt-Rt Inc+ Fd Eaton Vance 1.73 -14.19 7.24 2.83 35.20 103 313
MGU Macquarie Glbl Infra Tot Rtn Macquarie 1.68 -16.48 11.20 42.15 29.76 224 1,217
MUI BR Muni Imd Dur Fd BlackRock 1.72 -12.47 4.11 0.00 37.42 568 1,650
ECF Ellsworth Gwth & Incm Fd Gabelli 1.76 -12.95 5.95 0.00 19.00 128 584
EVM EV CA Muni Bnd Fd Eaton Vance 1.68 -14.85 4.12 6.48 42.30 301 855
EQS Equus Total Return Equus 1.29 -70.88 0.00 N/A 38.61 46 6
GECC Great Elm Cap Corp Great Elm Capital 1.17 -69.18 37.44 0.00 41.17 87 188
OFS OFS Capital Corp OFS Capital 1.19 -68.46 34.61 0.00 65.49 167 342
AINV Apollo Inv Corp Apollo 1.19 -67.21 30.05 0.00 58.52 1,216 5,663
CGBD TCG BDC Carlyle 1.04 -73.55 33.79 0.00 53.84 947 2,393
PSEC Prospect Capital Corp Prospect Capital 1.10 -56.35 19.05 0.00 39.41 3,184 13,894
PTMN Portman Ridge Fin Corpn Sierra Crest Inv Mgmt 1.14 -74.41 27.59 0.00 49.57 152 174
SVVC Firsthand Tech Val Fd Firsthand Capital 1.12 -80.96 0.00 N/A 0.00 122 66
WHF WhiteHorse Finance H.I.G. Capital 1.22 -56.34 21.35 0.00 47.36 313 1,325
GARS Garrison Capital Garrison Capital 1.07 -82.73 40.82 0.00 67.46 137 119

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, 2019. 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.

© Closed-End Fund Advisors Inc.(CEFadvisors) and CEFdata.com 2019. All rights reserved. Any copying, republication or redistribution of CEFadvisors, CEFdata.com, content, including by caching, framing or similar means, is expressly prohibited without the prior written consent of CEFAdvisors. CEFAdvisors shall not be liable for any errors or delays in the content, or for any actions taken in reliance thereon.

Class E Units       8% PIK             8.00 %   11/6/2021     4,055,099       4,055,099       4,055,099       2.32 %