The Chemist's CEF Report - July 2018: Treasury Yield Spread Continues To Narrow

Published Sat, 28 Jul 2018 10:22:19 -0400 on Seeking Alpha

For the inaugural issue of The Chemist's CEF Report (September 2016), describing the background and rationale of the Report, please click here.
This edition uses data taken from the close of July 3, 2018. Previous editions of the Report can be searched using the keyword "cefrep".
Methodology A database of CEFs was obtained from CEFConnect. All yields are quoted as the yield on price. All z-scores refer to the 1-year z-score, which I consider to be the most useful time duration for profiting from premium/discount reversion. The 1-year z-score is calculated as the difference between the current premium/discount and the 1-year average premium/discount, all divided by the standard deviation of said premium/discount. Positive z-scores indicate that the CEF's current premium/discount is higher than its historical average, while negative z-scores indicate that the current premium/discount is lower than the historical average. Incorporating the standard deviation into the z-score calculation enables comparison between CEFs that may have different magnitudes of absolute premia and discounts.
In the tables, "distance" refers to the distance between the current premium/discount of the fund and its 1-year historical premium/discount. "Coverage" refers to the ratio between a fund's earnings and its distribution, with coverage ratios greater than 100% indicating that the fund is earning more than it pays out in distributions.
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