Diversified Indexes
The seven most liquid funds by 90-day average trading dollar $ liquidity in each of the 15 major groupings of funds: Business Development Companies (BDCs), Convertible Bonds, Covered Call Funds, Global Equity, High Yield Bonds, Investment Grade Bonds, Master Limited Partnership (MLP), Municipal Bonds, Preferred Equity, REITs/Real Assets, Senior Loans, US Equity, Hybrid / Balanced Funds, Multi-sector Bonds and International Bonds . For Hybrid / Balanced Funds and Multi-sector Bonds sectors, the selection allows only the most liquid fund from each sponsor. From the selected funds, we exclude the least liquid 5 funds. Each sector has equal weight in the index (6.66%), which is distributed equally to funds within that sector. The index constituents will be rebalanced each quarter. We manually have removed DXYZ from firm benchmarks.
50% Equity focused income funds and 50% Bond/BDC focused income funds: (1) Funds need to have 90-day average trading dollar ($) liquidity over $500K. (2) Taxable Bond + Preferred Equity groupings according to CEFdata.com, ranked by top 35% current market price yield (40% of the index weighting), (3) Debt-Focused Business Development Companies (BDCs), top 35% ranked by current market price yield (10% of the index weighting). (4) US Equity, Non-US Equity, Specialty Equity and Hybrid/Balanced Funds groupings in CEFData.com with funds only included if they pay monthly or quarterly distributions without a large year-end distribution in both of the past two calendar years. This selection is then ranked by top 35% of funds by current market price yield (50% of index weighting) The index constituents will be rebalanced each quarter. We manually have removed DXYZ from firm benchmarks.
(1) US Equity, Non-US Equity, Specialty Equity and Hybrid / Balanced Funds groupings according to CEFdata.com with regular distributions monthly or quarterly without a large year-end distribution in both of the past two calendar years. (2) Removing Preferred Equity, Single Country Funds. (3) Funds with US + Non-US Bonds exposure combined under 40%. (4) Top 50% ranked by 90-day average trading dollar ($) liquidity. (5) If there are only 1-3 funds in a group then combine all of these funds equal weight into a double allocation (estimated at 15.2% as each grouping is currently about 7.7% per group, but could change over time). (6) Remove current commodity funds as they are both liquidating in 1Q17; however, allow future commodity funds if they meet the other index criteria. For groups according to CEFdata.com with at least 3 funds, keep them grouped and give each group an equal weighting of the underlying funds. If there are less than 3 funds in the remaining group add them to a separate group. This group will have the double allocation mentioned previously. The index constituents will be rebalanced each quarter. We manually have removed DXYZ from firm benchmarks.
30% weighting of the index from CEF Advisors’ Equity Income Index, 30% weighting of the index from CEF Advisors’ Global Equity Index, then for bond exposure; the top 50% ranked by 90-day average trading dollar ($) liquidity: Multi-Sector Bond (8%) Debt-Focused Business Development Companies (BDCs) (6%), Sr. Loan Funds (6%), High Yield Bond (6%), Preferred Equity (5%), Convertible (5%), and Build America Bond (taxable municipals / BABs) (4%). The index constituents will be rebalanced each quarter. We manually have removed DXYZ from firm benchmarks.
The selection pool uses funds that pay monthly or quarterly distribution, with 1 year average discount < 0%. (1) 30% weighting the top 33% of National Municipal Bond CEFs, excluding Taxable Municipal Bond Funds, ranked by 90-day average trading ($) liquidity, (2) 30% Equity Income funds, not including funds with large year-end distributions. Excluding Master Limited Partnership (MLP), Energy, Preferred Equity or Hybrid/Balanced closed-end funds as classified by CEFData.com. Screening for: $500K+ a day in 90-day average trading dollar ($) liquidity. From the resulted fund pool, we select the top 25% funds, ranked by highest 3 Year RoC% and 3 Year QDI%, combined. (3) 15% weighting the top 33% MLP Funds with the highest 3-Year RoC% and over $250K in 90-day average trading dollar ($) liquidity. (4) 15% weighting the top 33% Preferred Equity Funds with the highest 3-Year QDI%. (5) 10% weighting the top 33% REIT / Real Estate Equity Funds ranked by highest 3 Year RoC% and 3 Year QDI%, combined. The index constituents will be rebalanced each quarter. We manually have removed DXYZ from firm benchmarks.
Funds need to have 90-day average trading dollar ($) liquidity over $500K and then ranked the top 50% of the constituent funds by their respective 90-day average trade liquidity (with a minimum of 2 funds per group; if needed, a lower average trading’s liquidity may be used) for the 13 groupings of CEFs according to CEFData.com: (1) Build America Bond (taxable municipals or BABs), (2) Convertible Bonds, (3) Emerging Market Income, (4) Global Income, (5) High Yield, (6) Investment Grade, (7) Limited Duration, (8) Senior Loan, (9) Mortgage, (10) Multi-Sector, (11) Preferred, (12) US Government Bonds, (13) Debt-Focused Business Development Companies (BDCs). We will combine levered and non-levered groupings to create one larger grouping. Each sector is then equal weighted into the index. The index constituents will be rebalanced each quarter. We manually have removed DXYZ from firm benchmarks.
Funds need to have 90-day average trading dollar ($) liquidity over $500K and then ranked the top 50% of the constituent funds by their respective 90-day average trade liquidity (with a minimum of 2 funds per group; if needed, a lower average trading’s liquidity may be used) for the 13 groupings of CEFs according to CEFData.com: (1) Build America Bond (taxable municipals or BABs), (2) Convertible Bonds, (3) Emerging Market Income, (4) Global Income, (5) High Yield, (6) Investment Grade, (7) Limited Duration, (8) Senior Loan, (9) Mortgage, (10) Multi-Sector, (11) Preferred, (12) US Government Bonds, (13) Debt-Focused Business Development Companies (BDCs). We will combine levered and non-levered groupings to create one larger grouping. Each sector is then equal weighted into the index. The index constituents will be rebalanced each quarter. We manually have removed DXYZ from firm benchmarks.
The seven most liquid funds by 90-day average trading dollar $ liquidity in each of the 15 major groupings of funds: Business Development Companies (BDCs), Convertible Bonds, Covered Call Funds, Global Equity, High Yield Bonds, Investment Grade Bonds, Master Limited Partnership (MLP), Municipal Bonds, Preferred Equity, REITs/Real Assets, Senior Loans, US Equity, Hybrid / Balanced Funds, Multi-sector Bonds and International Bonds . For Hybrid / Balanced Funds and Multi-sector Bonds sectors, the selection allows only the most liquid fund from each sponsor. From the selected funds, we exclude the least liquid 5 funds. Each sector has equal weight in the index (6.66%), which is distributed equally to funds within that sector. The index constituents will be rebalanced each quarter. We manually have removed DXYZ from firm benchmarks.
(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. If no BDC funds meet the criteria, the allocation will be split between the qualifying traditional CEFs. The index constituents will be rebalanced each quarter. We manually have removed DXYZ from firm benchmarks.
(1) US Equity, Non-US Equity and Specialty Equity groupings according to CEFdata.com with monthly or quarterly distributions. (2) Removing Preferred Equity, MLP Funds and Single Country Funds. (3) Funds with Market Yield of 6% or more. (4) Leverage Adjusted NAV Yield under 10%. (5) 1 Year Trailing Return of Capital dividend classification over 20%. (6) 1 Year Trailing Income + Short Term Capital Gains under 65%. (7) 90-day average trade dollar $ liquidity over $250K. (8) Removing funds with US / Non US Equity over 10% each. Equal weight each fund for the index. The index constituents will be rebalanced each quarter. We manually have removed DXYZ from firm benchmarks.
50% Global Equity Index and 50% Equity Income Index. The index constituents will be rebalanced each quarter. We manually have removed DXYZ from firm benchmarks.
All funds in index must be monthly or quarterly paying funds that have a 6%+ with 65%+ of the yield paid February to October (seeking to avoid large year-end dividends to cause inclusion in the index, and not counting special dividends in this calculation for yield). (1) 15% allocation to all the funds in the Hybrid / Balanced Index, equal weight (2) 15% allocation to all the funds in the Multisector Bond Index, equal weight. (3) 14% allocation to funds in the Equity Income Index (non MLP/Non REIT) 1/3 of funds from the index (after MLP/REIT removal) ranked by lowest daily NAV correlation over the past 6 months to the Equity Income Index NAV, equal weight. (4) 14% allocation to funds in the Taxable Bond and BDC Index (non BDC or Multisector funds) 1/4 of the funds from the index (after BDC / Multisector fund removal) ranked by lowest daily NAV correlation in the past 6 months to the Taxable Bond and BDC Index’s NAV, equal weight. (5) 10% allocation to the 10 most liquid as measured by 90 day average trade volume for the BDCs in our BDC index while allowing only 1 BDC per Fund Sponsor, equal weight. (6) 10% allocation to the 10 most liquid as measured by 90 day average trade volume for the MLP funds in our MLP index while only allowing 1 MLP fund per Fund Sponsor, equal weight. (7) 8% allocation to 1/2 of the REIT / Real Asset Funds in our index with the lowest 6 month NAV correlation to the Index’s NAV while allowing only 1 fund per Fund Sponsor (lowest correlation), equal weight. (8) 8% allocation to any non-BDC CEFs that report a quarterly NAV, equal weight. (9) 6% allocation to the 5 Preferred Equity funds in our Preferred Equity Index with the lowest 6 month NAV correlation to the Preferred Equity Index’s NAV while allowing only 1 fund per Fund Sponsor (lowest correlation), equal weight. The index constituents will be rebalanced each quarter. We manually have removed DXYZ from firm benchmarks.
Equity Sector Indexes
(1) Hybrid / Balanced, Non-US Equity, US Equity and Specialty Equity groupings according to CEFdata.com. (2) $50K+ 90-day average trade dollar $ liquidity. (3) US and Non US Bonds exposure under 40%. (4) US bond exposure under 25%, (5) US equity exposure under 20%, (6) Non-US Equity exposure over 45%. The funds will be equal weight in the index. The index constituents will be rebalanced each quarter. We manually have removed DXYZ from firm benchmarks.
(1) US-Equity, Non-US Equity or Specialty Equity fund grouping according to CEFData.com with 90-day average trade dollar $ over $500K. (2) US equity exposure over 80%, (3) international equity exposure under 20%, (4) US bond exposure under 15% (5) non-US bond exposure under 5% according to CEFdata.com. (6) Remove any funds in the master limited partnership (MLP), Finance, Energy, Real Estate Investment Trust (REIT) or Utility sector grouping according to CEFdata.com. (7) Remove any Fund of Funds like: FOF and RIV or with Preferred exposure over 10% and Industrials / Materials are over 50%. The remaining funds are equally weighted into the index. The index constituents will be rebalanced each quarter. We manually have removed DXYZ from firm benchmarks.
US-Equity and Non-US equity fund grouping according to CEFdata.com with $500K+ in 90 day average dollar $ liquidity. (2) US + Non-US Bond exposure combined under 33.33%. Equal weight the funds that meet these criteria. The index constituents will be rebalanced each quarter. We manually have removed DXYZ from firm benchmarks
Covered Call Equity grouping according to CEFdata.com. 90-day average trade dollar $ liquidity over $500K. Equal weight each fund for the index. The index constituents will be rebalanced each quarter. We manually have removed DXYZ from firm benchmarks.
Global Real Estate, REIT and Real Asset grouping according to CEFData.com. 90-day average trade liquidity over $500K. Equal weight each fund for the index. The index constituents will be rebalanced each quarter. We manually have removed DXYZ from firm benchmarks.
Utility Fund grouping according to CEFdata.com. 90-day average trade dollar $ liquidity over $500K. Equal weight each fund for the index. The index constituents will be rebalanced each quarter. We manually have removed DXYZ from firm benchmarks.
MLP grouping according to CEFdata.com. 90-day average trade dollar $ liquidity over $500K. Equal weight each fund for the index. The index constituents will be rebalanced each quarter. We manually have removed DXYZ from firm benchmarks.
Preferred Equity funds according to CEFdata.com. More than $500K a day in average 90-day trading dollar $ liquidity. The funds will be equal weight in the index. The index constituents will be rebalanced each quarter. We manually have removed DXYZ from firm benchmarks.
Hybrid / Balanced Funds groupings according to CEFdata.com. 90-day average trade dollar $ liquidity over $200K. Equal weight each fund for the index. The index constituents will be rebalanced each quarter. We manually have removed DXYZ from firm benchmarks.
US-Equity, Non-US Equity or Specialty Equity fund grouping (excluding MLP funds) according to CEFData.com with 90-day average trade dollar $ over $500K. Equal weight each fund for the index. The index constituents will be rebalanced each quarter. We manually have removed DXYZ from firm benchmarks.
Taxable Bond Sector Indexes
Include both leveraged and unleveraged High Yield Bond groupings according to CEFdata.com. 90-day average trade dollar $ liquidity over $500K. Equal weight each fund for the index. The index constituents will be rebalanced each quarter. We manually have removed DXYZ from firm benchmarks.
Senior Loan grouping according to CEFdata.com. 90-day average trade dollar $ liquidity over $500K. Exposure to 80% or more Loans / Sr. Loans according to CEFdata.com. Equal weight each fund for the index. The index constituents will be rebalanced each quarter. We manually have removed DXYZ from firm benchmarks.
Convertible Bond grouping according to CEFdata.com. 90-day average trade dollar $ liquidity over $250K. Equal weight each fund for the index. The index constituents will be rebalanced each quarter. We manually have removed DXYZ from firm benchmarks.
(1) Taxable Bond Funds groupings according to CEFdata.com. (2) US & Non US Bond Exposure over 80%. (3) 90-day average trade dollar $ liquidity over $200K. (4) Investment grade bond exposure over 60%. (4) Less than 20% Non Rated bonds (5) Adding funds classified as Taxable Municipal Bond Funds on CEFdata.com. Equal weight each fund for the index. The index constituents will be rebalanced each quarter. We manually have removed DXYZ from firm benchmarks.
Multisector Bond grouping according to CEFData.com. 90-day average trade dollar $ liquidity over $500K. Equal weight each fund for the index. The index constituents will be rebalanced each quarter. We manually have removed DXYZ from firm benchmarks.
(1) Taxable Bond Funds groupings according to CEFdata.com. (2) Removing funds with US / Non US Equity allocation over 10% each. (3) Removing funds with US Bonds allocation over 50%. (4) 90-day average trade dollar $ liquidity over $250K. Equal weight each fund for the index. The index constituents will be rebalanced each quarter. We manually have removed DXYZ from firm benchmarks.
(1) Taxable Bond Funds groupings according to CEFdata.com. (2) Removing funds with US / Non US Equity allocations over 5% each. (3) US Bond allocation over 80%. (4) 1 Year Trailing Income dividend classification over 80%. (5) 90-day average trade dollar $ liquidity over $250K. Equal weight each fund for the index. The index constituents will be rebalanced each quarter. We manually have removed DXYZ from firm benchmarks.
Taxable Bond fund grouping according to CEFData.com with 90-day average trade dollar $ over $500K. Equal weight each fund for the index. The index constituents will be rebalanced each quarter. We manually have removed DXYZ from firm benchmarks.
Tax-Free Bond Sector Indexes
National Municipal Bond grouping according to CEFdata.com. Ranking the highest 50% of funds by 90-day average trade dollar $ liquidity. Removing any Build America Bond (taxable municipals funds / BABs) and term trust municipal funds. The remaining funds will be equal weight. The index constituents will be rebalanced each quarter. We manually have removed DXYZ from firm benchmarks.
All Municipal CEFs currently classified as High Yield Municipal Bond CEFs according to CEFdata.com (15% or greater non-investment grade exposure) and $200K+ 90-day average trade dollar $ liquidity. The index constituents will be rebalanced each quarter. We manually have removed DXYZ from firm benchmarks.
All Municipal Bond funds (state or national) according to CEFdata.com with Term or planned liquidation dates. The funds will be equal weight in the index. The index constituents will be rebalanced each quarter. We manually have removed DXYZ from firm benchmarks.
California (CA) Municipal Bond grouping according to CEFData.com. Top 60% ranked by 90-day average trading dollar ($) liquidity. Equal weight each fund for the index. The index constituents will be rebalanced each quarter. We manually have removed DXYZ from firm benchmarks.
New York (NY) Municipal Bond grouping according to CEFData.com. Top 60% ranked by 90-day average trading dollar ($) liquidity. Equal weight each fund for the index. The index constituents will be rebalanced each quarter. We manually have removed DXYZ from firm benchmarks.
Single State Municipal Bond Funds groupings according to CEFdata.com, excluding NY and CA Municipal Bond Funds groupings. 90-day average trade dollar $ liquidity over $100K. Equal weight each fund for the index. The index constituents will be rebalanced each quarter. We manually have removed DXYZ from firm benchmarks.
Top 100 most liquid municipal bond funds. Equal weight. The index constituents will be rebalanced each quarter. We manually have removed DXYZ from firm benchmarks.
BDC Indexes
Debt-focused BDC grouping according to CEFdata.com with average 90-day trading dollar $ liquidity over $1MM. Equal weight the funds that meet these criteria. The index constituents will be rebalanced each quarter. We manually have removed DXYZ from firm benchmarks.
All Debt Focused listed BDC funds weighted by market capital. The index constituents will be rebalanced each quarter. We manually have removed DXYZ from firm benchmarks.
All Debt Focused listed BDC funds weighted by market capital, with a maximum individual fund weight capped at 15% to limit concentration in larger funds. The index constituents will be rebalanced each quarter. We manually have removed DXYZ from firm benchmarks.
Debt Focused listed BDC funds, with a market capital of $1B or larger, equal weight. The index constituents will be rebalanced each quarter. We manually have removed DXYZ from firm benchmarks.
This is an index for all the traded debt or leverage for publicly listed Business Development Companies (BDCs). We will rebalance this index quarterly with any new offerings in the sector as well as remove any that are called or matured, if this occurs during the quarter, we will allocate the called/matured bonds equal weight into the remaining bonds in the index The index constituents will be rebalanced each quarter. We manually have removed DXYZ from firm benchmarks.
