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.
