The Chemist's CEF Report - February 2017: Caution As CEFs Slightly Overvalued

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Includes: ACP, ACV, ADX, AGC, AGD, AIF, AKP, AOD, APB, ARDC, AWP, BGB, BHV, BIF, BTO, BTT, BWG, BZM, CEF, CET, CEV, CH, CHW, CHY, CII, CLM, CRF, DEX, DMO, DNI, DNP, DRA, ECC, ECF, EDD, EDF, EDI, EMD, EMJ, ETB, ETJ, ETV, EVJ, EXD, EXG, FAX, FEO, FGB, FHY, FMO, FT, FXBY, GAM, GGE, GLO, GLQ, GLV, GPM, GUT, HTY, IAE, ISL, LAQ, LDF, MAV, MCI, MIY, MMV, MNE, MSD, MSF, NBO, NCV, NCZ, NKG, NUM, OXLC, PCK, PCQ, PGP, PHF, PHK, PHT, PMF, PNI, PPT, PYN, PZC, QQQX, RCG, RCS, RIF, SBI, SOR, SPXX, SRF, SRV, TDF, TLI, TTF, USA, UTG, VGI, ZF, ZTR
by: Stanford Chemist

Summary

Which CEFs have the highest yield?

Which CEFs have the highest combination of yield and discount?

Which CEFs have the highest combination of yield, discount and z-score?

This article was released to members of the Cambridge Income Laboratory 30 days ago.

For the inaugural issue of The Chemist's CEF Report (September 2016), describing the background and rationale of the Report, please click here.

The Chemist's CEF Report is a monthly feature. This edition uses data taken from the close of February 3rd.

Methodology

A database of CEFs was obtained from CEFAnalyzer. In instances where NAV data was delayed, premium/discount values were manually checked on CEFConnect. 535 actively trading CEFs were included in the analysis. Unless otherwise stated, all data from this article are from either CEFAnalyzer or 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. For those new to CEFs, 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.

Changes in February 2017 Report

  • Separate statistics are provided for equity and debt funds as investors may be interested in one type of CEF more than another. Hybrid (balanced) funds and commodity funds are classed as equity.
  • The Chemist's CEF Report will now a bi-monthly feature, i.e. produced twice a month. This is so that members could have more recent data available as to which CEFs are most attractive to buy or sell based on a quantitative basis. For the sake of expediency, the mid-month update will lack commentary. The mid-month update will also not be released to the free audience, not even after a delay. This is to enhance the value of the service to existing members.
  • The reports will contain fewer graphs than before. I felt that they were not useful as the information within the graphs were duplicated in the tables (if you disagree, please let me know!)

All of these improvements have been made thanks to feedback from subscribers and readers. If you have any suggestions, please feel free to share in the comments section below!

1. Top 10 highest premia and top 10 highest discounts

(May interest arbitrage investors)

CEFs with the highest discounts are potential buy candidates, while CEFs with the highest premia are potential sell/short candidates. The following data show the 10 CEFs with the highest premia and 10 CEFs with the highest discounts. Yields, z-scores and leverage are shown for comparison.

Top 10 highest premia (equity):

CEF Premium/discount Yield z-score Distance Leverage Expense ratio Coverage
(NYSE:GUT) 22.2% 9.0% 1.20 5.5% 28.7% 1.3% 0.19
(NYSEMKT:CRF) 15.3% 18.1% 0.13 0.6% 0.1% 1.3% 0.10
(NYSEMKT:CLM) 13.1% 18.3% 0.17 1.1% 0.0% 1.2% 0.19
(NYSE:HTY) 12.9% 13.0% -0.26 -1.1% 0.4% 1.3% 0.35
(NYSE:DNP) 9.4% 7.4% 0.25 0.5% 27.6% 1.9% 0.32
(NYSE:ETB) 8.1% 7.6% 0.86 1.9% 0.9% 1.1% 0.14
(NYSE:ETV) 7.4% 8.7% 1.55 1.9% 0.9% 1.1% 0.08
(NYSE:FMO) 7.2% 10.0% 1.97 10.6% 37.3% 2.3% -0.08
(NYSE:BTO) 6.1% 4.0% 1.96 4.9% 19.3% 2.1% 0.32
(NYSE:FGB) 5.3% 9.2% 1.40 5.5% 22.0% 1.9% 0.90

Top 10 highest discounts (equity):

CEF Premium/discount Yield z-score Distance Leverage Expense ratio Coverage
(OTCPK:FXBY) -31.9% 0.5% 0.91 2.8% 9.2% 2.8% 2.05
(NYSEMKT:RCG) -19.1% 0.0% -0.63 -4.6% 0.0% 0.0% #DIV/0!
(NYSEMKT:CET) -18.7% 4.4% 1.40 1.1% 0.1% 0.9% 0.25
(NYSE:BIF) -18.4% 4.5% 1.35 2.2% 4.2% 1.4% 0.25
(NYSEMKT:RIF) -18.3% 6.3% 1.85 2.0% 27.3% 2.3% 1.45
(NYSEMKT:ISL) -17.6% 5.1% -0.76 -1.0% 0.1% 1.8% -0.01
(NYSEMKT:CH) -16.4% 8.8% -0.37 -2.1% 2.0% 2.1% 0.47
(NYSE:TTF) -16.4% 7.1% -2.53 -2.0% 0.1% 1.1% 0.43
(NYSE:ADX) -16.3% 7.5% -0.29 -0.1% 1.3% 0.6% 0.21
(NYSE:SRF) -16.3% 4.8% -1.09 -3.4% 7.2% 3.1% -0.33

Top 10 highest premia (debt):

CEF Premium/discount Yield z-score Distance Leverage Expense ratio Coverage
(NYSE:PGP) 66.1% 10.1% -0.99 -20.3% 44.7% 2.7% 0.39
(NYSE:PHK) 32.6% 11.1% -1.48 -11.1% 0.0% 0.0% 0.00
(NYSE:PZC) 24.4% 5.9% 2.52 7.5% 39.4% 1.3% 0.71
(NYSE:RCS) 20.0% 9.4% -0.08 -0.6% 25.7% 1.3% 0.73
(NASDAQ:OXLC) 19.9% 21.4% 1.35 11.8% 51.0% 15.8% 0.52
(NYSE:PYN) 16.4% 4.8% 1.12 3.8% 39.7% 1.6% 0.92
(NYSE:PCQ) 15.8% 5.7% 1.78 4.0% 38.7% 1.3% 0.88
(NYSE:PCK) 15.7% 5.8% 0.35 1.0% 39.1% 1.3% 0.92
(NYSE:PMF) 15.3% 5.0% -1.40 -4.3% 36.3% 1.2% 1.07
(NYSE:PNI) 13.6% 5.0% -0.92 -2.6% 40.0% 1.4% 1.00

Top 10 highest discounts (debt):

CEF Premium/discount Yield z-score Distance Leverage Expense ratio Coverage
(NYSE:BWG) -14.1% 8.7% 0.38 0.5% 38.2% 2.6% 1.00
(NYSEMKT:ECF) -13.4% 5.2% 0.80 1.0% 0.1% 1.1% 0.49
(NYSE:FT) -12.5% 5.6% -0.25 -0.5% 26.7% 2.2% 1.27
(NYSE:MSD) -12.1% 7.4% 1.69 2.2% 8.6% 1.2% 1.08
(NYSE:ARDC) -11.7% 7.8% 2.19 2.2% 30.1% 3.0% 1.14
(NYSE:DEX) -11.6% 6.0% 2.10 3.7% 31.3% 2.3% 0.76
(NYSE:EMD) -11.4% 8.2% 0.71 1.5% 22.3% 1.6% 0.74
(NYSEMKT:EVJ) -11.1% 4.6% -1.27 -4.4% 38.6% 2.4% 1.30
(NYSE:FHY) -10.9% 8.6% 2.01 2.1% 27.5% 2.4% 1.13
(NYSE:NUM) -10.8% 5.0% -0.69 -1.4% 35.1% 1.5% 1.26

2. Top 10 highest z-scores and top 10 lowest z-scores

(May interest arbitrage investors)

Similar to premia/discounts, CEFs with the lowest z-scores are potential buy candidates, while CEFs with the highest z-scores are potential sell/short candidates. The following data show the 10 CEFs with the highest z-scores and 10 CEFs with the lowest z-scores. Premium/discount, yields and leverage are shown for comparison.

Top 10 highest z-scores (equity):

CEF z-score Distance Premium/discount Yield Leverage Expense ratio Coverage
(NYSE:GAM) 4.24 2.5% -15.4% 1.5% 16.0% 1.3% 1.02
(NYSEMKT:GLO) 4.17 5.3% -11.8% 10.6% 42.6% 4.3% -0.17
(NASDAQ:QQQX) 4.00 4.5% -0.8% 7.0% 0.0% 0.0% 0.00
(NYSEMKT:UTG) 3.43 7.6% 1.2% 5.8% 22.3% 1.6% 0.42
(NYSEMKT:GLQ) 3.16 7.3% -8.1% 10.0% 42.6% 4.2% -0.21
(NYSE:AGD) 3.06 3.8% -11.1% 8.3% 0.1% 1.1% 1.00
(NYSEMKT:GLV) 2.99 6.9% -8.4% 9.8% 42.1% 3.6% -0.01
(NYSE:SPXX) 2.76 4.6% -2.6% 6.4% 2.8% 0.9% 0.22
(NYSE:DRA) 2.50 3.5% -10.7% 7.9% 30.5% 2.1% 1.12
(NYSE:AOD) 2.32 2.6% -13.2% 8.6% 0.0% 1.1% 1.09

Top 10 lowest z-scores (equity):

CEF z-score Distance Premium/discount Yield Leverage Expense ratio Coverage
TTF -2.53 -2.0% -16.4% 7.1% 0.1% 1.1% 0.43
(NYSEMKT:CEF) -2.03 -3.9% -9.3% 0.1% 0.0% 0.0% 0.00
(NYSE:MSF) -1.94 -1.3% -13.2% 0.7% 3.2% 1.6% 2.17
(NYSE:LDF) -1.92 -1.9% -13.4% 0.7% 0.2% 1.7% 1.12
(NYSEMKT:LAQ) -1.81 -1.4% -13.7% 1.4% 0.2% 1.4% 1.20
(NYSE:APB) -1.56 -1.2% -15.8% 2.1% 0.2% 2.1% 1.10
(NYSE:ZF) -1.51 -2.0% -12.7% 13.1% 27.2% 1.5% 0.10
(NYSE:SOR) -1.45 -3.9% -12.5% 3.8% 0.1% 0.8% 0.30
(NYSE:MNE) -1.32 -3.4% -9.2% 4.4% 0.0% 0.0% 0.00
(NYSE:CII) -1.16 -2.3% -9.7% 7.1% 1.1% 0.9% 0.14

Top 10 highest z-scores (debt):

CEF z-score Distance Premium/discount Yield Leverage Expense ratio Coverage
(NYSE:PPT) 3.74 4.4% -5.4% 5.9% 0.0% 0.0% 1.02
(NYSEMKT:PHF) 3.01 6.5% -2.2% 6.9% 29.7% 1.7% 1.05
(NYSE:BGB) 2.81 4.1% -6.6% 7.9% 32.5% 2.5% 1.30
BGB 2.81 4.1% -6.6% 7.9% 32.5% 2.5% 1.30
(NYSE:ACV) 2.66 3.4% -8.4% 10.0% 0.0% 0.0% 0.00
(NYSE:BTT) 2.65 4.4% -0.5% 4.2% 0.0% 0.0% 0.00
(NYSE:TLI) 2.54 7.5% -0.4% 7.4% 31.2% 2.2% 0.81
PZC 2.52 7.5% 24.4% 5.9% 39.4% 1.3% 0.71
DRA 2.50 3.5% -10.7% 7.9% 30.5% 2.1% 1.12
(NYSE:AIF) 2.39 3.5% -8.0% 8.3% 37.2% 3.4% 1.27

Top 10 lowest z-scores (debt):

CEF z-score Distance Premium/discount Yield Leverage Expense ratio Coverage
(NYSE:MAV) -2.29 -10.4% -5.5% 5.1% 33.5% 1.2% 1.54
(NYSE:MCI) -1.93 -16.2% 3.4% 8.2% 10.7% 2.1% 0.84
(NYSE:PHT) -1.82 -6.9% -6.4% 7.8% 31.6% 1.7% 1.63
(NYSEMKT:BZM) -1.74 -4.5% -4.2% 4.0% 35.7% 2.2% 1.10
(NYSE:NKG) -1.65 -3.0% -5.3% 4.6% 38.0% 2.0% 0.99
(NYSEMKT:BHV) -1.60 -9.2% 4.8% 4.7% 37.7% 2.2% 0.99
BHV -1.60 -9.2% 4.8% 4.7% 37.7% 2.2% 0.99
(NYSEMKT:EMJ) -1.49 -4.0% -9.7% 5.0% 35.9% 1.7% 1.24
PHK -1.48 -11.1% 32.6% 11.1% 0.0% 0.0% 0.00
(NYSEMKT:SBI) -1.42 -2.2% -4.4% 4.6% 26.0% 1.4% 0.97

3. Top 10 highest yielding CEFs

(May interest buy-and-hold income investors)

Some readers are mostly interested in obtaining income from their CEFs, so the following data presents the top 10 highest yielding CEFs. I've also included the premium/discount and z-score data for reference. Before going out and buying all 10 funds from the list, some words of caution: [i] higher yields generally indicate higher risk, [ii] some of these funds trade at a premium, meaning you will be buying them at a price higher than the intrinsic value of the assets (which is why I've included the premium/discount and z-score data for consideration), and [iii] beware of funds paying out high yields from return of capital in a destructive manner.

Top 10 highest yield (equity):

CEF Yield Premium/discount z-score Distance Leverage Expense ratio Coverage
CLM 18.3% 13.1% 0.17 1.1% 0.0% 1.2% 0.19
CRF 18.1% 15.3% 0.13 0.6% 0.1% 1.3% 0.10
ZF 13.1% -12.7% -1.51 -2.0% 27.2% 1.5% 0.10
HTY 13.0% 12.9% -0.26 -1.1% 0.4% 1.3% 0.35
(NYSE:ZTR) 11.9% -8.5% 0.60 0.9% 28.1% 1.3% 0.20
(NYSE:ETJ) 11.7% -5.6% 1.12 2.3% 0.7% 1.1% 0.10
(NYSE:GPM) 11.5% -3.3% 1.47 4.3% 33.6% 2.1% 0.07
(NYSE:GGE) 11.5% -8.0% 1.63 2.4% 33.7% 2.2% 0.07
(NYSE:EXG) 11.4% -5.8% 0.46 0.9% 0.4% 1.1% 0.22
(NASDAQ:CHW) 11.2% -11.1% 1.40 2.0% 30.1% 2.1% 0.38

Top 10 highest yield (debt):

CEF Yield Premium/discount z-score Distance Leverage Expense ratio Coverage
OXLC 21.4% 19.9% 1.35 11.8% 51.0% 15.8% -0.08
(NYSE:EDF) 13.9% 5.7% 1.06 6.6% 32.5% 2.2% -0.05
(NYSE:ECC) 13.7% 3.9% -0.46 -5.0% 32.4% 10.7% -0.01
(NYSE:EDI) 12.2% -0.4% 1.57 7.5% 33.2% 2.5% -0.04
(NYSE:DMO) 12.1% 11.7% 1.26 3.0% 34.7% 2.6% -0.04
(NYSE:VGI) 11.7% -6.5% 1.69 3.7% 27.1% 2.2% -0.06
(NYSE:NCV) 11.5% -1.6% 0.47 1.9% 42.8% 0.8% 0.01
(NYSE:NCZ) 11.3% -1.1% 1.27 3.7% 38.6% 0.9% -0.01
PHK 11.1% 32.6% -1.48 -11.1% 0.0% 0.0% 0.00
(NASDAQ:CHY) 10.7% -4.4% 0.77 2.0% 29.1% 1.8% -0.05

4. Top 10 best combination of yield and discount

(May interest buy-and-hold income investors)

For possible buy candidates, it is probably a good idea to consider both yield and discount. Buying a CEF with both a high yield and discount not only gives you the opportunity to capitalize from discount contraction, but you also get "free" alpha every time the distribution is paid out. This is because paying out a distribution is effectively the same as liquidating the fund at NAV and returning the capital to the unitholders. I considered several ways to rank CEFs by a composite metric of both yield and discount. The simplest would be yield + discount, however I disregarded this because yields and discounts may have different ranges of absolute values and a sum would be biased towards the larger set of values. I finally settled on the multiplicative product, yield x discount. This is because I consider a CEF with 7% yield and 7% discount to be more desirable than a fund with 2% yield and 12% discount, or 12% yield and 2% discount, even though each pair of quantities sum to 14%. Multiplying yield and discount together biases towards funds with both high yield and discount. Since discount is negative and yield is positive, the more negative the "D x Y" metric, the better.

Top 10 best D x Y (equity):

CEF D x Y Premium/discount Yield z-score Distance Leverage Expense ratio Coverage
ZF -1.67 -12.7% 13.1% -1.51 -2.0% 27.2% 1.5% 0.10
(NYSE:AWP) -1.64 -15.0% 11.0% 1.88 2.1% 2.7% 1.3% 0.34
CH -1.43 -16.4% 8.8% -0.37 -2.1% 2.0% 2.1% 0.47
(NYSE:DNI) -1.32 -16.1% 8.2% 1.00 1.2% 4.0% 1.7% 0.32
(NYSE:TDF) -1.27 -13.3% 9.6% 1.00 0.8% 0.0% 1.3% 0.31
(NYSE:USA) -1.26 -14.2% 8.8% 2.20 1.5% 2.3% 1.1% 0.12
GLO -1.25 -11.8% 10.6% 4.17 5.3% 42.6% 4.3% -0.17
CHW -1.24 -11.1% 11.2% 1.40 2.0% 30.1% 2.1% 0.38
(NYSE:FEO) -1.24 -13.0% 9.5% 0.19 0.3% 6.4% 1.8% 0.54
ADX -1.22 -16.3% 7.5% -0.29 -0.1% 1.3% 0.6% 0.21

Top 10 best D x Y (debt):

CEF D x Y Premium/discount Yield z-score Distance Leverage Expense ratio Coverage
BWG -1.23 -14.1% 8.7% 0.38 0.5% 38.2% 2.6% 1.00
(NYSE:EDD) -1.00 -10.6% 9.4% 1.16 2.4% 33.4% 1.8% 1.21
FHY -0.93 -10.9% 8.6% 2.01 2.1% 27.5% 2.4% 1.13
EMD -0.93 -11.4% 8.2% 0.71 1.5% 22.3% 1.6% 0.74
(NYSE:AGC) -0.93 -10.0% 9.3% 1.62 3.3% 42.2% 3.8% 0.48
(NYSE:ACP) -0.93 -9.1% 10.1% 2.36 3.8% 30.8% 3.1% 1.12
ARDC -0.92 -11.7% 7.8% 2.19 2.2% 30.1% 3.0% 1.14
MSD -0.90 -12.1% 7.4% 1.69 2.2% 8.6% 1.2% 1.08
(NYSEMKT:FAX) -0.89 -10.4% 8.6% 1.01 1.8% 29.0% 2.2% 0.65
(NYSE:EXD) -0.89 -9.0% 9.8% 1.44 1.8% 1.1% 1.4% 0.08

5. Top 10 best combination of yield, discount and z-score

(May interest buy-and-hold income investors + arbitrage investors)

This is my favorite metric because it takes into account all three factors that I always consider when buying or selling CEFs: yield, discount and z-score. The composite metric simply multiplies the three quantities together. A screen is applied to only include CEFs with a negative 1-year z-score. As both discount and z-score are negative while yield is positive, the more positive the "D x Y x Z" metric, the better.

Top 10 best D x Y x Z (equity):

CEF D x Y x Z Premium/discount Yield z-score Distance Leverage Expense ratio Coverage
(NYSE:TTF) 2.94 -16.4% 7.1% -2.53 -2.0% 0.1% 1.1% 0.43
(NYSE:ZF) 2.52 -12.7% 13.1% -1.51 -2.0% 27.2% 1.5% 0.10
(NYSE:IAE) 1.34 -13.8% 8.8% -1.10 -1.2% 0.4% 1.3% 0.42
(NYSE:SRV) 0.92 -14.5% 7.3% -0.87 -1.6% 33.2% 3.1% -0.31
(NYSE:SRF) 0.85 -16.3% 4.8% -1.09 -3.4% 7.2% 3.1% -0.33
(NYSE:CII) 0.80 -9.7% 7.1% -1.16 -2.3% 1.1% 0.9% 0.14
(NYSE:SOR) 0.68 -12.5% 3.8% -1.45 -3.9% 0.1% 0.8% 0.30
(NYSEMKT:ISL) 0.68 -17.6% 5.1% -0.76 -1.0% 0.1% 1.8% -0.01
(NYSEMKT:CH) 0.53 -16.4% 8.8% -0.37 -2.1% 2.0% 2.1% 0.47
(NYSE:APB) 0.52 -15.8% 2.1% -1.56 -1.2% 0.2% 2.1% 1.10

Top 10 best D x Y x Z (debt):

CEF D x Y x Z Premium/discount Yield z-score Distance Leverage Expense ratio Coverage
(NYSE:PHT) 0.91 -6.4% 7.8% -1.82 -6.9% 31.6% 1.7% 1.63
(NYSEMKT:EMJ) 0.73 -9.7% 5.0% -1.49 -4.0% 35.9% 1.7% 1.24
(NYSEMKT:EVJ) 0.65 -11.1% 4.6% -1.27 -4.4% 38.6% 2.4% 1.30
(NYSE:MAV) 0.64 -5.5% 5.1% -2.29 -10.4% 33.5% 1.2% 1.54
(NYSE:MNE) 0.53 -9.2% 4.4% -1.32 -3.4% 0.0% 0.0% 0.00
(NYSE:MIY) 0.52 -9.8% 5.6% -0.94 -1.8% 0.0% 0.0% 0.00
(NYSEMKT:NBO) 0.51 -8.6% 4.6% -1.30 -4.4% 39.7% 2.4% 1.09
(NYSE:AKP) 0.51 -8.8% 4.6% -1.27 -2.5% 36.7% 1.5% 1.15
(NYSEMKT:CEV) 0.50 -9.5% 4.2% -1.25 -3.9% 38.6% 2.4% 1.23
(NYSEMKT:MMV) 0.50 -9.3% 3.9% -1.38 -2.9% 35.6% 2.3% 1.20

6. Summary statistics

The average premium/discount of all the CEFs in the database is -4.87%, a significant increase from -6.38% in the previous month. The following boxplot shows lower quartile, median and upper quartile data (the mean is indicated as the "x").

The average distribution yield of all the CEFs in the database is 6.60%, a slight decrease from 6.88% in the month prior.

The average z-score of all the CEFs in the database is +0.46, a significant increase from -0.12 a month ago.

Commentary

In last month's commentary ("The Chemist's CEF Report - January 2017: CEFs Continuing To Improve In Health"), we noted that CEFs as a group had continued to improve in health, with z-scores inching higher from -0.20 to -0.12. This month saw substantial improvements in the health of the CEF space, such that CEFs as a class have become slightly overvalued.

The slight overvaluation is indicated by the average z-score of +0.46 (highest since Sep. 2016), premium/discount of -4.87% (highest since Sep. 2016) and average yield of 6.68% (lowest since Sep. 2016). Interestingly, the distribution of z-scores continues to widen. Using the interquartile range [IQR] as a measure of spread, the IQR of z-scores this month is 1.84, up from 1.70 in January and 1.51 in December of last year. This high dispersion of z-scores is good from a trader's point of view as it provides more opportunities for CEF arbitrage.

The slight overvaluation suggests that long-terms investors might consider holding off on new CEF purchases right now until discounts fall back to their historical levels. Investors more willing to partake in active management may consider selling individual CEFs that have moved into extreme overvaluation territory (based on z-score and/or recent price action).

I intend to give a list of my top 3 CEF picks each month, which is based on my consideration of the data as well as my qualitative judgment. Note that me designating a fund as a top pick does not mean I am encouraging subscribers to buy the fund, nor am I necessarily going to include the fund in the Cambridge Income Laboratory Portfolio. Moreover, note that some of the picks may have a narrow mandate (e.g. utilities stocks or MLPs), and therefore each investor should consider their own investment objective and risk tolerance before deciding to invest money into any of the picks.

For February 2017, my top 3 picks are:

  • Pioneer High Income Trust [PHT]: 7.8% yield, -6.4% discount, -1.82 z-score, -6.9% distance, 31.6% leverage, 1.7% expense ratio.
  • Pioneer Municipal High Income Advantage Trust [MAV]: 5.1% yield, -5.5% discount, -2.29 z-score, -10.4% distance, 33.5% leverage, 1.2% expense ratio.
  • BlackRock Enhanced Capital and Income Fund [CII]: 7.1% yield, -9.7% discount, -1.16 z-score, -2.3% distance, 0% leverage, 0.9% expense ratio.

The three picks have a decent combination of yield, premium/discount and z-score/distance values.

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