CEF 1-Year Z-Score

Research
1

Hi all,

Is there a reliable way calculate Z-Score for CEFs, such as the one mentioned here:

z-score = (current discount − average discount) / standard deviation of the discount

https://www.fidelity.com/learning-center/investment-products/closed-end-funds/relative-discounts-premiums

The z-score using the following formula below is not matching cefconnect.com since there aren’t enough values to reliably calculate standard deviation:

-1*(NAVDisc-NAVDiscAvg(12,0))/LoopStdDev(“NAVDiscHist(CTR)”,12,0,1)

I’m hoping to do something like this but nested double quotes aren’t allowed so is there a way to accomplish this using SetVar or Custom Formulas?

-1*(NAVDisc-LoopAvg(“FHist(“NAVDisc”),CTR)”,52)/LoopStdDev(“FHist(“NAVDisc”),CTR)”,52)

Thanks for your help in advance!

-Sam

2

I think that the problem is that we receive NAV as monthly data. We are unlikely to ever match any external source that uses NAVs updated more often.

Your second try (-1*(NAVDisc-NAVDiscAvg(12,0))/LoopStdDev(“NAVDiscHist(CTR)”,12,0,1)) is as close as I think that we can come. I’d try replacing LoopStdDev with LoopStdDevP, just to be sure that doesn’t help. I don’t really expect it to, because it’s kind of very not correct.

Other than that, sorry, we can’t help you match an external source more closely in general, and in this case I don’t think we have the data to do it anyway.

3

Thank you for your reply. Can the historical NAVDiscAvg and NAVDiscHist be available beyond 1 year? At least 3 years of NAV stats would be great!