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CEF Portfolio 

The CEF portfolio is designed for investors interested in high income and DRIPs. It aims at making profits on the high dividends and discounts specific to the closed-end funds universe. The average dividend yield is about 8%. We consider only CEFs that are traded at an average daily volume above $1 million and a price above $5. The strategy uses a ranking system based on several static and dynamic ratios on dividend, price and net asset value. You can find below simulation results of the model reinvesting dividends, with realistic trading costs, no hedge and no timing. Past performance, real or simulated, is not a guarantee of future returns.

cef portfolio chartcef portfolio perfcef trades

Ranking system performance in the total closed-end funds universe:

cef rank1

One bar represents a bucket of CEFs in the same rank interval. Buckets are rebalanced weekly (without trading costs, this is not a portfolio). The chart above shows averages since 2001. The model buys new holdings in the top buckets.

The model looks solid on past data, regarding various metrics:
The ranking system is strongly correlated to average returns in the CEFs universe. the bar chart shows that it has not been curve-fitted to a few top funds.
The Sharpe and Sortino ratios are respectively 1.1 and 1.4.
The percentage of winning trades is 62%.
The turnover is reasonable: a CEF stays in the portfolio about 2.4 months on average.

Send a message at ypa.finance@gmail.com with "CEF portfolio" in the subject if you want more information about this service.


Portfolio update sent by email every week. This is a model portfolio for informational purposes. It is not a recommendation to buy or sell securities. We provide an opinion about the market. Every subscriber is free to use it in any way for individual purpose, except disseminating included information. You are responsible for your investments. Investing is risky. Past performance is never a guarantee for the future. We are not a RIA and cannot provide personal advice. If you have a doubt, please consult a registered advisor.

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