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Strategies & Market Trends : Bonds & Bond Funds
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From: peter michaelson1/4/2009 8:10:25 PM
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Question re muni cef's.

I am running a bunch of excel analyses on CEF's, looking for anomalies I might be able to arbitrage using basically identical funds. I was looking at unlevered, national municipal funds. These are the ones that etfconnect lists using those criteria.

I'm very surprised at the variability in NAV performance over the past 24 months. Does anyone understand what these variations can be attributed to?

I have some possible factors:

1. Some funds dividend out a greater % of income than others.
2. Values of lower rated bonds has fallen much more than higher rated bonds.
3. Variation in expense ratios.

IMS     -16%
MHF     -22%
MUA     -31%
NIM      -8%
NMI     -18%
NUV     -19%
NXP     -10%
NXQ     -15%
NXR      -9%
OIA     -37%
OIB     -37%
OIC     -35%


edit: OK, looks like this is mostly due to credit ratings - high rated stuff has not been hit very badly, while the lower rated stuff has been decimated.

OIA, OIB and OIC have 60% non-rated bonds in their portfolios.
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