LCM - The Chemist's CEF Report - July 2018: Treasury Yield Spread Continues To Narrow
For the inaugural issue of The Chemist's CEF Report (September 2016), describing the background and rationale of the Report, please click here.
This edition uses data taken from the close of July 3, 2018. Previous editions of the Report can be searched using the keyword "cefrep".
Methodology
A database of CEFs was obtained from 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. The 1-year z-score is calculated