Author's note: This article was co-produced with Beer Money Arb and was originally published to CEF/ETF Income Laboratory members on November 5, 2019.
(Note: Beer Money Arb is writing in the first person.)
Much analysis of closed-end funds is based around the idea of mean reversion in discount or premium behavior. A specific subset of this general mean reversion phenomena is finding pairs of funds with similar or related underlying assets and engaging in interval rotation between the two to take advantage of discount/premium moves in one fund relative to its identified