Strategy #0000000130 · Arbitrage and relative value
Closed-end fund discount convergence
Enter NAV, market price, target discount, holding-period distributions, shares and costs.
A closed-end fund can trade persistently below or above its net asset value per share. Investors may buy a discount and wait for convergence, distributions, repurchases or liquidation; discounts can persist or widen, and hedge instruments, fees, leverage and taxes matter. This calculator estimates only the price scenario at an entered target discount.
No live NAV, fund fees, taxes, leverage or discount-convergence horizon is modelled.
Three ways in
Understand the story. Then inspect the risk.
Start with a familiar situation, check the payoff, then test how the numbers change.
The idea · in two minutes
If the fund discount converges to a target, what is scenario P&L after distributions and costs?
A closed-end fund can trade persistently below or above its net asset value per share. Investors may buy a discount and wait for convergence, distributions, repurchases or liquidation; discounts can persist or widen, and hedge instruments, fees, leverage and taxes matter. This calculator estimates only the price scenario at an entered target discount.
Enter NAV, market price, target discount, holding-period distributions, shares and costs.
No live NAV, fund fees, taxes, leverage or discount-convergence horizon is modelled.
- Input assumptionsEnter NAV, market price, target discount, holding-period distributions, shares and costs.
- Model outputNo live NAV, fund fees, taxes, leverage or discount-convergence horizon is modelled.
Illustrative research examples only. They are not live signals or a recommendation.
The mechanics · payoff and exposure
Discount=(NAV-P)/NAV,\quad P\&L=NAV(1-d_{target})+Distribution-P-C
Target discount, distributions and costs are user-entered; no short hedge in underlying holdings is constructed.
Greeks: the directional intuition
- 模型
- Measures sensitivity to implied volatility.
- 合約
- Measures sensitivity to implied volatility.
- 執行
- Measures sensitivity to implied volatility.
Discount=(NAV-P)/NAV,\quad P\&L=NAV(1-d_{target})+Distribution-P-C
Practical context · published observations
Closed-end fund discount convergence: read the record with its caveats.
The chart uses the published figures or explicitly labelled study inputs below. A historical index or model replay is not the same as an investor’s realised account return.
No live NAV, fund fees, taxes, leverage or discount-convergence horizon is modelled. Source ↗ · Methodology ↗
Change assumptions and inspect the scenario
Inputs illustrate the strategy mechanics; they are not live quotes, forecasts or investment advice.
Variants · same family, different risk levers
Models, contract terms and implementation can change results.
Compare relevant mechanisms and execution assumptions.
| Related strategy | Relationship | What changes | New cost or risk |
|---|---|---|---|
| Base scenario | Manual inputs | A closed-end fund can trade persistently below or above its net asset value per share. Investors may buy a discount and wait for convergence, distributions, repurchases or liquidation; discounts can persist or widen, and hedge instruments, fees, leverage and taxes matter. This calculator estimates only the price scenario at an entered target discount. | No live NAV, fund fees, taxes, leverage or discount-convergence horizon is modelled. |
| Conservative version | Higher cost/loss | Stress higher costs, larger losses or lower liquidity. | May lower scenario returns. |
| Validation version | Data review | Test model inputs with consistent contracts and timestamps. | Needs licensed, representative data. |
No live NAV, fund fees, taxes, leverage or discount-convergence horizon is modelled.
Read beyond the summary
References
Primary sources and research used to describe the strategy and its limits.