Z-Statistic (Cum Par)

A z-statistic, or z-score (cum par) measures how unusual a closed-end fund’s current premium or discount is compared with its own history, after adjusting the historical series for the effect of distributions paid over time. This puts valuation on a total-return basis rather than on price changes alone. It is most relevant for high-distribution funds, where frequent payouts, such as monthly payments from taxable-income funds, can materially distort historical premium or discount patterns. Cum Par produces a smoother historical series, so comparing it with the Ex Par signal shows how much distributions are influencing the Ex Par signal.