They have lost so much capital that they cannot even generate enough income to cover their expenses, much less cover the div.
If you read the 10 k it says the funds expenses are now 6.5% of the funds assets yearly. So this fund would need about 16% to earn the div and cover the fund expenses & mgt fees.
Its impossible. Especially in a low interest rate environment. They are taking ever more risky stuff to try to stay even and are getting hit with defaults and losses.
The fund is permanently impaired. It is now too small to earn enough money to cover mgt costs and the div. Thus they always change the div to a return of capital. It does not generate the div it supposedly pays. This fund is doomed to fail or cut its div.
they have always had extremely risky investments - review the last ten years of 10Ks - relatively little change in risk level
see the last 10Q - realized almost $1.00/sh on sale - unfortunately offset by several clunkers that they are writing off
this is a play on price of oil and gas - they make serious money when prices go up- not so not good when prices go down
also dividend is dictated by what would be taxable income- not by FASB income - this discrepancy results in return of capital - it is not up to them - changes in net asset value are pretty arbitrary - they make them up themselves and I have no idea how good their valuations are