I got sucked in by the dividend. A 13% dividend per YEAR means nothing when the value of the shares of this CEF are dropping like a rock. Something is very strange with this CEF. I just sold out and will take the tax loss.
The NAV is not going up because the market - REITs included - has been going down. So, of course, REIT CEFs have also been declining in price and NAV. The market is down almost 6% in June alone. Couple that with general summertime lack of trading volume (today we didn't even reach 1 billion shares on the NYSE) and huge sell-offs and price run-ups (take a look at IGR last week) can happen on liquidity imbalances.
Incidentally, Alpine has two other funds - AOD and AGD - and they both sold off a lot today too. Don't know if it's an Alpine thing or not.