That's the downside of Funds that sell covered calls....
You don't get to participate in rapidly upwardly moving markets. The stock has limited upside potential so the holdings miss the return when the markets move higher, then you have to liquidate the shares to keep the distributions (dividend) going.
This is a fund to own in a stagnant environment or a slow declining market. Even then I don't think I'd buy this fund again.
Another way to put this is that you shouldn't judge your total return in the short term. It will look bad in the short term when the market is soaring. If the market just shimmies up and down over time, those juicy distribution payments will start to look mighty nice. After all, you get to keep them as cash money. Paper profits are just that, unless you have great market timing or an ever increasing market. The investment adviser who convinced me to get this fund suggested that one consider any capital appreication to be a bonus. The real reason to own this fund is the double digit annual distributions. I think that is about right.
They are selling off the fund holdings, since the distribution is not supported by the fund's income. If you look at XBDJX, this is the fund's Net Asset Value. You can see that it is doing worse than the share price.