I don't get it. By how much will your funds underperform? If the return differential is less than 5% you might as well buy treasuries.
I don't like this idea... you're only doing a little arbitrage... and if you're holding it long term you can't possiblly be making a very high percentage rate.. Not to mention transaction fees... and if you're constantly exiting to avoid dividends... and constantly rolling over futures... this strategy could cost you money.... not to mention... how does the strategy differ in a bull market in comparison to a bear market?
The key is to CREATE a closed-end fund, short it, go long futures (just to be extra secure), and churn like your broker wants you to!
More seriously, closed-end funds trade at a premium/discount to their assets, and this premium/discount is an estimation of the NPV of out/underperformance. So it's not cut-and-dried like with an open-end fund that you're going to do well by shorting it. You will find arbitrage relationships, I'm sure... But not like with open-end funds, and I doubt you'll make much in the way of risk and transaction adjusted profits if you short arbitrarily. -But- Incognitus, you do come up with interesting ideas.