* Claymore/Robeco Developed International Equity Portfolio
* Claymore/Robeco Developed World Equity Portfolio
The "Developed International Equity" is Global ex-US fund, while the "Developed World" includes the US. Country weightings are based on each country's aggregate modified market capitalization (which includes liquidity and risk as weighting factors). These funds are intended to be representative of world equity markets, while choosing only the best stocks according to the quant model. Robeco intends each fund to hold between 200-300 stocks. According to the prelimary prospectus:
The stock selection model relies upon various measures of valuation, momentum, earning estimate revisions and management policy. The constituent selection methodology was developed by Robeco as an effective, 100% quantitative, rules-driven approach to identifying those companies that offer the greatest potential for price appreciation with strong risk diversification. Portfolio risk management tools, including a quantitative risk model and portfolio optimizer, are utilized to balance risk and reward.
To the best of my knowledge, this is the first fund based on an index that uses modern portfolio theory to reduce risk and optimize the Sharpe ratio. This fund takes advantage of the areas where quantitative strategies can add value; stock selection, and portfolio risk management.
Tip of the hat to Naked Shorts for breaking the story.