The global platform mirrors the US version: a mathematical investment process that uses a variety of global securities benchmarked to the MSCI World Index, with targeted annualized gross returns of 2.5% to 3% above the benchmark. The firm funded the global version with seed capital in December 2004, and since then the portfolio has beaten the MSCI World Index by 4.64%.
Robert Fernholz, CIO, says it took the firm two years of research to determine that IntechÆs investment process that aims for high information ratios in US equities was applicable to international markets.
The firmÆs process eschews fundamentals for a mathematical discipline that identifies relatively high-volatility stocks with low correlations. It then determines target weightings that should give the portfolio an overall greater return than the benchmark index, but with less downside risk, and with no style drift.
The Global Risk Managed Core Fund is domiciled in Ireland and now has over $2 billion of assets under management from non-US clients.