INDEX METHODOLOGY
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Step 1:
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Identify Entire Closed-End Fund Universe
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Step 2:
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Narrow the Closed-End Fund Universe
Exclude funds that:
- Do not trade on U.S. exchanges
- Generate non-taxable income by investing at least 50% of their assets in non-taxable
securities
- Are interval funds
- Have less than six months of operating history
- Have market capitalizations of less than $250 million
- Have a market share price less than $5
- Have a trading volume of less than 1 million shares in each of the six months preceding
reconstitution of the Index
- Are not organized in the United States
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Step 3:
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Rank Remaining Closed-End Funds Based on Premium/Discount (80% weighting) and
Distribtution Yield (20% weighting)
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Step 4:
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Select the Top 75 Ranked Closed-End Funds:
Weightings based on each fund’s trading volume and premium/discount ranking
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INDEX VALUE
as of
11/20/09
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VALUE
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| Close |
82.65 |
| Change |
-.13 |
| 52-Week High |
83.97 |
| 52-Week Low |
48.60 |
Value History
Value Close and Value Change are the Index’s daily market “price” and “price change”
as of the date noted. Figures are based on market close.
INDEX STATISTICS
as of
6/30/09
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Index Ticker
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CLMRCEF
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Rebalance Frequency
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Every 367 Days
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Number of Constituents
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51
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Average Market Capitalization:*
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$928.0 Mil
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Average Indicated Dividend Yield*
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10.44 %
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Average Premium/Discount*
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-8.06 %
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* Weighted average of the underlying closed-end funds that comprise the Index.
This data is subject to change on a daily basis.
ENTIRE CLOSED-END FUND UNIVERSE
as of
6/30/09
| Average Premium/Discount |
-6.08 % |
The closed-end fund universe will change as funds are added or deleted.
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INDEX PROFILE
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Ticker
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CLMRCEF
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Index Inception Date
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12/5/07
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Rebalance Frequency
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Every 367 Days
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Managed By
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Claymore Securities, Inc.
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INDEX ASSET CLASS WEIGHTINGS
as of
6/30/09
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ASSET CLASS
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WEIGHTING
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U.S. Equity
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41.64 %
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Global Equity
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17.72 %
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International Fixed Income
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14.90 %
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U.S. Fixed Income
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13.76 %
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International Equity
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7.90 %
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Government Agency
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1.36 %
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Index data is based on the individual closed-end funds that comprise the Index.
This data is subject to change on a daily basis.
Weightings and classifications derived by Claymore Securities, Inc. using Bloomberg
data.
TOP INDEX CONSITUENTS
as of
11/20/09
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NAME
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WEIGHTING
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Eaton Vance Tax-Managed Global Diversified Equity Income Fund
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5.05 %
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Eaton Vance Tax-Managed Diversified Equity Income Fund
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4.41 %
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Eaton Vance Tax-Advantaged Global Dividend Income Fund
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3.95 %
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Eaton Vance Tax-Advantaged Dividend Income Fund
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3.90 %
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Morgan Stanley Emerging Markets Domestic Debt Fund
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3.62 %
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Alliancebernstein Global High Income Fund
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3.39 %
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Cohen & Steers Select Utility Fund Inc.
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3.21 %
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Calamos-Strategic Total Return Fund
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3.17 %
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Nfj Dividend Interest & Premium Strategy Fund
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3.16 %
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Gabelli Dividend & Income Trust
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3.12 %
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All Constituents
This data is subject to change on a daily basis.
This is not an offering of any closed-end fund listed.
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RISKS AND OTHER CONSIDERATIONS
Claymore Securities, Inc. is the owner of, and has a trademark application pending
for, Claymore CEF IndexSM in the United States.
Claymore makes no representation or warranty, express or implied, regarding the
ability of the Index to track general market performance. Claymore shall not be
liable to any person for any error in the Index nor shall it be under any obligation
to advise any person of any error therein.
Certain Claymore CEF Index constituents may be closed-end funds advised by Claymore
Advisors, LLC, an affiliate of Claymore Securities, Inc. Claymore Advisors, LLC,
receives an advisory fee from such closed-end funds as investment adviser. Claymore
Securities, Inc. may act as a servicing agent for certain closed-end funds included
in the Claymore CEF Index and receives fees for this activity.
“The Claymore CEF IndexSM is calculated by NYSE Arca, Inc. (“NYSE Arca”). The Claymore Index-Linked GS Connect Exchange Traded Notes, which is based on the Index, is not sponsored, endorsed, sold or promoted by NYSE Arca, and NYSE Arca makes no representation regarding the advisability of investing in such product. NYSE Arca makes no express or implied warranties, and hereby expressly disclaims all warranties or merchantability or fitness for particular purpose with respect to the Claymore CEF IndexSM or any data included therein. In no event shall NYSE Arca have any liability for any special, punitive, indirect or consequential damages (including lost profits), even if notified of the possibility of such damages.”
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