The Shiller Barclays CAPE Europe Sector Value Index has been licensed to the specialist investment manager, Ossiam, for use in an exchange-traded fund (ETF).
The UCITS-compliant ETF is in the process of being passported in various European countries and listed on multiple exchanges.
The Shiller Barclays CAPE indices, developed jointly by Barclays and Professor Robert Shiller, use the cyclically adjusted price-to-earnings (CAPE) ratio as a key valuation driver in a sector rotational strategy. The indices are designed to offer large cap equity market exposure with a value bias, and are intended for buy-and-hold investors with a multi-year time horizon. The first indices of the family, based on the US market, were launched in September 2012.
The Shiller Barclays CAPE Sector Europe Index Family went live in September 2013. Starting with a universe of ten sectors, it systematically identifies and allocates to the four most undervalued sectors, according to the CAPE® ratio developed by Professor Robert Shiller. The Shiller Barclays CAPE® Sector Europe Index has delivered an annualised return of 14.07% since going live, compared to 13.01% for the MSCI Europe Index (source: Bloomberg and Barclays).
“We have seen considerable interest in the Shiller Barclays CAPE® indices from clients looking to diversify their equity beta and gain exposure to undervalued stocks and sectors,” says Fabien Labouret, Head of Quantitative Investment Strategies at Barclays. “Our partnership with Ossiam will make this innovative investment strategy available to a wider range of investors through a highly liquid and UCITS-compliant product.”
Bruno Poulin, CEO of Ossiam, says: “We are proud to be associated with Barclays and Professor Robert Shiller through this partnership. Ossiam’s investment funds are known for applying leading academic thinking in finance to innovative investment solutions and the Shiller Barclays CAPE indices encapsulate that perfectly. Licensing of the new index gives Ossiam the ability to develop an ETF for systematic investment in European undervalued sectors with a long-term investment horizon in a way not met by other fundamental smart beta methodologies.”
Barclays’ partnership with Ossiam follows the success in Japan of an equity fund employing the Shiller Barclays CAPE Index family. The Shinko-Shiller CAPE US and European Equity Strategic Fund, which launched in March last year, has attracted over USD600 million in assets and was recently awarded The Asset magazine’s Triple A Investment Award for Best Structured Equity Product.
The Shiller Barclays CAPE Index Family is calculated and published by the Barclays Risk Analytics and Index Solutions Limited (BRAIS) team, part of Barclays’ global research team. The Shiller Barclays CAPE index data is available to subscribers on Barclays Live, the BRAIS website and Bloomberg.
